/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220807.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, August 7, 2022, Vol. 26, No. 218 Headlines AMERICAN CREDIT 2022-3: S&P Assigns Prelim B(sf) Rating on F Notes AMSR 2022-SFR2: DBRS Finalizes B(low) Rating on Class F Certs APIDOS CLO XL: Fitch Assigns BB- Rating on Class E Debt APIDOS CLO XL: Moody's Assigns B3 Rating to $1MM Class F Notes ARROYO MORTGAGE 2022-2: DBRS Finalizes B Rating on Class B-2 Notes BALLYROCK CLO 20: S&P Assigns BB- (sf) Rating on Class D Notes BANK 2017-BNK18: Fitch Cuts Class F Debt Rating to CCCsf BENEFIT STREET XXVII: Fitch Gives BB-(EXP) Rating to Class E Debt BENEFIT STREET XXVII: Moody's Assigns B3 Rating to Class F Notes BWAY 2021-1450: DBRS Confirms B(low) Rating on Class F Certs CARLYLE US 2022-3: Fitch Assigns BB- Rating on Class E Debt CITIGROUP 2021-KEYS: DBRS Confirms B(low) Rating on Class G Certs CPS AUTO 2022-C: S&P Assigns BB (sf) Rating on Class E Notes CSMC 2022-NQM5: S&P Assigns B- (sf) Rating on Class B-2 Notes DRYDEN 108 CLO: Moody's Assigns B3 Rating to $2.5MM Class F Notes DRYDEN 108: Fitch Assigns BB- Rating to Class E Debt ELLINGTON FINANCIAL 2022-3: Fitch Gives B Rating to Class B-2 Debt EXETER AUTOMOBILE: DBRS Confirms 13 Ratings from 4 Trust Deals FREDDIE MAC 2022-HQA2: DBRS Gives Prov. BB Rating on 16 Classes GOLDENTREE LOAN 14: Fitch Assigns BB- Rating on Class E Debt GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Classes Certs HALCYON LOAN 2014-2: Moody's Cuts Rating on $27.5MM D Notes to C HILTON USA 2016-SFP: DBRS Confirms B(high) Rating on F Certs HMH TRUST 2017-NSS: DBRS Confirms BB Rating on Class D Certs HOMEWARD 2022-1: S&P Assigns Prelim B (sf) Rating on Cl. F Certs JP MORGAN 2014-C23: Fitch Affirms CCC Ratings on 2 Tranches JP MORGAN 2014-DSTY: S&P Affirms 'CCC-' Rating on Cl. C Certs LOANCORE 2021-CRE4: DBRS Hikes Class G Certs Rating to B(high) M360 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes MF1 2022-FL10: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes MFA 2022-INV2: S&P Assigns B+ (sf) Rating on Class B-2 Certs MJX VENTURE II: Moody's Assigns Ba3 Rating to Class E Notes MORGAN STANLEY 2013-ALTM: DBRS Confirms BB(low) Rating on E Certs MORGAN STANLEY 2017-ASHF: DBRS Confirms BB Rating on E Certs MORGAN STANLEY 2019-L2: DBRS Confirms BB Rating on Class FRR Certs OPORTUN ISSUANCE 2022-2: DBRS Finalizes BB Rating on D Notes PAGAYA AI 2022-1: DBRS Gives Prov. B Rating on Class G Certs PALMER SQUARE 2022-3: Moody's Assigns (P)B3 Rating to $1MM F Notes PAWNEE EQUIPMENT 2022-1: DBRS Gives Prov. BB Rating on D Notes SG RESIDENTIAL 2022-2: Fitch Gives BB-(EXP) Rating to B-1 Debt SIERRA TIMESHARE 2022-2: Fitch Assigns 'BB' Rating on D Notes SILVER HILL 2019-SBC1: DBRS Hikes Rating of 2 Classes to BB(low) SLM STUDENT 2008-4: Fitch Lowers Rating on 2 Tranches to Dsf STACR 2022-HQA2: Moody's Assigns Ba3 Rating to 10 Tranches UNITED AUTO 2022-2: DBRS Finalizes BB Rating on Class E Notes VERUS SECURITIZATION 2022-7: S&P Assigns 'B-' Rating on B-2 Notes [*] DBRS Reviews 341 Classes from 27 US RMBS Transactions [*] S&P Takes Various Actions on 59 Classes From Eight US RMBS Deal [*] S&P Takes Various Actions on 95 Classes from 36 US RMBS Deals ********* AMERICAN CREDIT 2022-3: S&P Assigns Prelim B(sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2022-3's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 1, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 61.77%, 55.80%, 45.95%, 37.78%, 33.58%, and 31.02% credit support, including excess spread, for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios. These credit support levels provide more than 2.35x, 2.10x, 1.70x, 1.37x, 1.20x, and 1.10x coverage of S&P's expected net loss range of 26.00%-27.00% on the class A, B, C, D, E, and F notes, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and a reserve account in addition to excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.37x S&P's expected loss level), all else being equal, its preliminary ratings on the class A, B, C, D, E, and F notes will be within the credit stability limits specified by section A.4 of the Appendix of "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The backup servicing arrangement with Computershare Trust Co. N.A. -- The transaction's payment and legal structure. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2022-3 Class A, $128.65 million: AAA (sf) Class B, $27.90 million: AA (sf) Class C, $43.40 million: A (sf) Class D, $44.18 million: BBB (sf) Class E, $18.60 million: BB- (sf) Class F, $17.82 million: B (sf) AMSR 2022-SFR2: DBRS Finalizes B(low) Rating on Class F Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Single-Family Rental Pass-Through Certificates issued by AMSR 2022-SFR2 Trust (AMSR 2022-SFR2): -- $189.4 million Class A at AAA (sf) -- $61.6 million Class B at AA (low) (sf) -- $19.4 million Class C at BBB (sf) -- $46.4 million Class D at BBB (low) (sf) -- $22.7 million Class E at BB (low) (sf) -- $21.5 million Class F at B (low) (sf) The AAA (sf) rating on the Class A Certificate reflects 51.8% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), BBB (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 36.1%, 31.2%, 19.4%, 13.6%, and 8.1% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. The AMSR 2022-SFR2 certificates are supported by the income streams and values from 1,638 rental properties. The properties are distributed across 15 states and 39 metropolitan statistical areas (MSAs) in the United States. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion value, 52.6% of the portfolio is concentrated in three states: North Carolina (20.0%), Florida (19.7%), and Georgia (12.9%). The average value is $289,076. The average age of the properties is roughly 32 years. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately five-year, fixed-rate, interest-only loan with an initial aggregate principal balance of approximately $393.0 million. DBRS Morningstar assigned the provisional ratings to each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. APIDOS CLO XL: Fitch Assigns BB- Rating on Class E Debt ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XL Ltd. RATING ACTIONS Apidos CLO XL Ltd A-1 LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Apidos CLO XL (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 76.21%. 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 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 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In our stress scenarios, the class B, C, D and E notes can withstand default rates of up to 52.6%, 47.5%, 38.3% and 32.3% assuming recoveries of 44.9%, 54.2%, 63.3% and 68.4%, 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 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. APIDOS CLO XL: Moody's Assigns B3 Rating to $1MM Class F Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by Apidos CLO XL Ltd (the "Issuer" or "Apidos XL"). Moody's rating action is as follows: US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$10,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$1,000,000 Class F Mezzanine 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. Apidos XL 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 (including cash), and up to 10% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and bonds. The portfolio is approximately 90% ramped as of the closing date. CVC 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 five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ARROYO MORTGAGE 2022-2: DBRS Finalizes B Rating on Class B-2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Notes, Series 2022-2 issued by Arroyo Mortgage Trust 2022-2 as follows: -- $281.1 million Class A-1 at AAA (sf) -- $23.9 million Class A-2 at AA (sf) -- $29.2 million Class A-3 at A (sf) -- $17.7 million Class M-1 at BBB (sf) -- $12.7 million Class B-1 at BB (sf) -- $9.3 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) ratings on the Class A-1 Notes reflect 30.10% of credit enhancement provided by subordinate notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 24.15%, 16.90%, 12.50%, 9.35%, and 7.05% of credit enhancement, respectively. This is a securitization of a portfolio of fixed- and adjustable-rate expanded prime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,055 mortgage loans with a total principal balance of $402,152,867 as of the Cut-Off Date (June 1, 2022). This transaction represents the eighth securitization by the Seller (Western Asset Mortgage Capital Corporation) or an affiliate since 2018. The originators for the mortgage pool are AmWest Funding Corp. (AmWest; 74.6%), Metro City Bank (MCB; 23.1%), and CTBC Bank Corp. ( 2.3%). The servicers for the mortgage pool are AmWest (74.6%), MCB (23.1%), and Specialized Loan Servicing LLC ( 2.3%). Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's 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 Qualified Mortgage (QM)/ATR rules, approximately 57.0% of the loans are designated as non-QM. The remaining approximately 43.0% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. For this transaction, each servicer will fund advances of delinquent principal and interest (P&I) until loans become 180 days delinquent or are otherwise deemed unrecoverable. Additionally, each 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. The Sponsor, directly or through a wholly owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class B-1, B-2, B-3, A-IO-S, and 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 or after (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to less than or equal to 30% of the Cut-Off Date balance, the Administrator, on behalf of the Issuer, may redeem the Notes (Optional Redemption) at the redemption price (par plus interest). The Seller will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent under the Mortgage Bankers Association method 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 Issuer can redeem the Notes in whole but not in part at the tax redemption price (par plus interest) following a tax event as described in the transaction documents (Tax Redemption). The transaction employs a sequential-pay cash flow structure with a pro rata principal payment among the Class A-1, A-2, and A-3 Notes (senior classes of Notes) subject to certain performance triggers described in the Transaction Structure section of the related report (Credit Event). Also, principal proceeds can be used to cover interest shortfalls on the senior classes of Notes (IIIPPP) before being applied to amortize the balances of the Notes. If a Credit Event is in effect, principal proceeds can be used to cover interest shortfalls for the Class A-2 down to Class B-3 Notes only after the more senior tranches are paid in full. Also, the excess spread can be used to cover realized losses. 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. 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 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 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 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. BALLYROCK CLO 20: S&P Assigns BB- (sf) Rating on Class D Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ballyrock CLO 20 Ltd.'s fixed- and floating-rate notes and loans. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Ballyrock Investment Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Ballyrock CLO 20 Ltd. Class A-1A loans, $300.00 million: AAA (sf) Class A-1A, $20.00 million: AAA (sf) Class A-1B, $9.25 million: AAA (sf) Class A-2A, $38.25 million: AA (sf) Class A-2B, $10.00 million: AA (sf) Class B (deferrable), $27.50 million: A (sf) Class C (deferrable), $30.00 million: BBB- (sf) Class D (deferrable), $19.00 million: BB- (sf) Subordinated notes, $42.50 million: Not rated BANK 2017-BNK18: Fitch Cuts Class F Debt Rating to CCCsf -------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 13 classes of BANK 2017-BNK8 Commercial Mortgage Pass-Through Certificates, Series 2017-BNK8. The Rating Outlooks on classes on E and X-E remain Negative. BANK 2017-BNK8 Rating Prior ------ ----- A-1 06650AAA5 LT PIFsf Paid In Full AAAsf A-2 06650AAB3 LT AAAsf Affirmed AAAsf A-3 06650AAD9 LT AAAsf Affirmed AAAsf A-4 06650AAE7 LT AAAsf Affirmed AAAsf A-S 06650AAH0 LT AAAsf Affirmed AAAsf A-SB 06650AAC1 LT AAAsf Affirmed AAAsf B 06650AAJ6 LT AA-sf Affirmed AA-sf C 06650AAK3 LT A-sf Affirmed A-sf D 06650AAU1 LT BBB-sf Affirmed BBB-sf E 06650AAW7 LT BB-sf Affirmed BB-sf F 06650AAY3 LT CCCsf Downgrade B-sf X-A 06650AAF4 LT AAAsf Affirmed AAAsf X-B 06650AAG2 LT AA-sf Affirmed AA-sf X-D 06650AAL1 LT BBB-sf Affirmed BBB-sf X-E 06650AAN7 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrade to class F reflects increased loss expectations since Fitch's prior rating action, primarily due to performance declines for the larger Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 4.40%. While the majority of the pool has exhibited stable performance, Fitch has identified 11 loans (18.8% of the pool) as FLOCs. There are currently no loans in special servicing. The Negative Outlooks on classes E and X-E, which were previously assigned for additional coronavirus-related stresses applied to the pool, reflects the performance concerns for the larger FLOCs including increased vacancy and/or lease rollover risks for office properties Park Square and Park Place II, increased losses for a secondary market retail/outlet mall Pleasant Prairie Premium Outlets, and sustained pandemic related declines for the for the DHG Boston Hotel Portfolio. These classes may be subject to further downgrades should performance of these properties not improve and loss expectations increase and/or additional loans transfer to special servicing. Largest Contributors to Losses: The largest contributor to loss and largest increase in loss expectations since Fitch's prior rating action is the Park Square loan (9.0% of the pool), the second largest loan in the pool. The loan, which is secured by a 503,000-square foot (sf) office building in Boston, MA, has been identified as a FLOC due to occupancy declines since issuance and exposure to co-working tenant WeWork (26.8% of the NRA), which has been downsizing operations. At issuance, Fitch had noted nearly half of the WeWork space was dedicated to Amazon for research and development. WeWork's current lease at the property runs through July 2032. Per the servicer's reporting, occupancy has steadily declined to 86.1% as of YE 2021, from 89% at YE 2020, 90.4% at YE 2019 and 95% at issuance. CoStar reports the vacancy rate at the subject property has recently spiked to 39% as of 1Q 2022 from 11% at YE 2021. Fitch has requested from the servicer an updated 2022 rent roll and tenancy updates. Other larger tenants include Bay State College (6.7% NRA, expiring 2029 and 2030) and HTNB (5.2% NRA, lease expiring June 2023). The YE 2021 NOI fell 7.8% below the YE 2020 NOI and is 10.8% below the issuers underwritten NOI. The loan has remained current since issuance, with NOI DSCR at 1.76x as of YE 2021, down from 1.91x at YE 2020 and 1.98x per the issuers underwritten NOI. Fitch's base case loss of 14% reflects an 8.75% cap rate and a 15% stress to the YE 2021 NOI to account for occupancy declines and co-working tenant exposure. The second largest contributor to loss expectations is the DHG Greater Boston Hotel Portfolio (6.1%), which is secured by two full-service hotels, the Crowne Plaza Boston Natick (251 rooms) and Holiday Inn Boston-Bunker Hill (184 rooms), and one-select service hotel Hampton Inn Boston Natick (188 rooms). The portfolio has sustained performance declines-related to the pandemic. Portfolio occupancy and NOI DSCR remain low at 32.7% and 0.05x as of YE 2021. Despite a low DSCR, the loan has remained current on its debt service. All three hotels are underperforming their relative competitive set, with the TTM ended April 2022 occupancy penetration rate for the Crowne Plaza Boston Natick, Holiday Inn Boston-Bunker Hill, and Hampton Inn Boston Natick reporting at 88.3%, 83.7%, and 72.3%, respectively. Due to the sustained performance declines, Fitch's analysis included a 15% stress to the pre-pandemic YE 2019 NOI which equated to a base case loss of 11.2% and a Fitch stressed value of approximately $84,260 per key. Minimal Changes in Credit Enhancement (CE): As of the July 2022 remittance date, the aggregate pool balance has been paid down by 2.3% to $1.10 billion from $1.13 billion at issuance. Three loans (13.5% of the pool) have fully defeased since Fitch's prior rating action, which includes two loans in the Top 15, the New School (8.3%) and Industrial Portfolio III (4.5%). There are 19 loans (67.1% of the pool) that are full-term interest only (IO); 13 loans (18.4%) that are currently in their partial IO periods; and 17 loans (14.5%) that are currently amortizing. Interest shortfalls totaling $66,581 are currently impacting the non-rated G and RRI classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming loans; -- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not likely due to their position in the capital structure but may occur should interest shortfalls affect these classes; -- Downgrades to the 'BBB-sf' through 'A-sf' rated classes may occur should expected losses for the pool increase substantially, particularly on the FLOCs; -- Downgrades to the 'BB-sf' and 'CCCsf' rated classes would occur with greater certainty of loss, and/or overall pool loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or additional defeasance; -- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in CE and/or defeasance and improved performance from loans which have sustained performance declines from the pandemic; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse; -- Upgrades to the 'BBB-sf' and below-rated classes are considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Additionally, an upgrade to the 'Bsf' and 'CCC-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. BENEFIT STREET XXVII: Fitch Gives BB-(EXP) Rating to Class E Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benefit Street Partners CLO XXVII, Ltd. RATING ACTIONS Benefit Street Partners CLO XXVII, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Benefit Street Partners CLO XXVII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BSP CLO Management L.L.C. 