/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220710.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 10, 2022, Vol. 26, No. 190 Headlines ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes AGL CLO 20: Moody's Assigns (P)B3 Rating to $1MM Class F Notes AIMCO CLO 17: Fitch Assigns BB- Rating on Class E Debt AIMCO CLO 17: Moody's Assigns B3 Rating to $1MM Class F Notes ANGEL OAK 2022-4: Fitch Gives 'B(EXP)' Rating on Class B-2 Debt ARBOR REALTY 2022-FL2: DBRS Finalizes B(low) Rating on G Notes ARES LOAN II: S&P Assigns Prelim BB- (sf) Rating on Class E Notes BPCRE LTD 2022-FL2: DBRS Finalizes B(low) Rating on Class G Notes BX COMMERCIAL 2022-CSMO: DBRS Gives Prov. BB Rating on F Certs CANTOR COMMERCIAL 2011-C2: Fitch Cuts Rating on 2 Tranches to 'C' CG-CCRE 2014-FL1: S&P Affirms CCC (sf) Rating on Class YTC2 Certs CIM TRUST 2022-I1: S&P Assigns B (sf) Rating on Class B-2 Notes CIM TRUST 2022-R2: DBRS Gives Prov. BB Rating on Class B2 Notes COLT 2022-6: Fitch Gives 'B(EXP)' Rating on Class B-2 Certs COMM 2016-COR1: Fitch Affirms B- Rating on 2 Debt Classes CONNECTICUT AVENUE 2022-R07: S&P Assigns BB- Rating on 1B-1 Notes CSAIL 2015-C1: Fitch Lowers Ratings on Four Classes to 'C' CSAIL 2015-C3: Fitch Affirms 'CC' Rating on 4 Cert. Classes CSMC 2022-NQM4: S&P Assigns B- (sf) Rating on Class B-2 Notes DEEPHAVEN RESIDENTIAL 2022-3: S&P Assigns B-(sf) on Class B-2 Notes ELEVATION CLO 2022-16: Moody's Gives Ba3 Rating to Class E Notes FLAGSHIP CREDIT 2022-2: DBRS Finalizes BB Rating on Class E Notes GOLDENTREE LOAN 14: Moody's Assigns (P)B3 Rating to Class F Notes GOODLEAP 2022-3: S&P Assigns Prelim BB (sf) Rating on Cl. C Notes GS MORTGAGE 2022-NQM2: Fitch Withdraws Expected Ratings HILDENE TRUPS 4: Moody's Assigns Ba2 Rating to $24MM Class D Notes JPMCC COMMERCIAL 2016-JP2: DBRS Confirms B(low) Rating on F Certs LEHMAN ABS 2001-B: S&P Affirms B (sf) Rating on Class M-1 Certs LOANCORE 2021-CRE5: DBRS Confirms B Rating on Class G Notes MF1 LLC 2022-FL9: DBRS Finalizes B(low) Rating on 3 Tranches MFA TRUST 2022-NQM2: DBRS Gives Prov. B Rating on Class B-2 Certs MORGAN STANLEY 2013-ALTM: S&P Cuts Cl. E Certs Rating to 'BB-(sf)' MORGAN STANLEY 2013-C9: Moody's Affirms Caa3 Rating to Cl. H Certs MORGAN STANLEY 2014-C18: DBRS Confirms CCC Rating on Class F Certs NEW RESIDENTIAL 2022-NQM4: Fitch Gives B+(EXP) Rating on B-2 Notes OFSI BSL XI: Moody's Assigns Ba3 Rating to $12.75MM Class E Notes OPORTUN ISSUANCE 2022-A: DBRS Finalizes BB(high) Rating on D Notes PIKES PEAK 11: Fitch Assigns 'BB-' Rating on Class E Debt PRKCM 2022-AFC1: DBRS Gives Prov. B Rating on Class B-2 Notes PRPM 2022-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs READY CAPITAL 2019-6: DBRS Hikes Class G Certs Rating to B(high) SCULPTOR CLO XXX: Moody's Assigns Ba3 Rating to Class E Notes SIERRA TIMESHARE 2022-2: S&P Assigns Prelim BB- Rating on D Notes STWD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes TICP CLO III-2: Moody's Hikes Rating on $29MM Class E Notes to Ba3 TRINITAS CLO XX: S&P Assigns B- (sf) Rating on Class F Notes TRK TRUST 2022-INV2: DBRS Finalizes B(low) Rating on Cl. B-2 Certs UNITED AUTO 2022-2: S&P Assigns Prelim BB (sf) Rating on E Notes US AUTO 2022-1: Moody's Assigns B3 Rating to 2 Tranches WELLFLEET CLO 2022-1: Moody's Assigns Ba3 Rating to $20MM E Notes WELLS FARGO 2013-LC12: Moody's Cuts Rating on Cl. PEX Certs to B2 WFRBS COMMERCIAL 2012-C7: Moody's Lowers Rating on 2 Tranches to C [*] DBRS Reviews 202 Classes From 19 U.S. RMBS Transactions [*] DBRS Reviews 254 Classes From 35 U.S. RMBS Transactions [*] Moody's Takes Action on $97.2MM of US RMBS Issued 2003-2007 [*] Moody's Upgrades Rating on $101MM of US RMBS Issued 2004-2007 ********* ACRE COMMERCIAL 2017-FL3: DBRS Confirms B(low) Rating on F Notes ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of secured Floating-Rate Notes (the Notes) issued by ACRE Commercial Mortgage 2017-FL3 Ltd.: -- 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 (low) (sf) -- Class E at BB (low) (sf) -- Class F 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. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. The transaction originally closed in March 2017 with an initial collateral pool of 12 floating-rate mortgages secured by 16 transitional commercial real estate properties, with a total balance of $341.2 million. In March 2019, the collateral pool was upsized to a balance of $557.0 million. The transaction is structured with a Reinvestment Period, which was extended from March 2021 through the March 2024 Payment Date, whereby the Issuer may acquire Funded Companion Participations and introduce new loan collateral into the trust subject to the Reinvestment Criteria as defined at issuance. The transaction has a sequential-pay structure. As of the May 2022 remittance, the pool comprises 20 loans secured by 25 properties with a cumulative trust balance of $525.0 million. Most loans are in a period of transition with plans to stabilize and improve asset value. Since issuance, 34 loans with a former cumulative trust balance of $1.1 billion have been successfully repaid from the pool. Since the last DBRS Morningstar rating action in June 2021, 14 loans with a current cumulative trust balance of $291.2 million have been contributed to the trust. As of the May 2022 remittance, the Reinvestment Account had a balance of $32.0 million. In general, borrowers are progressing toward completion of the stated business plans. Only eight of the 20 outstanding loans were structured with future funding components and, according to an update from the collateral manager, it had advanced $48.2 million in loan future funding through May 2022 to five individual borrowers to aid in property stabilization efforts. The largest advances were made to the borrowers of the Caterpillar Aurora ($32.2 million) and Northridge Commons ($10.4 million) loans. The Caterpillar Aurora loan is secured by a 4.0 million square foot industrial property in Montgomery, Illinois, and the Northridge Commons loan is secured by an office property in Sandy Springs, Georgia. The borrowers on both loans have used loan future funding for accretive leasing costs and capital improvements. An additional $40.8 million of unadvanced loan future funding allocated to six individual borrowers remains outstanding with the largest portion ($21.5 million) allocated to the borrower of the 251 Monroe loan. The loan is secured by an industrial property in Kenilworth, New Jersey, with loan future funding available to fund leasing costs and as a performance based earnout. The transaction consists of four loans (totalling 25.8% of the current trust balance) secured by multifamily properties, two loans (totalling 16.8% of the current trust balance) secured by hotel properties, two loans (totalling 17.8% of the current trust balance) secured by an industrial property, two loans (totalling 13.2% of the current trust balance) secured by office properties, and the remainder of the pool consists of loans secured by mixed use, self-storage, and other properties. In comparison with the transaction close at March 2017, loans secured by multifamily properties have decreased by 10.7% of the trust balance at issuance. In addition, loans secured by industrial, mixed use, and self-storage properties have increased to 17.8%, 12.8%, and 11.3% of the trust balance, respectively, as no loans were secured by these property types at closing. The transaction is also concentrated by loan size, as the largest 10 loans represent 82.7% of the pool. As of the May 2022 remittance, three loans, representing 27.6% of the current pool balance, are on the servicer's watchlist. These loans are generally on the servicer's watchlist because of upcoming loan maturities, debt service coverage ratio (DSCR) and/or occupancy declines. The largest loan on the watchlist, Old Orchard Towers, is secured by two seven-story office buildings in Skokie, Illinois, totalling 10.8% of the current trust balance. The loan is on the servicer's watchlist for poor performance as the YE2021 DSCR was 1.03 times with an occupancy rate of 65.1% as a result of the expected departure of former the tenant, Lewis University, at lease expiration in July 2021. The loan matures in June 2022 and while there are no performance tests tied to the final remaining one-year extension option. However, when the loan was extended by one year in June 2021, it was modified and required the borrower to contribute $1.0 million into a debt service reserve along with purchasing an interest rate cap agreement. According to the collateral manager, a second loan modification is in progress to extend the final maturity date to June 2023 and the borrower is expected to deposit an additional $2.0 million into the debt service reserve. An additional loan, Lodging Portfolio (Prospectus ID#32; 9.9% of the pool balance), is secured by a portfolio of five hotel properties throughout Oregon and Washington. The loan matured in May 2022 and the collateral manager confirmed that a modification has been finalized, extending the loan maturity by six months and waiving the performance-based extension test in exchange for the borrower installing a full cash sweep. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS There were no Environmental, Social, or Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. AGL CLO 20: Moody's Assigns (P)B3 Rating to $1MM Class F Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by AGL CLO 20 Ltd. (the "Issuer" or "AGL 20"). Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2035, 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. AGL 20 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds and senior secured notes, provided that no more than 5% of the portfolio may consist of senior secured bonds and senior secured notes. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. AGL CLO Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. AIMCO CLO 17: Fitch Assigns BB- Rating on Class E Debt ------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 17, Ltd. DEBT RATING ---- ------ AIMCO CLO 17, Ltd. A LT AAAsf New Rating B-1 LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY AIMCO CLO 17 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company (AIMCO). 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'/ '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 class A, B, C, D and E notes benefit from credit enhancement of 36.0%, 24.0%, 18.0%, 12.0% and 8.0% and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.5.% first lien senior secured loans and has a weighted average recovery assumption of 75.8%. Fitch Ratings 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 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 our stress scenarios, the class A, B, C, D and E notes can withstand default rates of up to 57.6%, 52.7%, 47.2%, 39.10 and 30.6% assuming recoveries of 38.1%, 46.7%, 56.3% , 65.5% and 70.7%. 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, between 'BB+sf' and 'AA+sf' for class B, between 'B+sf' and 'A+sf' for class C, between less than 'Bsf' 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 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 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. AIMCO CLO 17: Moody's Assigns B3 Rating to $1MM Class F Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by AIMCO CLO 17, Ltd. (the "Issuer" or "AIMCO 17"). Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. AIMCO 17 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, and permitted non-loan assets, provided that no more than 5.0% of the portfolio consists of permitted non-loan assets. The portfolio is approximately 90% ramped as of the closing date. Allstate Investment Management Company (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four other classes of secured notes, one class of Y 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: 75 Weighted Average Rating Factor (WARF): 2835 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.06 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. ANGEL OAK 2022-4: Fitch Gives 'B(EXP)' Rating on Class B-2 Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2022-4 (AOMT 2022-4) based on updated collateral and transaction structure. Fitch has also withdrawn the prior expected ratings that were assigned on June 9, 2022. Fitch was not asked to rate the following classes: B-3, A-IO-S, XS, and R. DEBT RATING PRIOR ---- ------ ----- AOMT 2022-4 A-1 LT AAA(EXP)sf Expected Rating WDsf A-2 LT AA(EXP)sf Expected Rating WDsf A-3 LT A(EXP)sf Expected Rating WDsf M-1 LT BBB-(EXP)sf Expected Rating WDsf B-1 LT BB(EXP)sf Expected Rating WDsf B-2 LT B(EXP)sf Expected Rating WDsf TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by Angel Oak Mortgage Trust 2022-4, Series 2022-4 (AOMT 2022-4), as indicated above. The certificates are supported by 407 loans with a balance of $184.75 million as of the cutoff date. This represents the 24th Fitch-rated AOMT transaction and the fourth Fitch-rated AOMT transaction in 2022. The certificates are secured by mortgage loans originated by Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL), Impac Mortgage Holdings, Inc. and other third-party originators. All other third-party originators make up less than 10% of the overall loan pool. Of the loans, 65.6% are designated as nonqualified mortgage (non-QM) loans, and 34.4% are investment properties not subject to the Ability to Repay (ATR) Rule. There is no LIBOR exposure in this transaction, as none of the ARM loan reference one-year LIBOR, and the bonds do not have LIBOR exposure. The class A-1, A-2, and A-3 certificates are fixed rate, capped at the net weighted average coupon (WAC) and have a step up feature, the M-1, B-1, and B-3 certificates are based on the net WAC and the class B-2 certificates are based on the net WAC but have a step-down feature whereby the class B-2 becomes a principal only bond at the point the class A-1, A-2 and A-3 step up takes place. There is an updated presale for AOMT 22-4 and replaces the prior presale that was published June 9, 2022. This presale reflects the updated collateral pool that has a 5.22% WAC. The structure remains largely consistent with a modified sequential structure; step up coupons for A-1 and A-2, and A-3; and a step-down coupon for B-2. Fitch has withdrawn the prior expected ratings that were assigned on June 9, 2022, since those ratings were assigned based on the analysis of the transaction at that time. The expected ratings that are being assigned today reflect the analysis of the current collateral pool with a 5.22% WAC and the current transaction structure. 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 8.5% 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-QM Credit Quality (Mixed): The collateral consists of 407 loans totaling $184.75 million and seasoned at approximately seven months in aggregate, according to Fitch, and six months per the transaction documents. The borrowers have a strong credit profile (730 FICO and 39.6% debt-to-income [DTI] ratio, as determined by Fitch), along with relatively moderate leverage, with an original combined loan-to-value ratio (CLTV) of 75.1%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 80.2%. Of the pool, 61.6% represents loans where the borrower maintains a primary or secondary residence, while the remaining 38.4% comprises investor properties based on Fitch's analysis. Fitch determined that 16.5% of the loans were originated through a retail channel. Additionally, 65.6% are designated as non-QM, while the remaining 34.4% are exempt from QM status since they are investor loans. The pool contains 29 loans over $1.0 million, with the largest amounting to $3.1 million. Loans on investor properties (14.7% underwritten to the borrower's credit profile and 23.7% comprising investor cash flow loans) represent 38.4% of the pool, as determined by Fitch. There are no second lien loans, and 3.4% of borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, none of the loans has subordinate financing. In Fitch's analysis, Fitch also considered loans with deferred balances to have subordinate financing. In this transaction, there were no loans with deferred balances; therefore, Fitch performed its analysis considering none of the loans to have subordinate financing. Fitch determined twenty-six of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, codes as ASF1 (no documentation) for employment and income documentation, if a credit score is not available Fitch uses a credit score of 650 for these borrowers and removes the liquid reserves. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2021 and 2020, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. The largest concentration of loans is in California (30.4%), followed by Florida and Texas. The largest MSA is Los Angeles (14.3%), followed by Miami (10.6%) and Phoenix (6.4%). The top three MSAs account for 31.2% of the pool. As a result, there was a no penalty for geographic concentration. Loan Documentation (Negative): Fitch determined that 92.0% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 86.6% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which explains the discrepancy between Fitch's percentage and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, 55.7% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the PD by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 23.7% comprise a debt service coverage ratio (DSCR) product, 1.3% are an asset depletion product, 0.4% are a DU/LP approved/eligible product and 4.9% are third-party prepared 12 months-24 months profit and loss statements with the majority of these loans having two months-12 months of bank statements for additional documentation. The pool has no loans underwritten only to a CPA product with no additional documentation provided, which Fitch views as a positive. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding the subordinate bonds from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. There is excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after July 2026, since class A-1, A-2, and A-3 have a step-up coupon feature whereby the coupon rate will be the net WAC capped at the initial fixed rate plus 1.0%. To offset the impact of the A-1, A-2, and A-3 step up coupon feature, the B-2 has a step-down coupon feature that become effective in July 2026 that will change the B-2 coupon to 0.0%. In addition, the transaction was structured so that on and after July 2026 class A-1, A-2, and A-3 would receive unpaid cap carryover amounts prior to class B-3 being paid interest or principal payments. Both of these features are supportive of the class A-1 and A-2 being paid timely interest and the A-3 being paid ultimate interest at the step-up coupon rate. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.5% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Covius, Inglet Blair, Selene, Recovco, Canopy, Evolve, and Infinity. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.51%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged SitusAMC, Consolidated Analytics, Covius, Inglet Blair, Selene, Recovco, Canopy, Evolve, and Infinity to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2022-4 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to strong due diligence results on 100% of the pool and a 'RPS1-' Fitch-rated servicer, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. ARBOR REALTY 2022-FL2: DBRS Finalizes B(low) Rating on G Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Arbor Realty Commercial Real Estate Notes 2022-FL2, LLC (ARCREN 2022-FL2): -- 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. DBRS Morningstar discontinued and withdrew its ratings on the Class A-TS and Class A-CS certificates initially contemplated in the offering documents, as they were removed from the transaction. The initial collateral consists of 32 floating-rate mortgage loans and senior participations secured by 40 mostly transitional properties, with an initial cut-off date balance totaling approximately $936.9 million. In addition, there are $40.0 million of noninterest accruing reserves contributed to the trust, bringing the total reference date portfolio balance to $976.9 million. Each collateral interest is secured by a mortgage on a multifamily property or a portfolio of multifamily properties. The transaction is a managed vehicle that includes a 180-day ramp-up acquisition period and a 30-month reinvestment period. The ramp-up acquisition period will be used to increase the trust balance to a total target collateral principal balance of $1.05 billion. DBRS Morningstar assessed the ramp component using a relatively conservative pool construct, although the ramp loans have expected losses that are generally in line with the expected loss levels exhibited by other loans in the pool. During the reinvestment period, as long as the note protection tests are satisfied and no event of default has occurred and is continuing, the collateral manager may direct the reinvestment of principal proceeds to acquire reinvestment collateral interest, including funded companion participations, meeting the eligibility criteria. The eligibility criteria, among other things, have minimum debt service coverage ratio (DSCR), loan-to-value ratio (LTV), and loan size limitations. In addition, mortgages exclusively secured by multifamily properties and student housing properties (up to 5.0% of the total pool balance) are allowed as reinvestment collateral interests. Lastly, the eligibility criteria stipulate a rating agency confirmation on ramp loans, reinvestment loans, and pari passu participation acquisitions above $500,000 if a portion of the underlying loan is already included in the pool, thereby allowing DBRS Morningstar the ability to review the new collateral interest and any potential impact on the overall ratings. The transaction will have a sequential-pay structure. For the floating-rate loans, DBRS Morningstar used the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loan or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the cut-off balances were measured against the DBRS Morningstar As-Is Net Cash Flow, 21 loans, representing 69.7% of the reference date portfolio balance, had a DBRS Morningstar As-Is DSCR of 1.00 times or below, a threshold indicative of elevated default risk. The properties are often transitional with potential upside in cash flow; however, DBRS Morningstar does not typically give full credit to the stabilization if there are no holdbacks, reserves, or future funding, or if other loan structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize at above-market levels. The sponsor for the transaction, Arbor Realty SR, Inc., is a majority-owned subsidiary of Arbor Realty Trust, Inc. (Arbor; NYSE: ABR) and an experienced commercial real estate (CRE) collateralized loan obligation (CLO) issuer and collateral manager. The ARCREN 2022-FL2 transaction will be Arbor's 19th post-crisis CRE CLO securitization, including four securitizations in 2021 and one previously in 2022. In total, Arbor has been an issuer and manager of 18 CRE CLO securitizations totaling more than $10 billion. Additionally, Arbor will purchase and retain 100.0% of the Class F Notes, the Class G Notes, and the Income Notes, which total approximately $177.2 million. The transaction's initial collateral composition consists entirely of multifamily properties, which benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. The subject pool includes garden-style communities and mid-/high-rise buildings. After closing, as part of the ramp-up and reinvestment period, the collateral manager may acquire loans secured by multifamily properties and student housing properties as long as student housing properties represent less than 5.0% of the total pool. The prior ARCREN 2022-FL1 transaction allowed the collateral manager to additionally acquire only multifamily properties. Twenty-eight loans, representing 85.5% of the reference date portfolio balance, represent acquisition financing. Acquisition financing generally requires the respective sponsor(s) to contribute material cash equity as a source of funding in conjunction with the mortgage loan, which results in a higher sponsor cost basis in the underlying collateral and aligns the financial interests of both the sponsor and lender. The initial collateral pool is diversified across 16 states, including Washington, D.C., and no state makes up more than 25.5% of the reference date portfolio balance. Additionally, the Herfindahl index of 29.2 is relatively high given the loan count of 32. Five loans, representing 16.7% of the reference date portfolio balance, are portfolio loans that benefit from multiple property pooling. Mortgages backed by cross-collateralized cash flow streams from multiple properties typically exhibit lower cash flow volatility. The DBRS Morningstar Business Plan Score (BPS) for the loans DBRS Morningstar analyzed ranged between 1.4 and 3.2, with an average of 2.0. A higher DBRS Morningstar BPS indicates more execution risk in the sponsor's business plan. DBRS Morningstar considers the anticipated lift at the property from current performance, planned property improvements, sponsor experience, projected time horizon, and overall complexity of the business plan. Compared with past Arbor transactions, the subject has a low average DBRS Morningstar BPS, which is indicative of lower risk. The loan collateral was generally found to be in good physical condition as evidenced by one loan, 30 Morningside Drive, making up 3.7% of the reference date portfolio balance, and secured by a property that DBRS Morningstar deemed to be Excellent in quality. An additional four loans, The Julian, Generations, 55 Jordan, and Casa Del Encanto & Casa Luna, are secured by properties with Average + property quality and total approximately 23.9% of the reference date portfolio balance. A relatively high concentration of the loan collateral is located in metropolitan statistical area (MSA) Group 3, which generally exhibits lower levels of default and losses. Specifically, there were seven loans, totaling 22.6% of the reference date portfolio balance, whose collateral was located in MSA Group 3. DBRS Morningstar analyzed five loans, representing 11.1% of the reference data portfolio balance, with Weak or Bad (Litigious) sponsorship strengths. These loans include Summerlyn & Crescent Oaks, Miramar, San Remo, Catalina, and Stardust. DBRS Morningstar applied a probability of default (POD) penalty to loans analyzed with Weak sponsorship strength. The transaction is managed and includes both a ramp-up and reinvestment period, which could result in negative credit migration and/or an increased concentration profile over the life of the transaction. The deal's initial collateral composition is 100.0% multifamily. During the ramp-up period, only loans secured by multifamily properties can be added. Future loans cannot be secured by office, hospitality, industrial, retail, or healthcare facilities. The risk of negative credit migration is also partially offset by eligibility criteria that outline DSCR, LTV, property type, and loan size limitations for ramp and reinvestment assets. Before ramp loans, reinvestment loans, and companion participations above $500,000 can be acquired by the Collateral Manager, a No Downgrade Confirmation is required from DBRS Morningstar. DBRS Morningstar accounted for the uncertainty introduced by the 180-day ramp-up period by running a ramp scenario that simulates the potential negative credit migration in the transaction based on the eligibility criteria. DBRS Morningstar has analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the sponsors will not successfully execute their business plans and that the higher stabilized cash flow will not materialize during the loan term, particularly with the ongoing coronavirus pandemic and its impact on the overall economy. A sponsor's failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plan to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzed loss severity given default (LGD) based on the DBRS Morningstar As-Is LTV, assuming the loan was fully funded. All loans in the pool have floating interest rates and are interest only during the initial loan term, as well as during all extension terms, creating interest rate risk and a lacks of principal amortization. DBRS Morningstar stresses interest rates based on the loan terms and applicable floors or caps. The DBRS Morningstar-adjusted DSCR is a model input and drives loan-level PODs and LGDs. All loans have extension options, and to qualify for these options, the loans must meet minimum DSCR and LTV requirements. Notes: All figures are in U.S. dollars unless otherwise noted. ARES LOAN II: S&P Assigns Prelim BB- (sf) Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ares Loan Funding II Ltd./Ares Loan Funding II LLC 's floating-rate notes. The transaction is managed by Ares CLO Management LLC. