/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220814.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 14, 2022, Vol. 26, No. 225 Headlines ACCESS GROUP 2002-1: Fitch Affirms 'CC' Rating on Class B Notes ACREC 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes AMERICAN CREDIT 2022-3: DBRS Gives Prov. B Rating on Class F Notes AMSR 2022-SFR3: DBRS Gives Prov. BB(low) Rating on Class F Certs APIDOS CLO XLI: Moody's Assigns (P)B3 Rating to Class F Notes APIDOS CLO XXVII: Moody's Ups Rating on $7.5MM Class E Notes to B2 ARBOR REALTY 2019-FL2: DBRS Confirms B(low) Rating on Cl. G Notes BANK 202-BNK43: Fitch Gives B-(EXP) Rating to Class G Certs BARINGS CLO 2022-II: Fitch Assigns BB Rating on Class E Debt BBCMS 2017-DELC: DBRS Confirms B Rating on Class HRR Certs BBCMS MORTGAGE 2019-C4: Fitch Affirms 'B-sf' Rating on 2 Tranches BENCHMARK 2022-B36: DBRS Gives Prov. B Rating on Class X-J Notes BENCHMARK 2022: Fitch Affirms B-sf Rating on 2 Tranches BLACKROCK DLF IX 2020-1: DBRS Finalizes B Rating on Class W Notes BX TRUST 2022-PSB: Fitch to Rate Class HRR Debt 'B-sf' BXHPP TRUST 2021-FILM: DBRS Confirms BB Rating on Class E Certs CHC COMMERCIAL 2019-CHC: DBRS Confirms BB Rating on Class E Certs COLT 2022-7: Fitch Assigns Bsf Rating to Class B2 Certs COMM 2012-LTRT: DBRS Confirms CCC Rating on Class E Certs COMM TRUST 2020-CBM: DBRS Confirms BB(low) Rating on Class F Certs CPS AUTO 2022-C: DBRS Gives Prov. BB Rating on Class E Notes EXETER AUTOMOBILE 2022-4: DBRS Gives Prov. BB Rating on E Notes EXETER AUTOMOBILE 2022-4: S&P Assigns BB (sf) Rating on E Notes FANNIE MAE 2022-R08: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes FLAGSHIP CREDIT 2022-3: S&P Assigns Prelim 'BB-' Rating on E Notes FREDDIE MAC 2022-HQA2: DBRS Finalizes BB Rating on 16 Classes FREDDIE MAC 2022-HQA3: DBRS Gives Prov. BB Rating on 16 Classes FS RIALTO 2022-FL6: DBRS Gives Prov. B(low) Rating on Cl. G Notes GOODLEAP SUSTAINABLE 2022-3: S&P Assigns BB (sf) Rating on C Notes GRACIE POINT 2022-2: DBRS Finalizes BB Rating on Class E Notes GREEN TREE 1996-8: S&P Raises Class M-1 Notes Rating to B- (sf) GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs GS MORTGAGE 2018-GS10: DBRS Confirms B(low) Rating on G-RR Certs GS MORTGAGE 2019-GC42: Fitch Affirms B- Rating on Cl. G-RR Certs GS MORTGAGE 2022-LTV2: DBRS Gives Prov. BB Rating on B4 Certs GS MORTGAGE 2022-LTV2: Moody's Gives (P)B3 Rating to Cl. B-5 Debt GS MORTGAGE 2022-RPL3: DBRS Gives B Rating on Class B-2 Notes GS MORTGAGE 2022-RPL3: Fitch Assigns Bsf Rating on Class B-2 Debt HAWAII HOTEL 2019-MAUI: DBRS Hikes Class G Certs Rating to B HOMEWARD 2022-1: DBRS Gives Prov. B(low) Rating on Class B-2 Certs JP MORGAN 2022-8: Fitch Gives Final B-sf Ratings on Class B5 Debt MADISON PARK LV: Moody's Assigns (P)B3 Rating to $500K Cl. F Notes MADISON PARK LV: Moody's Assigns B3 Rating to $500,000 Cl. F Notes MF1 2022-FL10 LLC: DBRS Finalizes B(low) Rating on 3 Classes Notes MFA 2022-INV2: DBRS Finalizes B Rating on Class B-2 Certs MORGAN STANLEY 2013-C11: Moody's Cuts Cl. A-S Certs Rating to Ba2 MORGAN STANLEY 2022-17A: Moody's Assigns B3 Rating to $1MM F Notes MOSAIC SOLAR 2022-2: Fitch Gives BB(EXP) Rating on Class D Notes NATIONAL COLLEGIATE 2007-4: S&P Affirms 'CC' Rating on A-3-L Notes NCF GRANTOR 2005-3: S&P Affirms BB+ (sf) Rating on Cl. A-5-2 Notes NEW RESIDENTIAL 2022-SFR2: DBRS Gives Prov. BB Rating on F Certs OBX TRUST 2022-J2: Moody's Assigns B2 Rating to Cl. B-5 Notes OHA CREDIT 12: Moody's Assigns B3 Rating to $1MM Class F Notes PALMER SQUARE 2022-3: Moody's Assigns B3 Rating to $1MM F Notes PFP 2019-6: DBRS Hikes Class G Notes Rating to B(high) PFP 2021-8: DBRS Confirms B(low) Rating on Class G Notes RFM REREMIC 2022-FRR1: DBRS Gives Prov. B(low) Rating on 3 Classes RR 22 LTD: Moody's Assigns B3 Rating to $700,000 Class E Notes SPSS 2021-A LLC: DBRS Confirms BB Rating on Class D Securities STACR 2020-HQA5: Moody's Ups Rating on Cl. B-1 Bonds to Ba1 STACR 2022-HQA3: Moody's Gives (P)Ba3 Rating to 10 Tranches TIKEHAU US II: Moody's Assigns Ba3 Rating to $13.8MM Class E Notes TOWD POINT 2022-1: DBRS Finalizes B(high) Rating on Class B2 Notes TOWD POINT 2022-2: DBRS Gives Prov. BB Rating on Class B1 Notes UBSCM 2018-NYCH: DBRS Confirms B(low) Rating on Class G Certs UPSTART SECURITIZATION 2022-4: Moody's Gives '(P)Ba2' to B Notes VELOCITY COMMERCIAL 2022-4: DBRS Gives Prov. B Rating on 3 Classes WACHOVIA BANK 2007-C33: S&P Discontinues 'D' Rating on A-J Certs WELLS FARGO 2015-LC22: DBRS Confirms B Rating on Class F Certs WELLS FARGO 2016-C36: DBRS Confirms CCC Rating on Class EFG Certs [*] DBRS Confirms 11 Ratings From 6 Affirm Asset Trust Deals [*] DBRS Reviews 57 Classes from 8 US RMBS Transactions [*] DBRS Reviews 72 Classes from 8 U.S. RMBS Transactions ********* ACCESS GROUP 2002-1: Fitch Affirms 'CC' Rating on Class B Notes --------------------------------------------------------------- Fitch has upgraded the class A ratings of Access Group 2002 Indenture of Trust, and has affirmed the ratings of class B. The Rating Outlooks for all class A notes remain Stable. RATING ACTIONS ENTITY/DEBT RATING PRIOR ---- ------ ----- Access Group, Inc. - Federal Student Loan Notes, Series 2003-1 A-3 00432CAZ4 LT AAsf Upgrade Asf A-4 00432CBA8 LT AAsf Upgrade Asf A-5 00432CBB6 LT AAsf Upgrade Asf A-6 00432CBC4 LT AAsf Upgrade Asf B 00432CBE0 LT CCsf Affirmed CCsf Access Group, Inc. - Federal Student Loan Notes, Series 2002-1 A-3 00432CAM3 LT AAsf Upgrade Asf A-4 00432CAN1 LT AAsf Upgrade Asf B 00432CAP6 LT CCsf Affirmed CCsf Access Group, Inc. - Federal Student Loan Notes, Series 2004-1 A-2 00432CBN0 LT AAsf Upgrade Asf A-4 00432CBQ3 LT AAsf Upgrade Asf A-5 00432CBR1 LT AAsf Upgrade Asf B 00432CBT7 LT CCsf Affirmed CCsf TRANSACTION SUMMARY The class A ratings have been upgraded to 'AAsf' from 'Asf' due to increasing credit enhancement, which was 8.3% for the most recent distribution period compared to 6.8% one year prior. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Stable. Collateral Performance: Based on transaction specific performance to date, Fitch maintained its sustainable constant default rate assumption (sCDR) of 1.7% and sustainable constant prepayment rate (sCPR) of 4.25%. The base case and 'AAsf default rate is 10.25% and 28.2%, respectively. The TTM levels of deferment and forbearance are approximately 0.54% and 2.4%, respectively. These levels are used as the starting point in cash flow modeling and subsequent declines and increases are modeled as per criteria. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the end of the June 30, 2021 collection period, all trust student loans are indexed to either 91-day T-bill or one-month LIBOR. Approximately 10% of the notes are indexed to 3ML and the remaining are auction rate securities. Payment Structure: Credit enhancement (CE) is provided by excess spread, and the class A notes benefit from subordination provided by the class B notes. Reported senior and total parity are approximately 109.02% and 92.65% respectively. Liquidity support is provided by a reserve account sized at approximately $2.9 million. No cash is currently being released from the trust as the cash release threshold of 101% total parity has not been met. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc., which Fitch believes is an acceptable servicer of student loans due to its long servicing history. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, and the nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Current Ratings: class A 'AAsf'; class B 'CCCsf Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAsf'; class B 'CCCsf' -- Default increase 50%: class A 'AAsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'AAsf'; class B 'CCCsf' -- Basis Spread increase 0.5%: class A 'AAsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'AAsf'; class B 'CCCsf' -- CPR decrease 50%: class A 'AAsf'; class B 'CCCsf' -- IBR Usage increase 25%: class A 'AAsf'; class B 'CCCsf' -- IBR Usage increase 50%: class A 'AAsf'; class B 'CCCsf' -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf' Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased highlighted in the special report, "What a Stagflation Scenario Would Mean for Global Structured Finance", an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario. Fitch expects the FFELP student loan ABS sector, under this scenario, to experience mild to modest asset performance deterioration, indicating some Outlook changes (between 5% and 20% of outstanding ratings). Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption is uncertain, but is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide support in the near term to households faced with falling real incomes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Rating Sensitivity -- Default decrease 25%: class A 'AAAsf'; class B 'CCCsf' -- Basis Spread decrease 0.25%: class A 'AAAsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR increase 25%: class A 'AAAsf'; class B 'CCCsf' -- IBR Usage decrease 25%: class A 'AAAsf'; class B 'CCCsf' -- Remaining Term decrease 25%: class A 'AAAsf'; class B 'CCCsf' ACREC 2021-FL1: DBRS Confirms B(low) Rating on Class G Notes ------------------------------------------------------------ DBRS, Inc. confirmed its ratings on all classes of commercial mortgage-backed notes issued by ACREC 2021-FL1 Ltd. (the Issuer) as follows: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations since issuance. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. The initial collateral consisted of 23 floating-rate mortgages secured by 23 transitional multifamily properties with a cut-off date balance totaling approximately $875.6 million, excluding approximately $18.4 million of future funding commitments. Most loans are in a period of transition with plans to stabilize performance and improve the asset value. The transaction is a managed vehicle, which includes an 18-month reinvestment period expiring with the April 2023 Payment Date, whereby the Issuer may acquire Funded Companion Participations and new loan collateral into the trust subject to Eligibility Criteria as defined at issuance. According to the Eligibility Criteria, all collateral will be secured by multifamily assets. As of July 2022, the Replenishment Account has a balance of $93.7 million. According to the July 2022 remittance report, 20 loans remain in the pool with a current principal balance of $782.0 million. Since issuance, five loans with a former cumulative trust balance of $172.5 million have successfully repaid from the pool, and two loans with a current cumulative trust balance of $78.8 million have been contributed to the trust. In general, borrowers are progressing toward completion of their stated business plans with many plans still in the early stages. According to the collateral manager, cumulative loan future funding of $2.1 million has been advanced across nine individual borrowers through June 2022 to aid in business plan completion. An additional $19.8 million of loan future funding allocated to 11 individual borrowers remains outstanding. The pool is concentrated by property type as all 20 loans, representing 100.0% of the current trust balance, are secured by traditional multifamily assets. Additionally, most loans in the pool are secured by traditional multifamily properties, such as garden-style communities or mid-rise/high-rise buildings, with no independent-living/assisted-living/memory care facilities or student housing properties included in this pool. Furthermore, during the transaction's reinvestment period, only multifamily properties (excluding senior housing and student housing properties) are eligible to be brought into the trust. The pool continues to be predominantly composed of properties in suburban markets, defined as markets with a DBRS Morningstar Market Rank of 