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', 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 (CE) 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 76.6%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions appropriate for their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-2 notes, between 'BB+sf' and 'AA+sf' for class B notes, between 'B-sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D-1 notes, between less than 'B-sf' and 'BBB-sf' for class D-2 notes, and between less than 'B-sf' and 'BB-sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AAsf' for class C notes, 'A+sf' for class D-1 notes, between 'Asf' and 'A+sf' for class D-2 notes, and 'BBB+sf' for class E notes. BENEFIT STREET XXVII: Moody's Assigns B3 Rating to Class F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Benefit Street Partners CLO XXVII, Ltd. (the "Issuer" or "Benefit Street Partners XXVII"). Moody's rating action is as follows: US$252,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Benefit Street Partners XXVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 95.0% ramped as of the closing date. BSP CLO Management L.L.C. (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 seven 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: 75 Weighted Average Rating Factor (WARF): 2920 Weighted Average Spread (WAS): 3mS + 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 8.2 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. BWAY 2021-1450: DBRS Confirms B(low) Rating on Class F Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass Through Certificates issued by BWAY 2021-1450 Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-CP at BBB (sf) -- Class X-NCP at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The loan is secured by the fee-simple interest in 1450 Broadway, a 42-storey, 439,786-square-foot (sf) office tower in New York. The collateral consists of approximately 422,500 sf of office space, as well as 9,000 sf of lower-floor retail space and 8,000 sf of storage space. Constructed in 1931 and acquired by the sponsor in 2011, the property has received in excess of $11 million in capital improvements. The sponsor, ZG Capital Partners (the Zar Group), is a New York-based real estate investment firm with extensive ownership and operating experience. The Zar Group's holdings include 1450 Broadway, 654 Broadway, and 1410 Lexington Avenue in New York as well as the Bruckner Building in Mott Haven, Connecticut. Loan proceeds of $215.0 million refinanced $168.0 million of existing debt, funded $18.9 million of upfront reserves, and returned $23.8 million of equity to the sponsor. As of the December 2021 rent roll, the collateral was 81.9% occupied, compared with the issuance occupancy rate of 83.2%. The largest tenants at the property include WeWork (14.0% of the net rentable area (NRA), lease expiry in September 2035), Studio 1 (10.1% of NRA, lease expiry in January 2029), and Iconix Brand Group Inc. (8.0% of NRA, lease expiry in June 2024). WeWork's lease includes a corporate guarantee from the parent company, WeWork Companies Inc. At issuance, the guarantee was at approximately $6.1 million ($97 per square foot (psf)) and will burn off annually, but never falling below $3.6 million ($53 psf). As of the December 2021 rent roll, WeWork paid $60 psf with annual rent escalations of 2.0%. As of the YE2021 financials, the subject reported a debt service coverage ratio (DSCR) of 1.85 times (x), compared with the DBRS Morningstar DSCR of 1.82x at issuance. According to the July 2022 reserve report, there is $14.6 million held across all reserves, with $10.0 million in leasing reserves and $3.4 million in tenant reserves. According to a Q1 2022 Reis report, the Midtown West submarket of New York reported an office vacancy rate of 10.6%, compared with the Q1 2021 vacancy rate of 9.7%. Notes: All figures are in U.S. dollars unless otherwise noted. CARLYLE US 2022-3: Fitch Assigns BB- Rating on Class E Debt ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-3, Ltd. Carlyle US CLO 2022-3, Ltd. A LT NRsf New Rating A-L LT Nrsf New Rating B LT AAsf New Rating C-1 LT A+sf New Rating C-2 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 Carlyle US CLO 2022-3, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. 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', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.9% first-lien senior secured loans and has a weighted average recovery assumption of 75.5%. 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 41.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric; results under these sensitivity scenarios are between 'BB+sf' and 'AAsf' for class B notes, between 'B+sf' and 'A+sf' for class C-1 notes, between 'Bsf' and 'Asf' for class C-2 notes, between less than 'B-sf' and 'BBBsf' for class D notes, and between less than 'B-sf' and 'BBsf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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-1 notes, between 'A+sf' and 'AAsf' for class C-2 notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. CITIGROUP 2021-KEYS: DBRS Confirms B(low) Rating on Class G Certs ----------------------------------------------------------------- DBRS Limited confirmed the following ratings on the Commercial Mortgage Pass-Through Certificates issued by Citigroup Commercial Mortgage Trust 2021-KEYS: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at 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 since issuance. The loan is secured by the borrower's fee-simple interest in a 199-key full-service hotel, Isla Bella Beach Resort (Isla Bella), spanning more than 24 acres on Knights Key, with more than a mile of oceanfront exposure. Isla Bella is approximately two hours south of Miami, halfway between Islamorada and Key West. Amenities include five swimming pools, a 5,000-square-foot (sf) fitness and spa center, a 5,000-sf retail market place, and a 24-slip marina. The property also features three food and beverage outlets and offers banquets/catering services in conjunction with its 20,000 sf of meeting space. The sponsor, EOS Investors LLC, is an investment firm primarily operating in the hospitality sector. Its portfolio consists of a number of luxury hotels, including two other hotels in the Florida Keys and Key West. At issuance, the sponsor was planning to invest an additional $3.1 million in upgrades to the property. Loan proceeds of $225.0 million refinanced existing debt of $231.3 million and returned $8.7 million of equity to the sponsor. The loan is interest only throughout its initial two-year term and is structured with three one-year extension options. Only the third extension option includes a performance trigger, subject to a minimum debt yield of 10.0%. The loan benefits from its location and quality. Given the historically high barriers to entry within the submarket, the property is the only luxury hotel that has been developed in the Middle Keys in the past 20 years. Development of the property began in 2017, and the hotel was delivered in March 2019; however, the property was closed temporarily in 2020 because of the Coronavirus Disease (COVID-19) pandemic but reopened in June 2020. According to the March 2022 STR, Inc. report, the property reported trailing 12-month ended March 31, 2022, occupancy rate, average daily rate, and revenue per available room (RevPAR) figures of 76.2%, $678, and $516, respectively, representing a RevPAR penetration rate of 123.1%. This is a significant improvement from the issuance RevPAR of $359, although this figure incorporates a period of time when the subject was closed. The loan reported a YE2021 net cash flow (NCF) of $21.3 million (a debt yield of 9.5%), compared with the DBRS Morningstar NCF of $16.8 million (a debt yield of 7.5%). Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2022-C: S&P Assigns BB (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to CPS Auto Receivables Trust 2022-C's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 56.6%, 48.6%, 38.8%, 30.6%, and 25.3% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.20x, 2.70x, 2.10x, 1.60x, and 1.30x S&P's 17.00%-18.00% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. In addition, the credit enhancement, including excess spread, for classes A, B, C, D, and E covers break-even cumulative gross losses of approximately 90.5%, 77.8%, 64.7%, 50.9%, and 42.1%, respectively. -- The expectations that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix contained in "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A through E notes. -- The timely interest and principal payments made to the rated notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The transaction's payment and credit enhancement structure, which includes an incurable performance trigger. Ratings Assigned CPS Auto Receivables Trust 2022-C Class A, $201.520 million: AAA (sf) Class B, $54.340 million: AA (sf) Class C, $58.740 million: A (sf) Class D, $42.240 million: BBB (sf) Class E, $34.760 million: BB (sf) CSMC 2022-NQM5: S&P Assigns B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to CSMC 2022-NQM5 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The mortgage aggregator, DLJ Mortgage Capital Inc., and the originators, which include AmWest Funding Corp. and Visio Financial Services Inc.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings Assigned CSMC 2022-NQM5 Trust(i) Class A-1A, $213,151,000: AAA (sf) Class A-1B, $39,182,000: AAA (sf) Class A-1, $252,333,000: AAA (sf) Class A-2, $27,232,000: AA (sf) Class A-3, $48,586,000: A (sf) Class M-1, $20,766,000: BBB (sf) Class B-1, $16,065,000: BB (sf) Class B-2, $15,085,000: B- (sf) Class B-3, $11,755,366: Not rated Class A-IO-S, notional(ii): Not rated Class XS(iii), notional(ii): Not rated Class PT, $391,822,366: 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. DRYDEN 108 CLO: Moody's Assigns B3 Rating to $2.5MM Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Dryden 108 CLO, Ltd. (the "Issuer" or "Dryden 108 CLO"). Moody's rating action is as follows: US$315,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$2,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Dryden 108 CLO 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 up to 10.0% of the portfolio may consist of second lien loans and unsecured loans, provided no more than 5.0% of the portfolio may consist of bonds. The portfolio is approximately 93% ramped as of the closing date. PGIM, Inc. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2939 Weighted Average Spread (WAS): SOFR + 3.40% Weighted Average Coupon (WAC): 6.00% 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. DRYDEN 108: Fitch Assigns BB- Rating to Class E Debt ---------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 108 CLO, Ltd. RATING ACTIONS Rating Prior ------ ----- DRYDEN 108 CLO, LTD. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Dryden 108 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.6% first-lien senior secured loans and has a weighted average recovery assumption of 75.63%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class A-2, B, C, D and E notes can withstand default rates of up to 55.6%, 51.6%, 47.1%, 38.5% and 30.9% respectively, assuming portfolio recovery rates of 37.0%, 45.5%, 54.8%, 63.9% and 69.3% in Fitch's 'AAAsf' ,'AAsf', 'Asf', 'BBB-sf' and 'BB-sf' scenarios, respectively. The Fitch stressed portfolio included an assumption that 3.0% of the portfolio is long-dated as of the closing date, and haircuts were applied to any such assets that were projected to remain outstanding as of the CLO's maturity. 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-2, between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and between 'BBBsf' and 'BBB+sf' for class E notes. ELLINGTON FINANCIAL 2022-3: Fitch Gives B Rating to Class B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Ellington Financial Mortgage Trust 2022-3. EFMT 2022-3 Rating Prior ------ ----- A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by Ellington Financial Mortgage Trust 2022-3, Mortgage Pass-Through Certificates, Series 2022-3 (EFMT 2022-3), as indicated. The certificates are supported by 765 loans with a balance of $345.65 million as of the cutoff date. This will be the sixth Ellington Financial Mortgage Trust transaction rated by Fitch and the third EFMT transaction in 2022. The certificates are secured mainly by nonqualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the Rule). Approximately 79.4% of the loans were originated by LendSure Mortgage Corporation, a joint venture between LendSure Financial Services, Inc. (LFS) and Ellington Financial, Inc. (EFC). Approximately 12.4% of the loans were originated by American Heritage Lending. The remaining 8.2% of the loans were originated by third-party originators. Of the pool, 58% of the loans are designated as non-QM, and the remaining 42% are investment properties not subject to ATR. Rushmore Loan Management Services LLC will be the servicer and Nationstar Mortgage LLC will be the master servicer for the transaction. There is LIBOR exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 0.75% of the pool comprises loans with an adjustable rate. 0.26% of the pool comprise loans based on LIBOR and the remaining 0.49% of the pool comprises loans based on SOFR. The offered certificates have the following coupon rates: A-1, A-2 and A-3 are fixed rate with a step-up coupon at year four and capped at the net weighted average coupon (WAC) while M-1, B-1, B-2 and B-3 pay the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.7% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since 1Q22). Underlying fundamentals are not keeping pace with growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.2% yoy nationally as of December 2021. Nonprime Credit Quality (Mixed): Collateral consists mainly of 30-year fully amortizing loans, either fixed rate or adjustable rate, and 22% of the loans have an interest-only period. The pool is seasoned at about four months in aggregate, as determined by Fitch. The borrowers in this pool have relatively strong credit profiles with a 743 WA FICO score (745 WA FICO per the transaction documents) and a 41.7% debt-to-income ratio (DTI), both as determined by Fitch, as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) of 71.3%, translating to a Fitch-calculated sustainable LTV of 78.0%. Fitch considered 53.2% of the pool to consist of loans where the borrower maintains a primary residence, while 41.9% comprises investor property and 4.9% represents second homes. 2.09% of the pool is comprised of non-permanent residents that were underwritten to a foreign national program, Fitch does not make adjustments to occupancy, documentation scores or liquid reserves for non-permanent, since historical performance has shown they perform the same or better than U.S. citizens. In total, 100% of the loans were originated through a nonretail channel. Additionally, 58% of the loans are designated as non-QM, while the remaining 42% are exempt from QM status. The pool contains 70 loans over $1.0 million, with the largest loan at $2.53 million. Fitch determined that self-employed, non-debt service coverage ratio (DSCR) borrowers make up 45.2% of the pool; salaried non-DSCR borrowers make up 24.1%; and 30.7% comprises investor cash flow DSCR loans. About 41.9% of the pool comprises loans on investor properties (11.2% underwritten to borrowers' credit profiles and 30.7% comprising investor cash flow loans). There were no loans made to foreign nationals in the pool. There are no second liens in the pool, and three loans have subordinate financing. Around 28% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (12.2%), followed by the Miami MSA (9.0%) and the San Francisco MSA (4.3%). The top three MSAs account for 25.4% of the pool. As a result, there was no adjustment for geographic concentration. All loans are current as of July 1, 2022. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans (Negative): Fitch determined that about 79.2% of the pool was underwritten to less than full documentation, and 38.6% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the Rule's mandates with respect to underwriting and documentation of the borrower's ATR. Additionally, 4.8% comprises an asset depletion product, 0.0% is a CPA or P&L product and 30.7% is a DSCR product. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure side, as there is limited liquidity 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 subordinate bonds from principal until classes A-1, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 until they are reduced to zero. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after August 2026, since classes A-1, A-2 and A-3 have a step-up coupon feature that goes into effect after that date. To mitigate the impact of the step-up feature, principal and interest payments are redirected from the B-3 class to the A-1, A-2 and A-3 classes on and after August 2026. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. EXETER AUTOMOBILE: DBRS Confirms 13 Ratings from 4 Trust Deals -------------------------------------------------------------- DBRS, Inc. upgraded four ratings, confirmed 13 ratings, and discontinued three ratings as a result of repayment from four Exeter Automobile Receivables Trust transactions. The Issuers are: - Exeter Automobile Receivables Trust 2021-4 - Exeter Automobile Receivables Trust 2018-1 - Exeter Automobile Receivables Trust 2019-1 - Exeter Automobile Receivables Trust 2022-1 The Affected Ratings are available at https://bit.ly/3d1oOqx The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The rating actions are the result of the strong collateral performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transaction's capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. FREDDIE MAC 2022-HQA2: DBRS Gives Prov. BB Rating on 16 Classes --------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Structured Agency Credit Risk (STACR) REMIC 2022-HQA2 Notes (the Notes) to be issued by Freddie Mac STACR REMIC Trust 2022-HQA2 (STACR 2022-HQA2): -- $300.0 million Class M-1A at A (low) (sf) -- $187.0 million Class M-1B at BBB (sf) -- $70.0 million Class M-2A at BB (high) (sf) -- $70.0 million Class M-2B at BB (sf) -- $140.0 million Class M-2 at BB (sf) -- $140.0 million Class M-2R at BB (sf) -- $140.0 million Class M-2S at BB (sf) -- $140.0 million Class M-2T at BB (sf) -- $140.0 million Class M-2U at BB (sf) -- $140.0 million Class M-2I at BB (sf) -- $70.0 million Class M-2AR at BB (high) (sf) -- $70.0 million Class M-2AS at BB (high) (sf) -- $70.0 million Class M-2AT at BB (high) (sf) -- $70.0 million Class M-2AU at BB (high) (sf) -- $70.0 million Class M-2AI at BB (high) (sf) -- $70.0 million Class M-2BR at BB (sf) -- $70.0 million Class M-2BS at BB (sf) -- $70.0 million Class M-2BT at BB (sf) -- $70.0 million Class M-2BU at BB (sf) -- $70.0 million Class M-2BI at BB (sf) -- $70.0 million Class M-2RB at BB (sf) -- $70.0 million Class M-2SB at BB (sf) -- $70.0 million Class M-2TB at BB (sf) -- $70.0 million Class M-2UB at BB (sf) Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, and M-2UB are Modifiable and Combinable STACR Notes (MAC Notes). Classes M-2I, M-2AI, and M-2BI are interest-only MAC Notes. The A (low) (sf), BBB (sf), BB (high) (sf), and BB (sf) ratings reflect 3.000%, 2.000%, 1.625%, and 1.250%, of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. STACR 2022-HQA2 is the 26th transaction in the STACR HQA series. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgage loans held in various Freddie Mac-guaranteed mortgage-backed securities. As of the Cut-Off Date, the Reference Pool consists of 63,625 greater-than-20-year fully amortizing first-lien fixed-rate mortgage loans underwritten to a full documentation standard, with original loan-to-value (LTV) ratios greater than 80%. The mortgage loans were estimated to be originated on or after October 2020 and were securitized by Freddie Mac between October 1, 2021, and October 31, 2021. On the Closing Date, the trust will enter into a Collateral Administration Agreement (CAA) with Freddie Mac. Freddie Mac, as the credit protection buyer, will be required to make transfer amount payments. The trust is expected to use the aggregate proceeds realized from the sale of the Notes to purchase certain eligible investments to be held in a custodian account. The eligible investments are restricted to highly rated, short-term investments. Cash flow from the Reference Pool will not be used to make any payments; instead, a portion of the eligible investments held in the custodian account will be liquidated to make principal payments to the Noteholders and return amount, if any, to Freddie Mac upon the occurrence of certain specified credit events and modification events. The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available. DBRS Morningstar did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations. Instead, the trust will use the net investment earnings on the eligible investments together with Freddie Mac's transfer amount payments to pay interest to the Noteholders. In this transaction, approximately 2.3% of the loans were originated using property values determined using Freddie Mac's automated collateral evaluation (ACE) assessment rather than a traditional full appraisal. Loans where the property values were determined using ACE assessments generally have better credit attributes. The calculation of principal payments to the Notes will be based on actual principal collected on the Reference Pool. For STACR HQA transactions, beginning with the STACR 2018-HQA2 transaction, there has been a revision to principal allocation. The scheduled principal in prior transactions was allocated pro rata between the senior and nonsenior (mezzanine and subordinate) tranches, regardless of deal performance, while the unscheduled principal was allocated pro rata subject to certain performance tests being met. For the more recent transactions, the scheduled and unscheduled principal will be combined and allocated pro rata between the senior and nonsenior tranches only if the performance tests are satisfied. For STACR 2022-HQA2, the minimum credit enhancement test is not set to fail at the Closing Date. This allows rated classes to receive principal payments from the First Payment Date, provided the other two performance tests—delinquency test and cumulative net loss test—are met. Additionally, the nonsenior tranches will be entitled to the supplemental subordinate reduction amount if the offered reference tranche percentage increases 5.50%. The interest payments for these transactions are not linked to the performance of the Reference Obligations, except to the extent that modification losses have occurred. The Class B-3H Notes' coupon rate will be zero, which may reduce the cushion that rated classes have to the extent any modification losses arise. Additionally, payment deferrals will be treated as modification events and could lead to modification losses. Please see the PPM for more details. The Notes will be scheduled to mature on the payment date in July 2042, but they will be subject to mandatory redemption prior to the scheduled maturity date upon the termination of the CAA. The sponsor of the transaction will be Freddie Mac. U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend and R-1 (high) with a Stable trend by DBRS Morningstar) will act as the Indenture Trustee and Exchange Administrator. Wilmington Trust, National Association (rated AA (low) with a Stable trend and R-1 (middle) with a Stable trend by DBRS Morningstar) will act as the Owner Trustee. The Bank of New York Mellon (rated AA (high) with a Stable trend and R-1 (high) with a Stable trend by DBRS Morningstar) will act as the Custodian. The Reference pool consists of approximately 8.2% of loans originated under the Home Possible® program and 0.1% under HFA Advantage program. Home Possible® is Freddie Mac's affordable mortgage product designed to expand the availability of mortgage financing to creditworthy low- to moderate-income borrowers. If a reference obligation is refinanced under the Enhanced Relief Refinance Program, the resulting refinanced reference obligation may be included in the Reference Pool as a replacement of the original reference obligation. The Enhanced Relief Refinance Program provides refinance opportunities to borrowers with existing Freddie Mac mortgages who are current in their mortgage payments but whose loan-to-value ratios (LTVs) exceed the maximum permitted for standard refinance products. The refinancing and replacement of a reference obligation under this program will not constitute a credit event. For this transaction, if a loan becomes delinquent and the related servicer reports that such loan is in disaster forbearance before the sixth reporting period from the landfall of a hurricane, Freddie Mac will remove the loan from the pool to the extent the related mortgaged property is located in a Federal Emergency Management Agency (FEMA) major disaster area and in which FEMA has authorized individual assistance to homeowners in such area as a result of such hurricane that affects such related mortgaged property prior to the Closing Date. The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTVs, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. GOLDENTREE LOAN 14: Fitch Assigns BB- Rating on Class E Debt ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 14, Ltd. GoldenTree Loan Management US CLO 14, Ltd. Rating Prior ------ ----- X LT NRsf New Rating NR(EXP)sf A LT NRsf New Rating NR(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT A+sf New Rating A+(EXP)sf C-J LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F L NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY GoldenTree Loan Management US CLO 14, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Loan Management II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $492.00 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 notes benefit from appropriate credit enhancement 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 75.17%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may constitute up to 37.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In our stress scenarios, each class of notes was able to withstand default rates in excess of their respective rating hurdles. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B-1 and B-2, between 'Bsf' and 'A+sf' for class C, between 'Bsf' and 'A+sf' for class C-J, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'B+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-1 and B-2 notes, between 'A+sf' and 'AA+sf' for class C notes, between 'A+sf' and 'AA+sf' for class C-J notes, between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. GS MORTGAGE 2011-GC5: DBRS Confirms C Rating on 4 Classes Certs --------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2011-GC5 issued by GS Mortgage Securities Trust 2011-GC5 as follows: -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at C (sf) -- Class D at C (sf) -- Class E at C (sf) -- Class F at C (sf) DBRS Morningstar changed the trend on Class B to Stable from Negative. All other trends remain Stable with the exceptions of Classes C, D, E, and F, which are assigned ratings that generally do not carry a trend for Commercial Mortgage Backed Securities (CMBS) ratings. Classes D, E, and F continue to have Interest in Arrears. The rating confirmations and Stable trends reflect the generally stable outlook for losses for the remaining loans in the pool, as further described below. The barbelled rating profile for the transaction is largely the result of the concentration of loans secured by regional malls in secondary and tertiary markets that have shown performance declines from issuance. As of the July 2022 remittance, there are five loans remaining in the pool, all of which are in special servicing. There has been a collateral reduction since issuance of approximately 73.5%. The transaction has been relatively insulated from losses to date, with the $50.2 million first loss piece in the unrated Class G certificate reduced by approximately $6.6 million since issuance. The largest loan, 1551 Broadway (Prospectus ID#2, 37.2% of the pool), is secured by a retail property in Times Square in midtown Manhattan. The loan transferred to special servicing in November 2021 for maturity default and is flagged as a performing matured balloon loan. The borrower was unable to pay off the loan at the scheduled maturity in July 2021 and entered into a 120-day forbearance. However, the borrower was also unable to repay the loan at the end of the forbearance period and the loan remains outstanding. The property includes a 25-story LED sign and is fully occupied by sole tenant, American Eagle Outfitters, with a scheduled lease expiration in February 2024. The loan benefits from its desirable location in Times Square, which is one of the world's most visited tourist attractions. Prior to the Coronavirus Disease (COVID-19) pandemic, Times Square saw over 65 million visitors annually. As travel restrictions have eased over the past several months, the city of New York is projecting over 55 million visitors by the end of the year. The property was re-appraised in January 2022 at a value of $442.0 million, representing a 22.8% increase from the issuance value of $360.0 million. The resulting current loan-to-value ratio is less than 40.0%, suggesting that even in the event of an adverse liquidation scenario, a loss is unlikely. As of June 2022, servicer commentary states forbearance discussions are ongoing. The second-largest loan, Park Place Mall (Prospectus ID#1, 34.7% of the pool), is secured by a portion of a regional mall in Tucson, Arizona. The loan transferred to special servicing in September 2020 for imminent monetary default and is flagged as a nonperforming matured balloon loan. The loan sponsor, Brookfield Properties, has previously advised the servicer that no further capital will be contributed to support the property or loan; however, more recently, servicer commentary notes discussions regarding a potential loan modification are ongoing. As of year-end (YE) 2021, the collateral portion was 83.6% occupied, and the loan reported a debt service coverage ratio (DSCR) of 1.08 times (x), remaining in line with the previous year. Sales for the trailing-12 months (T-12) ended December 31, 2021 showed in-line tenant sales were $435 per square foot (psf), a significant increase from $315 psf for the previous T-12. The property was re-appraised in July 2021 at a value of $88.0 million, significantly below the issuance value of $313.0 million. Given the possibility that Brookfield could walk away from the asset and the performance declines from issuance, DBRS Morningstar liquidated the loan with this review, resulting in an implied loss severity exceeding 65.0%. The third-largest loan, Parkdale Mall & Crossing (Prospectus ID#5, 14.7% of the pool), is also secured by a regional mall property. The collateral is composed of a regional mall and adjacent strip mall in Beaumont, Texas. The loan has been in special servicing since February 2021. The loan sponsor, CBL Properties (CBL), filed for bankruptcy in November 2020 and emerged from bankruptcy in November 2021. As of June 2022, servicer commentary states CBL is seeking a five-year maturity extension and discussions regarding a loan modification are ongoing. The property was 98.2% occupied at YE2021, and the loan reported a DSCR of 1.03x, with performance generally flat year over year. The property was re-appraised in February 2022 at a value of $42.1 million, significantly below the issuance value of $149.0 million. Although the sponsor's apparent commitment to the property and loan are encouraging signs, the inability to secure replacement financing and the performance declines since issuance suggest the risks have significantly increased from issuance and a loss at resolution is likely. As such, DBRS Morningstar liquidated the loan with this review, resulting in an implied loss severity exceeding 55.0%. Notes: All figures are in U.S. dollars unless otherwise noted. HALCYON LOAN 2014-2: Moody's Cuts Rating on $27.5MM D Notes to C ---------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following note issued by Halcyon Loan Advisors Funding 2014-2 Ltd.: US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes Due April 28, 2025 (current outstanding balance of $30,346,941.99), Downgraded to C (sf); previously on November 11, 2021 Downgraded to Ca (sf) Halcyon Loan Advisors Funding 2014-2 Ltd., originally issued in April 2014 and partially refinanced in April 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2018. RATINGS RATIONALE The downgrade rating action on the Class D notes reflects the specific risks posed by credit deterioration observed in the underlying CLO portfolio, including par losses realized to-date. Based on the trustee's June 2022 report[1], the weighted average rating factor (WARF) is reported at 5271 versus the October 2021 level[2] of 3780. Based on the trustee's June 2022 report[3], the Class D Over-Collateralization (OC) ratio is reported at 54.51% versus the October 2021 level[4] of 76.94%. Additionally, the Class D notes are currently deferring interest payments, and carry a deferred interest balance of $2,846,941.99. Furthermore, based on Moody's calculation, the current proportion of obligors in the portfolio with Moody's corporate family or other equivalent ratings of Caa1 or lower is currently approximately 20.5% of the CLO par. 