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of July 7, 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 Ares Loan Funding II Ltd./Ares Loan Funding II LLC Class A, $240.00 million: AAA (sf) Class B, $64.00 million: AA (sf) Class C (deferrable), $23.50 million: A (sf) Class D (deferrable), $23.00 million: BBB- (sf) Class E (deferrable), $12.75 million: BB- (sf) Subordinated notes, $28.35 million: Not rated BPCRE LTD 2022-FL2: DBRS Finalizes B(low) Rating on Class G Notes ----------------------------------------------------------------- DBRS, Inc. finalized provisional ratings to the following classes of notes issued by BPCRE 2022-FL2, Ltd. (BPCRE 2022-FL2): -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The initial collateral consists of 28 floating-rate mortgage loans and participation interests in mortgage loans secured by 41 mostly transitional properties with a cut-off balance totaling $609.4 million, excluding $107.2 million of remaining future funding commitments. The holder of the future funding companion participations will be Bryant Park Commercial Real Estate Partners I, LLC (the Seller), a wholly owned subsidiary of Varadero Master Fund L.P. and Varadero Special Opportunities Master Fund L.P. The holder of each future funding participation has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is managed with a 18-month reinvestment period. During this period, the Collateral Manager will be permitted to acquire reinvestment collateral interests, which may include Funded Companion Participations, subject to the satisfaction of the Eligibility Criteria and the Acquisition Criteria. The Acquisition Criteria require that, among other things, the Note Protection Tests are satisfied and no EOD is continuing. The Eligibility Criteria have a minimum and maximum debt service coverage ratio (DSCR) and loan-to-value ratio (LTV), require a 14.0 Herfindahl score, and set property type limitations, among other items. The Eligibility Criteria stipulate a rating agency confirmation (RAC) on reinvestment loans and pari passu participation acquisitions above $500,000 if a portion of the underlying loan is already included in the pool, thereby allowing DBRS Morningstar the ability to review the new collateral interest and any potential impact on the overall ratings. The loans are mostly secured by cash flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. The transaction will have a sequential-pay structure. For the floating-rate loans, DBRS Morningstar used the one-month Libor index, which is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the DBRS Morningstar As-Is Net Cash Flow (NCF), 24 loans, comprising 85.9% of the initial pool balance, had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. However, the DBRS Morningstar Stabilized DSCR of only seven loans, comprising 22.1% of the initial pool balance, was 1.00x or below, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS Morningstar generally does not assume the assets will stabilize above market levels. The majority of the pool (83.7%) comprises primarily multifamily properties. These property types have historically shown lower defaults and losses. Multifamily properties benefit from staggered lease rollover and generally low expense ratios compared with other property types. While revenue is quick to decline in a downturn because of the short-term nature of the leases, it is also quick to respond when the market improves. Additionally, the Eligibility Criteria only permit loans secured by multifamily properties to be brought in during the reinvestment period. Twenty-four loans, representing 84.3% of the mortgage asset cut-off date balance, are for acquisition financing, where the borrowers contributed material cash equity in conjunction with the mortgage loan. Cash equity infusions from a sponsor typically result in the lender and borrower having a greater alignment of interests, especially compared with a refinancing scenario where the sponsor may be withdrawing equity from the transaction. The remaining four loans, or 15.7% of the mortgage asset cut-off balance, are refinance loans. DBRS Morningstar analyzed the loans to a stabilized cash flow that is, in some instances, above the in-place cash flow. It is possible that the Sponsor will not successfully execute its business plans and that the higher stabilized cash flow will not materialize during the loan term, especially with the ongoing Coronavirus Disease (COVID-19) pandemic and its impact on the overall economy. The Sponsor's failure to execute the business plans could result in a term default or the inability to refinance the fully funded loan balance. DBRS Morningstar sampled a large portion of the loans, representing 72.9% of the pool cut-off date balance. Additionally, DBRS Morningstar conducted site inspections for eight of the 28 loans in the pool, representing 42.6% of the initial pool balance. DBRS Morningstar made relatively conservative stabilization assumptions and, in each instance, considered the business plans to be rational and the loan structure to be sufficient to execute such plans. In addition, DBRS Morningstar analyzes loss given default (LGD) based on the as-is credit metrics, assuming the loan is fully funded with no NCF or value upside. DBRS Morningstar sampled 16 loans, representing 72.9% of the initial cut-off balance. Of the sampled loans, there were 12 loans, representing 68.3% of the sampled loans, deemed to be secured by properties with either Average – of Below Average DBRS Morningstar property quality. DBRS Morningstar took a conservative approach to property quality for the nonsampled loans and modeled them with Average – property quality. Loans modeled with Average – and Below Average have an increased expected loss profile compared with loans with average or favorable property quality. The loans in this pool were generally structured with renovation and capital expenditure reserves, which will likely improve the collateral property quality upon completion of the business plan. Notes: All figures are in U.S. dollars unless otherwise noted. BX COMMERCIAL 2022-CSMO: DBRS Gives Prov. BB Rating on F Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-CSMO to be issued by BX Commercial Mortgage Trust 2022-CSMO: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. The BX Commercial Mortgage Trust 2022-CSMO single-asset/single-borrower (SASB) transaction is collateralized by The Cosmopolitan Las Vegas Resort & Casino, a 3,032-key hotel with an approximately 110,000-square-foot casino on the Las Vegas Strip. The $3.025 billion loan and $1.032 billion of sponsor equity funded the acquisition of the collateral by a joint venture 80.0% indirectly owned by BREIT Operating Partnership L.P., a Blackstone Fund Entity, and 20.0% owned by Stonepeak Partners LP. The borrower entered into a 30-year triple-net master/operating lease with three 10-year renewal options with a wholly owned subsidiary of MGM Resorts International. The lease payments will be fully guaranteed by MGM, which will have approximately $1.625 billion of equity value in the property based on the aggregate purchase price of $5.650 billion. The $3.025 billion whole loan represents a relatively conservative loan-to-value ratio (LTV) of 75.74% on the DBRS Morningstar concluded value, which is below the typical leverage point for most SASB transactions. The exceptional-quality asset is one of the newest resort-casinos on The Strip, boasting sleek modern architecture, condominium-quality finishes, and some of The Strip's most popular and unique restaurants. The subject has historically been one of the top-performing assets on The Strip and its top-of-market performance has not faltered coming out of the Coronavirus Disease (COVID-19) pandemic. Its premier location and quality saw The Cosmopolitan achieve the highest revenue per available room (RevPAR) and second-highest EBITDAR per key on The Strip as of Q4 2021 at $441 and approximately $105,000, respectively. Performance at The Cosmopolitan suffered in 2020 and 2021 as the ongoing coronavirus pandemic besieged the economy, crippled domestic and international travel, and resulted in mandated closures and other operating restrictions. However, the property experienced a robust rebound in performance as vaccinations rolled out and as Americans emerged from months of restrictions. In 2022, combined monthly EBITDAR during February, March, and April exceeded EBITDAR in the same periods in 2019. Additionally, the financials for the trailing 12 month period (T-12) ended April 2021 rebounded 48% above the stabilized 2019 levels on a net cash flow (NCF) basis. The addition of MGM, one of the most experienced casino operators in the world with a large database of members in its rewards program, as the tenant should provide a tailwind to casino revenue. Prior ownership invested a significant amount of capital, nearly $520 million, into the property since 2014 to maintain and improve performance. All rooms were renovated from 2017 to 2018, with approximately $150.0 million spent in total on rooms since 2017. Under the terms of the master lease, MGM is required to invest a minimum of 2.0% of net revenues in capex through December 2026. Additionally, the loan is structured with a monthly reserve equal to 1.5% of actual net revenues for furniture, fixtures, and equipment (FF&E). The MGM lease requirements for capital expenditures and FF&E should help maintain the property quality throughout the loan term. DBRS Morningstar determined the property quality to be Excellent based on the site inspection. The collateral has been securitized three times prior to this securitization, and the loans have historically performed as agreed upon. The subject senior note financing leverage at $997,691 per key is well above the $295,708 senior note per key leverage in the JPMCC 2015-COSMO transaction and the $455,859 senior note per key in the CHT 2017-COSMO transaction. While future mezzanine debt is permitted for the subject securitization, previous securitizations included mezzanine debt at the initial securitization. The property's NCF as of the T-12 ended April 2022 at $449.8 is substantially above the T-12 ended January 2015 NCF of $122.1 for JPMCC 2015-COSMO and the T-12 ended August 2017 NCF of $223.3 million for CHT 2017-COSMO. The current as-is appraised value of $5.6 billion for the subject transaction is nearly double the as-is appraised value of $2.9 billion in the CHT 2017-COSMO transaction and nearly triple the as-is appraised value of the JPMCC 2015-COSMO transaction. Notes: All figures are in U.S. dollars unless otherwise noted. CANTOR COMMERCIAL 2011-C2: Fitch Cuts Rating on 2 Tranches to 'C' ----------------------------------------------------------------- Fitch Ratings has downgraded all classes of Cantor Commercial Real Estate (CFCRE) Commercial Mortgage Trust 2011-C2 commercial mortgage pass-through certificates. Class D was downgraded to 'BBsf' from 'BBB+sf' and assigned a Stable Rating Outlook. Class E was downgraded to 'CCCsf' from 'B-sf'/Negative. Class F and G were downgraded to 'Csf' from 'CCsf.' DEBT RATING PRIOR ---- ------ ----- CFCRE 2011-C2 D 12527DAF7 LT BBsf Downgrade BBB+sf E 12527DAG5 LT CCCsf Downgrade B-sf F 12527DAH3 LT Csf Downgrade CCsf G 12527DAJ9 LT Csf Downgrade CCsf KEY RATING DRIVERS Continued High Loss Expectations; Higher Certainty of Loss: Despite significant paydown since the prior rating action, the downgrades reflect higher expected losses on the one remaining asset: RiverTown Crossings, a 635,769-sf of a 1.3 million-sf regional mall in Grandville, MI. The loan, which is sponsored by Brookfield Property Retail Group, transferred to special servicing in October 2020. The loan did not pay off at its June 2021 maturity. A cash management account is trapping excess cash. The property is being dual tracked for foreclosure, while the borrower and lender continue to discuss possible workout solutions. Fitch's base case loss is 56%, implying a 32% cap rate on the YE 2019 NOI, and 18% on YE 2021 NOI. Given the pool concentration, Fitch performed a liquidation analysis, which considered the recovery and loss expectations on the remaining underperforming regional mall asset. The mall is anchored by three non-collateral tenants: Macy's, JCPenney and Kohl's. Non-collateral Sears closed in January 2021 and non-collateral Younkers closed in 2018. The collateral anchors are Dick's, (14.4% net rentable area [NRA] through January 2025) and Celebration Cinemas, (13.6% through December 2024). Collateral occupancy was 93% as of YE 2021 compared with 86% at YE 2020 and 93% as of March 2019. Servicer-reported NOI debt service coverage ratio (DSCR) was 1.01x at YE 2021 down from 1.51x at YE 2020 and 1.82x at YE 2019. In-line tenant sales were $301 psf at YE 2020, down from $361 psf for the TTM ended March 2020; sales for 2021 were requested but not received. Near term rollover includes 12% NRA in 2022 and 2023. Increased Credit Enhancement Offset by Pool Concentration: As of the June 2022 distribution date, the pool's aggregate principal balance has been reduced by 89% to $83.6 million from $774.1 billion at issuance. Since the last rating action, six loans ($45.3 million) paid off in full. The sole remaining asset is specially serviced. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in expected losses from the remaining specially serviced loan. Further downgrades to the distressed classes would occur as losses 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: Although upgrades are not expected, factors that could lead to upgrades would include improved performance or valuation of RiverTown Crossings; Upgrades to the distressed classes are possible should the lender and borrower reach a resolution and recovery expectations increase. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS CFCRE 2011-C2 has an ESG Relevance Score of '4' for Exposure to Social Impacts due to exposure to an underperforming regional mall due to changes in consumer preferences, which has a negative impact on the credit profile, and is relevant to the rating[s] 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. CG-CCRE 2014-FL1: S&P Affirms CCC (sf) Rating on Class YTC2 Certs ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from CG-CCRE Commercial Mortgage Trust 2014-FL1, a U.S. CMBS transaction, and affirmed its 'CCC (sf)' ratings on two nonpooled classes from the same transaction. This U.S. large-loan CMBS transaction is currently backed by a floating-rate, interest-only (IO) mortgage loan secured by the borrower's fee simple interest in a portion of Yorktown Center, a regional mall in Lombard, Ill. Rating Actions S&P said, "The downgrades of classes B, C, D, and E and affirmations of classes YTC1 and YTC2 reflect our reevaluation of the Yorktown Center property that secures the remaining loan in the transaction. Our analysis included a review of the most recent available financial performance data provided by the servicer and our assessment of the continued significant decline in reported performance at the property since the onset of the COVID-19 pandemic. The net cash flow (NCF) declined 14.1% to $10.3 million in 2020 from $11.9 million in 2019. It then dropped a further 15.7% to $8.6 million in 2021 due mainly to lower occupancy and tenants requesting rental relief, resulting in lower base rent and expense reimbursement income. According to the December 2021 rent roll, the collateral property was 80.6% occupied. This compares to our assumed 88.2% occupancy rate and $11.1 million sustainable NCF that we used in our last review in December 2020. "We therefore revised and lowered our sustainable NCF for the mall by 26.6% to $8.1 million, which aligns with the 2021 servicer-reported NCF, from $11.1 million in our December 2020 last review. Using an S&P Global Ratings' capitalization rate of 9.75% (unchanged from our last review), we arrived at an expected-case valuation of $84.6 million or $131 per sq. ft.--a decline of 26.9% from our last review value of $115.8 million. This yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 142.3% on the current whole loan balance. "While the model-indicated rating on class B was higher than the class's revised rating level, we lowered our rating on class B to 'AA- (sf)' because we qualitatively considered the certificates' exposure to an underperforming retail mall property that continued to experience declining cash flows and the potential for its performance and valuation to deteriorate further due to the challenging retail mall landscape. Furthermore, we qualitatively considered that the loan was modified and extended twice because the sponsor was unable to pay off the loan upon its initial and revised prior final maturity dates in March 2019 and March 2020." In addition, although the model-indicated ratings were lower than the revised rating levels for classes C and D, S&P tempered its downgrades on these classes because it weighed certain qualitative considerations. These included: -- The liquidity support provided in the form of servicer advancing; -- The significant market value decline (based on the revised February 2019 appraisal value) that would be needed before these classes experience losses; and -- The relative position of the classes in the payment waterfall. S&P said, "Moreover, the downgrade of class E to, and the affirmations of classes YTC1 and YTC2 at, 'CCC (sf)' reflect our view that, based on an S&P Global Ratings' LTV ratio over 100% on the loan, these classes are more susceptible to reduced liquidity support and exhibit an elevated risk of default and loss due to current market conditions. "The downgrade of the class X-EXT IO certificates follows our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance for class X-EXT references classes A, B, C, D, and E." Property-Level Analysis Yorktown Center is a two-story, 1.29 million-sq.-ft. regional mall built in 1968 in Lombard, Ill., about 19 miles west of the Chicago central business district, of which 644,963 sq. ft. serves as collateral for the loan. Non-collateral anchors at the property include JCPenney (238,668 sq. ft.), LNR Partners (217,887 sq. ft.), Von Maur (190,000 sq. ft.), and AMC Cinema (78,485 sq. ft.; this anchor was released from collateral in 2017). In addition, Target is a non-collateral shadow anchor tenant near the collateral property. S&P's property-level analysis considered the relatively stable servicer-reported NCF in the past three years prior to the COVID-19 pandemic, which ranged between $11.3 million and $11.9 million from 2017 through 2019. As mentioned, the collateral mall was negatively affected by the pandemic due to lower occupancy and reduced revenue collection, with the reported NCF declining significantly to $10.3 million in 2020 and $8.6 million in 2021. According to the Dec. 31, 2021, rent roll, the collateral property was 80.6% occupied. The five largest tenants comprised 27.7% of the collateral's net rentable area (NRA) and include: -- Spirit Halloween Christmas Tree Shop (7.1% of NRA, 1.0% of base rent, as calculated by S&P Global Ratings; January 2022 lease expiration. It is S&P's understanding that the tenant has since vacated); -- UFC Gym (6.1%; 7.7%; September 2028); -- Forever 21 (5.2%; 0.4%, January 2023); -- Nordstrom Last Chance (5.1%; 3.4%, October 2026); and -- Marshalls (4.2%; 2.7%, August 2022). The mall faces significant tenant rollover in 2022 (24.3% of NRA, including the already-vacated Spirit Halloween Christmas Trees Shop anchor tenant) and 2023 (19.7%). The rollover risk during this time is generally diversified with various tenants; however, some of the major tenants--Forever 21, Marshalls, and Home Goods (4.0% of NRA)--are among the expiring tenants. S&P said, "Our current analysis considered tenant movements after the December 2021 rent roll, which resulted in our assumed collateral occupancy rate of 77.9%. We derived a sustainable NCF of $8.1 million, which is 5.9% lower than the servicer reported NCF of $8.6 million as of year-end 2021. Using a 9.75% S&P Global Ratings' capitalization rate, we arrived at an expected-case value of $84.6 million, which is 51.7% below the revised appraisal value of $175.3 million as of February 2019." Transaction Summary This is a U.S. large-loan CMBS transaction currently backed by a floating-rate IO mortgage whole loan indexed to one-month LIBOR, down from three loans at issuance. As of the June 15, 2022, trustee remittance report, the transaction had a pooled trust balance of $107.4 million and a total trust balance of $120.4 million (including the nonpooled loan components), down from $326.7 million and $343.0 million, respectively, at issuance. The pooled trust has not incurred any principal losses to date. The sole remaining loan, the Yorktown Center loan, has a whole loan balance of $120.4 million that is divided into a $107.4 million senior pooled trust component and a $13.0 million subordinate nonpooled trust component that supports the class YTC1, YTC2, and YTC3 certificates. Class YTC3 is not rated by S&P Global Ratings. At loan origination, the equity interest in the borrower of the whole loan secured $35.0 million in mezzanine debt. However, it is S&P's understanding that as part of the loan modification in 2020, the mezzanine debt was extinguished. The Yorktown Center whole loan is IO, pays a floating-rate interest indexed to one-month LIBOR plus gross margin of 2.506% (pooled) and 2.500% (nonpooled), and originally matured on March 9, 2019. The whole loan was initially transferred to special servicing on Oct. 15, 2018, due to imminent maturity default. The borrower had requested the loan be transferred to special servicing to facilitate a potential loan modification discussion because it was having difficulty refinancing the loan due to tenant bankruptcies affecting the property's performance. According to the special servicer, KeyBank Real Estate Capital, the loan was modified and was returned to the master servicer. The modification terms included, among other items, extending the loan's maturity date to March 9, 2020, and providing the borrower an option to further extend the maturity date to March 9, 2021, subject to, among other items, a minimum debt yield of 10.5%. The Yorktown Center whole loan was re-transferred to special servicing on May 13, 2020, due to the borrower's request for COVID-19-related relief. Because of a state-mandated order, the property closed on March 21, 2020, and reopened June 4, 2020. The loan was subsequently modified on Dec. 17, 2020, and returned to the master servicer on March 9, 2021. The modification terms included, among other items: -- Extending the loan's maturity date to March 9, 2023, with one one-year extension option to March 9, 2024, exercisable upon, among other criteria, achieving a minimum 1.25x debt service coverage (DSC) and 7.5% debt yield; -- Transferring the remaining equity interest in the borrower from a KKR entity, the loan's sponsor, to a Pacific Retail Capital Partners entity, the loan's other sponsor; and -- Extinguishing the $35.0 million mezzanine debt by the mezzanine lender, Prudential. The whole loan has a current payment status through its June 2022 payment period. The master servicer, also KeyBank, reported a 2.57x DSC for year-end 2021. Ratings Lowered CG-CCRE Commercial Mortgage Trust 2014-FL1 Class B to 'AA- (sf)' from 'AAA (sf)' Class C to 'BBB (sf)' from 'A (sf)' Class D to 'B- (sf)' from 'B (sf)' Class E to 'CCC (sf)' from 'B- (sf)' Class X-EXT to 'CCC (sf)' from 'B- (sf)' Ratings Affirmed CG-CCRE Commercial Mortgage Trust 2014-FL1 Class YTC1: CCC (sf) Class YTC2: CCC (sf) CIM TRUST 2022-I1: S&P Assigns B (sf) Rating on Class B-2 Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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 multifamily 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 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&Ps aid, "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." 