3, 4, and 5. As of the July 2022 reporting, this includes 15 loans, representing 71.9% of the current trust balance. In addition, there are no properties in tertiary markets, defined as markets with a DBRS Morningstar Market Rank of 2. In comparison, at issuance, 16 loans, representing 67.3% of the trust balance, were secured by properties in suburban markets and two loans, representing 7.6% of the trust balance, were secured by properties in tertiary markets. The transaction is also concentrated by loan size, as the 10 largest loans represent 66.8% of the pool. Overall pool leverage has remained relatively consistent from issuance. According to July 2022 reporting, the weighted-average (WA) as-is appraised loan-to-value (LTV) ratio is 74.5% and the WA stabilized appraised LTV is 69.8%. In comparison, these figures were 74.5% and 69.2%, respectively, at closing. As of the July 2022 remittance, three loans, representing 12.1% of the pool, are on the servicer's watchlist for cash flow concerns. The largest of these, The Duncan (Prospectus ID#5, 6.6% of the pool), is secured by a 260-unit multifamily property in Chicago's West Loop submarket. While the loan reported a debt service coverage ratio (DSCR) of 0.36 times (x) as of YE2021, the property benefits from strong leasing momentum as it was 95.0% occupied as of the July 2022 rent roll, an increase from 64.5% at issuance. According to the servicer-provided financials for the trailing 12-month period ended April 30, 2022, property performance has improved with a reported net cash flow of $1.9 million, equating to a DSCR of 0.82x. Notes: All figures are in U.S. dollars unless otherwise noted. AMERICAN CREDIT 2022-3: DBRS Gives Prov. B Rating on Class F Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by American Credit Acceptance Receivables Trust 2022-3 (ACAR 2022-3 or the Issuer): -- $128,650,000 Class A Notes at AAA (sf) -- $27,900,000 Class B Notes at AA (high) (sf) -- $43,400,000 Class C Notes at A (sf) -- $44,180,000 Class D Notes at BBB (sf) -- $18,600,000 Class E Notes at BB (sf) -- $17,820,000 Class F Notes at B (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve 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 on which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the final scheduled distribution date. (2) ACAR 2022-3 provides for the Class A, B, C, D, and E coverage multiples being slightly below the DBRS Morningstar range of multiples set forth in the "Rating U.S. Retail Auto Loan Securitizations" methodology for this asset class. DBRS Morningstar believes that this is warranted, given the magnitude of expected loss and structural features of the transaction. (3) The DBRS Morningstar CNL assumption is 25.35% based on the expected cut-off date pool composition. (4) 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 Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (5) The consistent operational history of American Credit Acceptance, LLC (ACA or the Company) as well as the overall strength of the Company and its management team. -- The ACA senior management team has considerable experience, with an approximate average of 18 years in banking, finance, and auto finance companies as well as an average of approximately nine years of Company tenure. (6) ACA's operating history and its capabilities with regard to originations, underwriting, and servicing. -- DBRS Morningstar has performed an operational review of ACA and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. -- ACA has completed 39 securitizations since 2011, including four transactions in 2021 and two in 2022. -- ACA maintains a strong corporate culture of compliance and a robust compliance department. (7) The credit quality of the collateral and the consistent performance of ACA's auto loan portfolio. -- Availability of considerable historical performance data and a history of consistent performance of the ACA portfolio. -- The statistical pool characteristics include the following: the pool is seasoned by approximately six months and contains ACA originations from Q2 2013 through Q2 2022, the weighted-average (WA) remaining term of the collateral pool is approximately 65 months, and the WA FICO score of the pool is 543. (8) The Company indicated that it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against ACA could take the form of class-action complaints by consumers; however, the Company indicated that there is no material pending or threatened litigation. (9) The legal structure and presence of legal opinions that are expected to address the true sale of the assets to the Issuer, the nonconsolidation of each of the depositor and the Issuer with ACA, that the Issuer has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology. (10) ACAR 2022-3 provides for the Class F Notes with an assigned rating of B (sf). While the DBRS Morningstar "Rating U.S. Retail Auto Loan Securitizations" methodology does not set forth a range of multiples for this asset class at the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS Morningstar stress analysis for a B (sf) rating is 1.00 times (x) to 1.25x. ACA is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The ACAR 2022-3 transaction will represent the 40th securitization completed by ACA since 2011 and will offer both senior and subordinate rated securities. The receivables securitized in ACAR 2022-3 will be subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, vans, motorcycles, and minivans. The rating on the Class A Notes reflects 59.50% of initial hard credit enhancement provided by the subordinated notes in the pool, the reserve fund (1.00% as a percentage of the initial collateral balance), and OC (9.50% of the total pool balance). The ratings on the Class B, C, D, E, and F Notes reflect 50.50%, 36.50%, 22.25%, 16.25%, and 10.50% 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. AMSR 2022-SFR3: DBRS Gives Prov. BB(low) Rating on