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: $31,396,171 Defaulted par: $13,858,141 Diversity Score: 13 Weighted Average Rating Factor (WARF): 3665 Weighted Average Spread (WAS): 3.70% Weighted Average Recovery Rate (WARR): 47.35% Weighted Average Life (WAL): 2.0 years Par haircut in OC tests: 7.8% In addition to the base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating 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 Rating: 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. HILTON USA 2016-SFP: DBRS Confirms B(high) Rating on F Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2016-SFP issued by Hilton USA Trust 2016-SFP: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-NCP at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class X-E at BB (low) (sf) -- Class F at B (high) (sf) Classes A, B, C, X-NCP, and D have Stable trends. DBRS Morningstar maintained the Negative trends on Classes E, F, and X-E as the underlying collateral continues to face performance challenges because of the lasting effects of the Coronavirus Disease (COVID-19) pandemic, which resulted in temporary closures of the underlying properties between 2020 and 2022. DBRS Morningstar also maintained its Interest in Arrears designation on Class F. The rating confirmations reflect the generally stable performance since DBRS Morningstar's last review of this transaction, with no delinquencies or defaults reported by the servicer. The $725 million transaction is secured by the borrower's fee and leasehold interest and the operating lessees' leasehold interest in two full-service hotels within San Francisco's Union Square—Hilton San Francisco Union Square (Union Square) and Hilton Parc 55 San Francisco (Parc 55). The hotels are well located in San Francisco's Tenderloin District, just off Market Street and less than 0.5 miles from the Moscone Center. The Hilton Union Square property is a 1,919-room, convention-oriented hotel that includes 130,000 square feet (sf) of meeting space. The hotel is the largest in San Francisco and derives about 40% of its demand from the meetings and group segment. The 32-storey Parc 55 property is the fourth-largest full-service hotel in San Francisco, with 1,024 guest rooms and 28,000 sf of meeting space. After acquiring the property in 2015, the sponsor invested $5.5 million in upgrades to meet Hilton standards. The coronavirus pandemic caused economic strain on both hotels for most of 2020 and 2021 as bookings declined substantially given the reliance on business and corporate as well as leisure travel which have remained depressed since the start of the pandemic. As such, the loan produced negative cash flow in 2020 and 2021 as both hotels were closed for most of 2020 and during the first quarter of 2021 before reopening in May 2021 and June 2021. As of September 2020, the loan was placed on the servicer's watchlist for low debt service and coverage ratio and coronavirus-related issues. During the same period, a loan modification was granted, allowing for the deferral of monthly furniture, fixture, and equipment reserve collections for a period of six months and a waiver of the debt yield test through June 2021. As noted by the loan sponsor in discussions with the servicer as well as various reports, San Francisco continues to be one of the slowest markets to recover from the effects of the coronavirus pandemic, and continued delays for the return to office for employees of area-based technological companies remains a concern not only in San Francisco but in the greater Bay Area overall. However, according to an article published by The Real Deal on May 24, 2022, the San Fransico hotel submarket has been showing signs of rebound in Q2 2022, with occupancy reaching 67.2% in April 2022, nearly double of the rate reported in April 2021 of 35.5%. Additionally, the subject portfolio's management remains optimistic for Q2 2022 given the return of larger group events and traditional business travel, and demand generators in close proximity to the hotel such as the Asian Art Museum, and Westfield San Francisco Centre, and Alcatraz Island tours, which are now open. According to the calendar of events at the Moscone Center, event bookings have been increasing since the start of Q2 2022, suggesting some rebound in demand toward pre-pandemic levels. According to the servicer, the subject Hilton complex continues to see increases in group volume, reporting 200 to 500 room nights during peak times in March and April, with association meetings experiencing stronger improvements relative to corporate group programs. Despite more recent signs of life for the area market, both of the subject hotels continued to face performance challenges throughout 2021, with the sponsor suspending operations at the Parc 55 property between October 2021 and May 2022 from lack of demand. According to the trailing 12 months (T-12) ended March 31, 2022, the properties reported a combined occupancy rate of 12.7%, average daily rate (ADR) of $91, and revenue per available room (RevPAR) of $23. While low occupancy is predominantly attributed to the temporary closure of both properties, demand when the properties have been open has been quite low. According to the T-12 ended March 31, 2022, STR, Inc. report for Union Square, the penetration rates of occupancy, ADR, and RevPAR figures remained depressed at 52.2%, 99.5%, and 51.9%, respectively; on a trailing three-month basis for the same period, the figures are not materially better, suggesting performance for 2022 did not begin on a trajectory that suggests significant improvement for the year as a whole. Given these factors and the general unknowns with regard to meaningful improvements in demand over the near to moderate term, DBRS Morningstar expects the portfolio's stabilization to be delayed compared with hotels in other markets serving similar demand bases, supporting the maintenance for Negative trends for three classes with this review. However, it is also noteworthy that the sponsor continues to support the loan and properties by funding shortfalls out of pocket, and has kept the loan current throughout the coronavirus pandemic. The commitment is likely a factor of historical performance, which was quite strong, and the expectation that as the effects of the pandemic continue to subside, room revenues will begin to increase. Notes: All figures are in U.S. dollars unless otherwise noted. HMH TRUST 2017-NSS: DBRS Confirms BB Rating on Class D Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-NSS issued by HMH Trust 2017-NSS as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at BBB (sf) -- Class D at BB (sf) -- Class E at B (low) (sf) DBRS Morningstar also changed the trends on all classes to Stable from Negative. The trend changes reflect the easing pressure from the initial phases of the Coronavirus Disease (COVID-19) pandemic and improving performance of the underlying collateral as further discussed below. The $204.0 million trust mortgage loan is secured by the fee-simple interest in one hotel and leasehold interests in 21 hotels across nine different states, with the largest concentrations in California, Florida, and North Carolina. The capital stack includes a $25.0 million mezzanine loan held outside of the trust, and the trust permits an additional $26.0 million mezzanine loan; however, additional mezzanine debt has not been obtained. The mezzanine loans are co-terminus with the trust mortgage loan, which matures in July 2022. The properties have solid brand affiliation, with either Hilton Worldwide Holdings Inc., Hyatt Hotels Corporation, Marriott International, Inc., or Choice Hotels International, Inc. flags on each hotel. All franchise agreements expire subsequent to loan maturity. Nearly half the pool operates as extended-stay hotels, with the remaining operating as either limited-service or select-service hotels. The sponsor for the loan is Jay H. Shidler, founder of The Shidler Group, which was founded in 1972 and is headquartered in Honolulu. The loan has been in special servicing since May 2020 as a result of imminent monetary default after the borrower stopped making debt service payments and subsequently requested coronavirus-related relief. While there were initial discussions of the mezzanine lender taking title through a loan assumption and modification, terms were not reached. Amid the workout negotiations, the controlling class representative exercised its right to replace the special servicer, appointing Midland Loan Services to take over for AEGON USA Realty Advisors, LLC. The borrower has since consented to a court-appointed receiver. According to the special servicer, the receiver has entered into a listing agreement with JLL and began marketing the portfolio for sale in May 2022. No update regarding the sales process has been received to date, and given the July 2022 loan maturity, a short-term extension could be required. At issuance, the collateral portfolio was valued at $356.6 million ($123,690 per key). Since that time, the servicer has obtained two rounds of updated appraisals, valuing the collateral portfolio on an as-is basis of $173.2 million ($60,076 per key) in November 2021 and $295.8 million ($102,601 per key) in February 2021. According to the servicer, updated appraisals have been ordered, but are not yet finalized. Based on the February 2021 value, the mortgage trust reflected an adequate loan-to-value ratio of 69.0%, increasing to 76.3% when factoring in the $21.8 million of outstanding servicer advances. Despite the increasing advances year over year (YOY), the trust mortgage loan is well supported by the recent valuations. In addition, the February 2021 appraisal reports also indicated value-add potential to the portfolio, projecting a stabilized value of $396.9 million ($137,669 per key), with stabilization periods in a two- or three-year time frame, beyond loan maturity. Per the YE2021 financials, the portfolio reported a trailing twelve months (T-12) net cash flow (NCF) figure of $431,000 (reflecting a debt coverage service ratio (DSCR) of 0.04 times (x)), in comparison to the YE2020 NCF figure of $1.1 million (reflecting a DSCR of 0.38x). While these figures are both well below the DBRS Morningstar reanalyzed NCF figure of $19.9 million, performance continues to improve, and as such, DBRS Morningstar anticipates the improvement will be reflected in updated financial reporting. According to the most recent STR report, the portfolio reported T-12 ended March 31, 2022, occupancy, average daily rate (ADR), and revenue per available room (RevPAR) figures of 61.6% (+59.6% YOY), $124 (+19.0% YOY), and $79 (90.2% YOY), respectively, reflecting penetration rates of 107.6%, 109.9%, and 120.6%, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. HOMEWARD 2022-1: S&P Assigns Prelim B (sf) Rating on Cl. F Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Homeward Opportunities Fund Trust 2022-1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and non-prime borrowers, generally secured by single-family residential properties, planned-unit developments, condominiums, two- to four- family residential properties, townhouses, and one manufactured housing property. The loans are mainly non-qualified or exempt mortgage loans. The preliminary ratings are based on information as of Aug. 4, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, Neuberger Berman Investment Advisers LLC, and the transaction's mortgage originators; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook on the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Preliminary Ratings Assigned(i) Homeward Opportunities Fund Trust 2022-1 Class A-1, $224,672,000: AAA (sf) Class A-2, $22,556,000: AA (sf) Class A-3, $38,541,000: A (sf) Class M-1, $22,378,000: BBB (sf) Class B-1, $17,405,000: BB (sf) Class B-2, $17,051,000: B (sf) Class B-3, $12,610,277: NR Class A-IO-S, notional(ii): NR Class X, notional(ii): NR Class R, N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. JP MORGAN 2014-C23: Fitch Affirms CCC Ratings on 2 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 14 classes and maintained four Negative Outlooks of J.P. Morgan Chase Commercial Mortgage Securities Trust's (JPMBB), series 2014-C23 commercial mortgage pass-through certificates. Rating Prior ------ ----- JPMBB 2014-C23 A-4 46643ABD4 LT AAAsf Affirmed AAAsf A-5 46643ABE2 LT AAAsf Affirmed AAAsf A-S 46643ABJ1 LT AAAsf Affirmed AAAsf A-SB 46643ABF9 LT AAAsf Affirmed AAAsf B 46643ABK8 LT Aasf Affirmed AAsf C 46643ABL6 LT Asf Affirmed Asf D 46643AAG8 LT BBB-sf Affirmed BBB-sf E 46643AAJ2 LT Bsf Affirmed Bsf EC 46643ABM4 LT Asf Affirmed Asf F 46643AAL7 LT CCCsf Affirmed CCCsf X-A 46643ABG7 LT AAAsf Affirmed AAAsf X-B 46643ABH5 LT BBB-sf Affirmed BBB-sf X-C 46643AAA1 LT Bsf Affirmed Bsf X-D 46643AAC7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect the stable loss expectations for the pool since Fitch's last rating action. Eight loans (23% of the pool) are considered FLOCs including five (7.6%) that remain in special servicing. Fitch's current ratings incorporate a base case loss of 7.2%. The Negative Rating Outlooks reflect losses that could reach 8.5% when factoring in potential outsized loss on Residence Inn Mountain View and uncertainties of recovery around Las Catalinas Mall and Beverly Connection. The largest loss contributor to the pool is Las Catalinas Mall (6.0%), secured by a 355,385-sf collateral portion of a 494,071-sf regional mall in Caguas, Puerto Rico, approximately 20 miles south of San Juan. The loan transferred to special servicing in June 2020 due to performance decline from the pandemic and following the closure of Kmart (34.5% of NRA) in 2Q 2019 and Sears (non-collateral) in February 2021. The loan returned to the master servicer in March 2021 following a loan modification in December 2020. Modification terms included extension of the loan's maturity by 18 months through February 2026 with conversion of the loan to interest-only payments through the extended maturity. After August 2023, the borrower will have the right to pay off the loan for $72.5 million without any fee or prepayment, which is a 44% discount to the current loan balance of $128.8 million. The mall's occupancy, as of March 2022, declined to 49% from 51% at YE2021. Occupancy is expected to improve to 83% after Sector Sixty6 takes occupancy of the former KMART space in 4Q 2022 or 1Q 2023. With the new tenant in place, NOI is expected to increase by approximately 10%. Inline tenant sales were $422 psf as of the trailing twelve months (TTM) ended January 2021, down from $530 psf for the TTM ended January 2020 and $642 psf for the TTM ended January 2019. Fitch's base case loss of 44% reflects the permissible potential discounted payoff (DPO) and assumes near-term stabilization of the asset. The second largest loss contributor is Stevens Business Park, secured by a 468,373-sf office complex consisting of four single-tenant and two multitenant buildings located in Richland, WA in an area known as the Tri-Cities Research District. The buildings are part of a larger 11-building research park. Starting in 2018, Bechtel National reduced their footprint in phases from 36.3% (169,880 sf) of total NRA to 5% (23,665 sf) as of March 2022. At the same time, Washington River Protection Solutions (WPRS) expanded into the vacated space, increasing from 9.4% of total NRA to 31.6% as of March 2022. WPRS is expected to vacate 9.5% of their space in September 2022 and start a new lease with 19% of NRA, which will bring occupancy up to 89% by October 2022. Fitch's modeled loss of 24% incorporates a cap rate of 10% and a 5% stress to YE2021 NOI. The third largest loss contributor is Duncan Center (1%), secured by a six-story office building, totaling 57,468 sf located in Dover, DE. The loan was transferred to special servicing in October 2019 for imminent default and has become REO since Aug 2021. According to the special servicer, Ten-X auction sale is projected in September 2022 after the execution of several leases, which will bring occupancy up to 33%. As of the May rent roll, the property was 18.5% occupied. Fitch's base case loss of 91% reflects a discount to a recent appraisal value. Alternative Loss Considerations: Fitch ran an additional sensitivity which reflects a 35% projected outsized loss on the Residence Inn Mountain View loan to address the potential refinance risk. Increased Credit Enhancement: The pool's credit enhancement (CE) has improved since issuance given the scheduled loan amortization, payoffs and defeasance. As of the July 2022 distribution date, the pool's aggregate principal balance has been paid down by 32.9% to $909.9 million from $1.4 billion at issuance. Since the last rating action, one loan (1%) prepaid in full with yield maintenance. Six-teen loans (15.0%) have been fully defeased. The pool contains 30% of full-term, interest only loans and 46.7% of partial interest-only. Forty-seven loans (92.0%) are scheduled to mature in 2024, one (5.9%) in 2026 and two (2.0%) in 2034. 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 FLOCs or underperforming loans. Downgrades of the super-senior A-4, A-5, and A-SB classes, rated 'AAAsf', are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades of classes A-S, B, C, X-A, X-B and X-C may occur if the larger FLOCs realize outsized losses. Downgrades to the 'Bsf' and 'BBB-sf' categories, both of which currently have Negative Outlooks, would occur should loss expectations increase significantly including the FLOCs experience outsized losses and/or underperformed loans fail to stabilize. A downgrade to the distressed 'CCCsf' rated classes would occur with increased certainty of losses or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would likely 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. An upgrade to the 'BBB-sf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'CCCsf' and 'Bsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or specially serviced loans are successfully resolved, and there is sufficient CE to the classes. JP MORGAN 2014-DSTY: S&P Affirms 'CCC-' Rating on Cl. C Certs ------------------------------------------------------------- S&P Global Ratings lowered its ratings to 'CCC- (sf)' on four classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY, a U.S. CMBS transaction. At the same time, S&P affirmed its 'CCC- (sf)' rating on class C from the same transaction. The U.S. CMBS transaction is backed by two uncrossed fixed-rate interest-only (IO) mortgage loans, each secured by a different phase of the Destiny USA regional mall property in Syracuse, N.Y. Rating Actions S&P said, "The downgrades on classes A and B and affirmation of class C reflect our reevaluation of the two phases of the Destiny USA mall based on our review of the updated July 2021 appraisal values released by the servicer in July 2022 and the performance data for the trailing 12 months (TTM) ending March 31, 2022, and year-end 2021. "As a result, our expected-case valuation, in aggregate, has declined 23.2% since our last review in February 2021, driven largely by S&P Global Ratings' lower sustainable net cash flow (NCF) for the two phases of the mall to account for the further decline in reported performance due to continued challenges facing the retail mall sector. "The downgrades on classes A and B to 'CCC- (sf)' and affirmation of class C at 'CCC- (sf)' reflect our view of the increased susceptibility to liquidity interruption and losses based on our revised lower combined expected case value, the lower appraisal values, in total, of $147.0 million (down from $203.0 million as of November 2020), as well as the borrowers' modified debt service payments that were recently effectuated by the special servicer, following transfer of the loans to special servicing on April 4, 2022, due to imminent default (details below). Specifically, the downgrades and affirmation reflect our view that, based on S&P Global Ratings' loan-to-value (LTV) ratio of over 100% on the loans, these classes are more susceptible to reduced liquidity support, and the risk of default and loss has increased. "The downgrades on the class X-A and X-B IO certificates are based on 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. Class X-A's notional amount references class A and class X-B's notional amount references class B." Property-Level Analysis Destiny USA mall in Syracuse, N.Y., consists of two phases (details below), each backing the two mortgage loans in the transaction. S&P's property-level analysis considered the declines in net operating income (NOI) at the property using servicer-provided operating statements from 2016 through TTM ending March 31, 2022, the most recent available rent rolls, and tenant sales reports. Details on the two phases of Destiny USA Mall are as follows: Destiny USA Phase I Destiny USA Phase I is a 1.51 million-sq.