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. MACR--Modifiable and exchangeable note. N/A--Not applicable. CIM TRUST 2022-R2: DBRS Gives Prov. BB Rating on Class B2 Notes --------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage-Backed Notes, Series 2022-R2 (the Notes) to be issued by CIM Trust 2022-R2 (CIM 2022-R2 or the Trust): -- $380.4 million Class A1 at AAA (sf) -- $32.8 million Class A2 at AAA (sf) -- $27.7 million Class M1 at A (high) (sf) -- $19.3 million Class M2 at BBB (high) (sf) -- $13.7 million Class B1 at BB (high) (sf) -- $8.9 million Class B2 at BB (sf) The AAA (sf) rating on the Notes reflects 18.70% of credit enhancement provided by subordinated Notes in the transaction. The A (high) (sf), BBB (high) (sf), BB (high) (sf), and BB (sf) ratings reflect 13.25%, 9.45%, 6.75%, and 5.00% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of primarily seasoned performing and reperforming first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 2,491 loans with a total principal balance of $508,212,018 as of the Cut-Off Date (April 30, 2022). The loans are approximately 163 months seasoned. As of the Cut-Off Date, 97.9% of the pool is current, 1.0% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 1.1% is in bankruptcy. (All bankruptcy loans are performing or 30 days delinquent.) All loans reported as delinquent due to servicing transfers were treated as current by DBRS Morningstar. Approximately 83.2% and 62.8% of the mortgage loans have been zero times (x) 30 days delinquent for the past 12 months and 24 months, respectively, under the MBA delinquency method. In the portfolio, 79.6% of the loans are modified. The modifications happened more than two years ago for 88.5% of the modified loans. Within the pool, 983 mortgages have non-interest-bearing deferred amounts, which equate to 7.6% of the total principal balance. Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current balance, including the applicable non-interest-bearing deferred amounts. The majority of the pool (86.6%) is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The loans subject to the ATR rules are designated as QM Safe Harbor (2.1%), QM Rebuttable Presumption (4.0%), and non-QM (7.3%) by UPB. Fifth Avenue Trust (the Seller) acquired the mortgage loans prior to the Cut-Off Date and, through a wholly owned subsidiary, Funding Depositor LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, Chimera Investment Corporation (Chimera) or one of its majority-owned affiliates will acquire and retain a 5% eligible horizontal residual interest in the Notes, consisting of all of the Class B1, B2, B3, and C Notes in the aggregate, to satisfy the credit risk retention requirements. Various entities originated and previously serviced the loans through purchases in the secondary market. Prior to CIM 2022-R2, Chimera had issued 48 seasoned securitizations under the CIM shelf since 2014, all of which were backed by subprime, reperforming, or nonperforming loans. DBRS Morningstar has rated five of the previously issued CIM reperforming loan (RPL) deals. Similar to the last DBRS Morningstar-rated CIM RPL deal, this transaction exhibits much stronger credit characteristics than previously issued transactions under the CIM shelf. DBRS Morningstar reviewed the historical performance of both the rated and unrated transactions issued under the CIM shelf, particularly with respect to the reperforming transactions, which may not have collateral attributes similar to CIM 2022-R2. The reperforming CIM transactions generally have delinquencies and losses in line with expectations for previously distressed assets. The loans will be serviced by Fay Servicing, LLC (Fay; 72.1%) and Select Portfolio Servicing, Inc. (SPS; 27.9%). There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction; however, the related Servicer is obligated to make advances in respect of homeowner's association fees, taxes, and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. On the earlier of the Payment Date occurring in May 2027, or after the Payment Date when the aggregate note amount of the offered Notes is reduced to 10% of the Closing Date note amount, the Call Option Holder (the Depositor or any successor or assignee) has the option to purchase all of the mortgage loans and any real estate owned (REO) properties at a certain purchase price equal to the unpaid principal balance of the mortgage loans, plus the fair market value of the REO properties and any unpaid expenses and reimbursement amounts. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid from principal proceeds until the Class A1 and A2 Notes are retired. Coronavirus Disease (COVID-19) Impact The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2022-6: Fitch Gives 'B(EXP)' Rating on Class B-2 Certs ----------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by COLT 2022-6 Mortgage Loan Trust (COLT 2022-6). DEBT RATING ---- ------ COLT 2022-6 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 1,017 nonprime loans with a total balance of approximately $423 million as of the cut-off date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P. Loans are currently serviced by Select Portfolio Servicing, Inc. (SPS) or Northpointe Bank. 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 9.7% below a long-term sustainable level (vs. 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 20.6% yoy nationally as of March 2022. Non-QM Credit Quality (Negative): The collateral consists of 1,017 loans, totaling $423 million and seasoned approximately five months in aggregate (calculated as the difference between origination date and cut-off date). The borrowers have a moderate credit profile -- 739 model FICO and 46.5% model debt-to-income ratio (DTI), and leverage -- 78.0% sustainable loan-to-value ratio (sLTV) and 71.9% combined LTV (cLTV). The pool consists of 44.5% of loans where the borrower maintains a primary residence, while 50.0% comprise an investor property. Additionally, 50.0% are nonqualified mortgage (non-QM); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 23%, mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 79% of the loans in the pool were underwritten to less than full documentation, and 34% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 584bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 579 debt service coverage ratio (DSCR) product and eight no-ratio loans in the pool (58% by loan count). These loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. For DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Additionally, two loans were commercial investor loans underwritten under a no-ratio basis. Fitch's expected loss for these loans is 32.5% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 42% WA concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2022-6 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. Additionally, after the step-up date, the B-1, B-2 and B-3 classes are converted to Principal-Only bonds and interest allocation goes toward the senior interest, which increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.3% at 'AAA'. The analysis indicates some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. SUMMARY OF FINANCIAL ADJUSTMENTS International scale credit ratings for Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Clayton, Evolve, Consolidated Analytics, Covius, Opus, Infinity, Stonehill, EdgeMac, Selene and Recovco. The third-party due diligence described in Form 15E focused on credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. This adjustment resulted in a 44bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2016-COR1: Fitch Affirms B- Rating on 2 Debt Classes --------------------------------------------------------- Fitch Ratings has affirmed 14 classes of COMM 2016-COR1 Mortgage Trust. Fitch has also revised the Rating Outlooks on classes D, E, X-C and X-E to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- COMM 2016-COR1 A-3 12594MBB3 LT AAAsf Affirmed AAAsf A-4 12594MBC1 LT AAAsf Affirmed AAAsf A-M 12594MBG2 LT AAAsf Affirmed AAAsf A-SB 12594MBA5 LT AAAsf Affirmed AAAsf B 12594MBE7 LT AA-sf Affirmed AA-sf C 12594MBF4 LT A-sf Affirmed A-sf D 12594MAL2 LT BBB-sf Affirmed BBB-sf E 12594MAN8 LT BB-sf Affirmed BB-sf F 12594MAQ1 LT B-sf Affirmed B-sf X-A 12594MBD9 LT AAAsf Affirmed AAAsf X-B 12594MAA6 LT AA-sf Affirmed AA-sf X-C 12594MAC2 LT BBB-sf Affirmed BBB-sf X-E 12594MAE8 LT BB-sf Affirmed BB-sf X-F 12594MAG3 LT B-sf Affirmed B-sf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions to Stable from Negative on classes D, E, X-C and X-E reflect lower loss expectations since Fitch's prior rating action due to performance stabilization of properties that had been affected by the coronavirus pandemic. Fitch's current ratings reflect a base case loss of 4.5%. The Negative Outlooks on classes F and X-F reflect losses that could reach 5.2% after factoring additional stresses on two hotel loans in the top 15 that are still experiencing pandemic-related business disruption. Ten loans (28.8% of pool) have been flagged as Fitch Loans of Concern (FLOCs) for high in-place vacancy, upcoming lease expirations, low NOI DSCR and/or pandemic-related underperformance. The largest contributor to overall loss expectations is the Mt Diablo Terrace loan (2.6%), which is secured by a suburban office property located in Lafayette, CA. Occupancy as of March 2022 has fallen to 58% from 71% at YE 2020, 88% at YE 2019 and 100% at YE 2018. The decline in occupancy since 2020 is primarily due to three tenants, NFP CA Insurance Company (15.1% of NRA), Lafayette Physical Therapy's (9.1%) and Insight Resource Group's (6.3%), vacating at their lease expirations in February 2020, February 2022 and January 2022, respectively. Due to the decrease in occupancy and rent collections, YE 2021 NOI has fallen 10% from YE 2020 and 28.5% from the issuer's underwritten NOI. As of the February 2022 rent roll, in-place rents at the property averaged $39.70 psf, which is above the West Contra Costa office submarket asking rent of $31.78 psf per REIS as of Q1 2022. Fitch's expected loss of 24% reflects a 9% cap rate and 5% stress to the YE 2021 NOI. The second largest contributor to loss is the Hagerstown Premium Outlets loan (1.9%), which is sponsored by Simon Property Group and secured by an outlet center located in Hagerstown, MD. Occupancy has fallen to 44% at YE 2021 from 51% at YE 2020 and underwritten occupancy of 90%. This is due to increased competition and a number of tenants vacating at lease expiration over the past three years. The YE 2021 DSCR was reported to be 1.06x, compared with 1.39x at YE 2020. Fitch's analysis includes an 18% cap rate to the YE 2020 NOI resulting in a 25% expected loss. Increased Credit Enhancement (CE): As of the June 2022 distribution date, the pool's aggregate principal balance has been reduced by 12.1% to $783.2 million from $890.7 million at issuance. Since Fitch's prior rating action, three loans totaling $53 million were repaid in full at maturity. Realized losses to date total $3.9 million (0.43% of original pool). Four loans (8.2% of current pool) have been fully defeased. No loans are scheduled to mature until 2025. Twelve loans (52.1%) are full-term, interest-only. Alternative Loss Considerations: Fitch ran a sensitivity scenario, which applied an additional stress to the pre-pandemic cash flow of the Hilton San Diego Mission Valley (6.6%) and Hampton Inn & Suites Boston Crosstown (3.0%) loans given their significant pandemic-related 2020 NOI declines and lack of meaningful recovery in 2021. This scenario drove the Negative Rating Outlooks on classes F and X-F. 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 increasing CE, but may occur should interest shortfalls affect these classes. Downgrades to the 'A-sf' and 'BBB-sf' categories would occur should overall pool losses increase and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'B-sf' and 'BB-sf' categories would occur should loss expectations increase due to an increase in specially serviced loans and/or further performance deterioration on the FLOCs. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories may occur with significant improvement in CE and/or defeasance. However, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBB-sf' category would also take in to account these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to the 'B-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 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. CONNECTICUT AVENUE 2022-R07: S&P Assigns BB- Rating on 1B-1 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2022-R07's notes. The note issuance is an RMBS transaction in which the payments are determined by a reference pool of residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Fannie Mae. The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The real estate mortgage investment conduit structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which we believe enhances the notes' strength; -- The enhanced credit risk management and quality control (QC) processes Fannie Mae uses in conjunction with the underlying representation and warranty framework; and -- The potential impact current and near-term macroeconomic conditions 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 2.50%)." Ratings Assigned Connecticut Avenue Securities Trust 2022-R07 Class 1A-H(i), $29,359,313,919: Not rated Class 1M-1, $391,813,000: BBB+ (sf) Class 1M-1H(i), $20,622,731: Not rated Class 1M-2A(ii), $91,906,000: BBB+ (sf) Class 1M-AH(i), $4,838,184: Not rated Class 1M-2B(ii), $91,906,000: BBB (sf) Class 1M-BH(i), $4,838,184: Not rated Class 1M-2C(ii), $91,906,000: BBB- (sf) Class 1M-CH(i), $4,838,184: Not rated Class 1M-2(ii), $275,718,000: BBB- (sf) Class 1B-1A(ii), $45,826,000: BB+ (sf) Class 1B-AH(i), $45,826,385: Not rated Class 1B-1B(ii), $45,826,000: BB- (sf) Class 1B-BH(i), $45,826,385: Not rated Class 1B-1(ii), $91,652,000: BB- (sf) Class 1B-2(ii), $106,927,000: Not rated Class 1B-2H(i), $106,928,564: Not rated Class 1B-3H(i)(iii), $91,652,385: Not rated (i)Reference tranche only and does not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The holders of the class 1M-2 notes may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The holders of the class 1B-1 notes may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 notes may exchange all or part of those classes for proportionate interests in the classes of related combinable and recombinable notes as specified in the offering documents. (iii)For the purposes of calculating modification gain or modification loss amounts, class 1B-3H is deemed to bear interest at SOFR plus 15%. SOFR--Secured overnight financing rate. RCR exchangeable classes(i) Class 1E-A1, $91,906,000: BBB+ (sf) Class 1A-I1, $91,906,000(ii): BBB+ (sf) Class 1E-A2, $91,906,000: BBB+ (sf) Class 1A-I2, $91,906,000(ii): BBB+ (sf) Class 1E-A3, $91,906,000: BBB+ (sf) Class 1A-I3, $91,906,000(ii): BBB+ (sf) Class 1E-A4, $91,906,000: BBB+ (sf) Class 1A-I4, $91,906,000(ii): BBB+ (sf) Class 1E-B1, $91,906,000: BBB (sf) Class 1B-I1, $91,906,000(ii): BBB (sf) Class 1E-B2, $91,906,000: BBB (sf) Class 1B-I2, $91,906,000(ii): BBB (sf) Class 1E-B3, $91,906,000: BBB (sf) Class 1B-I3, $91,906,000(ii): BBB (sf) Class 1E-B4, $91,906,000: BBB (sf) Class 1B-I4, $91,906,000(ii): BBB (sf) Class 1E-C1, $91,906,000: BBB- (sf) Class 1C-I1, $91,906,000(ii): BBB- (sf) Class 1E-C2, $91,906,000: BBB- (sf) Class 1C-I2, $91,906,000(ii): BBB- (sf) Class 1E-C3, $91,906,000: BBB- (sf) Class 1C-I3, $91,906,000(ii): BBB- (sf) Class 1E-C4, $91,906,000: BBB- (sf) Class 1C-I4, $91,906,000(ii): BBB- (sf) Class 1E-D1, $183,812,000: BBB (sf) Class 1E-D2, $183,812,000: BBB (sf) Class 1E-D3, $183,812,000: BBB (sf) Class 1E-D4, $183,812,000: BBB (sf) Class 1E-D5, $183,812,000: BBB (sf) Class 1E-F1, $183,812,000: BBB- (sf) Class 1E-F2, $183,812,000: BBB- (sf) Class 1E-F3, $183,812,000: BBB- (sf) Class 1E-F4, $183,812,000: BBB- (sf) Class 1E-F5, $183,812,000: BBB- (sf) Class 1-X1, $183,812,000(ii): BBB (sf) Class 1-X2, $183,812,000(ii): BBB (sf) Class 1-X3, $183,812,000(ii): BBB (sf) Class 1-X4, $183,812,000(ii): BBB (sf) Class 1-Y1, $183,812,000(ii): BBB- (sf) Class 1-Y2, $183,812,000(ii): BBB- (sf) Class 1-Y3, $183,812,000(ii): BBB- (sf) Class 1-Y4, $183,812,000(ii): BBB- (sf) Class 1-J1, $91,906,000: BBB- (sf) Class 1-J2, $91,906,000: BBB- (sf) Class 1-J3, $91,906,000: BBB- (sf) Class 1-J4, $91,906,000: BBB- (sf) Class 1-K1, $183,812,000: BBB- (sf) Class 1-K2, $183,812,000: BBB- (sf) Class 1-K3, $183,812,000: BBB- (sf) Class 1-K4, $183,812,000: BBB- (sf) Class 1M-2Y, $275,718,000: BBB- (sf) Class 1M-2X, $275,718,000(ii): BBB- (sf) Class 1B-1Y, $91,652,000: BB- (sf) Class 1B-1X, $91,652,000(ii): BB- (sf) Class 1B-2Y, $106,927,000: Not rated Class 1B-2X, $106,927,000(ii): Not rated (i)See the offering documents for more detail on possible combinations. (ii)Notional amount. RCR--Related combinable and recombinable notes. CSAIL 2015-C1: Fitch Lowers Ratings on Four Classes to 'C' ---------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of CSAIL 2015-C1 Commercial Mortgage Trust. In addition, the Rating Outlooks on two classes were revised to Stable from Negative. The Rating Outlooks for three classes remain Negative. DEBT RATING PRIOR ---- ------ ----- CSAIL 2015-C1 A-3 126281AY0 LT AAAsf Affirmed AAAsf A-4 126281AZ7 LT AAAsf Affirmed AAAsf A-S 126281BD5 LT AAAsf Affirmed AAAsf A-SB 126281BA1 LT AAAsf Affirmed AAAsf B 126281BE3 LT Asf Affirmed Asf C 126281BF0 LT BBBsf Affirmed BBBsf D 126281AL8 LT CCCsf Downgrade B-sf E 126281AN4 LT Csf Affirmed Csf F 126281AQ7 LT Csf Affirmed Csf X-A 126281BB9 LT AAAsf Affirmed AAAsf X-B 126281BC7 LT Asf Affirmed Asf X-D 126281AC8 LT CCCsf Downgrade B-sf X-E 126281AE4 LT Csf Affirmed Csf X-F 126281AG9 LT Csf Affirmed Csf KEY RATING DRIVERS Increasing Loss Expectations: The downgrades reflect a greater certainty of loss to classes D and X-D due to higher loss expectations from sustained cash flow declines on the regional mall loans in the pool, primarily Westfield Trumball and Westfield Wheaton, as well as increasing refinance concerns and risk of potential term default given their continued underperformance and reduced sponsorship commitment. Fitch's current ratings incorporate a base case loss of 10.7%. Fitch has identified 18 Fitch Loans of Concern (FLOCs; 34.4% of the pool), which includes four loans (7.1%) in special servicing. The Outlook revisions to Stable from Negative on classes A-S and X-A reflect the performance stabilization of non-mall properties that had been affected by the pandemic since the prior rating action. The Negative Outlooks on classes B, C, and X-B, which were previously assigned for additional coronavirus-related stresses applied on hotel, retail and multifamily loans, are maintained to reflect possible downgrades to these classes if performance of the Westfield Wheaton and Westfield Trumball properties deteriorate further and/or these loans default, and should the ultimate workout timing and resolution of the specially serviced loans become prolonged. Regional Mall FLOCs: The two loans with the largest increase in loss since the prior rating action and the largest contributors to Fitch's overall loss expectations are the Westfield Trumball (7.3% of the pool) and Westfield Wheaton (4.0%) loans. Both of these loans, which mature in March 2025, are sponsored by Unibail-Rodamco-Westfield, which announced its intention to substantially reduce its U.S. property exposure by the end of 2023. Westfield Trumball is a 1.1 million-sf regional mall in Trumbull, CT. Anchor tenants include Target, JCPenney, Macy's and LA Fitness. Lord and Taylor closed in early 2021 following the retailer's bankruptcy. JCPenney recently extended its lease through 2027, and Macy's lease expires in 2023. Both Macy's and JCPenney are anchors at a competing mall owned by the same sponsor located 9.5 miles away. Despite strong reported YE 2021 occupancy of 97%, property-level NOI has continued to decline, with YE 2021 NOI falling 16% below YE 2020 and 49% below the issuer's underwritten NOI. The loan has remained current, with NOI DSCR at 1.56x as of YE 2021, down from 1.86x at YE 2020 and 2.05x at YE 2019. Sales for the mall have remained relatively flat compared to issuance. As of YE 2021, total mall sales have improved slightly to $258 psf ($229 psf excluding Apple), which compares to $233 psf ($201 psf) at YE 2020, and $252 psf ($220 psf) at YE 2019. Fitch's base case loss of 46% reflects a 15% cap rate and a 5% stress to the YE 2021 NOI. Westfield Wheaton is a 1.6 million-sf regional mall in Wheaton, MD. Anchor tenants include JCPenney, Target, Macy's and Costco. There is also a nine-screen AMC Theater and two ground-leased outparcels leased to Giant Food and American Freight. There are five other large retail centers located within a 10-mile radius, with another competing mall owned by the same sponsor, Westfield Montgomery, located seven miles away with a similar inline tenant profile. The mall has maintained stable occupancy since issuance, currently reported at 96% as of YE 2021. Despite strong occupancy, property-level NOI has continued to decline, with YE 2021 NOI dropping 19.5% below YE 2020 and 24.9% below the issuer's underwritten NOI. The loan has remained current, with NOI DSCR at 1.97x as of YE 2021, down from 2.53x at YE 2020 and 3.05x at YE 2019. Total mall sales as of TTM March 2022 were $389 psf, which compares to $317 psf at YE 2020 and $353 psf at YE 2019. Excluding the major anchors and grocer, tenant sales are approximately $296 psf, compared to $189 psf at YE 2020 and $255 psf at YE 2019. Fitch's base case loss of 39% reflects a 15% cap rate and a 5% stress to the YE 2021 NOI. Bayshore Mall (2.0% of the pool) is a one-story enclosed regional mall in Eureka, CA. Performance has declined since issuance, with occupancy falling to 58% per the January 2022 rent roll, down further from 67% in September 2021. The loan transferred to special servicing in October 2020 for payment default, at which time the sponsor, Brookfield, stated a desire to transfer the property back to the lender. Counsel was engaged with title and third-party reports ordered. However, the loan has since been brought current through the May 2022 payment and per servicer updates, discussions are ongoing with the borrower regarding curing outstanding collection expenses and penalty charges. Fitch's base case loss of 45% reflects a stress to a recent appraisal value; the Fitch-stressed value equates to an implied cap rate of approximately 25% to the YE 2019 NOI, reflecting the property's tertiary location and is in-line with comparable regional malls in the Fitch-rated portfolio. Increased Credit Enhancement (CE): As of the June 2022 remittance, the pool's aggregate principal balance has been reduced by 12.5% to $1.06 billion from $1.21 billion. Realized losses for the pool to date total $4.1 million (0.34% of the original pool) from one loan, Grand River Plaza, which is affecting the non-rated class. There are 21 loans (20% of the pool) that have been fully defeased. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the classes rated 'AAAsf' are not likely due to the position in the capital structure and increasing CE, but may occur should interest shortfalls affect these classes. Classes B, X-B and C may be downgraded should losses for the FLOCs increase from continued underperformance and/or these loans transfer to special servicing; the ultimate workout timing and resolution for the specially serviced loans become prolonged, and/or the Westfield Trumbull or Westfield Wheaton loans default. Downgrades to the distressed-rated classes would occur with a greater certainty of loss or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are not likely unless the regional malls are repaid or disposed with higher than expected recoveries. In addition, classes B, X-B and C would only be upgraded with significant improvement in CE and the stabilization of performance on the FLOCs. The distressed-rated classes D, X-D, E, X-E, F and X-F may be upgraded if loans in special servicing liquidate with higher than expected recoveries and/or if the Westfield Trumbull and Westfield Wheaton loans repay in full. 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. CSAIL 2015-C3: Fitch Affirms 'CC' Rating on 4 Cert. Classes ----------------------------------------------------------- Fitch Ratings has affirmed 14 classes of CSAIL 2015-C3 Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2015-C3. In addition, the Rating Outlooks on two classes were revised to Stable from Negative. The Rating Outlooks for three classes remain Negative. DEBT RATING PRIOR ---- ------ ----- CSAIL 2015-C3 A-3 12635FAS3 LT AAAsf Affirmed AAAsf A-4 12635FAT1 LT AAAsf Affirmed AAAsf A-S 12635FAX2 LT AAAsf Affirmed AAAsf A-SB 12635FAU8 LT AAAsf Affirmed AAAsf B 12635FAY0 LT Asf Affirmed Asf C 12635FAZ7 LT BBBsf Affirmed BBBsf D 12635FBA1 LT CCCsf Affirmed CCCsf E 12635FAG9 LT CCsf Affirmed CCsf F 12635FAJ3 LT CCsf Affirmed CCsf X-A 12635FAV6 LT AAAsf Affirmed AAAsf X-B 12635FAW4 LT Asf Affirmed Asf X-D 12635FBB9 LT CCCsf Affirmed CCCsf X-E 12635FAA2 LT CCsf Affirmed CCsf X-F 12635FAC8 LT CCsf Affirmed CCsf KEY RATING DRIVERS Stable Loss Expectation: The affirmations reflect overall stable loss expectations for the pool since Fitch's prior rating action. Fitch's current ratings incorporate a base case loss of 12.7%. Fourteen loans (32.1% of the pool) have been designated as Fitch Loans of Concerns (FLOCs), including five loans (5.3%) in special servicing and three regional mall loans (20.4%) that are among the top 15 loans. The Outlook revisions to Stable from Negative on classes A-S and X-A reflect the performance stabilization of the majority of non-mall properties that had been affected by the pandemic and the successful resolution of three previously specially serviced loans since the prior rating action. The Negative Outlooks on classes B, C, and X-B, which were previously assigned for additional coronavirus-related stresses applied on hotel, retail and multifamily loans, are maintained to reflect possible downgrades to these classes if performance of the Westfield Wheaton, The Mall at New Hampshire and Westfield Trumball properties deteriorate further and/or these loans default, and should the ultimate workout timing and resolution of the specially serviced loans become prolonged. Largest Drivers to Loss: The two loans with the largest increase in loss since the prior rating action and the largest and third largest contributors to Fitch's overall loss expectations are the Westfield Wheaton (8.3% of the pool) and Westfield Trumball (3.5%) loans, respectively. Both of these loans, which mature in March 2025, are sponsored by Unibail-Rodamco-Westfield, which announced its intention to substantially reduce its U.S. property exposure by the end of 2023. Westfield Wheaton is a 1.6 million-sf regional mall in Wheaton, MD. Anchor tenants include JCPenney, Target, Macy's and Costco. There is also a nine-screen AMC Theater and two ground-leased outparcels leased to Giant Food and American Freight. There are five other large retail centers located within a 10-mile radius, with another competing mall owned by the same sponsor, Westfield Montgomery, located seven miles away with a similar inline tenant profile. The mall has maintained stable occupancy since issuance, currently reported at 96% as of YE 2021. Despite strong occupancy, property-level NOI has continued to decline, with YE 2021 NOI dropping 19.5% below YE 2020 and 24.9% below the issuer's underwritten NOI. The loan has remained current, with NOI DSCR at 1.97x as of YE 2021, down from 2.53x at YE 2020 and 3.05x at YE 2019. Total mall sales as of TTM March 2022 were $389 psf, which compares to $317 psf at YE 2020 and $353 psf at YE 2019. Excluding the major anchors and grocer, tenant sales are approximately $296 psf, compared to $189 psf at YE 2020 and $255 psf at YE 2019. Fitch's base case loss of 39% reflects a 15% cap rate and a 5% stress to the YE 2021 NOI. Westfield Trumball is a 1.1 million-sf regional mall in Trumbull, CT. Anchor tenants include Target, JCPenney, Macy's and LA Fitness. Lord and Taylor closed in early 2021 following the retailer's bankruptcy. JCPenney recently extended its lease through 2027, and Macy's lease expires in 2023. Both Macy's and JCPenney are anchors at a competing mall owned by the same sponsor located 9.5 miles away. Despite strong reported YE 2021 occupancy of 97%, property-level NOI has continued to decline, with YE 2021 NOI falling 16% below YE 2020 and 49% below the issuer's underwritten NOI. The loan has remained current, with NOI DSCR at 1.56x as of YE 2021, down from 1.86x at YE 2020 and 2.05x at YE 2019. Sales for the mall have remained relatively flat compared to issuance. As of YE 2021, total mall sales have improved slightly to $258 psf ($229 psf excluding Apple), which compares to $233 psf ($201 psf) at YE 2020, and $252 psf ($220 psf) at YE 2019. Fitch's base case loss of 46% reflects a 15% cap rate and a 5% stress to the YE 2021 NOI. The second largest contributor to overall loss expectations is the Mall of New Hampshire loan (8.6%), which is secured by a regional mall sponsored by Simon and located in Manchester, NH. Sears, a non-collateral anchor, closed in November 2018; a portion of that space has since been re-leased to Dick's Sporting Goods and Dave & Buster's. The loan transferred to special servicing in May 2020 due to the coronavirus pandemic and the special servicer agreed to a forbearance agreement that deferred payments between May 2020 and December 2020. Beginning in January 2021, the borrower began repaying the deferred amounts in 13 installments. The loan was returned to the master servicer in April 2021. As of YE 2021, the property was 83% occupied and NOI DSCR was 1.96x, compared to 87% and 2.11x at YE 2019 and 94% and 2.30x at YE 2018. Fitch's base case loss of 24% reflects a cap rate of 15% and a stress of 5% to the YE 2021 NOI. The loan matures in July 2025. Increased Credit Enhancement (CE): As of the June 2022 distribution date, the pool's aggregate principal balance has paid down by 17.8% to $1.17 billion from $1.42 billion at issuance. Fourteen loans (9.7%) have been fully defeased. Ten loans (29.1%) are full-term IO and 38 loans (37.1%) are partial IO, all of which have begun amortizing. Only one loan (4.3%) will mature in 2024 with the remainder of the pool maturing in 2025. Cumulative interest shortfalls totaling $3.6 million are currently affecting class NR. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the classes rated 'AAAsf' are unlikely due to the position in the capital structure and increasing CE, but may occur should expected losses increase significantly or should interest shortfalls affect these classes. Downgrades to classes B, X-B, and C may occur should losses for the FLOCs increase from continued underperformance and/or these loans transfer to special servicing; the ultimate workout timing and resolution for the specially serviced loans become prolonged, and/or the Westfield Trumbull or Westfield Wheaton loans default. Downgrades to distressed-rated classes would occur with a greater certainty of loss or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades are not likely unless the regional malls are repaid or disposed with higher than expected recoveries. In addition, classes B, X-B and C would only be upgraded with significant improvement in CE and the stabilization of performance on the FLOCs. The distressed-rated classes D, X-D, E, X-E, F and X-F may be upgraded if loans in special servicing liquidate with higher than expected recoveries and/or if the three regional mall loans, Westfield Wheaton, The Mall of New Hampshire and Westfield Trumbull, repay in full. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CSMC 2022-NQM4: S&P Assigns B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its 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. S&P said, "Since we assigned our preliminary ratings, the sponsor removed six mortgage loans (with an aggregate stated principal balance of $1,122,306) from the pool. The bond sizes were correspondingly reduced to reflect the lower pool balance such that the subordination credit enhancement remained unchanged for each class. Our loss coverage estimates and final ratings assigned are unchanged from the preliminary ratings we assigned for all classes." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The 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 current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levelsto account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook on the U.S. economy, which includes the Russia-Ukraine military conflict and China slowdown, supply chain disruptions and pricing pressures, and rising inflation and interest rates." Ratings(i) Assigned CSMC 2022-NQM4 Trust Class A-1A, $216,604,000: AAA (sf) Class A-1B, $44,523,000: AAA (sf) Class A-1, $261,127,000: AAA (sf) Class A-2, $35,396,000: AA (sf) Class A-3, $50,534,000: A (sf) Class M-1, $30,275,000: BBB (sf) Class B-1, $24,265,000: BB (sf) Class B-2, $24,043,000: B- (sf) Class B-3, $19,590,431: Not rated Class A-IO-S, notional(ii): Not rated Class XS(iii), notional(ii): Not rated Class PT, $445,230,431: Not rated Class R, not applicable: Not rated (i)The 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. DEEPHAVEN RESIDENTIAL 2022-3: S&P Assigns B-(sf) on Class B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its 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 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 [FF] to 3.25% from 2.5%)." 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. ELEVATION CLO 2022-16: Moody's Gives Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Elevation CLO 2022-16, Ltd. (the "Issuer" or "Elevation 2022-16"). Moody's rating action is as follows: US$238,000,000 Class A-1a Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$50,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$13,500,000 Class A-2b Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$32,000,000 Class B-1 Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$5,800,000 Class B-2 Senior Secured Fixed Rate Notes due 2034, Assigned Aa2 (sf) US$27,450,000 Class C Secured Deferrable Floating Rate Notes due 2034, Assigned A3 (sf) US$17,100,000 Class E Secured Deferrable Floating Rate Notes due 2034, 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. Elevation 2022-16 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of senior unsecured loans, second lien loans, first-lien last-out loans and permitted non-loan assets. The portfolio is approximately 83% ramped as of the closing date. ArrowMark Colorado Holdings LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued two other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2873 Weighted Average Spread (WAS): SOFR + 3.60% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years (Maximum WAL 9) 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. FLAGSHIP CREDIT 2022-2: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Flagship Credit Auto Trust 2022-2 (the Issuer): -- $75,400,000 Class A-1 Notes at R-1 (high) (sf) -- $189,300,000 Class A-2 Notes at AAA (sf) -- $139,160,000 Class A-3 Notes at AAA (sf) -- $45,150,000 Class B Notes at AA (sf) -- $61,620,000 Class C Notes at A (sf) -- $49,410,000 Class D Notes at BBB (sf) -- $39,960,000 Class E Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (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 34.85% and will include a 1.05% 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 27.45% and will include a 1.05% 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 17.35% and will include a 1.05% 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 9.25% and will include a 1.05% 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 2.70% and will include a 1.05% reserve account (funded at inception and nondeclining) and initial OC of 1.65%. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS There were no Environmental/ Social/ Governance factor(s) that had a significant or relevant effect on the credit analysis Notes: All figures are in in U.S. dollars unless otherwise noted. GOLDENTREE LOAN 14: Moody's Assigns (P)B3 Rating to Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued by GoldenTree Loan Management US CLO 14, Ltd. (the "Issuer" ). Moody's rating action is as follows: US$3,690,000 Class X Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$314,880,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$2,500,000 Class F Junior 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. GoldenTree Loan Management US CLO 14, Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second-lien loans, unsecured loans, DIP collateral obligations, bonds or senior secured notes, provided no more than 5% of the portfolio may consist of bonds or senior secured notes. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. GoldenTree Loan Management II, LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue six 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: $492,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2878 Weighted Average Spread (WAS): 3.65% Weighted Average Coupon (WAC): 6.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. GOODLEAP 2022-3: S&P Assigns Prelim BB (sf) Rating on Cl. C Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GoodLeap Sustainable Home Solutions Trust 2022-3's sustainable home improvement loan-backed series 2022-3 notes. The note issuance is an ABS securitization backed by an underlying trust certificate representing an ownership interest in the trust, whose assets consist of approximately 97% residential solar loans and 3% other types of sustainable home improvement loans. The preliminary ratings are based on information as of July 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement available in the form of overcollateralization, a yield supplement overcollateralization amount, subordination for classes A and B, and a fully funded cash reserve account; -- The servicer's operational, management, and servicing abilities; -- The obligor base's initial credit quality; -- The projected cash flows supporting the notes; and -- The transaction's structure. Preliminary Ratings Assigned GoodLeap Sustainable Home Solutions Trust 2022-3 Class A, $219.782 million: A (sf) Class B, $18.869 million: BBB (sf) Class C, $20.127 million: BB (sf) GS MORTGAGE 2022-NQM2: Fitch Withdraws Expected Ratings ------------------------------------------------------- Fitch has Withdrawn its Expected Ratings on GS Mortgage-Backed Securities Trust 2022-NQM2 as the transaction is no longer expected to move forward at this time. As the deal is not currently moving forward, the previously published Presale Report and Representation & Warranty Appendix has been withdrawn. DEBT RATING PRIOR ---- ------ ----- GS Mortgage-Backed Securities Trust 2022-NQM2 A-1 LT WDsf Withdrawn AAA(EXP)sf A-2 LT WDsf Withdrawn AA(EXP)sf A-3 LT WDsf Withdrawn A(EXP)sf B-1 LT WDsf Withdrawn BB(EXP)sf B-2 LT WDsf Withdrawn B(EXP)sf B-3 LT WDsf Withdrawn NR(EXP)sf M-1 LT WDsf Withdrawn BBB(EXP)sf R LT WDsf Withdrawn NR(EXP)sf Risk Retention LT WDsf Withdrawn NR(EXP)sf SA LT WDsf Withdrawn NR(EXP)sf X LT WDsf Withdrawn NR(EXP)sf Fitch Ratings is withdrawing GS Mortgage-Backed Securities Trust 2022-NQM2 Expected Ratings as they are no longer expected to convert to a Final Rating. KEY RATING DRIVERS The expected ratings are being withdrawn as the deal is no longer moving forward at this time. 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. HILDENE TRUPS 4: Moody's Assigns Ba2 Rating to $24MM Class D Notes ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to six classes of notes issued by Hildene TruPS Securitization 4, Ltd. (the "Issuer" or "Hildene 4"). Moody's has been advised that the capital structure and the underlying portfolio of Hildene 4 have been revised since Moody's initially assigned provisional ratings to five classes of notes issued by the Issuer on May 8, 2022. Under the revised capital structure and underlying portfolio, Moody's rating action is as follows: US$171,000,000 Class A1-A Senior Secured Floating Rate Notes due 2042, Definitive Rating Assigned Aaa (sf) US$10,000,000 Class A1-B Senior Secured Fixed Rate Notes due 2042, Assigned Aaa (sf) US$88,750,000 Class A2 Senior Secured Floating Rate Notes due 2042, Definitive Rating Assigned Aa1 (sf) US$27,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2042, Definitive Rating Assigned A2 (sf) US$19,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2042, Definitive Rating Assigned Baa2 (sf) US$24,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2042, Definitive Rating Assigned Ba2 (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 TruPS CDO's portfolio and structure. Hildene 4 is a static cash flow TruPS CDO. The issued notes will be collateralized primarily by (1) trust preferred securities ("TruPS"), subordinated debt and an LP preferred security issued by US community banks and their holding companies and (2) TruPS, subordinated notes and surplus notes issued by insurance companies and their holding companies. The portfolio is fully ramped as of the closing date. Hildene Structured Advisors, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, deferring securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the Rated Notes, the Issuer will issue 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. The portfolio of this CDO consists of (1) TruPS, one subordinated debt and one LP Preferred Security, constituting 90.3% of the collateral in total, issued by 55 US community banks and (2) TruPS, subordinated notes and surplus notes issued by 5 insurance companies, the majority of which Moody's does not rate. Moody's assesses the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluation of the credit risk of the bank obligors in the pool relies on FDIC Q4-2021 financial data. Moody's assesses the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $385,530,000 Weighted Average Rating Factor (WARF): 587 Weighted Average Spread (WAS) for floating assets only: 2.77% Weighted Average Coupon (WAC) for fixed assets only: 7.25% Weighted Average Coupon (WAC) for fixed to float assets: 3.0% Weighted Average Spread (WAS) for fixed to float assets: 2.25% Weighted Average Recovery Rate (WARR): 10.0% Weighted Average Life (WAL): 9.3 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in July 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdg(TM) cash flow model. JPMCC COMMERCIAL 2016-JP2: DBRS Confirms B(low) Rating on F Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-JP2 issued by JPMCC Commercial Mortgage Securities Trust 2016-JP2: -- 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 X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-C at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) With this review, DBRS Morningstar changed the trends on Classes B and X-B to Stable from Negative. Classes D, E, F, and X-C continue to carry Negative trends and all remaining Classes carry Stable trends. The Negative trends reflect DBRS Morningstar's continued concerns surrounding the special serviced loans, Marriott Atlanta Buckhead (Prospectus ID#4, 5.6% of the pool) and 693 Fifth Avenue (Prospectus ID#3, 6.9% of the pool), as well as the largest loan on the servicer's watchlist, Hagerstown Premium Outlet loan (Prospectus ID#9, 3.4% of the pool). While the May 2022 reporting has the 693 Fifth Avenue loan listed on the servicer's watchlist, the servicer has confirmed the loan's transfer to special servicing. According to the servicer commentaries for the subject loan secured in other pari passu transactions, the loan transferred on April 22, 2022. All three loans are discussed in detail below. The transaction features a concentration of loans backed by office and mixed use (primarily office) properties within the pool's 15 largest loans. Collectively, loans backed by those property types represent 28.6% of the current pool balance. DBRS Morningstar notes the prolonged effects of the Coronavirus Disease (COVID-19) pandemic in limiting efforts to backfill large spaces that were vacated before and during the pandemic. Among the loans showing performance declines is the 7083 Hollywood Boulevard loan (Prospectus ID#11; 2.5% of the pool), which reported an occupancy rate of 16.4% after WeWork (previously 43.7% of the net rentable area (NRA)) vacated the property in 2021. Two additional office loans within the top 15, 700 17th Street (Prospectus ID#12; 2.3% of the pool) and Four Penn Center (Prospectus ID#13; 2.4% of the pool), are both reporting below breakeven cashflows as of the most recent financial reporting for each and are also showing upcoming lease expirations for major tenants still in place. The rating confirmations and Stable trends reflect the otherwise overall stable performance of the transaction, which remains in line with DBRS Morningstar's last review. As of the May 2022 reporting, 43 of the original 47 loans remain in the pool with a current trust balance of $855 million, representing a collateral reduction of 8.96% since issuance as a result of amortization and the repayment of four loans. The transaction also benefits from the five defeased loans, including the second-largest loan in the pool, Center 21 (Prospectus ID#2; 9.4% of the pool), representing 15.8% of the current trust balance. Since DBRS Morningstar's last review of the transaction, delinquencies decreased slightly to $48.1 million as of May 2022 from $67.8 million as of the June 2021 remittance. The May 2022 reporting shows 14 loans, representing 30.3% of the pool, are on the servicer's watchlist. These loans are being monitored for a variety of reasons, including cash flow declines and/or upcoming rollover. Of the 14 watchlisted loans, 11 are notably backed by office, retail, or mixed use property types. The specially-serviced Marriott Atlanta Buckhead loan is secured by a 349-key, full-service hotel in Atlanta's Buckhead neighborhood. The loan transferred to special servicing in February 2021 for payment default after the borrower requested pandemic relief and it is more than 121 days delinquent as of May 2022. Since DBRS Morningstar's June 2021 surveillance review, there have been workout developments, including the submission of a revised workout proposal that has been agreed to by the special servicer and is in the final documentation stage, with closing pending as of the date of this press release. The terms of the modification include a provision for the borrower to fund approximately $1.2 million of equity at closing, and conversion of the loan to interest-only (IO) while deferring interest payments until the earlier occurrence of (1) the June 2023 payment date or (2) the date of which the trailing 12 months (T-12) debt service coverage ratio (DSCR) is equal to or greater than 2.0 times (x). The modification will also waive furniture, fixtures, and equipment reserves and require the establishment of two new reserves to fund property expenses and capital improvements to be funded by the borrower. The loan will also remain in cash management through the remainder of the loan term. Although DBRS Morningstar generally views the pending loan modification as a positive development in that it suggests the sponsor remains committed to the property and the loan, a factor that is likely a product of the collateral hotel's strong performance prior to the pandemic. However, the subject has been particularly susceptible to the impact of the pandemic as its largest demand generator since issuance has been the meeting and group segment, which remains depressed compared with pre-pandemic levels, limiting improvements to the in-place cash flows. The servicer calculated a net cash flow (NCF) of -$247,000 (with a DSCR of -0.08x) and an occupancy rate of 35.0% for the T-12 ended December 31, 2021; these figures compare with the NCF of $5.7 million (with a DSCR of 2.26x) and 69.5% occupancy rate for YE2019. The special servicer's most recent appraisal, dated April 2021, showed an as-is value of $38.2 million, down from $78.0 million at issuance and indicative of a loan-to-value ratio above 130%. Given the sharp decline in as-is value from issuance, as well as the likelihood that performance will remain subdued through the near to medium term, DBRS Morningstar believes the risks for the loan remain significantly elevated from issuance. Another loan of concern is the 693 Fifth Avenue loan, which is secured by a mixed-use office and retail property in Midtown Manhattan. The loan has been monitored since the property's largest retail tenant at issuance, Valentino, which occupied approximately 15.1% of the NRA and contributed more than 80% of rental income, vacated its space and initiated legal action against the borrower in June 2020 in an attempt to nullify its lease. Valentino's lease runs through 2029. The borrower filed suit to collect the back rents and, according to an April 2022 Real Deal article, Valentino has settled the rent dispute for an undisclosed sum, finalizing its lease termination. DBRS Morningstar has requested the terms of the settlement, but the servicer's response is pending as of the date of this press release. According to the December 2021 financials, the property's occupancy rate has held at 51.5% since YE2020. The 2021 reporting also shows NCF has declined significantly, to $274,000 (with a DSCR of 0.02x) from $16.1 million (with a DSCR of 1.02x) at YE2020, a consequence of tenant departures, including Valentino. Most recently, the departure of JDS Development Group (12% of NRA) in April 2021 temporarily brought the occupancy rate down to 36%. Although the low in-place coverage and low occupancy rates are of concern, DBRS Morningstar notes the property's appraised value of $545 million at issuance would need to drop by approximately 54% to fall below the whole loan balance of $250.0 million. In addition, the loan has remained current throughout the period since Valentino's exit, suggesting the sponsor has continued to contribute equity out of pocket beyond the significant sum of $284.8 million in equity contributed at issuance. Another loan of concern is Hagerstown Premium Outlets (Prospectus ID #9; 3.4% of the pool), secured by an open-air retail outlet center in Hagerstown, Maryland, approximately 70 miles northwest of Washington. 