Class F Certs ---------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Single-Family Rental Pass-Through Certificates to be issued by AMSR 2022-SFR3 Trust (AMSR 2022-SFR3): -- $278.9 million Class A at AAA (sf) -- $81.9 million Class B at AAA (sf) -- $37.1 million Class C at AA (sf) -- $48.8 million Class D at A (sf) -- $48.8 million Class E-1 at BBB (high) (sf) -- $39.0 million Class E-2 at BBB (low) (sf) -- $64.4 million Class F at BB (low) (sf) The AAA (sf) rating on the Class A Certificate reflects 57.4% of credit enhancement provided by subordinated notes in the pool. The AAA (sf), AA (sf), A (sf), BBB (high) (sf), BBB (low) (sf), and BB (low) (sf) ratings reflect 44.9%, 39.3%, 31.9%, 24.4%, and 18.5% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. The AMSR 2022-SFR3 certificates are supported by the income streams and values from 2,701 rental properties. The properties are distributed across 15 states and 41 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, 46.8% of the portfolio is concentrated in three states: North Carolina (19.4%), Florida (14.4%), and Texas (13.0%). The average value is $288,849. The average age of the properties is roughly 35 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 (IO) loan with an initial aggregate principal balance of approximately $655.4 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. Notes: All figures are in U.S. dollars unless otherwise noted. APIDOS CLO XLI: Moody's Assigns (P)B3 Rating to Class F Notes ------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Apidos CLO XLI Ltd (the "Issuer" or "Apidos XLI"). Moody's rating action is as follows: US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2034, 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. Apidos XLI 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, first lien last out loans and permitted non-loan assets. Moody's expect the portfolio to be approximately 85% 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 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: 75 Weighted Average Rating Factor (WARF): 2965 Weighted Average Spread (WAS): SOFR + 3.45% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.8% 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. APIDOS CLO XXVII: Moody's Ups Rating on $7.5MM Class E Notes to B2 ------------------------------------------------------------------ Moody's Investors Service, Inc. has upgraded the ratings on the following notes issued by Apidos CLO XXVII: US$57,500,000 Class A-2R Senior Secured Floating Rate Notes due 2030 (the "Class A-2R Notes"), Upgraded to Aa1 (sf); previously on June 15, 2021 Assigned Aa2 (sf) US$28,750,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B-R Notes"), Upgraded to Aa3 (sf); previously on June 15, 2021 Assigned A2 (sf) US$31,250,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Upgraded to Baa1 (sf); previously on June 15, 2021 Assigned Baa3 (sf) US$22,500,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Upgraded to Ba2 (sf); previously on July 27, 2017 Definitive Rating Assigned Ba3 (sf) US$7,500,000 Class E Junior Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Upgraded to B2 (sf); previously on July 27, 2017 Definitive Rating Assigned B3 (sf) Apidos CLO XXVII, originally issued in July 2017 and partially refinanced in June 2021, 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 July 2022. RATINGS RATIONALE These rating actions reflect primarily the benefit of the end of the deal's reinvestment period in July 2022. In light of the reinvestment restrictions during the amortization period which limit the ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will be maintained and continue to satisfy certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) and higher spread compared to the respective covenant levels. Moody's modeled a WARF of 2708 and weighted average spread (WAS) of 3.39% compared to its current respective covenant levels of 2945, and 3.20%. Additionally, the overcollateralization (OC) ratios of the rated notes have improved since August 2021. Based on the trustee's July 2022 report [1], the OC ratios for the Class A/B, Class C, and Class D notes are reported at 130.66%, 121.41%, 112.74% and 107.23%, respectively, versus August 2021 [2] levels of 129.65%, 120.47%, 111.87% and 106.39%, respectively. 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: $492,898,458 Defaulted par: $751,300 Diversity Score: 87 Weighted Average Rating Factor (WARF): 2708 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.39% Weighted Average Recovery Rate (WARR): 47.55% Weighted Average Life (WAL): 4.34 years Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. ARBOR REALTY 2019-FL2: DBRS Confirms B(low) Rating on Cl. G Notes ----------------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of floating-rate notes issued by Arbor Realty Commercial Real Estate Notes 2019-FL2, Ltd. as follows: -- Class A Senior Secured Floating Rate Notes at AAA (sf) -- Class A-S Senior Secured Floating Rate Notes at AAA (sf) -- Class B Secured Floating Rate Notes at AA (low) (sf) -- Class C Secured Floating Rate Notes at A (low) (sf) -- Class D Secured Floating Rate Notes at BBB (high) (sf) -- Class E Secured Floating Rate Notes at BBB (low) (sf) -- Class F Floating Rate Notes at BB (low) (sf) -- Class G Floating Rate Notes at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS Morningstar's expectations. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update rating report with in-depth analysis and credit metrics for the transaction and business plan updates on select loans. The transaction is a managed collateralized loan obligation pool with a maximum funded balance of $635.0 million. At issuance, the pool initially consisted of 27 loans totalling $510.9 million, which subsequently ramped up to the maximum balance. The transaction has a 36-month reinvestment period that will expire with the November 2022 Payment Date. Since issuance, 36 loans have been repaid from the pool, including 18 loans with a former trust balance of $318.1 million, which have been repaid since the previous DBRS Morningstar rating action in October 2021. Since October 2021, an additional 13 loans with a cumulative trust balance of $192.4 million have been added to the transaction. The current composition of the transaction is concentrated by property type with 33 loans secured by multifamily properties (81.2% of the pool), two loans secured by manufactured housing communities (7.1% of the pool balance), and one loan secured by a hotel property (5.8% of the pool balance). In contrast, the pool consisted of 35 loans secured by multifamily properties (91.8% of the pool balance) and two loans secured by manufactured housing communities (6.4% of the pool balance) as of October 2021 reporting. The transaction continues to consist of loans secured by properties concentrated in suburban markets with 27.8% of the pool in DBRS Morningstar Market Rank 5, 19.7% of the pool in DBRS Morningstar Market Rank 4, and 20.5% of the pool in DBRS Morningstar Market Rank 3. Only three loans, representing 15.9% of the pool, are secured by properties in markets that DBRS Morningstar considers to be urban. Loan leverage on a poolwide basis has remained relatively consistent from October 2021 as the current weighted-average as-is appraised loan-to-value ratio (LTV) is 82.7%, compared with 84.0% as of October 2021. The current weighted-average stabilized appraised LTV is 68.7%, compared with 70.0% as of October 2021. Through March 2022, the collateral manager had advanced $32.9 million in loan future funding to 25 individual borrowers to aid in property stabilization efforts. The largest advance, $6.6 million, was made to the borrower of the Park at Carlyle, which is by 629-unit multifamily property in Birmingham, Alabama. The borrower's business plan is to complete a capital improvement program for various interior and exterior renovations, with an estimated $4,965 per unit of interior renovations for approximately all units. An additional $41.1 million of loan future funding, allocated to 34 borrowers, remains outstanding. Of this amount, $2.9 million is allocated to the borrower of the Park at Carlyle and $2.5 million is allocated to the borrower of the Reserve at Perkins for further capital improvement costs. Borrowers continue to progress toward completing the stated business plans; however, several individual borrowers are behind schedule on renovation plans but have achieved rental rates in line with DBRS Morningstar's stabilized projections from issuance. There are no loans on the servicer's watchlist; however, one loan, 930 North Boulevard (Prospectus ID#35, 1.7% of the pool), is in special servicing as of the July 2022 remittance. The loan is secured by a 48-unit multifamily property in Oak Park, Illinois. The borrower's business plan at issuance was focused on a $2.0 million comprehensive renovation plan of the interior and exterior; however, as of March 2022, the subject remains 100% vacant. It was discovered the subject had structural issues, which forced all residents to exit the property. The issues must be addressed before the interior unit renovations can be completed. The noted workout strategy from the servicer is for the loan to be repaid in full as the borrower works to correct the structural issues and complete its original business plan. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 202-BNK43: Fitch Gives B-(EXP) Rating to Class G Certs ----------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2022-BNK43, commercial mortgage pass-through certificates, series 2022-BNK43. Fitch has assigned the following expected ratings: -- $16,160,000 class A-1 'AAAsf'; Outlook Stable; -- $46,018,000 class A-2 'AAAsf'; Outlook Stable; -- $3,443,000 class A-3 'AAAsf'; Outlook Stable; -- $23,908,000 class A-SB 'AAAsf'; Outlook Stable; -- $157,500,000a class A-4 'AAAsf'; Outlook Stable; -- $0b class A-4-1 'AAAsf'; Outlook Stable; -- $0bc class A-4-X1 'AAAsf'; Outlook Stable; -- $0b class A-4-2 'AAAsf'; Outlook Stable; -- $0bc class A-4-X2 'AAAsf'; Outlook Stable; -- $477,654,000a class A-5 'AAAsf'; Outlook Stable; -- $0b class A-5-1 'AAAsf'; Outlook Stable; -- $0bc class A-5-X1 'AAAsf'; Outlook Stable; -- $0b class A-5-2 'AAAsf'; Outlook Stable; -- $0bc class A-5-X2 'AAAsf'; Outlook Stable; -- $724,683,000c class X-A 'AAAsf'; Outlook Stable; -- $195,406,000c class X-B 'A-sf'; Outlook Stable; -- $100,938,000 class A-S 'AAAsf'; Outlook Stable; -- $0b class A-S-1 'AAAsf'; Outlook Stable; -- $0bc class A-S-X1 'AAAsf'; Outlook Stable; -- $0b class A-S-2 'AAAsf'; Outlook Stable; -- $0bc class A-S-X2 'AAAsf'; Outlook Stable; -- $50,469,000 class B 'AA-sf'; Outlook Stable; -- $0b class B-1 'AA-sf'; Outlook Stable; -- $0bc class B-X1 'AA-sf'; Outlook Stable; -- $0b class B-2 'AA-sf'; Outlook Stable; -- $0bc class B-X2 'AA-sf'; Outlook Stable; -- $43,999,000 class C 'A-sf'; Outlook Stable; -- $0b class C-1 'A-sf'; Outlook Stable; -- $0bc class C-X1 'A-sf'; Outlook Stable; -- $0b class C-2 'A-sf'; Outlook Stable; -- $0bc class C-X2 'A-sf'; Outlook Stable; -- $50,469,000cd class X-D 'BBB-sf'; Outlook Stable; -- $28,470,000d class D 'BBBsf'; Outlook Stable; -- $21,999,000d class E 'BBB-sf'; Outlook Stable; -- $20,705,000d class F 'BB-sf'; Outlook Stable; -- $10,353,000d class G 'B-sf'; Outlook Stable. Fitch is not expected to rate the following classes: -- $33,646,246d class H; -- $54,487,487e class RR Interest. a. The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $635,154,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$315,000,000, and the expected class A-5 balance range is $320,154,000-$635,154,000. The balances of classes A-4 and A-5 above represent the hypothetical balance for class A-4 if class A-5 were sized at the midpoint of its range. In the event that the class