-ft. super regional shopping mall in Syracuse; 1.24 million sq. ft. of which serves as collateral for the $300.0 million loan in the transaction. The Phase I borrower is party to a payment in lieu of tax (PILOT) agreement under which the borrower makes PILOT payments that increase each year through the agreement's 2035 expiration in lieu of paying real estate tax. S&P's property-level analysis considered the year-over-year decline in servicer-reported NOI: -6.9% in 2016, -7.9% in 2017, -13.9% in 2018, -6.1% in 2019, and-57.2% in 2020, due primarily to lower occupancy and revenues and higher operating expenses. While the reported NOI increased 24.4% to $10.6 million in 2021 and another 5.5% to $11.2 million as of TTM ending March 30, 2022, the collateral was only 57.3% occupied, according to the March 31, 2022, rent roll. The low occupancy is partly attributable to four spaces (collateral anchors, junior anchors, or major tenant boxes) totaling 326,649 sq. ft., formerly leased to JC Penney, Best Buy, Bon Ton, and Forever 21 (before downsizing), that remain vacant. The five largest collateral tenants comprise 25.3% of the collateral's total net rentable area (NRA) and they include: -- At Home (7.2% of NRA, 4.9% of base rent as calculated by S&P Global Ratings, September 2024 lease expiration); -- Regal Carousel Mall 17 (6.2%, 9.6%, June 2024); -- Burlington Coat Factory (5.0%, 3.5%, September 2027); -- Hobby Lobby (4.8%, 4.0%, December 2031); and -- Forever 21 (2.1%, 1.1%, January 2023). In addition, according to the March 2022 rent roll, the property faces elevated tenant rollover risk in 2024 when 23.6% of NRA rolls. S&P said, "In our current analysis, we excluded tenants that had closed or announced impending closure, bringing the collateral occupancy rate down to 56.4%. We revised our sustainable NCF downward by 42.1% from our last review in February 2021 to $4.5 million, reflecting the weak tenancies and performance, and the contractual PILOT payment increases, by estimating a forward-looking PILOT payment of $29.4 million, unchanged from our assumptions at issuance and in the last review. Using a 9.75% S&P Global Ratings capitalization rate, unchanged from last review, and adding to value $19.5 million for the present value of the PILOT benefit over a seven-year period, we arrived at our expected-case value of $65.5 million, which is down 37.3% from our February 2021 review of $104.5 million. Our expected-case value yielded an S&P Global Ratings LTV ratio of over 100%. This compares to the July 2021 appraisal value of $67.0 million, which is down 43.2% from the November 2020 appraisal value of $118.0 million and 86.3% from the issuance appraisal value of $490.0 million." Destiny USA Phase II Destiny USA Phase II is an 874,200-sq.-ft. regional shopping mall; all of which serves as collateral for the $130.0 million loan in the transaction. S&P's property-level analysis considered the fluctuating servicer-reported NOI: 8.8% in 2016, -5.0% in 2017, -9.0% in 2018, 5.3% in 2019, -44.4% in 2020, 38.9% in 2021, and 9.9% to $9.9 million as of TTM ending March 31, 2022. According to the March 31, 2022, rent roll, the collateral's occupancy was 67.0%, down from 79.0% in 2016. The five largest tenants comprise 29.1% of NRA and they include: -- Dick's Sporting Goods (10.3% of NRA, 5.3% of base rent as calculated by S&P Global Ratings, January 2023 lease expiration); -- Apex Entertainment Center (6.3%, 8.9%, February 20230); -- RPM Raceway (4.7%, 2.2%, November 2024); -- Wonderworks (4.3%, 1.3%, November 2027); and -- Nordstrom Rack (3.4%, 5.6%, October 2025). In addition, according to the March 2022 rent roll, the property faces heightened tenant rollover in 2023 (19.5% of NRA), 2024 (10.1%), and 2025 (11.9%). S&P siad, "We revised our sustainable NCF downward by 5.1% from our last review to $7.6 million. Using a 9.75% S&P Global Ratings capitalization rate (unchanged from our last review), we arrived at our expected-case value of $77.6 million, down 5.1% from our last review in February 2021. Our expected-case value yielded an S&P Global Ratings LTV ratio over 100%." This compares to the July 2021 appraisal value of $80.0 million, which is down 5.9% from the November 2020 appraisal value of $85.0 million and 63.6% from the issuance appraisal value of $220.0 million. Transaction Summary This is a U.S. stand-alone (single-borrower) CMBS transaction backed by two fixed-rate IO mortgage loans, each secured by a different phase of the Destiny USA Mall in Syracuse, N.Y. The two loans pay an annual fixed interest rate of 3.814%, matured on June 6, 2022, and are not cross-collateralized or cross-defaulted because the PILOT bond financing underlying Phase I of the mall restricts the loans from being crossed. The loans' sponsor is The Pyramid Co. As of the July 12, 2022, trustee remittance report, the trust had an aggregated balance of $430.0 million, the same as at issuance and the last review. To date, the trust has not incurred any principal losses. The servicer reported outstanding principal and interest advances of $6.8 million. However, there are $5.0 million reported in other reserve account held by the servicer. As previously mentioned, the loans transferred back to the special servicer on April 4, 2022, due to imminent payment default. It is S&P's understanding that the special servicer recently finalized a loan modification with the borrowers, with terms that include, among other items, the following: -- A one-year extension of the loans' maturity date to June 6, 2023, with four one-year extension options subject to meeting the following NOI hurdles, in aggregate for both loans: $16.0 million at the end of the first term, $19.0 million at the end of the second term, $22.0 million at the end of the third term, and $24.0 million at the end of the fourth term. -- A reduction to the coupon from 3.814% to 1.0% per annum on the full outstanding balance of each loan. The difference in interest of 2.814% per annum will accrue on the full outstanding balance. In regard to payment priority, 0.907% per annum is categorized as priority deferred interest and 1.907% per annum is categorized as deferred interest (see waterfall distribution below). While the July 2022 remittance report reflected full monthly interest payments to the bondholders, S&P considered the potential future shortfalls on the rated classes due to reduced debt service payments from the borrowers. -- A modification to the payment waterfall following a property sale. Net proceeds will be distributed as follows: first, to pay advances and all accrued interests on such advances; second, to pay the priority deferred interest until paid in full; third, to pay the principal balance of the loans, up to $215.0 million; fourth, 40.0% of the next $30.0 million of proceeds to pay deferred interest until paid in full, then payment of the remaining loan balances, however, if the borrowers exercise its right of first refusal (ROFR) at a price at least 1.0% above the approved offer, 100% will be applied to repay the loan balance; fifth, to the extent ROFR is not exercised, the remaining 60.0% of the $30.0 million of proceeds referenced above to borrowers; sixth, 60.0% of the remaining proceeds to deferred interest until paid in full, then pay down the loan balances, provided, however, if the ROFR is exercised, 100% to payment of the loans; and seventh, thereafter, all remaining proceeds to borrowers. -- In addition to the recent loan modification, the loans were previously modified on May 31, 2019, after being transferred to special servicing on March 14, 2019, for imminent default. Then, the borrowers had requested COVID-19-related relief due to the pandemic's effect on the property's performance. The special servicer, Wells Fargo Bank N.A., executed a standstill agreement on June 9, 2020. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic as well as the importance and benefits of vaccines. S&P said, "While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well each issuer adapts to new waves in its geography or industry." LOANCORE 2021-CRE4: DBRS Hikes Class G Certs Rating to B(high) -------------------------------------------------------------- DBRS, Inc. upgraded its ratings on six classes of Commercial Mortgage Pass-Through Certificates, Series 2021-CRE4 issued by LoanCore 2021-CRE4 Issuer Ltd. as follows: -- Class B to AA (sf) from AA (low) (sf) -- Class C to A (sf) from A (low) (sf) -- Class D to BBB (high) (sf) from BBB (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) DBRS Morningstar also confirmed its ratings on one class as follows: -- Class A at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayment, representing a collateral reduction of 23.6% since issuance, based on the July 2022 remittance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 16 floating-rate mortgages secured by 22 mostly transitional properties with a cut-off date balance totaling approximately $600.4 million, excluding approximately $79.4 million of future funding commitments and $30.0 million of funded companion participations. Most loans are in a period of transition with plans to stabilize performance and improve the asset value. The collateral pool for the transaction is static with no ramp-up or reinvestment period; however, during the Replenishment Period, the Issuer may acquire funded Future Funding Participations and permitted Funded Companion Participations with principal repayment proceeds. As of July 2022, the Replenishment Account has a balance of $5.2 million. According to the July 2022 remittance report, 12 loans remain in the pool with a current principal balance of $453.4 million. According to the collateral manager, cumulative loan future funding of $48.8 million has been advanced to two individual borrowers through June 2022 to date to aid in business plan completion with $28.0 million advanced to the borrower of the Horizon Sunnyvale loan and $20.7 million advanced to the borrower of the 15000 Aviation loan. In both instances, the collateral for the individual loans are office properties where the borrower's business plan is to complete significant property repositioning through capital improvement projects and offer competitive leasing packages to lease the vacant properties. An additional $53.2 million of loan future funding allocated to eight individual borrowers remains outstanding, including an additional $7.0 million allocated to the Horizon Sunnyvale loan and $9.6 million to the 15000 Aviation loan. The pool is concentrated by property type as five loans (51.6% of the pool) are secured by office properties, three loans (20.7% of the pool) are secured by retail properties, and two loans (19.9% of the pool) are secured by multifamily properties. In contrast, office, retail, and multifamily properties represented 38.8%, 22.1%, and 25.5% of the pool, respectively, as of August 2021 reporting. The transaction also continues to benefit from a concentration of properties in urban markets as four loans representing 29.2% of the pool are in markets with a DBRS Morningstar Market Rank of 7 and 8.. The remaining properties in the transaction are in markets that DBRS Morningstar characterizes as suburban. In contrast, urban and suburban markets represented 23.7% and 76.3% of the pool, respectively, as of August 2021. There are two loans on the servicer's watchlist, representing 12.3% of the current trust balance, that are being monitored for upcoming maturity; however, each loan has an extension option remaining. There are no loans in special servicing; however, the lender has provided loan modifications to five borrowers, representing 34.4% of the outstanding pool balance. In general, the modifications allowed borrowers to exercise loan extension options by waiving required performance thresholds, or the lender waived debt service carry reserve replenishment requirements. Notes: All figures are in U.S. dollars unless otherwise noted. M360 2019-CRE2: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------ DBRS Limited confirmed the ratings on the floating-rate notes issued by M360 2019-CRE2, Ltd. as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) The trends on Classes F and G remain Negative. The trends on all other classes remain Stables. The rating confirmations and Stable trends reflect the increased credit enhancement to the bonds as result of successful loan repayment. The Negative trends on Classes F and G reflect the ongoing concern with loans in special servicing as the transaction is subject to adverse selection as eight loans, representing 48.5% of the trust balance, are in special servicing as of the July 2022 remittance. DBRS Morningstar does not anticipate any pending realized loan losses and there is a $38.7 million first loss piece held by the Issuer, which helps to mitigate the specially serviced loan risk. In general, the borrowers on these loans have been unable to execute the respective business plans as expected, with the loans past the scheduled maturity dates. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The transaction closed in August 2019 and the initial collateral consisted of 32 floating-rate mortgages secured by 32 mostly transitional properties with a maximum trust balance totaling $360.0 million. Per the July 2022 remittance report, there were 19 mortgages secured by 19 properties remaining in the pool with a total trust balance of $185.9 million, representing a 48.4% collateral reduction. The 18-month reinvestment period concluded in April 2021 and the transaction is paying sequentially. Since issuance, 31 loans have been repaid from the pool. The current composition of the transaction is concentrated by property type with six loans secured by office properties, representing 35.2% of the pool, and four loans secured by multifamily assets, representing 18.7% of the pool balance. The loans are secured by properties concentrated in suburban markets with 28.5% of the pool in DBRS Morningstar Market Rank 5 and 26.1% of the pool in DBRS Morningstar Market Rank 4. Through March 2022, the collateral manager had advanced $26.9 million in loan future funding to 13 individual borrowers to aid in property stabilization efforts. The largest advance, $1.7 million, was made to the borrower of the University Residences loan, which is secured by two multifamily properties loan in the University City neighborhood of Philadelphia. The borrower's business plan is to complete a capital improvement program to convert the property from a student housing asset to a generic multifamily property. An additional $18.1 million of loan future funding, allocated to 16 borrowers, remains outstanding. Of this amount, $5.0 million is allocated to the borrower of the University Residences loan and $1.8 million is allocated to the borrower of The Villas at the Curve and Eagle Landing loan for further capital improvement costs. Select borrowers continue to progress toward completing the stated business plans; however, several individual borrowers are behind schedule, particularly those with a loan currently in special servicing. Three additional loans, representing 23.0% of the trust balance, are on the servicer's watchlist for low debt service coverage ratios (DSCR), occupancy related issues, and upcoming loan maturity. In its analysis, DBRS Morningstar analytical to reflect the current credit risk profile of loans where applicable. Notes: All figures are in U.S. dollars unless otherwise noted. MF1 2022-FL10: DBRS Gives Prov. B(low) Rating on 3 Classes of Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by MF1 2022-FL10 LLC: -- 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 24 floating-rate mortgage loans secured by 34 transitional multifamily and manufactured housing properties, totaling $979.18 million (44.5% of the total fully funded balance), excluding $306.65 million (13.9% of the total fully funded balance) of future funding commitments and $915.93 million (41.6% of the total fully funded balance) of pari passu debt. Two loans, Gardenhouse and Poth Brewery, representing 9.0% of the total trust balance, are delayed-close collateral interests, 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 collateral interests. If a delayed-close collateral interest is not expected to close or fund prior to the purchase termination date, the Issuer may acquire any delayed-close collateral interest during the ramp-up acquisition period. Any amounts remaining in the unused proceeds account after the ramp-up completion date up to $5.0 million will be deposited into the reinvestment 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 $45,824,087 to a total target collateral principal balance of $1,025,000,000. DBRS Morningstar assessed the ramp loans using a conservative pool construct and, as a result, the ramp loans have expected losses above the pool WA loan expected loss. 