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, beginning most notably with the losses 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 financials for the trailing six months ended June 30, 2021, 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 from other commercial mortgage-backed security (CMBS) loans within its portfolio backed by malls. 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, DBRS Morningstar maintains the risks for this loan have increased significantly from issuance and, given the loan size, support the Negative trends maintained with this review. At issuance, DBRS Morningstar shadow-rated one loan, The Shops at Crystals (Prospectus ID#6; 5.8% of the pool), as investment grade. This assessment was supported by the loan's above-average property quality and strong sponsorship. With this review, DBRS Morningstar confirms that the performance of the loan remains consistent with investment-grade characteristics. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS There were no Environmental, Social, or Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. LEHMAN ABS 2001-B: S&P Affirms B (sf) Rating on Class M-1 Certs --------------------------------------------------------------- S&P Global Ratings completed its review on two classes of certificates from two U.S. manufactured housing ABS transactions: Madison Avenue Manufactured Housing Contract Trust 2002-A's class B-2 certificates and Lehman ABS Manufactured Housing Contract Trust 2001-B's class M-1 certificates. S&P affirmed both ratings. The transactions are U.S. ABS transactions backed by pools of manufactured housing installment sale contracts and installment loan agreements that are currently serviced by Shellpoint Mortgage Servicing. The rating actions reflect the transactions' collateral performance to date, S&P's views regarding future collateral performance, the transactions' structures, and the credit enhancement available. Table 1 COLLATERAL PERFORMANCE (%)(i) Prior Current 0+ day expected expected Current Current delinq. lifetime lifetime Transaction Mo. PF(%) CNL(%) (%)(ii) CNL (%) CNL (%) Madison 242 5.50 29.93 9.27 32.00-33.00 31.75-32.75 2002-A Lehman 248 5.15 21.25 7.12 22.25-23.75 22.50-23.50 2001-B (i)As of the May 2022 distribution date for Madison; as of June 2022 distribution date for Lehman 2001-B. (ii)Aggregate 60-plus day delinquencies as a percentage of the current pool balance. PF--Pool factor. The affirmations reflect our view that the total credit support as a percentage of the amortizing pool balances, compared with our expected remaining cumulative net losses, is sufficient to support the ratings. Table 2 HARD CREDIT SUPPORT (%) Prior total hard Current total hard credit support credit support Transaction Class (% of current) (% of current) Madison 2002-A B-2 (i) 52.23 58.97 Lehman 2001-B M-1 (ii) 33.35 36.35 (i)As of the May 2022 distribution date. (ii)As of the June 2022 distribution date. S&P will continue to monitor the performance of the transactions relative to their cumulative net loss expectations and the available credit enhancement, and will take further rating actions as we deem appropriate. RATINGS AFFIRMED Madison Avenue Manufactured Housing Contract Trust 2002-A Series Class Rating 2002-A B-2 B+ (sf) Lehman ABS Manufactured Housing Contract Trust 2001-B Series Class Rating 2001-B M-1 B (sf) LOANCORE 2021-CRE5: DBRS Confirms B Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of notes issued by LoanCore 2021-CRE5 Issuer Ltd. (the Issuer): -- 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 (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. The transaction closed in June 2021 with an initial collateral pool of 20 floating-rate mortgage loans secured by 45 mostly transitional properties with a cut-off balance of $909.6 million, excluding approximately $140.9 million of future funding participations and $353.8 million of pari passu debt. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction included a 180-day ramp-up period during which the Issuer could use $125.0 million of funds deposited into the unused proceeds account to acquire additional collateral, subject to eligibility criteria as defined at issuance. The ramp-up period effectively concluded in September 2021 when the cumulative loan balance totalled $1.03 billion. The transaction is also structured with a Reinvestment Period through the June 2023 payment date, whereby the Issuer may acquire additional loan collateral participations into the trust. As of May 2022, the Reinvestment and Replenishment Account had a balance of $74.0 million. As of the May 2022 remittance, the pool comprised 23 loans secured by 34 properties with a cumulative trust balance of $960.6 million. Since issuance, five loans have successfully repaid from the pool, including the $65 million pari passu note of 345 Park Avenue South, which repaid with the May 2022 reporting. Since issuance, nine loans with a cumulative trust balance of $207.1 million have been contributed to the trust. In general, borrowers are progressing toward completing the stated business plans as through May 2022, the collateral manager had advanced $48.0 million in loan future funding allocated to eight individual borrowers to aid in property stabilization efforts; however, only $7.1 million has been advance to five individual borrowers since the subject CMBS transaction closed. An additional $46.3 million of unadvanced loan future funding allocated to 11 individual borrowers remains outstanding with $17.0 million allocated to the borrower of the 999 E Street NW loan and $10.1 million allocated to the borrower of the One Whitehall loan for capital improvements, leasing costs, and operating shortfalls. Loans contributed during the initial ramp-up and subsequent ongoing reinvestment periods have been characterized with similar leverage as loans in the pool at closing as the current weighted-average appraised as-is loan-to-value (LTV) and stabilized LTV ratios are 76.3% and 66.2%, respectively. In comparison with issuance, these figures were 70.6% and 65.5%, respectively. The collateral pool is concentrated by property type as nine loans (37.5% of the current pool balance) are secured by multifamily properties, five loans (28.6% of the current pool balance) are secured by office properties, and three loans (11.0% of the current pool balance) are secured by retail properties. The collateral has a concentration of properties in suburban markets with 15 loans, representing 68.6% of the current pool balance, compared with the suburban concentration at closing of 15 loans, representing 56.8% of the pool balance. The transaction continues also benefits from properties located in urban markets, which historically have benefitted from greater demand and liquidity. As of May 2022, there are seven loans, totalling 31.4% of the pool balance located in urban markets in comparison with 12 loans, representing 37.8% of the pool at closing. As of May 2022 reporting, all loans remain current, and there are two loans on the servicer's watchlist, representing 8.5% of the pool balance. These loans were both placed on the servicer's watchlist because of upcoming loan maturity dates; however, both loans feature extension options. According to an update provided by the collateral manager, the borrowers of the Boulder County Business Center (Prospectus ID#6, 5.8% of the current pool balance) and Boardwalk at Sorrento Court (Prospectus ID#18, 2.2% of the current pool balance) loans, which have loan maturities in June and July 2022, respectively, are each exploring loan modification options. An additional three loans in the pool (10.3% of the current pool balance) have been modified since the CMBS transaction closed in June 2021. Loan modification terms have included waivers on certain extension option conditions and the allowance of borrowers to access funds held in reserves to be fund shortfalls or rent relief for certain tenants. The lender has generally required some type of concession from the borrower, and as a result of these loan modifications, many of these loans will remain in a cash management period. Notes: All figures are in U.S. dollars unless otherwise noted. MF1 LLC 2022-FL9: DBRS Finalizes B(low) Rating on 3 Tranches ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes 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. MFA TRUST 2022-NQM2: DBRS Gives Prov. B Rating on Class B-2 Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2022-NQM2 (the Certificates) to be issued by MFA 2022-NQM2 Trust (MFA 2022-NQM2): -- $355.2 million Class A-1 at AAA (sf) -- $42.7 million Class A-2 at AA (high) (sf) -- $62.4 million Class A-3 at A (high) (sf) -- $27.3 million Class M-1 at BBB (high) (sf) -- $24.3 million Class B-1 at BB (sf) -- $17.3 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 certificates reflects 34.30% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (sf), and B (sf) ratings reflect 26.40%, 14.85%, 9.80%, 5.30%, and 2.10% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2022-NQM2 (the Certificates). The Certificates are backed by 709 mortgage loans with a total principal balance of $540,656,479 as of the Cut-Off Date (April 30, 2022). The pool is, on average, five months seasoned with loan age ranges from zero months to 63 months. FundLoans Capital, Inc. (63.2% of the pool), Citadel Servicing Corporation (17.8% of the pool), Castle Mortgage Corporation doing business as Excelerate Capital (10.2% of the pool), and Change Lending LLC (8.8% of the pool) are the originators. Planet Home Lending, LLC (82.2% of the pool) and Citadel Servicing Corporation (17.8% of the pool) are Servicers for this pool. ServiceMac, LLC (ServiceMac) will subservice all but one of the Citadel Servicing Corporation-serviced mortgage loans under a subservicing agreement dated September 18, 2020. Although the applicable mortgage loans were originated to satisfy the CFPB Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 62.0% of the loans are designated as non-QM. Approximately 38.0% of the loans are made to investors for business purposes or foreign nationals, which are not subject to the QM/ATR rules. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal interest consisting of the Class B-3, XS, and some portion of B-2 Certificates representing at least 5% of the aggregate fair value of the Certificates (reduced by proportion of Community Development Financial Institution loans) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) three years after the Closing Date or (2) the date when the aggregate unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding Certificates at a price equal to the class balances of the related Certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, any preclosing deferred amounts due to the Class XS Certificates, and other amounts described in the transaction documents (optional redemption). After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. On any date following the date on which the aggregate unpaid principal balance UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the transaction by purchasing all of the mortgage loans and any real estate owned (REO) property from the issuer at a price equal to the sum of the aggregate UPB unpaid principal balance of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, and expenses that are payable or reimbursable to the transaction parties, as described in the transaction documents (optional termination). An optional termination is conducted as a qualified liquidation. For this transaction, the Servicers will not fund advances of delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). Of note, if a Servicer defers or capitalizes the repayment of any amounts owed by a borrower in connection with the borrower's loan modification, the Servicer is entitled to reimburse itself from the excess servicing fee (applicable to the loans serviced by such Servicer), first, and from principal collections, second, for any previously made and unreimbursed servicing advances related to the capitalized amount at the time of such modification. The transaction employs a sequential-pay cash flow structure 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 (Trigger Event). Principal proceeds can be used to cover interest shortfalls first on the Class A-1 and second, on A-2 Certificates (IIPP) before being applied sequentially to senior and subordinate Certificates. For Class A-3 and more subordinate Certificates, principal proceeds can be used to cover interest shortfalls after the more senior Certificates are paid in full. Also, the excess spread can be used to cover realized losses by reducing the balance of the Class A-1 Certificates and then, sequentially, of the other Certificates, before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. Coronavirus Disease (COVID-19) Impact The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the coronavirus, DBRS Morningstar saw an increase in the 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 coronavirus pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-ALTM: S&P Cuts Cl. E Certs Rating to 'BB-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on four classes of commercial mortgage pass-through certificates from Morgan Stanley Capital I Trust 2013-ALTM, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on three other classes from the same transaction. This U.S. CMBS transaction is backed by a 12-year, fixed-rate, partially interest-only (IO) mortgage loan secured by a portion (641,199 sq. ft.) of Altamonte Mall, a 1.2-million-sq.-ft. super regional mall in Altamonte Springs, Fla. Rating Actions S&P said, "The downgrades of classes B, C, D, and E and affirmations of classes A-1 and A-2 reflect our reevaluation of the Altamonte Mall property, which secures the sole loan in the transaction. Our analysis included a review of the most recently 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 19.8% to $13.0 million in 2020 from $16.2 million in 2019 due mainly to tenants requesting rental relief, resulting in lower base rent income, expense reimbursement income, and other income. While the sponsor was able to maintain an occupancy rate above 90.0%, the property's reported 2021 NCF declined an additional 4.0% to $12.5 million, which is 15.2% below our assumed NCF of $14.7 million that we derived in our last review in December 2020. "We therefore revised and lowered our sustainable NCF by 17.3% to $12.1 million, which aligns to the 2021 reported figures, from $14.7 million at last review. Using a 7.50% S&P Global Ratings capitalization rate (the same as at last review), we arrived at an expected-case valuation of $162.0 million, or $253 per sq. ft.--a decline of 17.3% from our last review value of $195.9 million. This yielded an S&P Global Ratings loan-to-value ratio of 90.8% on the current loan balance versus 77.7% at last review." Although the model-indicated ratings were lower than the classes' current or revised rating levels, S&P tempered its downgrades on classes B, C, D, and E and affirmed our ratings on classes A-1 and A-2 because S&P weighed certain qualitative considerations, including: -- The anticipated amortization of the trust balance to $137.7 million by the loan's February 2025 maturity date, thereby reducing class A-1's balance to below $240,000; -- The significant market value decline that would be needed before these classes experiences principal losses; -- The liquidity support provided in the form of servicer advancing; -- The relative position of classes A-1, A-2, B, C, and D in the payment waterfall; and -- The potential that the property's operating performance could increase above our revised expectations. The affirmation of the class X-A IO certificates reflects S&P's criteria for rating IO securities. Under its criteria, the ratings on the IO securities would not be higher than that of the lowest-rated referenced class. The notional amount of class X-A references classes A-1 and A-2. Property-Level Analysis Altamonte Mall is a two-story enclosed 1.2-million-sq.-ft. super regional mall built in 1974 and expanded from 2003 through 2006 in Altamonte Springs, Fla., of which 641,199 sq. ft. serves as collateral for the loan. Non-collateral anchors at the property include Dillard's (160,625 sq. ft.), Macy's (151,321 sq. ft.), and a vacant anchor box (207,944 sq. ft.) previously occupied by Sears, which vacated in 2018 ahead of its 2029 lease expiration. It is our understanding that the former Sears space is still vacant, and S&P has not received an update from the servicer or sponsor on its leasing prospects. The sole collateral anchor is JCPenney (158,658 sq. ft.). S&P Said, "Our property-level analysis considered the relatively stable servicer-reported NCF in the six years prior to the COVID-19 pandemic, which ranged between $15.8 million and $17.0 million from 2014 through 2019. As mentioned above, although the sponsor maintained an above-90.0% occupancy rate at the property for the past eight years, the collateral mall was negatively affected by the pandemic due to reduced revenue collection, with reported NCF declining significantly to $13.0 million in 2020 and $12.5 million in 2021. According to the March 2022 rent roll, the collateral property was 95.9% leased." The five largest tenants comprised 48.3% of collateral net rentable area (NRA) and include: -- JCPenney (25.1% of NRA; 1.8% of gross rent, as calculated by S&P Global Ratings; January 2024 lease expiration after the tenant executed its five-year extension option in 2019); -- AMC Theatres (11.8%; 11.2%; December 2023); -- Forever 21 (4.2%; 0.0%; January 2024); -- Barnes & Noble Booksellers (4.1%; 1.3%; January 2025 lease expiration after the tenant executed its five-year extension option in 2020); and -- H&M (3.1%; 0.0%; January 2023 lease expiration after the tenant recently executed a one-year extension option). The property faces elevated tenant rollover risk through its February 2025 loan maturity: 2022 (6.1% of NRA, 8.3% of gross rent as calculated by S&P Global Ratings), 2023 (23.8%, 28.5%), 2024 (33.7%, 14.9%), and 2025 (10.0%, 11.2%). The rollover risk during this time is generally diversified with various tenants; however, anchor and major tenants JCPenney (25.1% of NRA), AMC Theatres (11.8%), Forever 21 (4.2%), Barnes & Noble Booksellers (4.1%), H&M (3.1%), and Shoe Carnival (2.3%) are among the expiring tenants. According to the tenant sales report as of March 2022, in-line tenant sales were $427 per sq. ft. excluding Apple, as calculated by S&P Global Ratings, up slightly from $419 per sq. ft. at issuance. S&P said, "At issuance, we calculated an in-line occupancy cost of 14.1%. Currently, we calculate an in-line occupancy cost of 12.9% based on the higher tenant sales report and the lower in-line gross rent per sq. ft. of $50.05, as calculated by S&P Global Ratings, compared to $56.60 at issuance." S&P said, "Our current analysis considered tenant movements after the March 2022 rent roll, which resulted in our assumed collateral occupancy rate of 94.3%. We derived a sustainable NCF of $12.1 million, 2.4% lower than the servicer-reported NCF of $12.5 million as of year-end 2021, and, using an S&P Global Ratings' capitalization rate of 7.50%, arrived at an expected-case value of $162.0 million." Transaction Summary This is a U.S. stand-alone (single-borrower) transaction backed by a 12-year fixed-rate, partially IO mortgage loan. The loan is secured by the borrower's fee simple interest in a portion of Altamonte Mall, a regional mall in Altamonte Springs, Fla. The partially IO loan has a current trust balance of $147.0 million (as of the June 7, 2022, trustee remittance report), down from $160.0 million at issuance. The loan began amortizing on a 30-year schedule after its IO period that ended in February 2018, pays an annual fixed interest rate of 3.72%, and matures on Feb. 1, 2025. According to the servicer reserve report as of June 2022, no reserves are currently on deposit. 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 debt service coverage of 1.41x in 2021, down from 1.46x in 2020 and 1.82x 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 siad, "While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well each issuer adapts to new waves in its geography or industry." Ratings Lowered Morgan Stanley Capital I Trust 2013-ALTM Class B to 'A (sf)' from 'AA- (sf)' Class C to 'BBB (sf)' from 'A- (sf)' Class D to 'BB (sf)' from 'BBB- (sf)' Class E to 'BB- (sf)' from 'BB+ (sf)' Ratings Affirmed Morgan Stanley Capital I Trust 2013-ALTM Class A-1: AAA (sf) Class A-2: AAA (sf) Class X-A: AAA (sf) MORGAN STANLEY 2013-C9: Moody's Affirms Caa3 Rating to Cl. H Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on sixteen classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9, Commercial Mortgage Pass-Through Certificates Series 2013-C9 as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jul 31, 2020 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jul 31, 2020 Affirmed A3 (sf) Cl. D, Affirmed Ba1 (sf); previously on Jul 31, 2020 Downgraded to Ba1 (sf) Cl. E, Affirmed Ba3 (sf); previously on Jul 31, 2020 Downgraded to Ba3 (sf) Cl. F, Affirmed B2 (sf); previously on Jul 31, 2020 Downgraded to B2 (sf) Cl. G, Affirmed B3 (sf); previously on Jul 31, 2020 Downgraded to B3 (sf) Cl. H, Affirmed Caa3 (sf); previously on Jul 31, 2020 Downgraded to Caa3 (sf) Cl. PST**, Affirmed Aa3 (sf); previously on Jul 31, 2020 Affirmed Aa3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jul 31, 2020 Affirmed Aaa (sf) Cl. X-B*, Affirmed A2 (sf); previously on Jul 31, 2020 Affirmed A2 (sf) * Reflects Interest-Only Classes ** Reflects Exchangeable Classes RATINGS RATIONALE The ratings on the thirteen P&I classes were affirmed because the credit support and because transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the two IO classes, Cl. X-A and Cl. X-B, were affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, Cl. PST, was affirmed due to the credit quality of the referenced exchangeable classes. Moody's rating action reflects a base expected loss of 5.9% of the current pooled balance, compared to 5.7% at Moody's last review. Moody's base expected loss plus realized losses is now 4.1% of the original pooled balance, compared to 4.