A-5 certificates are issued with an initial certificate balance of $635,154,000, the class A-4 certificates will not be issued. b. Exchangeable Certificates. Class A-4, A-5, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. c. Notional amount and IO. d. Privately placed and pursuant to Rule 144A. e. Represents the "eligible vertical interest" comprising 5.0% of the pool. The expected ratings are based on information provided by the issuer as of July 27, 2022. Rating Action BANK 2022-BNK43 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-1 LT AAA(EXP)sf Expected Rating A-4-2 LT AAA(EXP)sf Expected Rating A-4-X1 LT AAA(EXP)sf Expected Rating A-4-X2 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-1 LT AAA(EXP)sf Expected Rating A-5-2 LT AAA(EXP)sf Expected Rating A-5-X1 LT AAA(EXP)sf Expected Rating A-5-X2 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-S-1 LT AAA(EXP)sf Expected Rating A-S-2 LT AAA(EXP)sf Expected Rating A-S-X1 LT AAA(EXP)sf Expected Rating A-S-X2 LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT AA-(EXP)sf Expected Rating B-X1 LT AA-(EXP)sf Expected Rating B-X2 LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating C-1 LT A-(EXP)sf Expected Rating C-2 LT A-(EXP)sf Expected Rating C-X1 LT A-(EXP)sf Expected Rating C-X2 LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating H LT NR(EXP)sf Expected Rating RR Interest LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 61 loans secured by 103 commercial properties with an aggregate principal balance of $1,089,749,733 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC and National Cooperative Bank, N.A. The master servicers are expected to be Wells Fargo Bank, National Association and National Cooperative Bank, N.A. The special servicers are expected to be Greystone Servicing Company LLC and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 38.0% of the properties by balance, cash flow analyses of 85.9% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: This transaction's leverage is lower than other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio (DSCR) of 1.43x is higher than the 2022 YTD and 2021 averages of 1.34x and 1.38x, respectively. Additionally, the pool's Fitch loan-to-value (LTV) ratio of 94.0% is lower with the 2022 YTD and the 2021 averages of 100.9% and 103.3%, respectively. The pool's conduit-specific leverage is also lower than other multiborrower transactions recently rated by Fitch. Excluding the co-operative (co-op) and credit opinion loans, the pool's DSCR and LTV are 1.30x and 98.5%, respectively. The 2022 YTD and 2021 averages, excluding credit opinion and co-op loans, are 1.24x/108.9% and 1.30x/110.5%, respectively. Higher Pool Concentration: The pool's largest 10 loans represent 59.2% of its cutoff balance, which is greater than the 2022 YTD and 2021 averages of 55.5% and 51.2%, respectively. This results in a Loan Concentration Index (LCI) score of 446 for the pool, which is higher than the 2022 YTD and 2021 averages of 323 and 381, respectively. Investment-Grade Credit Opinion and Co-Op Loans: The pool includes one loan, representing 7.7% of the pool by original principal balance, which received an investment-grade credit opinion. This is below the 2022 YTD average of 16.5% as well as the 2021 average of 13.3%. Constitution Center (7.71% of the pool) received a credit opinion of 'A-sf' on a stand-alone basis. Additionally, the pool contains a total of 15 loans, representing 4.0% of the cutoff balance, that are secured by residential co-ops and exhibit leverage characteristics significantly lower than typical conduit loans. The weighted-average (WA) Fitch DSCR and LTV for the co-op loans are 5.30x and 28.4%, respectively. Limited Amortization: Based on the estimated loan balances at maturity, the pool is scheduled to pay down only 4.2%, which is above the 2022 YTD average of 3.4% and below the 2021 YTD average of 4.8%. Thirty-five loans representing 70.5% of the pool are full-term interest-only, and an additional five loans representing 6.0% of the pool are partial IO. The percentage of full-term IO loans is slightly lower than the 2022 YTD and 2021 averages of 79.2% and 70.5%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/ 'BB- sf'/'B-sf'; -- 10% NCF Decline: 'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/ 'CCCsf'/'CCCsf'; -- 20% NCF Decline: 'A-sf'/'BBB sf'/'BB+sf'/'Bsf'/'CCCsf'/ 'CCCsf'/'CCCsf'; -- 30% NCF Decline: 'BBBsf'/'BB+sf'/'Bsf'/'CCCsf'/'CCCsf'/ 'CCCsf'/'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/ 'BB-sf'/'B-sf'; -- 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/ 'BBB-sf'/'BBB-sf'. BARINGS CLO 2022-II: Fitch Assigns BB Rating on Class E Debt ------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2022-II. Barings CLO Ltd. 2022-II A LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Barings CLO Ltd. 2022-II (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.2 versus a maximum covenant, in accordance with the initial expected matrix point of 24.3. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.7% first-lien senior secured loans. The weighted average recovery assumption (WARR) of the indicative portfolio is 76.52% versus a minimum covenant interpolated from the Fitch Test Matrix of 71.37%. 