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 collateral interests and funded companion participations. The eligibility criteria indicates that future collateral interests can be secured only by multifamily, manufactured housing, and student housing property types during the stated ramp-up acquisition period. Additionally, the eligibility criteria establishes minimum debt service coverage ratio, loan-to-value ratio, and Herfindahl scores. 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 acquisitions of all collateral interests. Notes: All figures are in U.S. dollars unless otherwise noted. MFA 2022-INV2: S&P Assigns B+ (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to MFA 2022-INV2 Trust's mortgage pass-through certificates, series 2022-INV2. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residences, two- to four-family homes, condominiums, townhomes, and five-to-eight unit multi-family properties to both prime and nonprime borrowers. The pool consists of 888 business-purpose investor loans (including 206 cross-collateralized loans backed by 966 properties) that are exempt from the qualified mortgage and ability-to-repay rules. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator and mortgage originator; and -- S&P said, "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 levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned MFA 2022-INV2 Trust Class A-1, $121,379,000: AAA (sf) Class A-2, $22,196,000: AA (sf) Class A-3, $25,519,000: A (sf) Class M-1, $14,798,000: BBB (sf) Class B-1, $10,186,000: BB (sf) Class B-2, $7,827,000: B+ (sf) Class B-3, $12,546,329: Not rated Class A-IO-S, Notional(i): Not rated Class XS, Notional(i): Not rated Class R, Not applicable: Not rated (i)Notional amount equals the mortgage loans' aggregate unpaid principal balance as of the first day of the related collection period. MJX VENTURE II: Moody's Assigns Ba3 Rating to Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by MJX Venture Management II LLC (the "Issuer"). Moody's rating action is as follows: US$150,000 Series K/Class X Notes due 2035, Assigned Aaa (sf) US$9,250,000 Series K/Class A-1F Notes due 2035, Assigned Aaa (sf) US$525,000 Series K/Class A-2F Notes due 2035, Assigned Aaa (sf) US$1,650,000 Series K/Class BF Notes due 2035, Assigned Aa2 (sf) US$750,000 Series K/Class C Notes due 2035, Assigned A2 (sf) US$750,000 Series K/Class D1 Notes due 2035, Assigned Baa3 (sf) US$150,000 Series K/Class D2 Notes due 2035, Assigned Ba1 (sf) US$637,500 Series K/Class E Notes due 2035, Assigned Ba3 (sf) The Class X Notes, Class A-1F Notes, the Class A-2F Notes, the Class BF Notes, the Class C Notes, the Class D1 Notes, the Class D2 Notes and the Class E Notes are referred to herein as the "Rated Notes," and are the Series K issuance by the Issuer in a program of financing the risk retention interest in CLOs. 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. MJX Venture Management II LLC is the collateral manager of Venture 46 CLO, Limited (the "Underlying CLO"). The proceeds from the issuance of the Rated Notes will be used to finance the purchase of a 5% vertical slice of all the CLO tranches (the "Underlying CLO Notes") issued by the Underlying CLO, in order for the Issuer to comply with the EU Securitization Rules. The Rated Notes are collateralized primarily by the Underlying CLO Notes. In addition, the Rated Notes benefit from additional credit enhancement provided by (i) 33.33% of the senior management fees from the Underlying CLO (the "Pledged Management Fee"), and (ii) in the event the Rated Notes experience a default, certain excess collections from other, non-defaulted Series of notes issued by the Issuer. On each payment date, each class of Rated Notes (other than the Class A-1F, A-2F and Class BF Notes), will receive an interest payment equal to 5% of the interest payment paid to the entire class of the related Underlying CLO Notes. Class A-1F, Class A-2F and the Class BF Notes will receive an interest payment equal to a percentage equal to the original principal balance of such class of Series K Notes on the closing date divided by an amount equal to the original principal amount of the related underlying securities on the closing date. In the event of a permitted refinancing or re-pricing, the respective interest amount each class of Rated Notes receives will be reduced by the amount the respective refinancing or re-pricing reduced the interest rates on the Underlying CLO Notes. The Issuer's priority of payments includes an interest trapping mechanism following the occurrence of certain events (the "Cash-Trap Events"). Upon a Cash-Trap Event, after payment of interest on the Rated Notes, all remaining interest proceeds from the Underlying CLO Notes and the Pledged Management Fee will be trapped in a cash-trap account. Cash-Trap Events include, but are not limited to, failure of an overcollateralization test, deferral of interest on certain Underlying CLO Notes, and certain collateral manager-related events. Unless the Cash-Trap Event is cured, amounts in the cash-trap account will be applied to repay the Rated Notes at maturity or redemption. Although the Rated Notes constitute full recourse indebtedness of the Issuer, the holders of the Rated Notes have no right to foreclose upon the assets of the Issuer's other Series and have limited rights to assets constituting excess collections from other Series. Holders of other Series of Debt of the Issuer are likewise precluded from foreclosing on the assets of the Rated Notes and are limited in their rights to excess collections from the Rated Notes. In addition to a variety of other factors, Moody's analysis of the Issuer's bankruptcy remoteness took into account a substantive consolidation legal opinion. The opinion provided comfort that the Issuer's structure and separateness features minimize the risk that a bankruptcy court would order the consolidation of the assets and liabilities of Issuer's parent and the Issuer. 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. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score 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: Par amount: $300,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2544 Weighted Average Spread (WAS): 3.90% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 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. MORGAN STANLEY 2013-ALTM: DBRS Confirms BB(low) Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-ALTM issued by Morgan Stanley Capital I Trust 2013-ALTM as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at BBB (high) (sf) -- Class D at BB (high) (sf) -- Class E at BB (low) (sf) DBRS Morningstar changed the trends on Classes C, D, and E to Stable from Negative. All remaining classes have Stable trends. The rating confirmations and trend changes reflect the overall improved sales performance and stable occupancy rate of the collateral mall property, as further outlined below. The $160.0 million first-mortgage loan is secured by the fee-simple interest in the Altamonte Mall in Orlando, Florida. The 12-year, fixed-rate loan is interest only (IO) for the first five years then amortizes on a 30-year schedule for the remainder of the loan term. As of the July 2022 remittance, the current loan balance is $146.8 million, representing a collateral reduction of 8.3% from issuance. The loan is scheduled to mature in February 2025 and is not subject to subordinate debt or mezzanine financing. The loan is sponsored by a joint venture (JV) between the New York State Common Retirement Fund and Brookfield Property Partners L.P. (Brookfield), which assumed the loan following Brookfield's takeover of General Growth Properties Inc. in July 2018. Brookfield also manages the property. The property is the dominant mall in north Orlando and caters to local shoppers while its competitors generally serve the tourist market. The anchors include a non-collateral Macy's and Dillard's, as well as a collateral JCPenney. There is also a non-collateral anchor box that was formerly occupied by Sears and has been dark since 2018. The borrower has had discussions with potential tenants but no replacement tenants have been identified to date. Since issuance, the servicer has reported occupancy rates that have consistently been in the mid-to-high 90s for the collateral portion of the mall, with the June 2022 occupancy rate of 95.0% in line with the year-end (YE) 2021 and YE2020 occupancy rates and slightly below YE2019 of 98.8%. Although JCPenney has not announced plans to close the subject location, the sales are low as of the most recent reporting, suggesting the store could be at risk if the retailer closes more locations as part of its effort to reorganize and improve its financial position. However, it is also noteworthy that JCPenney is owned by a joint venture that includes a Brookfield affiliate, and as such, the sponsor could be motivated to keep the store open even with relatively lackluster sales. JCPenney reported a trailing 12 month (T-12) period ended March 2022 sales figure of $69 per square foot (psf), which is down from the already low figure of $77 psf as of the T-12 ended March 2021. The T-12 ended March 2022 tenant sales report showed in-line tenants that occupy less than 10,000 sf averaged sales of $726 psf, compared with the T-12 ended March 2021 figure of $446 psf. These figures fall to $467 psf and an estimated $350 psf, respectively, when removing Apple's sales. Based on the most recent financials, the Q1 2022 annualized net cash flow (NCF) was reported at $15.8 million, which is an improvement from the YE2021 figure of $12.5 million as well as the YE2020 figure of $13.0 million but below the YE2019 figure of $16.2 million, suggesting overall performance remains behind pre-pandemic levels. The year-over-year (YOY) NCF change for 2021 was primarily driven by an increase in expenses related to property insurance, management fees, and general and administrative costs. Percentage rent accounted for approximately 10.0% of the YE2021 effective gross income, a higher concentration than has been seen historically, likely due to concessions made for tenants experiencing pandemic-driven traffic declines in the early part of the reporting period. Although in-place cash flows remain depressed from previous levels, DBRS Morningstar believes the overall risk profile is stable considering the strong in-line sales, historically stable occupancy, and reporting for the first three months of 2022 that suggests cash flows are improving back toward historical figures. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2017-ASHF: DBRS Confirms BB Rating on E Certs ------------------------------------------------------------ DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-ASHF issued by Morgan Stanley Capital I Trust 2017-ASHF as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class XEXT at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) DBRS Morningstar changed the trends on Classes D and E to Stable from Negative. All remaining classes have Stable trends. The rating confirmations and trend changes reflect the overall improved performance of the collateral as it continues to recover from the effects of the Coronavirus Disease (COVID-19) pandemic. The trust is secured by a portfolio of 17 full-service, limited-service, and extended-stay hotels, which consists of 3,128 rooms across seven U.S. states. All hotels in the portfolio operate under nationally recognized flags, including Hilton Worldwide Holdings Inc. and Marriott International Inc. (Marriott). The interest only loan had an initial two-year term and five one-year extension options with a fully extended maturity date of November 2024. The loan exercised its third extension option and is currently scheduled to mature in November 2022 but, per the servicer, is expected to extend to November 2023. The loan is sponsored by Ashford Hospitality Trust, Inc., an experienced hotel investment company and publicly traded real estate investment trust. The hotels are managed by two separate companies; Marriott manages five of the hotels while Remington Lodging and Hospitality, LLC manages the remaining 12 hotels. The loan was previously in special servicing between April 2020 to April 2021 as the borrower was delinquent for debt service payments and reserve deposits. A loan modification was executed in February 2021 and the loan was returned to the master servicer in April 2021 with all loan and reserve payments brought current in August 2021. According to the May 2022 STR reports, the portfolio reported a trailing 12 month (T-12) ended May 31, 2022, weighted-average (WA) occupancy rate of 64.3%, average daily rate (ADR) of $145.02, and revenue per available room (RevPAR) of $93.95, representing a RevPAR penetration rate of 111.8%. This is an improvement from the T-12 ended June 30, 2021, WA occupancy rate, ADR, and RevPAR of 44.8%, $107.51, and $48.26, respectively, and only slightly below pre-pandemic levels with the year-end (YE) 2019 RevPAR at $108.93. Overall, 14 properties had RevPAR penetrations greater than 100%, which is comparable with historical trends. The loan reported a T-12 ended March 31, 2022, net cash flow (NCF) of $22.0 million, compared with the YE2021 NCF of $16.4 million and YE2020 NCF of $400,839. Although these figures remain well below the DBRS Morningstar NCF figure of $41.0 million, the steady improvements suggest the portfolio's performance is trending in the right direction and should continue to improve as leisure travel has resumed near pre-pandemic levels for the hospitality sector as a whole in 2022. In addition, DBRS Morningstar's value is below the July 2020 appraisal value of $480.3 million and issuance value of $588.1 million, suggesting there remains significant cushion against future volatility, further supporting the change to Stable trends for two classes with this review. A cash sweep commenced in April 2020 and the loan will continue to be cash managed until a 8.0% debt yield is achieved. Based on the most recent financials, the debt yield is currently 5.3% and according to the servicer, $2.2 million is currently held in the cash sweep reserve account and approximately $900,000 in fixtures, furniture, and equipment reserve account. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2019-L2: DBRS Confirms BB Rating on Class FRR Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-L2 issued by Morgan Stanley Capital I Trust 2019-L2: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (sf) -- Class G-RR at B (high) (sf) In addition, DBRS Morningstar changed the trends on Classes FRR and GRR to Stable from Negative. All trends are now Stable. The rating confirmations reflect the generally stable performance of the transaction since DBRS Morningstar's last rating action, albeit with select loans showing signs of increased stress since issuance, as further detailed below. DBRS Morningstar previously assigned Negative trends to Classes FRR and GRR because of performance challenges related to loans secured by retail and lodging properties, which have generally faced increased levels of stress as a result of the Coronavirus Disease (COVID-19) pandemic. However, two loans, representing 4.7% of the pool, that were previously in special servicing have returned to the master servicer since last review and, based on the most recent loan-level updates and financial reporting available for the pool, the transaction's overall outlook remains generally stable, supporting the trend changes on Classes FRR and GRR to Stable from Negative. At issuance, the transaction consisted of 50 fixed-rate loans secured by 68 commercial and multifamily properties with a total trust balance of $934.9 million. As of the June 2022 remittance report, all 50 loans remain within the pool, with negligible collateral reduction of 0.9% since issuance. The pool is concentrated by property type with office, retail, multifamily, and hospitality assets representing 35.8%, 17.8%, 17.2%, and 17.2% of the current pool balance, respectively. As of the June 2022 remittance report, 13 loans, representing 24.2% of the pool, were on the servicer's watchlist, primarily because of cashflow and occupancy rate declines, including two top10 loans, Ohana Waikiki Malia Hotel & Shops (Prospectus ID#1; 6.8% of current pool balance) and Lincoln Commons (Prospectus ID#9; 3.2% of the current pool balance). In addition, four loans, representing 8.0% of the current pool balance, are in special servicing. The largest loan in special servicing, Le Meridien Hotel Dallas (Prospectus ID#4; 4.5% of the current pool balance), is secured by a 258-key full-service hotel in Dallas, approximately 12.0 miles north of the central business district. The loan first fell delinquent in April 2020 and transferred to special servicing in June 2020 for monetary default. The loan is currently delinquent and remains past due for the April 2020 payment date. The controlling class representative approved a short-term forbearance agreement in January 2022, which the borrower failed to execute. An online Bloomberg report, as of April 2022, stated that NB Hotels Dallas, LLC., the owner of Le Meridien Hotel Dallas, has filed for Chapter 11 bankruptcy. The special servicer is currently requesting consent to pursue the guarantor, Nadir Badruddin, for full recourse because of the borrower's bankruptcy filing. According to the trailing 12 months ended September 30, 2021, financial reporting the property generated net cash flow (NCF) of $1.1 million with a debt service coverage ratio (DSCR) of 0.52 times (x), compared with the NCFs and DSCRs of $4.5 million and 1.37x at YE2020 and $5.1 million and 1.56x at issuance, respectively. According to the January 2022 STR report, the subject property reported running 12-month occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) figures of 49.3%, $124.55, and $61.35, respectively, slightly outperforming