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the June 15, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 30% to $893.2 million from $1.28 billion at securitization. The certificates are collateralized by 53 mortgage loans ranging in size from less than 1% to 18.5% of the pool, with the top ten loans (excluding defeasance) constituting 46.7% of the pool. Thirteen loans, constituting 32.1% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 10, compared to 12 as at Moody's last review. As of the June 2022 remittance report, loans representing 81.5% were current or within their grace period on their debt service payments and 18.5% were in foreclosure. Nine loans, constituting 15% of the pool, are on the master servicer's watchlist, of which two loans, representing 3.6% of the pool, indicate the borrower has received loan modifications in relation to coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool and one loan, the Milford Plaza Fee ($165 million -- 18.5% of the pool), is currently in special servicing. The specially serviced loan represents a pari passu portion of a $275 first mortgage loan. The loan is secured by the ground interest underlying the Row Hotel, a 1,331 key full service hotel located on 8th avenue in New York City. The ground lease commenced in 2013 and runs through 2112, and has annual CPI increases. The loan transferred to the special servicer in June 2020 due to payment default on the ground rent due to the significant decline in performance of the non-collateral improvements. The loan was last paid through April 2020. Special servicer commentary indicates they are dual tracking foreclosure with workout discussions and the borrower has proposed sale and loan assumption/modification to a third party that would include collapsing the ground lease and allowing the new owner to directly control the hotel. Moody's analysis considered the value of the non-collateral improvements that the leased fee interest underlies when assessing the risk of the loan, as the subject loan is senior to any debt on the improvements. Due to the delinquent status and decline in performance of the non-collateral hotel property, Moody's has assumed a small loss on this loan. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2020 operating results for 97% of the pool, and full or partial year 2021 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 108% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 17.7% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2020/2021. Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.64X and 1.20X, respectively, compared to 1.62X and 0.97X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 15% of the pool balance. The largest loan is the Dartmouth Mall Loan ($54.5 million ? 6.1% of the pool), which is secured by a 530,800 square foot (SF) component of a 671,000 SF regional mall located in Dartmouth, MA. The mall is anchored by a non-collateral Macy's, and the collateral is anchored by JC Penny's and an AMC theatre. A 108,000 SF Sear's store at the property closed in 2019, but was partially backfilled by Burlington. The property is considered a "Core Mall" by the sponsor, PREIT. As of year-end 2021, the property was 93% occupied, compared to 98% at year-end 2020. The property's 2021 NOI increased 11% over the prior year due to higher revenues and the 2021 NOI is over 20% higher than underwritten levels. The loan has amortized more than 18% since securitization and matures in April 2023. Moody's LTV and stressed DSCR are 119% and 1.02X, respectively, compared to 136% and 0.89X at the last review. The second largest loan is the Aprhorp Retail Condominium Loan ($54.2 million 6.1% of the pool), which is secured by the 12,850 SF ground floor retail portion interest of the Apthorp, a 12 story condo building that is historically landmarked by New York City. The collateral sits along Broadway between 79th and 78th streets. The largest tenant is a Chase Bank Branch, occupying 56% of property NRA through 2029. Occupancy has fluctuated in recent years, with a low of 63% at year-end 2020. Two new tenants signed leases during 2021, bringing occupancy to 75%. The loan has amortized 16% since securitization and Moody's LTV and stressed DSCR are 123% and 0.75X, respectively, compared to 122% and 0.71X at the last review. The third largest loan is the Lodge as Sonoma Renaissance Resort and Spa Loan ($25.2 million 2.8% of the pool), which is secured by a 182 key resort hotel located in Sonoma, CA, 35 miles north of San Francisco. The hotel is located near numerous wineries in the Sonoma and Napa Regions. The property's performance was significantly impacted by the pandemic in 2020 and the property's revenue were insufficient to cover its operating expense. However, the property's performance rebounded significantly in 2021 and the 2021 NOI DSCR was 2.74X. The loan has amortized approximately 18% since securitization and Moody's LTV and stressed DSCR are 57% and 2.05X, respectively, compared to 60% and 1.95X at the last review. MORGAN STANLEY 2014-C18: DBRS Confirms CCC Rating on Class F Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-C18 issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 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 C at A (low) (sf) -- Class PST at A (low) (sf) -- Class X-B at BBB (low) (sf) -- Class D at BB (high) (sf) -- Class E at B (low) (sf) -- Class F at CCC (sf) The trends on Classes D, E, and X-B remain Negative, reflecting the continuing performance challenges of the specially serviced loans. All other trends are Stable except for Class F, which is assigned a rating that does not carry a trend. The Interest in Arrears designation has been removed for Class E and Class F continues to have an Interest in Arrears designation. DBRS Morningstar also confirmed the ratings on the following non-pooled rake bonds of the Commercial Mortgage Pass-Through Certificates, Series 2014-C18, which are backed by the $244.4 million subordinate B note of the 300 North LaSalle loan: -- Class 300-A at AA (high) (sf) -- Class 300-B at A (sf) -- Class 300-C at BBB (sf) -- Class 300-D at BB (sf) -- Class 300-E at B (high) (sf) All trends on the rake bonds are Stable. In addition to the B note debt that backs the rake bonds in this transaction, the pooled bonds are also backed by a pari passu portion of the A note debt secured by the same property, a Class A office building known as 300 North LaSalle, located in Chicago. The piece of the loan contributed to the subject transaction (Prospectus ID#2, 14.4% of the current pooled balance) had an issuance balance of $100 million, with the remaining $130.5 million in pari passu debt contributed to the MSBAM 2014-C19 transaction, which is also rated by DBRS Morningstar. The fiscal year for the collateral ends in June and, as of the June 2021 reporting, the servicer reported an occupancy rate of 96.0%, with cash flows generally in line with issuance expectations, supporting the rating confirmations for the rake bonds. For reference, all statistics referencing a percentage of the pool balance throughout this press release are based on the loans' percentage of the pooled bond balance, not the transaction balance as a whole. The rating confirmations generally reflect the stable performance for the transaction since DBRS Morningstar's last review. DBRS Morningstar does note recent favorable developments for four loans that were previously specially serviced. These include the Ashford Hospitality Portfolio C3 (Prospectus ID#13, 4.0% of the current pooled balance) and Ashford Hospitality Portfolio C2 (Prospectus ID#21, 1.8% of the current pooled balance) loans, which were modified to allow for forbearance agreements and were returned to the master servicer in March 2022. The La Quinta Inn & Suites Medical Center San Antonio (Prospectus ID#27, 1.4% of the current pooled balance) was returned to the master servicer as a corrected loan in November 2021, and The Marketplace at Warsaw (Prospectus ID#36) loan was liquidated at a loss lower than DBRS Morningstar had anticipated. As of the May 2022 remittance, the pooled portion of the transaction consists of 48 of the original 65 loans, with an aggregate principal balance of $625.3 million, reflecting a collateral reduction of 39.4% since issuance. In addition, eight loans, representing 9.9% of the pool, are fully defeased. The pool is concentrated by property type, with the largest concentration being office properties (approximately 25% of the current pooled balance). As of the May 2022 reporting, there are three loans, representing 7.7% of the current pooled balance, in special servicing. The largest specially serviced loan, Louisiana Retail Portfolio (Prospectus ID#11, 4.0% of the current pooled balance), is secured by 15 unanchored retail properties in tertiary markets in Louisiana and Mississippi. The loan transferred to special servicing in December 2019 as a result of maturity default and has since become real estate owned (REO). DBRS Morningstar liquidated the loan based on a haircut to the most recent appraised value, resulting in an implied loss severity of 22.2%. The two other specially-serviced loans, Value Place Williston (Prospectus ID#14, 2.8% of the current pooled balance) and Wingate by Wyndham Lake Charles (Prospectus ID#35, 0.9% of the current pooled balance), are also REO and were also liquidated based on recent appraisals in the analysis, with a full loss estimated for the Williston loan and a nominal loss estimated for the Lake Charles loan. There are 10 loans, representing 36.1% of the current trust, on the servicer's watchlist. The largest watchlisted loan, Huntington Oaks Shopping Center (Prospectus ID#3, 9.7% of the current pooled balance), is secured by an anchored shopping center in Monrovia, California. The servicer has been monitoring the loan since Toys "R" Us vacated in 2018; however, it has recently been confirmed that Burlington Coat Factory will be taking the space. As of yearend (YE) 2021, occupancy was 84.1%, increasing from 75.8% at YE2020. The third-largest watchlisted loan, 250 Munoz Rivera (Prospectus ID#6, 5.8% of the current pooled balance), is secured by a 326,275 square foot (sf) office property in San Juan, Puerto Rico. The loan has been monitored for occupancy declines and the largest tenant, UBS Financial Services (UBS) (20.6% of the net rentable area (NRA)), a tenant at the subject since 2000, has a lease expiration in November 2022. UBS appears to have exercised termination options in 2016 that reduced its footprint at the property from 28.1% of the NRA at issuance. According to the loan summary provided at issuance, the termination option required a fee of $7.1 million and as of the May 2022 reporting, the servicer showed a tenant reserve balance on the loan of $2.4 million. A leasing update has been requested by DBRS Morningstar and the servicer's response has not been received as of the date of this press release. As of YE2021, occupancy was 70.4%, decreasing from 80.7% after several tenants left at the respective lease expiration dates. The most recent debt service coverage ratio reported by the servicer, as of YE2021, is healthy at 1.90 times (x); however, this is not fully reflective of revenues lost with the occupancy declines in the last year. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS There were no environmental, social, or governance factors that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2022-NQM4: Fitch Gives B+(EXP) Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2022-NQM4 (NRMLT 2022-NQM4). DEBT RATING ---- ------ NRMLT 2022-NQM4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB+(EXP)sf Expected Rating B-2 LT B+(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS-1 LT NR(EXP)sf Expected Rating XS-2 LT NR(EXP)sf Expected Rating A- IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 527 newly originated loans that have a balance of $272.4 million as of the June 1, 2022 cutoff date. The pool consists of loans originated by NewRez LLC, which was formerly known as New Penn Financial, LLC, and Caliber Home Loans, a NewRez subsidiary. The notes are secured mainly by non-qualified mortgage (QM) loans as defined by the Ability-to-Repay (ATR) Rule. Of the loans in the pool, 69.4% are designated as non-QM while the remainder are not subject to the 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 9.5% above a long-term sustainable level (relative to 9.2% on a national level as of April 1, 2022). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.2% year over year (yoy) nationally as of Dec. 31, 2021. Non-Prime Credit Quality (Mixed): The collateral consists of 527 loans, totaling $272 million and seasoned approximately three months in aggregate, according to Fitch (as calculated from origination date). The borrowers have a stronger credit profile when compared with other non-QM transactions, with a 750 Fitch model FICO score and 38% debt/income ratios (DTI), as determined by Fitch after converting the debt service coverage ratio (DSCR) values, as well as moderate leverage (74.1% sustainable loan/value [sLTV]). The pool consists of 63.1% of loans where the borrower maintains a primary residence, while 36.9% are considered an investor property or second home. Additionally, only 34% of the loans were originated through a retail channel. Moreover, 69% are considered non-QM and the remainder are not subject to QM. NewRez and Caliber originated 100% of the loans, which have been serviced since origination by Shellpoint Mortgage Servicing (SMS). Modified Sequential-Payment Structure (Mixed): The structure pays principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be paid sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. After the 48th payment date, the A-1 through M-1 classes will be contractually due the lower of the fixed rate for the class plus 1.0% or the Net WAC rate. This increases the principal and interest (P&I) allocation for the A-1 through M-1, and decreases the amount of excess spread available in the transaction. At this time amounts otherwise distributable to the class B-3 will be redirected to pay Cap Carryover amounts to classes A-1 through M-1 sequentially. Loan Documentation (Negative): Eighty-four percent of the pool was underwritten to less than full documentation, according to Fitch. Approximately 62% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 22% are DSCR product. High Investor Property Concentrations (Negative): Approximately 31% of the pool comprises investment property loans, including 22% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher probability of defaults (PDs) and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Recovco Mortgage Management (Recovco), Canopy Financial Technology Partners, LLC (Canopy) and Clayton Services (Clayton). The third-party due diligence described in Form 15E focused on a full review of the loans as it relates to credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: -- A 5% credit was applied to each loan's probability of default assumption. This adjustment resulted in a 46bps reduction to the 'AAAsf' expected loss. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OFSI BSL XI: Moody's Assigns Ba3 Rating to $12.75MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to four classes of notes issued by OFSI BSL CLO XI, Ltd. (the "Issuer" or "OFSI BSL CLO XI"). Moody's rating action is as follows: US$180,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$12,000,000 Class A-J Senior Secured Floating Rate Notes due 2031, Assigned Aaa (sf) US$36,000,000 Class B Senior Secured Floating Rate Notes due 2031, Assigned Aa2 (sf) US$12,750,000 Class E Secured Deferrable Floating Rate Notes due 2031, 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. OFSI BSL CLO XI 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, eligible investments, and up to 10% of the portfolio may consist of second-lien loans, unsecured loans and bonds, provided no more than 5% of the portfolio may consist of bonds. The portfolio is approximately 90% ramped as of the closing date. OFS 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 one year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued two other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $300,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2763 Weighted Average Spread (WAS): SOFR + 3.70% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6 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. OPORTUN ISSUANCE 2022-A: DBRS Finalizes BB(high) Rating on D Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following notes (the Notes) 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 rating on the Notes are based on DBRS Morningstar's review of the following considerations: (1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - March 2022 Update, published on March 24, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse 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 legal opinions 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. PIKES PEAK 11: Fitch Assigns 'BB-' Rating on Class E Debt --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Pikes Peak CLO 11 Ltd. DEBT RATING ---- ------ Pikes Peak CLO 11 Ltd. A-1 LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinate Notes LT NRsf New Rating TRANSACTION SUMMARY Pikes Peak CLO 11 Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Partners Group US Management CLO 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 leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 74.02%. 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 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class B, C, D and E notes can withstand default rates of up to 52.1%, 47.3%, 39.0% and 32.6%, respectively, assuming recoveries of 46.3%, 55.9%, 65.4% and 70.8% in the 'AAsf', 'Asf', 'BBB-sf' and 'BB-sf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and '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: 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, between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. PRKCM 2022-AFC1: DBRS Gives Prov. B Rating on Class B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2022-AFC1 (the Notes) to be issued by PRKCM 2022-AFC1 Trust (the Trust): -- $212.7 million Class A-1 at AAA (sf) -- $180.7 million Class A-1A at AAA (sf) -- $32.0 million Class A-1B at AAA (sf) -- $27.2 million Class A-2 at AA (high) (sf) -- $35.9 million Class A-3 at A (sf) -- $15.7 million Class M-1 at BBB (sf) -- $11.2 million Class B-1 at BB (high) (sf) -- $8.5 million Class B-2 at B (sf) Class A-1 is an exchangeable class of Notes. This class can be exchanged for combinations of the initial exchangeable Notes as specified in the offering documents. Class A-1A is a senior class of Notes that benefits from additional protection from the Class A-1B senior Notes with respect to loss allocation because the principal payments are made sequentially to the Class A-1A Notes and then to the Class A1-B Notes, and the realized losses are applied in reverse order. The AAA (sf) rating on the Notes reflects 33.45% of credit enhancement provided by subordinated Notes. The AA (high) (sf), A (sf), BBB (sf), BB (high) (sf), and B (sf) ratings reflect 24.95%, 13.70%, 8.80%, 5.30%, and 2.65% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, expanded prime, and nonprime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 703 mortgage loans with a total principal balance of $319,540,834 as of the Cut-Off Date (May 1, 2022). AmWest Funding Corp. (AmWest) is the Originator and Servicer for the mortgage pool. DBRS Morningstar conducted a telephone review of AmWest's origination and servicing platform and believes the company is an acceptable mortgage loan originator and servicer. This is the third securitization by the Sponsor, Park Capital Management Sponsor LLC, an affiliate of the Seller, the Originator, and the Servicer, which are the same entity. Also, several prior securitizations included loans originated and/or serviced by AmWest. The pool is about three months seasoned on a weighted-average (WA) basis, although seasoning may span from two month to six months. All loans in the pool are current as of the Cut-Off Date. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules where applicable, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, approximately 44.8% of the loans are designated as non-QM. Approximately 55.2% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on the property-level cash flows for approximately 34.7% of the loans, and mortgagor's credit profile and debt-to-income ratio, property value, and the available assets, where applicable, for approximately 20.5% of the loans. Since the loans were made to investors for business purposes, they are exempt from the CFPB ATR rules and Truth in Lending Act (TILA) and the Real Estate Settlement Procedures Act (RESPA) Integrated Disclosure rule. For investor loans originated to investors under debt service coverage ratio (DSCR) programs (34.7% of the pool), lenders use property-level cash flow or the DSCR to qualify borrowers for income. The DSCR is typically calculated as market rental value (validated by an appraisal report) divided by the principal, interest, taxes, insurance, and association dues (PITIA). Also, approximately 16.1% of the pool comprises residential investor loans underwritten to the property-focused underwriting guidelines. The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) and the borrower assets to be the primary source of repayment. The lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. For this transaction, the Servicer will fund advances of delinquent principal and interest (P&I) until loans become 180 days delinquent or are otherwise deemed unrecoverable. Additionally, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). If the Servicer fails in its obligation to make P&I advances, the Master Servicer (Nationstar Mortgage LLC) will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) as the Paying Agent, will be obligated to fund such advances. The Master Servicer and Paying Agent are only responsible for P&I Advances; the Servicer is responsible for P&I Advances and Servicing Advances. The Sponsor, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class B-1 Notes, Class B-2 Notes, Class B-3 Notes, and Class XS Notes, collectively representing at least 5% of the 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. On any date on or after the earlier of (1) the payment date occurring in May 2025 or (2) on or after the payment date when the aggregate stated principal balance of the mortgage loans is reduced to less than or equal to 20% of the Cut-Off Date balance, the Sponsor may terminate the Issuer (Optional Termination) by purchasing the loans, any real estate owned (REO) properties, and any other property remaining in the Issuer at the optional termination price, specified in the transaction documents. After such a purchase, the Sponsor will have to complete a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Controlling Holder in the transaction is a majority holder (or majority holders if there is no single majority holder) of the outstanding Class XS Notes, initially, the Seller. The Controlling Holder will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Banker Association (MBA) Method (or in the case of any mortgage loan that has been subject to a forbearance plan related to the impact of the Coronavirus Disease (COVID-19) pandemic, on any date from and after the date on which such loan becomes 90 or more days delinquent under the MBA Method from the end of the forbearance period) at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a sequential-pay cash flow structure with a pro rata principal payment among the Class A-1 (sequentially to class A-1A then to A-1B), A-2, and A-3 Notes (senior classes of Notes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Also, principal proceeds can be used to cover interest shortfalls on the senior classes of Notes (IIPP) before being applied sequentially to amortize the balances of the Notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1A down to Class A-3 Notes. Of note, the interest and principal otherwise available to pay the Class B-3 Notes interest and interest shortfalls may be used to pay the Class A-1A and A-1B Cap Carryover amounts after the Class A-1A and A-1B coupons step up by 100bps on and after the payment date in June 2026. Also, the interest rate on the Class B-2 Notes drops to 0.00% from Net WAC Rate on and after the payment date in June 2026, which helps to increase the amount of interest available to pay the stepped-up coupon on Class A-1A and A-1B Notes. Coronavirus Impact The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the coronavirus, DBRS Morningstar saw an increase in the 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 coronavirus, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value (LTV) ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. PRPM 2022-INV1: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to PRPM 2022-INV1 Trust's mortgage pass-through certificates series 2022-INV1. The certificate issuance is an RMBS transaction backed by first-lien, fixed-and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residences, planned unit developments, two- to four-family homes, condominiums, townhouses, mixed-use properties, and five- to 40-unit residential properties. The pool consists of 908 business-purpose investor loans (including 113 cross-collateralized loans) backed by 1,393 properties that are exempt from qualified mortgage and ability-to-repay rules. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, PRP Advisors LLC; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "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 2.50%)." Ratings Assigned PRPM 2022-INV1 Trust(i) Class A-1, $201,225,000: AAA (sf) Class A-2, $27,193,000: AA (sf) Class A-3, $47,678,000: A (sf) Class M-1, $26,105,000: BBB (sf) Class B-1, $20,848,000: BB (sf) Class B-2, $15,953,000: B (sf) Class B-3, $23,567,093: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class P, $100: Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of principal, interest, and interest carryover amounts. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. READY CAPITAL 2019-6: DBRS Hikes Class G Certs Rating to B(high) ---------------------------------------------------------------- DBRS Limited upgraded its ratings on six classes of Commercial Mortgage Pass-Through Certificates issued by Ready Capital Mortgage Trust 2019-6 as follows: -- Class C to AA (sf) from AA (low) (sf) -- Class D to A (sf) from A (low) (sf) -- Class E to BBB (sf) from BBB (low) (sf) -- Class F to BB (sf) from BB (low) (sf) -- Class G to B (high) (sf) from B (low) (sf) -- Class IO-B/C to AA (high) (sf) from AA (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class IO-A at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of loan repayments, scheduled loan amortization, and proceeds received from one loan that was liquidated from the trust. As of the May 2022 remittance, 63 of the original 89 loans remain in the pool, representing a collateral reduction of 34.5% since issuance. The Glowzone loan (Prospectus ID#44) was liquidated from the trust in October 2021 at a loss of $1.3 million, but the loss was contained to the nonrated Class H. Loans secured by mixed-use properties represent the greatest property type concentration, accounting for 33.1% of the current pool balance, followed by multifamily properties at 24.1%. The pool contains a mix of stabilized properties along with short-term bridge loans, secured by properties in a period of transition with plans to stabilize. Although the majority of loans are fixed rate, the loans backing transitional properties have a hybrid interest rate structure that features a fixed rate for the loan portion held within the trust but a floating rate for the future funding component outside of the trust. At issuance, five loans had future funding components; however, four such loans have repaid from the trust, with the Back Bay Center loan (Prospectus ID#6, 5.9% of the pool balance) remaining. There is one loan in special servicing and 13 loans on the servicer's watchlist, representing 0.4% and 27.3% of the current pool balance, respectively. The loan in special servicing, Lakeland Medical Office Building (Prospectus ID#81, 0.4% of the pool balance), is secured by medical office property in Niles, Michigan. The loan transferred to special servicing for imminent default with the last debt service payment remitted by the borrower in November 2020. A receiver was appointed in September 2021, and the special servicer is currently working through a deed in lieu of foreclosure with the borrower. According to the March 2022 appraisal, the property was valued at $1.0 million, a 59.0% decline from the issuance value of $2.4 million. With this review, DBRS Morningstar analyzed the loan with a liquidation scenario resulting in a loss severity in excess of 45.0%, with the loss contained to the nonrated bond, Class H. The largest loan on the servicer's watchlist, 1001 Ross (Prospectus ID#2, 8.8% of the pool balance), is secured by a mixed-use property consisting of 201 multifamily units and 30,165 square feet (sf) of ground-level retail in downtown Dallas. The loan was added to the servicer's watchlist because of a decline in net cash flow. At issuance, the sponsor's business plan was to implement a $3.5 million capital improvement plan to modernize interior and exterior finishes, including $2.4 million ($16,597 per unit) for apartment interiors. DBRS Morningstar requested an update regarding the renovations from the servicer, but it was previously noted that upgrades had slowed during the Coronavirus Disease (COVID-19) pandemic as the sponsor shifted its focus on retaining tenants and maintaining occupancy, determining it would upgrade units upon tenant turnover. The largest retail tenant, CVS, vacated in January 2020, and the sponsor planned to use $1.4 million held in an available leasing reserve to backfill the space; however, no replacement tenant has been identified to date. According to the January 2022 rent roll, the property was 73.5% occupied, compared with the YE2020 occupancy rate of 85.8%. The multifamily portion was 72.1% occupied with an average rental rate of $1,284 per unit, compared with the issuance occupancy rate of 95.0% and average rental rate of $1,276 per unit. The retail portion of the property was 44.3% occupied with an average rental rate of $20.32 per sf (psf), compared with the issuance occupancy rate of 38.9% and average rental rate of $19.49 psf. According to Reis, multifamily properties in the Central Dallas submarket reported a Q1 2022 vacancy rate of 7.5% and asking rental rate of $2,729 per unit, while properties of similar vintage reported a vacancy rate of 5.5% and an asking rental rate of $2,544 per unit. The loan reported a YE2021 debt service coverage ratio (DSCR) of 0.69 times (x), compared with the YE2020 DSCR of 0.55x and DBRS Morningstar Stabilized DSCR of 1.15x. Given the general delay in executing the business plan and that the current rental rates remain similar to the levels at issuance and continue to be below market, DBRS Morningstar analyzed this loan with a stressed probability of default (POD) to increase the loan's expected loss with this review. The second-largest loan on the servicer's watchlist is 777 East 12th Street (Prospectus ID#5, 6.7% of the pool balance), which is secured by a four-storey, mixed-use property in the Fashion District of Los Angeles. The ground-floor spaces are leased to tenants in the wholesale retail market with relatively small unit sizes. The loan is on the servicer's watchlist because of a low DSCR, with the trailing nine-month ended September 30, 2021, DSCR reported at 0.91x. The figure compares unfavorably with the YE2020 DSCR of 1.14x and YE2019 DSCR of 1.73x. The January 2021 occupancy rate was 70.5% with an average rental rate of $55.13 psf, compared with the March 2020 occupancy rate of 83.6% and average rental rate of $53.30 psf. Pacific City Bank is the largest tenant, occupying 18.8% of the net rentable area on a lease that expired in December 2021, although it appears the tenant continues to operate at the property based on online searches conducted by DBRS Morningstar. Considering that the current occupancy rate is unclear and the net cash flow has declined below break-even with the most recent reporting, DBRS Morningstar analyzed this loan with a stressed POD to increase the loan's expected loss with this review. Notes: All figures are in U.S. dollars unless otherwise noted. SCULPTOR CLO XXX: Moody's Assigns Ba3 Rating to Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loans incurred by Sculptor CLO XXX, Ltd. (the "Issuer" or "Sculptor CLO XXX"). Moody's rating action is as follows: US$60,000,000 Class A-1 Loans maturing 2035, Assigned Aaa (sf) US$196,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$10,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Assigned Aaa (sf) US$18,200,000 Class E Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." The Class A-1 Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Sculptor CLO XXX is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 85% of the portfolio must consist of senior secured loans and eligible investments, up to 5% of the portfolio may consist of senior secured bonds, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, and bonds. The portfolio is approximately 99% ramped as of the closing date. Sculptor Loan Management LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's approximately five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued five 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: 70 Weighted Average Rating Factor (WARF): 2844 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.50 % Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. SIERRA TIMESHARE 2022-2: S&P Assigns Prelim BB- Rating on D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Sierra Timeshare 2022-2 Receivables Funding LLC's timeshare loan-backed, fixed-rate notes. The note issuance is an ABS securitization backed by vacation ownership interest loans. The preliminary ratings are based on information as of July 6, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement available in the form of subordination, overcollateralization, a reserve account, and available excess spread. -- Wyndham Consumer Finance Inc.'s servicing ability and experience in the timeshare market. -- The transaction's ability to pay timely interest and ultimate principal by the notes' legal maturity under S&P's stressed cash flow recovery rate, liquidity, and credit stability sensitivity scenarios. Preliminary Ratings Assigned Sierra Timeshare 2022-2 Receivables Funding LLC Class A, $110.610 million: AAA (sf) Class B, $65.636 million: A (sf) Class C, $69.281 million: BBB (sf) Class D, $29.473 million: BB- (sf) STWD 2019-FL1: DBRS Confirms B(low) Rating on Class G Notes ----------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of notes issued by STWD 2019-FL1, Ltd. (the Issuer): -- 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 remains 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 with business plan updates on select loans. To access this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. At issuance, the collateral for the transaction consisted of 20 floating-rate mortgages and one fixed-rate mortgage secured by 38 mostly transitional commercial real estate properties, with a total balance of $1.1 billion, excluding approximately $116.0 million of future funding commitments. The transaction was structured with an initial 24-month Reinvestment Period that ended with the August 2021 Payment Date. As of April 2022, the pool comprised 19 loans secured by 42 properties with a cumulative trust balance of $999.4 million. Since issuance, 16 loans with a former cumulative trust balance of $594.2 million have been successfully repaid, and 12 loans with a current cumulative trust balance of $454.7 million have been contributed to the trust. One of these loans, Woodbury Portfolio, was originally secured by 27 office properties; however, 13 properties have been released to date, resulting in a principal paydown. To date, seven of the original 21 loans, representing 54.5% of the current transaction balance, remain in the pool. In general, borrowers are progressing toward completion of their stated business plans. Through April 2022, the collateral manager had advanced $78.2 million in loan future funding to 11 individual borrowers to aid in property stabilization efforts. The largest loan advances include $18.6 million to the borrower of the Hyatt Regency Houston loan, which is using funds to renovate guestrooms, meeting rooms, and public spaces across the property, and $16.7 million to the borrower of the Life Time Coral Gables loan, which is using the funds as a bridge to stabilization, given the collateral is a newly constructed multifamily property in Miami that was delivered to market during Q2 2021. An additional $102.3 million of unadvanced loan future funding allocated to 11 individual borrowers remains outstanding. The largest individual allocation of unadvanced future funding, $33.9 million, is to the borrower of the Life Time Coral Gables loan. The pool is concentrated by property type as nine loans, representing 37.2% of the current trust balance, are secured by traditional multifamily assets; five loans, representing 27.8% of the current trust balance, are secured by office properties; and two loans, representing 13.5% of the current trust balance, are secured by hotel properties. The pool continues to be composed of properties in urban markets, those identified with a DBRS Morningstar Market Rank of 6 and 7. As of April 2022, this includes 10 loans, representing 69.1% of the current trust balance. An additional eight loans, representing 29.9% of the pool, are secured by properties in suburban markets, those identified with a DBRS Morningstar Rank of 3, 4 and 5. The transaction is also concentrated by loan size, as the largest 10 loans represent 74.7% of the pool. Overall pool leverage has declined since issuance. According to the April 2022 reporting, the weighted average (WA) as-is appraised current loan-to-value (LTV) is 64.6% and the WA stabilized appraised current LTV is 60.8%. In comparison, these figures were 76.8% and 65.3%, respectively, at closing. As of the April 2022 remittance, there are no loans in special servicing, but there are five loans, representing 36.8% of the pool, on the servicer's watchlist. Two loans, representing 16.5% of the current trust balance, Minkin Multifamily LLC and Brown Palace Hotel & Holiday Inn Express Denever Downtown are being monitored for upcoming loan maturities. An additional two loans, representing 11.2% of the current trust balance, Hyatt Regency Houston and Minkin Multifamily S-Corp are being monitored for upcoming loans maturities and a low DSCR or occupancy rate. The final loan on the watchlist, representing 9.1% of the current trust balance, Park at Pentagon Row, is being monitored for a low DSCR, as the property has yet to stabilize. The Park at Pentagon Row and Hyatt Regency Houston loans both have additional future funding commitments allocated to capital improvements, which have yet to be fully advanced and are expected to aid in property stabilization. The borrowers of the Brown Palace Hotel & Holiday Inn Express Denver Downtown and The Hyatt Regency Houston loans were previously granted three-month forbearances. Other modification terms included a waiver on furniture, fixtures and equipment (FF&E) reserve requirements, the use of outstanding FF&E funds to cover operating shortfalls, extensions and terminations of certain capex projects, and cash management provisions until the deferred interest is repaid. While there have been major disruptions to these borrowers' business plans and property operations, all three of the subject hotels are open for business, and both loans are current on payments. Notes: All figures are in U.S. dollars unless otherwise noted. TICP CLO III-2: Moody's Hikes Rating on $29MM Class E Notes to Ba3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by TICP CLO III-2, Ltd.: US$24,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Upgraded to Aaa (sf); previously on September 22, 2021 Upgraded to Aa2 (sf) US$29,700,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Upgraded to A2 (sf); previously on September 22, 2021 Upgraded to Baa1 (sf) US$29,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2028 (the "Class E Notes"), Upgraded to Ba3 (sf); previously on August 10, 2020 Downgraded to B1 (sf) TICP CLO III-2, Ltd., originally issued in April 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2020. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since September 2021. The Class A notes have been paid down by approximately 28.8% or $58.6 million since then. Based on the trustee's June 2022 report[1], the OC ratios for the Class C, Class D and Class E notes are reported at 136.46%, 120.01% and 107.38%, respectively, versus September 2021 levels[2] of 127.88%, 115.43% and 105.40%, respectively. The deal has benefited from an improvement in the credit quality of the portfolio since September 2021. Based on the trustee's June 2022 report[3], the weighted average rating factor is currently 2556 compared to 2874 in September 2021[4]. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $295,510,631 Defaulted par: $311,811 Diversity Score: 45 Weighted Average Rating Factor (WARF): 2555 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.90% Weighted Average Recovery Rate (WARR): 47.62% Weighted Average Life (WAL): 2.93 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. TRINITAS CLO XX: S&P Assigns B- (sf) Rating on Class F Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Trinitas CLO XX Ltd./Trinitas CLO XX LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trinitas Capital Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 TRUST 2022-INV2: DBRS Finalizes B(low) Rating on Cl. B-2 Certs ------------------------------------------------------------------ DBRS, Inc. finalized provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-INV2 (the Certificates) 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. UNITED AUTO 2022-2: S&P Assigns Prelim BB (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to United Auto Credit Securitization Trust 2022-2's automobile receivables-backed notes series 2022-2. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 60.17%, 52.22%, 43.56%, 33.77%, and 26.91% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 2.90x, 2.50x, 2.05x, 1.55x, and 1.27x our expected net loss range of 19.75%-20.75% for the class A, B, C, D, and E notes, respectively. -- The likelihood of timely interest and principal payments by the assumed legal final maturity dates under stressed cash flow modeling scenarios that are appropriate for the assigned preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, its ratings will be within the limits specified by section A.4 of the Appendix contained in its article "S&P Global Ratings Definitions," published Nov. 10, 2021. -- Credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The collateral characteristics of the subprime pool being securitized. It is approximately three months seasoned, with a weighted-average original term of approximately 58 months and an average remaining term of about 55 months. As a result, S&P expects that the pool will pay down more quickly than many other subprime pools that are usually characterized by longer weighted-average original and remaining terms. -- S&P's analysis of more than 10 years of static pool data following the credit crisis and after United Auto Credit Corp. (UACC) centralized its operations and shifted toward shorter loan terms. S&P also reviewed the performance of UACC's three outstanding securitizations, as well as its paid-off securitizations. -- UACC's more than 20-year history of originating, underwriting, and servicing subprime auto loans. -- The transaction's payment and legal structures. Preliminary Ratings Assigned United Auto Credit Securitization Trust 2022-2 Class A, $125.41 million: AAA (sf) Class B, $31.92 million: AA (sf) Class C, $27.93 million: A (sf) Class D, $34.62 million: BBB (sf) Class E, $35.20 million: BB (sf) US AUTO 2022-1: Moody's Assigns B3 Rating to 2 Tranches ------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by U.S. Auto Funding Trust 2022-1 (USAF 2022-1). This is the first auto loan transaction of the year and fourth 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, Definitive Rating Assigned A3 (sf) Class B Notes, Definitive Rating Assigned Baa1 (sf) Class C Notes, Definitive Rating Assigned Ba1 (sf) Class D Notes, Definitive Rating Assigned B3 (sf) Class E Notes, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of USASF and U.S. Auto Finance as the servicer and administrator respectively and the presence of Computershare Trust Company, N.A. (Computershare, Baa2) as named backup servicer. Moody's median cumulative net credit loss expectation for USAF 2022-1 is 34% and the loss at a Aaa stress (for model calibration purposes) is 68.00%. 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. WELLFLEET CLO 2022-1: Moody's Assigns Ba3 Rating to $20MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loans incurred by Wellfleet CLO 2022-1, Ltd. (the "Issuer" or "Wellfleet 2022-1"). Moody's rating action is as follows: US$85,000,000 Class A-1 Loans maturing 2034, Assigned Aaa (sf) US$230,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." The Class A-1 Loans may not be exchanged or converted into notes at any time. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Wellfleet 2022-1 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, senior unsecured loans, first-lien last out loans, and permitted non-loan assets provided that no more than 5.0% of the portfolio consists of permitted non-loan assets. The portfolio is approximately 90% ramped as of the closing date. Wellfleet Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued four classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2833 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. WELLS FARGO 2013-LC12: Moody's Cuts Rating on Cl. PEX Certs to B2 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on four classes in Wells Fargo Commercial Mortgage Trust 2013-LC12 ("WFCM 2013-LC12"), Commercial Mortgage Pass-Through Certificates, Series 2013-LC12 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Dec 17, 2021 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Dec 17, 2021 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Dec 17, 2021 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Dec 17, 2021 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Dec 17, 2021 Affirmed Aaa (sf) Cl. A-S, Downgraded to A1 (sf); previously on Dec 17, 2021 Affirmed Aa2 (sf) Cl. B, Downgraded to Ba3 (sf); previously on Dec 17, 2021 Downgraded to Ba1 (sf) Cl. C, Downgraded to Caa2 (sf); previously on Dec 17, 2021 Downgraded to B3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Dec 17, 2021 Affirmed Aaa (sf) Cl. PEX**, Downgraded to B2 (sf); previously on Dec 17, 2021 Downgraded to Ba3 (sf) * Reflects Interest-Only Classes ** Reflects Exchangeable Classes RATINGS RATIONALE The ratings on five P&I classes were affirmed because of their significant credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three P&I classes, Cl. A-S, Cl. B and Cl. C, were downgraded due to anticipated losses and increased interest shortfall risk driven by the significant exposure to poorly performing regional mall loans, two of which are already in special servicing. Three loans secured by regional mall (22.9% of the pool) have seen significant declines in net cash flow from securitization. The two specially serviced mall loans include the White Marsh Mall (7.9% of the pool) and Rimrock Mall (7.1% of the pool), which have both experienced significant declines in performance and value in recent years. Appraisal reductions of over 38% have already been recognized on each of the two specially serviced regional mall loans. Furthermore, Moody's identified one troubled loan secured by a regional mall, Carolina Place (7.9% of the pool), which has also experienced recent declines in cash flow and DSCR. Furthermore, all of the remaining mortgage loans mature within the next thirteen months and interest shortfalls may increase if the performance of the specially serviced or troubled loans decline further or other loans are unable to pay off at their scheduled maturity dates. The rating on the IO class, Cl. X-A, was affirmed based on the credit quality of its referenced classes. The rating on the exchangeable class, Cl. PEX, was downgraded due to the credit quality of its referenced exchangeable classes. The action has considered how the coronavirus pandemic has reshaped the US economic environment and the way its aftershocks will continue to reverberate and influence the performance of commercial real estate. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 16.6% of the current pooled balance, compared to 14.0% at Moody's last review. Moody's base expected loss plus realized losses is now 12.9% of the original pooled balance, compared to 11.3% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the exchangeable classes and interest-only was "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the June 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 28% to $1.01 billion from $1.41 billion at securitization. The certificates are collateralized by 74 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans (excluding defeasance) constituting 58% of the pool. Nineteen loans, constituting 16% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17, compared to 19 at Moody's last review. As of the June 2022 remittance report, loans representing 83% were current or within their grace period on their debt service payments, 1% was less than 30 days delinquent and 16% were past maturity, in foreclosure or REO. Thirteen loans, constituting 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $14.1 million (for an average loss severity of 71%). Five loans, constituting 16.7% of the pool, are currently in special servicing. Four of the specially serviced loans, representing 16.2% of the pool, have transferred to special servicing since May 2020. The largest specially serviced loan is the White Marsh Mall Loan ($80.0 million -- 7.9% of the pool), which represents which represents a pari-passu portion of a $190.0 million mortgage loan. The loan is secured by an approximately 700,000 square feet (SF) component of a 1.2 million SF super-regional mall located in Baltimore, Maryland. The mall is anchored by Macy's, JC Penney, Boscov's, and Macy's Home Store. Macy's and JC Penny are not part of the loan collateral and there is another vacant non-collateral anchor, a former Sears that closed in April 2020. As of December 2021, inline and collateral occupancy were 81% and 89%, respectively, compared to 89% and 93% in June 2020. Property performance has declined annually since 2018 primarily due to lower rental revenues and the 2019 net operating income (NOI) was approximately 8% lower than underwritten levels. Property performance further declined through 2021 and the loan transferred to special servicing in August 2020 due to imminent monetary default. The loan failed to payoff at its May 2021 maturity date and is last paid through its April 2021 payment date. The loan was interest-only throughout its entire term and therefore did not benefit from any paydowns or amortization. The most recent appraisal from March 2022 valued the property at nearly 62% below the value at securitization and 40% below the outstanding loan balance. As of the May 2022 remittance statement, the master servicer has recognized a 38% appraisal reduction based on the loan balance. The special servicer indicated they continue to hold discussions with the borrower and evaluate litigation timing. The second largest specially serviced loan is the Rimrock Mall Loan ($71.8 million -- 7.1% of the pool) which is secured by an approximately 430,000 SF portion of a 586,000 SF regional mall located in Billings, Montana. The Rimrock Mall is the only dominant mall within a 150-mile radius and is currently anchored by Dillard's, Dillard's Men & Children (both Dillard's spaces are non-collateral) and JCPenney. A former anchor, Herberger's, vacated in 2018 and accounted for approximately 14% of net rentable area (NRA). As of April 2022, the collateral and inline occupancy were 79% and 82%, respectively, compared to 85% and 92% in September 2020 and 95% and 91% in September 2019. Property performance has declined significantly since securitization due to declining revenue and increased vacancy. The 2019 year-end NOI was already approximately 42% lower than underwritten levels and the 2020 NOI DSCR declined below 1.00X. The loan began amortizing in August 2018 after its five-year interest-only period ended and has since amortized 6.6% since securitization. The loan transferred to special servicing in May 2020 due to imminent monetary default and is last paid through its October 2021 payment date. A receiver was previously appointed and the property became REO in January 2022. The most recent appraisal from May 2022 valued the property at approximately 44% below the outstanding loan balance and as of the June 2022 remittance statement, the master servicer has recognized a 53% appraisal reduction based on the loan balance. The remaining three specially serviced loans are all secured by hotel properties which have been impacted by business disruptions stemming from the coronavirus pandemic. One specially serviced loan, Hyatt Place Germantown (0.6% of the pool), has experienced improving performance and the special servicer is working to return the loan back to master servicing. The other two special serviced loans were either in foreclosure or already REO. Moody's has also assumed a high default probability for one poorly performing loan, constituting 7.9% of the pool, and has estimated an aggregate loss of $149.4 million (a 61.8% expected loss based on average) from these troubled and four non-performing specially serviced loans. The troubled loan is the Carolina Place loan which is discussed in detail further below. As of the June 2022 remittance statement cumulative interest shortfalls were $5.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2020 operating results for 100% of the pool, and full or partial year 2021 operating results for 95% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 97%, unchanged from Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 25% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2020 / 2021. Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.71X and 1.18X, respectively, compared to 1.66X and 1.15X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans represent 23% of the pool balance. The largest loan is the Cumberland Mall Loan ($90.0 million -- 8.9% of the pool), which represents a pari passu portion of a $160.0 million mortgage loan. The loan is secured by an approximately 540,000 SF component of a one million SF super-regional mall located in Atlanta, Georgia. The mall is anchored by a Macy's (non-collateral) and a Costco Warehouse. A former non-collateral anchor, Sears, had vacated the property at the end of 2018. However, 70,000 SF of the former Sears space has been backfilled by Dick's Sporting Goods, Golf Galaxy and Planet Fitness and another 80,000 SF is expected to be backfilled by Round 1 Bowling & Amusement. As of March 2022, collateral and inline occupancy were 93% and 93%, respectively, compared to 95% and 96% in June 2020 and 97% and 96% in September 2019. Brookfield, the loan sponsor, announced plans to redevelop the area surrounding the mall into a town center with office space, multifamily residences, retail and restaurant space. The property's NOI has been significantly above securitization levels in recent years. The loan is interest-only throughout its entire term and had a NOI DSCR of 3.47X as of March 2022. Moody's LTV and stressed DSCR are 108% and 0.97X, respectively, unchanged from last review. The second largest performing loan is the Carolina Place Loan ($79.5 million -- 7.9% of the pool), which represents a pari passu portion of a $154.6 million mortgage loan. The loan is secured by a 647,511 SF component of a 1.2 million SF super-regional mall located in Pineville, North Carolina. The mall is anchored by Dillard's, Belk, Dick's Sporting Goods, and JCPenney. JCPenney is the only current anchor that is part of the collateral. A former collateral anchor, Sears, had vacated the property in early 2019. As of March 2022, collateral and inline occupancy were 69% and 88%, compared to 67% and 85% in September 2021, 73% and 92% in June 2020 and 75% and 95% in September 2019. Total mall occupancy declined to 82% from 99% largely due to the departure of Sears in January 2019. The loan was put on the watchlist in September 2019 due to the occupancy dropping below 80%. After an initial three-year IO period, the loan has amortized over 11% since securitization. However, the property's revenue and NOI has declined significantly since 2019 and both the year-end 2020 and 2021 NOI were below underwritten levels. The property's NOI in 2021 was 26% lower than in 2019 and the December 2021 NOI DSCR was 1.36X, compared to 1.48X in 2020 and 1.84X in 2019. The loan matures in June 2023 and due to declining occupancy, revenue and NOI, this loan may face heightened maturity default risk and Moody's considers this as a troubled loan. The third largest loan is the Innsbrook Office Portfolio Loan ($65.9 million -- 6.5% of the pool), which is secured by a portfolio of ten office properties located in and around Richmond, Virginia. The portfolio originally comprised of 13 properties. Since securitization, one property has been paid off and two others have been released from the portfolio and assumed by new borrowers but remain in the pool. The portfolio was collectively 82% leased as of September 2021, compared to 90% in June 2020 and 89% in 2019. The property faces near term rollover risk with approximately 40% of the total leased square footage expiring over the next eighteen months. The loan matures in July 2023 and Moody's LTV and stressed DSCR are 124% and 0.86X, respectively, compared to 126% and 0.85X at the last review. WFRBS COMMERCIAL 2012-C7: Moody's Lowers Rating on 2 Tranches to C ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on four classes in WFRBS Commercial Mortgage Trust 2012-C7 ("WFRBS 2012-C7") as follows: Cl. B, Downgraded to B1 (sf); previously on Apr 23, 2021 Downgraded to Ba2 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Apr 23, 2021 Downgraded to Caa1 (sf) Cl. D, Downgraded to C (sf); previously on Apr 23, 2021 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Dec 17, 2020 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Dec 17, 2020 Downgraded to C (sf) Cl. X-B*, Downgraded to C (sf); previously on Dec 17, 2020 Downgraded to Ca (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were downgraded due to the increased risk of losses and interest shortfalls driven primarily by the exposure to loans in special servicing. The pool only contains two remaining loans, representing 100% of the pool, both of which are secured by poorly performing regional malls that have each already incurred appraisal reductions greater than 40% of their current loan balance. While Cl. B has already paid down 92% from its original balance, the significant exposure to delinquent loans in special servicing increases the potential for interest shortfalls to impact this class. The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced classes. The action has considered how the coronavirus pandemic has reshaped the US economic environment and the way its aftershocks will continue to reverberate and influence the performance of commercial real estate. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only class is "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published May 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 87% to $141 million from $1.1 billion at securitization. The certificates are collateralized by two mortgage loans, both of which are in special servicing and already REO. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $53.9 million. As of the June 2022 remittance statement cumulative interest shortfalls were $6.0 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest specially serviced loan is the Town Center at Cobb Loan ($110.1 million -- 78% of the pool), which represents a pari passu portion of a $169.7 million mortgage loan. The loan is secured by a 560,000 square foot (SF) portion of a 1.3 million SF super-regional mall located in Kennesaw, Georgia. The property is anchored by a Macy's, Macy's Furniture, JC Penney, and Belk. A fifth anchor, Sears, closed its store in 2020. All of the anchors own their own boxes, with the exception of Belk and a portion of the JC Penney space. The property's major collateral tenants include apparel retailer such as H&M (4.6% of collateral NRA; lease expiration in January 2029), Forever 21 (4.1%; lease expiration in January 2023) and Victoria's Secret (1.8% of NRA; lease expiration in January 2024). Property performance has declined in recent years due to lower revenue and the year-end 2021 net operating income (NOI) was 30% below the 2012 levels. The property was already facing declining performance prior to the pandemic and the 2019 NOI was already 16% lower than in 2012. The collateral component of the property was 89% leased as of March 2022, compared to 82% in December 2020. The inline space was only 78% occupied in July 2020. The loan transferred to special servicing in June 2020 for monetary default as a result of its operation being materially impacted by the coronavirus pandemic. A foreclosure sale was completed in February 2021 with the property becoming REO. The loan has amortized 15% since securitization, however, the loan is last paid through its November 2021 and based on a January 2022 appraisal value the loan has recognized a 45% appraisal reduction. The other specially serviced loan is the Fashion Square Loan ($31.1 million -- 22% of the pool), which is secured by a 446,000 square foot (SF) component of a 788,000 SF regional mall located in located in Saginaw, Michigan. The property is anchored by Macy's and JCPenney, with only the JCPenney being part of the loan collateral. One additional non-collateral anchor space, a former Sears, has been vacant since October 2019. As of August 2021, the total mall is 67% occupied by 72 tenants, accounting for the vacant Sears. The owned collateral is 78% occupied by 70 tenants, with inline occupancy (excluding JCP and outparcels) of only 42%. The property's performance had deteriorated prior to 2020 due to lower revenues, with the year-end 2019 NOI nearly 38% lower than in 2012. The loan transferred to special serving in July 2020 for monetary default and is last paid through its July 2021 payment. Based on a December 2021 appraisal value the loan has recognized an 86% appraisal reduction as of the June 2022 remittance report. The asset was foreclosed in October 2021 and the asset is now REO. Due to the significant decline in NOI and value of the property, Moody's anticipates a significant loss on this loan. [*] DBRS Reviews 202 Classes From 19 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 202 classes from 19 U.S. residential mortgage-backed security (RMBS) transactions. Of the 202 classes reviewed, DBRS Morningstar upgraded 17 ratings, confirmed 179 ratings, and discontinued six ratings. The affected ratings are available at https://bit.ly/3P20ouL The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the transactions' full repayment of principal to bondholders. The pools backing the reviewed RMBS transactions consist of Alt-A, Option Adjustable-Rate Mortgage, second lien, subprime, and reperforming collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output. -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M5 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-6 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2 -- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-1 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4 -- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5 -- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6 -- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-1 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-2 -- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-3 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A1 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A6 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A4 -- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A5 CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. [*] DBRS Reviews 254 Classes From 35 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc. reviewed 254 classes from 35 U.S. residential mortgage-backed security (RMBS) transactions. Of the 254 classes reviewed, DBRS Morningstar upgraded 167 ratings, confirmed 81 ratings, and discontinued six ratings. The Affected Ratings are available at https://bit.ly/3uqIFFo The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the transactions exercising their clean-up call option or the full repayment of principal to bondholders. The pools backing the reviewed RMBS transactions consist of nonqualified mortgage and re-performing mortgage collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade. -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-1 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-2 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-4 -- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-5 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-3 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-3-IO -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-4 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-4-IO -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-7 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-8 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-2 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-2-IO -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-3 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-3-IO -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-5 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-6 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class B-1 -- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class B-2 -- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class M-1 -- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class M-2 -- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class B-1 -- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class B-2 -- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-4 -- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-5 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1, Asset Backed Securities, Series 2016-1, Class M-2 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-2 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1A -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1AX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1B -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M1BX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2A -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2AX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2B -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class M2BX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class A4 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class A5 -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1A -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1AX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1B -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1BX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1C -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1CX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1D -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1DX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1E -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1EX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2A -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2AX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2B -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2BX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2C -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2CX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2D -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2DX -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2E -- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2EX -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class M-1 -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-1 -- Angel Oak Mortgage Trust 2020-3, Mortgage-Backed Certificates, Series 2020-3, Class B-2 -- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class M-1 -- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-1 -- Angel Oak Mortgage Trust 2020-4, Mortgage-Backed Certificates, Series 2020-4, Class B-2 -- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class M-1 -- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-1 -- Angel Oak Mortgage Trust 2020-5, Mortgage-Backed Certificates, Series 2020-5, Class B-2 -- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class M-1 -- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-1 -- Angel Oak Mortgage Trust 2020-6, Mortgage-Backed Certificates, Series 2020-6, Class B-2 -- Bunker Hill Loan Depositary Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class A-3 -- Bunker Hill Loan Depositary Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class M-1 -- Bunker Hill Loan Depositary Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-1 -- Bunker Hill Loan Depositary Trust 2020-1, Mortgage-Backed Notes, Series 2020-1, Class B-2 -- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class M-1 -- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-1 -- BRAVO Residential Funding Trust 2020-NQM1, Mortgage Pass-Through Notes, Series 2020-NQM1, Class B-2 -- GCAT 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class M-1 -- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1 -- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1 -- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2 -- Imperial Fund Mortgage Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1 -- Imperial Fund Mortgage Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1 -- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class M-1 -- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-1 -- MFA 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2 -- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class M-1 -- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-1 -- MFA 2020-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM2, Class B-2 -- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class M-1 -- Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-1 -- Visio 2020-1 Trust, Mortgage-Backed Notes, Series 2020-1, Class A-3 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class M-1 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-1 -- Verus Securitization Trust 2020-4, Mortgage Pass-Through Certificates, Series 2020-4, Class B-2 -- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class M-1 -- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-1 -- Verus Securitization Trust 2020-5, Mortgage Pass-Through Certificates, Series 2020-5, Class B-2 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class M-1 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2 -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2A -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2AX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2B -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2BX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2C -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2CX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2D -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2DX -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2E -- Vista Point Securitization Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2EX -- Vista Point Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1 -- Vista Point Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1 -- Vista Point Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class A-3 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class M-1 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-1 -- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-2 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class A-3 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class M-1 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-1 -- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-2 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class A-3 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class M-1 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-1 -- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-2 -- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class A-4 -- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class A-5 -- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class M-1 -- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class M-2 -- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class B-1 -- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class B-2 -- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class M-1 -- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class M-2 -- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class B-1 -- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class B-2 CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. [*] Moody's Takes Action on $97.2MM of US RMBS Issued 2003-2007 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two bonds and downgraded the ratings of 12 bonds from six 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/3nA8Oha Complete rating actions are as follows: Issuer: American General Mortgage Pass-Through Certificates, Series 2006-1 Cl. B-1, Downgraded to Ca (sf); previously on Jun 9, 2020 Downgraded to Caa2 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Jun 9, 2020 Downgraded to B2 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC6 Cl. A-1, Downgraded to Caa2 (sf); previously on Jun 21, 2019 Downgraded to B3 (sf) Cl. A-2, Downgraded to Caa2 (sf); previously on Jun 21, 2019 Downgraded to B3 (sf) Cl. A-3*, Downgraded to Caa2 (sf); previously on Jun 21, 2019 Downgraded to B3 (sf) Issuer: Bear Stearns Asset-Backed Securities Trust 2003-AC6 Cl. A-1, Downgraded to B2 (sf); previously on Jun 9, 2020 Downgraded to Ba3 (sf) Cl. A-2, Downgraded to B2 (sf); previously on Jun 9, 2020 Downgraded to Ba2 (sf) Cl. A-4, Downgraded to B2 (sf); previously on Jun 9, 2020 Downgraded to Ba3 (sf) Cl. A-5*, Downgraded to B2 (sf); previously on Jun 9, 2020 Downgraded to Ba3 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6 Cl. A-II-4, Upgraded to Baa1 (sf); previously on Nov 20, 2018 Upgraded to Baa3 (sf) Issuer: Chase Funding Trust, Series 2004-2 Cl. IA-5, Upgraded to Aa1 (sf); previously on Mar 11, 2020 Upgraded to Aa3 (sf) Issuer: ChaseFlex Trust Series 2007-1 Cl. 2-A3, Downgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. 2-A6, Downgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) Cl. 2-A10, Downgraded to Ca (sf); previously on Oct 20, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating downgrades are primarily due to a deterioration in collateral performance and/or 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 $101MM of US RMBS Issued 2004-2007 ----------------------------------------------------------------- Moody's Investors Service (has upgraded the ratings of four bonds from two 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/3y7HFas Complete rating actions are as follows: Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-8 Cl. M-2, Upgraded to Aa2 (sf); previously on Dec 20, 2018 Upgraded to A1 (sf) Cl. M-3, Upgraded to Baa2 (sf); previously on Apr 9, 2018 Upgraded to Baa3 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Apr 9, 2018 Upgraded to Ba2 (sf) Issuer: Ellington Loan Acquisition Trust 2007-1 Cl. A-1, Upgraded to Ba1 (sf); previously on Jun 27, 2017 Upgraded to Ba3 (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 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 rating 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. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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 ***