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 adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AA+sf' for class B, between 'B+sf' and 'A+sf' for class C, between less than '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 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. BBCMS 2017-DELC: DBRS Confirms B Rating on Class HRR Certs ---------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-DELC issued by BBCMS 2017-DELC Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-NCP at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class HRR at B (sf) All trends are Stable. The rating confirmations reflect the overall stable outlook for the collateral as performance continues to recover from the impact of the Coronavirus Disease (COVID-19) pandemic and trend toward pre-pandemic levels. This loan is secured by a 757-key, full-service luxury beach resort on Coronado Island, California. The transaction closed in August 2017, and the trust comprises $507.6 million in senior mortgage debt with a total of $204.4 million held across three mezzanine loans held outside the trust. The interest-only (IO) loan features a two-year initial term with five one-year extensions. The servicer confirmed the borrower has exercised its fourth extension option, which extended the maturity date to August 2023. The loan is sponsored by Blackstone Real Estate Partners VIII L.P., an affiliate of The Blackstone Group Inc., the world's largest alternative asset manager and real estate advisory firm. The hotel previously operated as an independent hotel but is now managed by Hilton Worldwide Holdings, Inc. (Hilton) under the Curio Collection flag, one of Hilton's upscale brands. The collateral benefits from Hilton's global brand distribution system, the extensive network of Hilton Honors members, and Hilton's marketing influence for group bookings. The hotel management agreement with Hilton began in July 2017 and continues through July 2027 with two five-year extension options. The sponsor used the down time during the height of the pandemic to complete the massive capex project of $400.0 million, which was planned at issuance and is being delivered in various phases. It is expected to be completed before the final loan maturity in August 2024. According to the property's website, completed projects include new guest rooms in The Views, a newly restored front porch and lobby, a new Ice House Museum, a gated beach community known as Beach Village at The Del, and a new main entrance along the south end of the resort. Other projects include the Shore House and Southpointe Event Center, which will be opening in Fall 2022, as well as the full guest room and common area renovation of The Victorian, the property's main building, and Founders Hall meeting room, which will be completed by 2023. The loan reported a trailing 12-month (T-12) ended December 2021 net cash flow (NCF) of $49.5 million, compared with a year end (YE) 2020 NCF of $485,500, YE2019 NCF of $45.8 million, and DBRS Morningstar NCF of $49.9 million at issuance. The loan reported debt service coverage ratio (DSCR) for the same period at 2.30 times (x), compared with the YE2020, YE2019, and DBRS Morningstar DSCR of 0.02x, 1.22x, and 1.63x, respectively. According to the April 2022 STR report, the property reported a T-12 ended April 2022 occupancy rate of 63.2%, average daily rate (ADR) of $624.01, revenue per available room (RevPAR) of $394.21, and a RevPAR penetration rate of 118.1%. This marks an improvement from the T-12 ended May 2021 occupancy rate, ADR, and RevPAR of 32.5%, $528.04, and $171.87, respectively, and a RevPAR penetration rate of 101.1%. Notes: All figures are in U.S dollars unless otherwise noted. BBCMS MORTGAGE 2019-C4: Fitch Affirms 'B-sf' Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed all 18 classes of BBCMS Mortgage Trust 2019-C4 Commercial Mortgage Pass-Through Certificates, Series 2019-C4. In addition, Fitch has revised the Rating Outlooks on classes F and X-F to Stable from Negative. The Rating Outlooks on classes G and X-G remain Negative. RATING ACTIONS ENTITY/DEBT RATING PRIOR ---- ------ ----- BBCMS 2019-C4 A-1 07335CAA2 LT AAAsf Affirmed AAAsf A-2 07335CAB0 LT AAAsf Affirmed AAAsf A-3 07335CAC8 LT AAAsf Affirmed AAAsf A-4 07335CAE4 LT AAAsf Affirmed AAAsf A-5 07335CAF1 LT AAAsf Affirmed AAAsf A-S 07335CAG9 LT AAAsf Affirmed AAAsf A-SB 07335CAD6 LT AAAsf Affirmed AAAsf B 07335CAH7 LT AA-sf Affirmed AA-sf C 07335CAJ3 LT A-sf Affirmed A-sf D 07335CAT1 LT BBBsf Affirmed BBBsf E 07335CAV6 LT BBB-sf Affirmed BBB-sf F 07335CAX2 LT BB-sf Affirmed BB-sf G 07335CAZ7 LT B-sf Affirmed B-sf X-A 07335CAK0 LT AAAsf Affirmed AAAsf X-B 07335CAL8 LT A-sf Affirmed A-sf X-D 07335CAM6 LT BBB-sf Affirmed BBB-sf X-F 07335CAP9 LT BB-sf Affirmed BB-sf X-G 07335CAR5 LT B-sf Affirmed B-sf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions to Stable on classes F and X-F reflect improved loss expectations for the pool since Fitch's prior rating due to performance stabilization of properties that had been negatively affected by the pandemic. In addition, three loans (3% of the pool) were defeased, including one previously specially serviced loan, TZA Multifamily Portfolio #2 (1.5%). Another specially serviced loan, Pacific Grove Portfolio, was prepaid with yield maintenance. Fitch's current ratings incorporate a base case loss of 4.20%. The Negative Outlook on classes G and X-G, which were previously assigned for coronavirus-related stresses on hotel and retail properties, is maintained due to higher losses on two loans in the top 15, Emerald Pointe Apartments and Meidinger Tower, and performance concerns on the specially serviced loans/assets; downgrades are possible should performance of these properties not stabilize or deteriorate further. Twelve loans (15.4%) have been identified as Fitch Loan of Concern (FLOCs), including four specially serviced loans (4.1%). As of the July 2022 remittance reporting, six loans (6.1%) are in special servicing; two of these loans (2%) are pending return to the master servicer. The largest FLOC and largest increase in loss since the prior rating action is the Emerald Pointe Apartments loan (2.7%), which is secured by a 408-unit garden style apartment complex located in Harvey, LA, approximately 8.5 miles south of Downtown New Orleans. Occupancy at the subject has fallen to 41.2% as of YE 2021 from 95.8% in March 2021, largely due to 249 down units that sustained wind damage from Hurricane Ida in late August 2021. The servicer indicates that a loss draft reserve has been established and