the competitive set's reported metrics of 43.2%, $95.80, and $41.35. A January 2022 appraisal valued the property at $56.4 million, an increase from the April 2021 appraised value of $53.9 million but a decrease from the issuance valuation of $61.2 million. Although the January 2022 value suggests that the loan remains above water, the extended delinquency and workout period for the loan indicates significantly increased risks from issuance and, as such, DBRS Morningstar applied a probability of default penalty in its analysis to increase the expected loss for this review. The largest loan on the servicer's watchlist, Ohana Waikiki Malia Hotel & Shops (Prospectus #1; 6.8% of the pool), is secured by a 327-key hotel located in Honolulu. The hotel comprises two lodging towers connected by a base containing the lobby, common areas, retail, and restaurant space. The loan is being monitored because of stressed occupancy rates and cashflow declines, primarily a result of the disruptions in leisure travel throughout 2020 and 2021. The property reported strong performance in the pre-pandemic period as reflected by the YE2019 NCF of $7.7 million. The YE2020 NCF declined substantially to -$1.2 million, however, it rebounded in YE2021 to $553,963. The annualized trailing three months ended March 31, 2022 NCF of $2.9 million is indicative of a further improvement in property performance as global leisure travel begins to pick up. According to the March 2022 STR report, the subject property reported running 12-month occupancy, ADR, and RevPAR figures of 57.9%, $118.58, and $68.61, respectively, underperforming the competitive set, which reported the same metrics at 71.5%, $134.49, and $96.13. The March 2022 rent roll noted the retail and restaurant component of the property was 79.6% occupied, down from 100% at issuance. Current in-place leases have remaining lease terms ranging between 12 months and five years, with an average monthly base rental rate of $12 per square foot. Notes: All figures are in U.S. dollars unless otherwise noted. OPORTUN ISSUANCE 2022-2: DBRS Finalizes BB Rating on D Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following notes (the Notes) issued by Oportun Issuance Trust 2022-2 (Oportun 2022-2 or the Issuer): -- $295,041,000 Class A Notes at AA (low) (sf) -- $36,624,000 Class B Notes at A (low) (sf) -- $38,466,000 Class C Notes at BBB (low) (sf) -- $29,869,000 Class D Notes at BB (sf) The ratings on the Notes are based on DBRS Morningstar's review of the following considerations: (1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- DBRS Morningstar's projected losses do not include any additional stress from the coronavirus impact, the DBRS Morningstar cumulative net loss (CNL) assumption is 10.23%. (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 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 2022-2 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. (6) 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. (7) 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. PAGAYA AI 2022-1: DBRS Gives Prov. B Rating on Class G Certs ------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Single-Family Rental Pass-Through Certificates to be issued by Pagaya AI Technology in Housing Trust 2022-1 (PATH 2022-1): -- $96.1 million Class A at AAA (sf) -- $25.3 million Class B at AA (high) (sf) -- $10.8 million Class C at AA (sf) -- $15.2 million Class D at A (sf) -- $26.7 million Class E-1 at BBB (high) (sf) -- $19.5 million Class E-2 at BBB (low) (sf) -- $23.1 million Class F at BB (low) (sf) -- $14.4 million Class G at B (sf) The AAA (sf) rating on the Class A certificates reflects 61.5% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), AA (sf), A (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 51.3%, 47.0%, 40.9%, 30.2%, 22.3%, 13.0%, and 7.3% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. The PATH 2022-1 certificates are supported by the income streams and values from 846 rental properties. The properties are distributed across 11 states and 32 metropolitan statistical areas (MSAs) in the United States. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion (BPO) value, 69.1% of the portfolio is concentrated in three states: Georgia (28.9%), Arizona (20.8%), and Florida (19.4%). The average value is $341,519. The average age of the properties is roughly 28 years. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately three-year, fixed-rate, interest-only (IO) loan with an initial aggregate principal balance of approximately $249.2 million. The Sponsor intends to satisfy its risk-retention obligations under the U.S. Risk Retention Rules by Class H, which is 6.25% of the initial total issuance balance, either directly or through a majority-owned affiliate. DBRS Morningstar assigned the provisional ratings to each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. PALMER SQUARE 2022-3: Moody's Assigns (P)B3 Rating to $1MM F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Palmer Square CLO 2022-3, Ltd. (the "Issuer" or "Palmer Square CLO 2022-3"). Moody's rating action is as follows: US$320,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$1,000,000 Class F 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. Palmer Square CLO 2022-3 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and permitted non-loan assets. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Palmer Square Europe Capital 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 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: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): SOFR+ 3.05% Weighted Average Coupon (WAC): 6.00% 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. PAWNEE EQUIPMENT 2022-1: DBRS Gives Prov. BB Rating on D Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Pawnee Equipment Receivables (Series 2022-1) LLC (the Issuer): -- $47,000,000 Class A-1 Notes at R-1 (high) (sf) -- $100,000,000 Class A-2 Notes at AAA (sf) -- $125,850,000 Class A-3 Notes at AAA (sf) -- $34,790,000 Class B Notes at AA (sf) -- $12,020,000 Class C Notes at A (sf) -- $12,020,000 Class D Notes at BBB (sf) -- $14,754,000 Class D Notes at BB (low) (sf) RATING RATIONALE/DESCRIPTION The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: -- Transaction capital structure, proposed ratings, and sufficiency of available credit enhancement, which includes overcollateralization, subordination, and amounts held in the reserve account, to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stressed cash flow scenarios. -- The respective coverage multiples of the expected CNL, which are afforded to each class of Notes by the available credit enhancement. Under various stressed cash flow scenarios, credit enhancement can withstand the expected loss using DBRS Morningstar multiples of 5.40 times (x) with respect to the Class A Notes and 4.40x, 3.55x, 2.50x, and 1.70x with respect to the Class B, C, D, and E Notes, respectively. DBRS Morningstar assumes an expected base-case CNL of 3.55% for this transaction. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The capabilities of Pawnee Leasing Corporation (Pawnee or the Company) with regard to originations, underwriting, and servicing. DBRS Morningstar performed an operational review of Pawnee and considers the entity to be an acceptable originator and servicer of equipment-backed lease and loan contracts. In addition, Vervent will be the Backup Servicer for this transaction. DBRS Morningstar reviewed Vervent and believes that the entity is an acceptable backup servicer. -- The expected Asset Pool does not contain any significant concentrations of obligors, brokers, size or geographies and consists of a diversified mix of the equipment types similar to those included in other small-ticket lease and loan securitizations rated by DBRS Morningstar. -- The Company focuses on small-ticket financing ($500,000 cap for prime credits and lower for near prime and nonprime credits). No nonprime credits will be included in the collateral for the Notes; however, 23.41% of the collateral consists of B+ credits (with the weighted-average nonzero guarantor Beacon Score of 722 as of the Statistical Calculation Date compared with a score of 764 for A credits as of the same date). Payment by automated clearing house is in place for 92.00% of B+ credit contracts compared with about 82.10% for A credit contracts. In addition, as of the Statistical Calculation Date, personal guarantees supported close to 98.26% of B+ collateral in the Statistical Asset Pool compared with approximately 89.35% for A credits. -- 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 Pawnee, and that the Indenture Trustee has a valid first-priority security interest in the assets. DBRS Morningstar also reviewed the transaction terms for consistency with DBRS Morningstar's Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. SG RESIDENTIAL 2022-2: Fitch Gives BB-(EXP) Rating to B-1 Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to SG Residential Mortgage Trust 2022-2 (SGR 2022-2). Entity/Debt Rating ----------- ------ SGR 2022-2 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 NR(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-3-C LT NR(EXP)sf Expected Rating C LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by SG Residential Mortgage Trust 2022-2, Mortgage-Backed Certificates, Series 2022-2 (SGR 2022-2. The certificates are supported by 673 loans with a balance of $353.28 million as of the cutoff date. This will be the third Fitch-rated transaction issued by SG Capital Partners. The certificates are secured mainly by nonqualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule. Of the loans in the pool, 93.4% were originated by SG Capital Partners LLC d/b/a ClearEdge Lending (ClearEdge Lending). The other third-party originators made up less than 10% of the overall loan pool. Select Portfolio Servicing will be the primary servicer, and Nationstar Mortgage LLC will be the master servicer for the transaction. Of the pool, 52.0% comprises loans designated as non-QM, 0.7% are Safe Harbor QM (SHQM) and the remaining 47.3% are investment properties not subject to ATR. There is minimal LIBOR exposure in this transaction, as there is one ARM loan that references one-year LIBOR. The bonds are either fixed rate and capped at the net weighted-average coupon (WAC) rate or are based on the net WAC rate. Fitch was only asked to rate the following classes: A-1, A-2, A-3, M-1 and B-1. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, we view the home price values of this pool as 9.2% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. Non-QM Credit Quality (Mixed): The collateral consists of 673 loans totaling $353.28 million and seasoned at approximately four months in aggregate, according to Fitch, and two months, per the transaction documents. The borrowers have a strong credit profile (738 FICO and 45.3% debt to income [DTI] ratio, as determined by Fitch), along with relatively moderate leverage, with an original combined loan to value (CLTV) ratio of 71.5%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 78.0%. Of the pool, 52.4% represent loans where the borrower maintains a primary or secondary residence, while the remaining 47.6% comprise investor properties based on Fitch's analysis and the transaction documents. Fitch determined that none of the loans were originated through a retail channel. Additionally, 52.0% are designated as non-QM, 47.3% are exempt from QM status since they are investor loans, and 0.7% are SHQM loans. The pool contains 82 loans over $1.0 million, with the largest amounting to $2.75 million. Loans on investor properties (14.1% underwritten to the borrower's credit profile and 33.5% comprising investor cash flow loans) represent 47.6% of the pool, as determined by Fitch. There are no second lien loans, and 1.3% 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 have subordinate financing. In Fitch's analysis, Fitch also considers 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 three 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. Fitch did not remove liquid reserves for foreign nationals for this transaction, as reserves for foreign nationals must be verified and be in a U.S. bank account. Although the borrowers' credit quality is higher than historical non-prime transactions, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's non-prime model. Geographic Concentration (Negative): The largest concentration of loans is in California (40.2%), followed by Florida (27.7%) and Texas (5.2%). The largest MSA is Los Angeles (19.5%), followed by Miami (17.0%) and Riverside (7.4%). The top three MSAs account for 43.8% of the pool. As a result, there was a 1.04x penalty for geographic concentration which increased the loss expectation at the 'AAAsf' level by 0.47%. Loan Documentation and Investor Loans (Negative): Approximately 87.0% of the pool was underwritten to less than full documentation, as determined by Fitch. Of the loans, 44.4% were underwritten to a 12-month or 12-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. Additionally, 3.3% comprise an asset depletion product and 33.5% comprise a debt service coverage ratio (DSCR) product. Of the pool, 47.6% comprises investment properties, as determined by Fitch. Specifically, 14.1% of loans were underwritten using the borrower's credit profile, while the remaining 33.5% were originated through the originators' investor cash flow program that targets real estate investors qualified on a DSCR basis. Fitch increased the probability of default by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. 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 shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the 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 August 2026, since classes A-1, A-2, and A-3 have a step-up coupon feature whereby the coupon rate will be the initial fixed rate plus 1.0% and capped at the net WAC rate. To offset the impact of the A-1, A-2, and A-3 step up coupon features, the transaction was structured so that class A-1, A-2, and A-3 would receive unpaid cap carryover amounts prior to class B-2 and class B-3 being paid interest payments. This features is supportive of the class A-1, A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. For this analysis, Fitch used a customized US RMBS Loan Loss model that incorporated the use of updated Case Shiller/sMVD data that reflects Q1 2022 and updated Economic Risk Factor data that reflects Q2 2022. The updated data was used, since it will be incorporated into the US RMBS Loan Loss model at the time the final ratings are assigned. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.0% 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. 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 Canopy, Covius and Evolve. 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 0.48%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Canopy, Covius and Evolve 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. SIERRA TIMESHARE 2022-2: Fitch Assigns 'BB' Rating on D Notes ------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Sierra Timeshare 2022-2 Receivables Funding LLC (2022-2). DEBT RATING PRIOR ---- ------ ----- Sierra Timeshare 2022-2 Receivables Funding LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Borrower Risk — Shifted Collateral Composition: Approximately 70.96% of Sierra 2022-2 consists of WVRI originated loans; the remainder of the pool comprises WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 733, slightly higher than 729 in Sierra 2022-1. Additionally, compared with the prior transaction, the 2022-2 pool has overall stronger FICO segment concentrations but slightly higher concentration in WVRI loans. Forward-Looking Approach on Cumulative Gross Default (CGD) Proxy — Increasing CGDs: Similar to other timeshare originators, T+L's delinquency and default performance exhibited notable increases in the 2007-2008 vintages, stabilizing in 2009 and thereafter. However, more recent vintages, from 2014 through 2019, have begun to show increasing gross defaults versus prior vintages dating back to 2009, partially driven by increased paid product exits. Fitch's CGD proxy for this pool is 22.50% (up from 22.25% for 2022-1). Given the current economic environment and consistent with the prior transaction, Fitch used proxy vintages that reflect recessionary periods along with recent performance, specifically 2007-2009 and 2016-2019. Structural Analysis — Shifting CE: Initial hard CE for the class A, B, C and D notes is 66.1%, 44.5%, 21.7% and 12.0%, respectively. CE is lower for class A but higher for the class B through D notes relative to 2022-1, mainly due to higher overcollateralization (OC) and lower excess spread as compared with the prior transaction. Hard CE comprises OC, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 8.02% per annum. Loss coverage for all notes is able to support default multiples of 3.25x, 2.25x, 1.50x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: T+L has demonstrated sufficient abilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The GCD and prepayment sensitivities include 1.5x and 2.0x increases to the prepayment assumptions, representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased, and Fitch has published an assessment of the potential rating and asset performance impact of a plausible, but worse-than-expected, adverse stagflation scenario on Fitch's major SF and CVB subsectors (see "What a Stagflation Scenario Would Mean for Global Structured Finance" at www.fitchratings.com). Fitch expects the Timeshare ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations and a 25% chance of sector outlook revision by YE 2023. Factors that could, individually or collectively, lead to positive rating action/upgrade: Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For class B, C and D notes, the multiples would increase resulting in potential upgrade of approximately one rating category for each of the subordinate 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 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to 150 sample loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SILVER HILL 2019-SBC1: DBRS Hikes Rating of 2 Classes to BB(low) ---------------------------------------------------------------- DBRS Limited upgraded its ratings on 10 classes of secured floating-rate notes issued by Silver Hill Trust 2019-SBC1 as follows: -- Class M1 to AAA (sf) from AA (sf) -- Class M1-IO to AAA (sf) from AA (sf) -- Class M2 to AA (high) (sf) from A (high) (sf) -- Class M2-IO to AA (high) (sf) from A (high) (sf) -- Class M3 to AA (sf) from BBB (high) (sf) -- Class M3-IO to AA (sf) from BBB (high) (sf) -- Class B1 to BB (high) (sf) from BB (sf) -- Class B1-IO to BB (high) (sf) from BB (sf) -- Class B2 to BB (low) (sf) from B (high) (sf) -- Class B2-IO to BB (low) (sf) from B (high) (sf) In addition, DBRS Morningstar confirmed its ratings on the following four classes: -- Class A1 at AAA (sf) -- Class A1-IO at AAA (sf) -- Class A2 at AAA (sf) -- Class A2-IO at AAA (sf) All trends are Stable. The rating upgrades and confirmations reflect the overall improved credit support for the transaction, which comprises individual fixed- and floating-rate small-balance loans secured by commercial, multifamily, and single-family rental properties. According to the June 2022 reporting, 607 of the original 978 loans remain in the pool, with an aggregate trust balance of $267.5 million (average loan balance of approximately $440,670), representing a collateral reduction of 17.7% since DBRS Morningstar's last review in August 2021, or 39.5% since issuance. Most of the loans that have been repaid were paid in advance of their respective maturity dates, with most repayments including applicable prepayment penalties. As of the June 2022 reporting, 12 loans were prepaid, totaling $7.3 million in principal curtailments and $0.3 million in prepayment premiums. This figure reflects a voluntary constant prepayment rate (CPR) of 27.5%, well above the life CPR of 17.3%. Approximately 99.2% of the current pool is fully amortizing, compared with 97.5% of the pool at issuance. There are 32 loans, representing 4.6% of the current pool balance, with maturity dates through the remainder of 2022 and 46 loans, representing 8.5% of the current pool balance, with maturity dates in 2023. As of the June 2022 reporting, there were 18 loans reported as over 30 days delinquent, representing 5.2% of the current pool balance. This represents a decline from the June 2021 reporting, which showed 81 loans, representing 11.1% of the pool balance, that were over 30 days delinquent. There are also eight loans that are either in foreclosure or are real estate owned; however, these loans represent only 1.4% of the pool balance. There have been no realized losses to date. With this review, DBRS Morningstar elevated the probability of default (POD) levels on all loans discussed above to reflect the increased credit risk to the trust. The pool is well-diversified, a factor that combines with the increased credit support to the rated classes from issuance to generally reduce the loan-level event risk for the transaction. By loan balance, the top 15 loans represent 10.0% of the pool, with the largest loan representing just 0.9% of the pool. The collateral properties are located across 34 states, with the largest concentrations in Florida (16.2% of the pool), California (13.6% of the pool), and New York (10.4% of the pool). By property type, the pool has concentrations of loans secured by commercial use properties (44.2% of the pool), multifamily properties (22.7% of the pool), and mixed-use properties (12.9% of the pool). DBRS Morningstar received limited borrower and property-level information at issuance and considered the overall property quality to be Average-/Below Average based on those properties sampled; this sample comprised 8.4% of the issuance pool balance. The transaction is configured with a sequential-pay pass-through structure. Notes: All figures are in U.S. dollars unless otherwise noted. SLM STUDENT 2008-4: Fitch Lowers Rating on 2 Tranches to Dsf ------------------------------------------------------------ Fitch Ratings has downgraded the ratings of all outstanding classes of SLM Student Loan Trust (SLM) 2008-4 to 'Dsf' from 'CCsf'. SLM Student Loan Trust 2008-4 Rating Prior ------ ----- A-4 78445AAD8 LT Dsf Downgrade CCsf B-1 78445AAE6 LT Dsf Downgrade CCsf The 'Dsf' rating on the class A-4 notes reflects the default on the senior notes in the payment of their outstanding principal balance on their legal final maturity date of July 25, 2022. The downgrade of the class B notes to 'Dsf' reflects the fact that interest payments are being diverted to the class A-4 notes until they are paid in full, given the provisions in the indenture that change the cashflow waterfall while an event of default (EOD) is continuing. Under the terms of the indenture, non-payment of class B interest when due and payable also constitutes an EOD. Fitch will continue to monitor remedies to the occurrence of the EOD implemented by the noteholders or transaction parties, as provided under the trust indenture, and take any additional rating action based on the impact of those remedies as needed. AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Effects of EOD for Class A-4: Fitch has downgraded the outstanding senior A-4 class of SLM 2008-4 to 'Dsf' due to an EOD on the legal final maturity date of this class of notes. The notes will remain at 'Dsf' so long as the EOD is continuing. According to the trust indenture, the EOD may result in acceleration of the notes as declared by the indenture trustee or by a majority of noteholders. The EOD may also result in a liquidation of the trust depending on the remedies decided on by the noteholders or the indenture trustee, in accordance with the terms of the trust indenture. Under Fitch's base case cashflow analysis, the outstanding notes of class A-4 would eventually be paid in full with no principal shortfall. Effects of EOD for Class B: Pursuant to the trust indenture, the trust has switched to a post-EOD waterfall following the default of the class A-4 notes, directing all payments to the class A-4 notes until the balance is paid in full, which results in interest payments being diverted away from the class B notes. This occurred on the July 25, 2022 payment date, and the class B notes are not expected to receive any further interest until the class A-4 notes are paid in full. Because of this diversion of interest and the class A-4 notes' default, Fitch has downgraded the class B notes to 'Dsf' from 'CCsf'. The EOD may also result in a liquidation of the trust depending upon the remedies decided upon by the noteholders or the indenture trustee, in accordance with the terms of the trust indenture. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Due to the occurrence of the EOD, all notes will remain at 'Dsf' so long as the EOD is continuing. Factors that could, individually or collectively, lead to positive rating action/upgrade: All notes will remain at 'Dsf' so long as the event of default is continuing, and class A-4 remains outstanding. Fitch expects the class B notes to be upgraded once the EOD is no longer continuing and interest payments on this class are resumed. STACR 2022-HQA2: Moody's Assigns Ba3 Rating to 10 Tranches ---------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 24 classes of residential mortgage-backed securities (RMBS) issued by Freddie Mac STACR Remic Trust 2022-HQA2, and sponsored by Freddie Mac. The securities reference a pool of mortgage loans acquired by Freddie Mac, and originated and serviced by multiple entities. The complete rating actions are as follows: Issuer: Freddie Mac STACR Remic Trust 2022-HQA2 Cl. M-1A, Assigned A2 (sf) Cl. M-1B, Assigned Baa3 (sf) Cl. M-2A, Assigned Ba1 (sf) Cl. M-2B, Assigned Ba3 (sf) Cl. M-2, Assigned Ba2 (sf) Cl. M-2R, Assigned Ba2 (sf) Cl. M-2S, Assigned Ba2 (sf) Cl. M-2T, Assigned Ba2 (sf) Cl. M-2U, Assigned Ba2 (sf) Cl. M-2I*, Assigned Ba2 (sf) Cl. M-2AR, Assigned Ba1 (sf) Cl. M-2AS, Assigned Ba1 (sf) Cl. M-2AT, Assigned Ba1 (sf) Cl. M-2AU, Assigned Ba1 (sf) Cl. M-2AI*, Assigned Ba1 (sf) Cl. M-2BR, Assigned Ba3 (sf) Cl. M-2BS, Assigned Ba3 (sf) Cl. M-2BT, Assigned Ba3 (sf) Cl. M-2BU, Assigned Ba3 (sf) Cl. M-2BI*, Assigned Ba3 (sf) Cl. M-2RB, Assigned Ba3 (sf) Cl. M-2SB, Assigned Ba3 (sf) Cl. M-2TB, Assigned Ba3 (sf) Cl. M-2UB, Assigned Ba3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.90%, in a baseline scenario-median is 0.70% and reaches 4.46% at a stress level consistent with Moody's Aaa rating. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. UNITED AUTO 2022-2: DBRS Finalizes BB Rating on Class E Notes ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by United Auto Credit Securitization Trust 2022-2 (UACST 2022-2 or the Issuer): -- $125,410,000 Class A Notes at AAA (sf) -- $31,920,000 Class B Notes at AA (sf) -- $27,930,000 Class C Notes at A (sf) -- $34,620,000 Class D Notes at BBB (sf) -- $35,200,000 Class E Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the Transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The DBRS Morningstar CNL assumption is 19.90% based on the Cut-off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. (4) The Transaction parties' capabilities with regard to originations, underwriting, and servicing, and the existence of an experienced and capable backup servicer. -- DBRS Morningstar has performed an operational risk review of UACC and considers the entity an acceptable originator and servicer of subprime automobile loan contracts. Additionally, the Transaction has an acceptable backup servicer. -- The UACC senior management team has considerable experience and a successful track record within the auto finance industry. (5) The credit quality of the collateral and performance of UACC's auto loan portfolio. -- UACC originates collateral that generally has shorter terms, higher down payments, lower book values, and higher borrower income requirements than some other subprime auto loan originators. (6) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with UACC, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's Legal Criteria for U.S. Structured Finance methodology. UACC is a specialty finance company that has been engaged in the subprime automobile finance business since 1996. UACC purchases motor vehicle retail installment sales contracts from franchise and independent automobile dealerships throughout the U.S. The UACST 2022-2 transaction represents the 21st ABS securitization completed in UACC's history and offers both senior and subordinate rated securities. The receivables securitized in UACST 2022-2 are subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, and vans. The rating on the Class A Notes reflects 57.50% of initial hard credit enhancement provided by the subordinated notes in the pool, the reserve fund (1.50% as a percentage of the initial collateral balance), and OC (10.50% of the total pool balance). The ratings on the Class B, C, D, and E Notes reflect 46.30%, 36.50%, 24.35%, and 12.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S dollars unless otherwise noted. VERUS SECURITIZATION 2022-7: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2022-7's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily newly originated first-lien, fixed, and adjustable-rate residential mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners (Invictus); and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P siad, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings Assigned Verus Securitization Trust 2022-7 Class A-1, $299,286,000: AAA (sf) Class A-2, $41,390,000: AA (sf) Class A-3, $58,290,000: A (sf) Class M-1, $34,044,000: BBB- (sf) Class B-1, $22,777,000: BB- (sf) Class B-2, $16,409,000: B- (sf) Class B-3, $17,634,331: Not rated Class A-IO-S, $489,830,331(i): Not rated Class XS, $489,830,331(i): Not rated Class DA, $78,228(ii): Not rated Class R, not applicable: Not rated (i)The notional amount equals to the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (ii)Aggregate pre-closing deferred amount as of cut-off date. [*] DBRS Reviews 341 Classes from 27 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 341 classes from 27 U.S. residential mortgage-backed security (RMBS) transactions. Of the 341 classes reviewed, DBRS Morningstar upgraded 14 ratings, confirmed 323 ratings, downgraded one rating, and discontinued three ratings. The Affected Ratings Are Available at https://bit.ly/3BAketM 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 rating downgrades reflect the unlikely recovery of the bonds' interest shortfall amount. The discontinued ratings reflect the full repayment of principal to bondholders. The pools backing the reviewed RMBS transactions consist of Subprime, Alt-A, Scratch and Dent, Option Adjustable-Rate Mortgage, Second Lien, Prime, Reperforming, and Agency 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. -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2D -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2C -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1 -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-2 -- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-2 -- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-3 -- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-4 -- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-1 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-2 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 1-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 2-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-4 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-5 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 4-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 4-A-2 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-2 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-5 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-6 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-7 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class I-B-1 -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B1 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B2 Risk Band -- RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A, Real Estate Synthetic Investment Securities, Series 2005-A, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk Band -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-4 -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-5 -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-6 -- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 2-A1 -- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 2-A2 -- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6 -- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class B1-X -- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-1 -- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-2 -- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-3 -- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-4 -- TBW Mortgage-Backed Trust 2007-2, Mortgage-Backed Pass-Through Certificates, Series 2007-2, Class A-4-B -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AIII-3 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-1 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-2 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-6 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-7 CORONAVIRUS DISEASE (COVID-19) IMPACT The Coronavirus Disease (COVID-19) 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 the pandemic. Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the pandemic, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, pandemic-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: The principal methodology is U.S. RMBS Surveillance Methodology (February 21, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] S&P Takes Various Actions on 59 Classes From Eight US RMBS Deal ------------------------------------------------------------------- S&P Global Ratings completed its review of 59 classes from eight U.S. RMBS transactions issued between 2003 and 2007. The review yielded two downgrades, 31 affirmations, and 26 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3zX9hAY Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; -- Principal-only criteria; -- Interest-only criteria; and -- A small loan count. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our ratings on 24 classes from five transactions due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our interest-only criteria, "Global Methodology For Rating Interest-Only Securities" published April 15, 2010, and our principal-only criteria, "Criteria | Structured Finance | RMBS: Methodology For Surveilling U. S. RMBS Principal-Only Strip Securities For Pre-2009 Originations" published Oct. 11, 2016, which resulted in withdrawing two ratings from two transactions." [*] S&P Takes Various Actions on 95 Classes from 36 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 95 classes from 36 U.S. RMBS transactions issued between 2000 and 2007. The review yielded 59 upgrades, five downgrades, 29 affirmations, one withdrawal, and one discontinuance. A list of Affected Ratings can be viewed at: https://bit.ly/3zUOL4i Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- The assessment of reduced interest payments due to loan modifications and other credit-related events; -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; and -- Small loan count. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our rating on one class from Home Equity Mortgage Loan Asset-Backed Trust series SPMD 2000-A due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* 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 ***