repairs are in process. The servicer-reported YE 2021 NOI debt service coverage ratio (DSCR) was 2.39x, compared with 2.45x at YE 2020. Fitch's base case loss expectation of 13% reflects an 8.75% cap rate and a 30% stress to YE 2021 NOI due cash flow volatility expected from the down units. The second largest increase in loss since the prior rating action is the Meidinger Tower loan (2.1%), which is secured by a 26-story office building totaling 331,054-sf located in Louisville, KY. Three tenants accounting for 43.6% of the NRA are considered investment-grade or credit-worthy tenants, including the largest tenant Computershare (33.9% NRA; lease expiry in October 2023). Other major tenants include Mountjoy Chilton Medley, LLP (11.3%; November 2022), Cotivity Healthcare (8.4%; lease expired July 2021) and River Road Asset Management, LLC (6.0%; August 2022). The property was 91.6% occupied in June 2021; an updated rent roll was requested but not received. Fitch's base case loss of 15% reflects a 10.25% cap rate and a 15% stress to the annualized June 2021 NOI due to upcoming rollover concerns and limited leasing updates. Specially Serviced Loans: The largest loan in special servicing is the New Orleans MOB Portfolio, which is secured by a portfolio of four office properties (three medical offices and one suburban office) totaling 122,825-sf located in (two-Metairie, one-Covington, one-New Orleans) Louisiana. The loan originally transferred to the special servicer in August 2020 for monetary default as a result of the COVID-19 pandemic. The borrower brought the loan current and it returned to the master servicer in October 2020. The loan re-transferred to the special servicer in October 2021 for payment default, stemming from collection issues brought by Hurricane Ida. The special servicer has begun dual tracking the loan, which is currently 90 days delinquent. Fitch's loss expectation reflects a stressed value of $141 psf, which is based on a 30% stress to the most recent appraisal. The largest contributors to expected losses are two REO hotel assets (1.6%) located in El Reno, OK. Both loans transferred to special servicing in March 2020 for imminent monetary default and became REO in late 2020. Third-party property management is in place and is working to increase RevPAR, ahead of a potential asset sale in late 2023. Fitch's expected loss of approximately 50% for both assets is based on a stress to the most recent appraisal values; the resulting stressed value per key is approximately $60,000. Minimal Change in Credit Enhancement (CE): CE has had minimal change since issuance due to limited amortization, one loan payoff and three loan defeasances representing 3.0% of the pool. As of the July 2022 remittance report, the pool's aggregate balance has been paid down by 2.2% to $916.8 million from $937.3 million at issuance. There are 24 loans (49.9% of the pool) that are full-term interest-only (IO), 27 (21.0%) balloon loans and 21 (29.1%) loans with a partial IO component. Credit Opinion Loans: Four loans, representing 12.4% of the pool, received investment-grade credit opinions at issuance. Three loans, 2 North 6th Place (2.2%), ILPT Hawaii Portfolio (2.1%) and 10000 Santa Monica Boulevard (1.1%), received stand-alone credit opinions of BBBsf*. The pool's largest loan, Moffett Towers II - Buildings 3 & 4 (7.1%), received a stand-alone credit opinion of 'BBB-sf*'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to A-1 through B and IO class X-A are not likely due to the continued expected amortization, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. -- Downgrades to classes C, D, E, X-B and X-D may occur should expected losses for the pool increase substantially from continued underperformance of the FLOCs or higher loss expectations on the specially serviced loans. -- Downgrades to classes F, G, X-F and X-G will occur with a greater certainty of loss or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. -- Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or further underperformance or default of the FLOCs could cause this trend to reverse. -- Upgrades to the 'BBB-sf' and 'BBBsf' rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- Upgrades to the 'BB-sf' and 'B-sf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. BENCHMARK 2022-B36: DBRS Gives Prov. B Rating on Class X-J Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Benchmark 2022-B36 Mortgage Trust (BMARK 2022-B36): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class X-G at BB (high) (sf) -- Class G at BB (sf) -- Class X-H at BB (low) (sf) -- Class H at B (high) (sf) -- Class X-J at B (sf) -- Class J at B (low) (sf) All trends are Stable. Classes X-D, X-F, X-G, X-H, X-J, X-K, D, E, F, G, H, J, and K will be privately placed. Classes X-A, X-B, X-D, X-F, X-G, X-H, and X-J are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. The collateral consists of 31 fixed-rate loans secured by 69 commercial and multifamily properties with an aggregate cut-off date balance of $753.8 million. One loan (Yorkshire & Lexington Towers), representing 8.8% of the pool, is shadow-rated investment grade by DBRS Morningstar. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off balances were measured against the DBRS Morningstar net cash flow and their respective actual constants, the initial DBRS Morningstar weighted-average (WA) debt service coverage ratio (DSCR) of the pool was 1.71 times (x). The WA DBRS Morningstar Issuance loan-to-value ratio (LTV) of the pool was 52.7%, and the pool is scheduled to amortize to a WA DBRS Morningstar Balloon LTV of 52.5% at maturity. These credit metrics are based on the A-note balances. Excluding the shadow-rated loans, the deal still exhibits a favorable WA DBRS Morningstar Issuance LTV of 54.6% and WA DBRS Morningstar Balloon LTV of 54.4%. In addition, the pool features only one loan, representing 1.1% of the allocated pool balance, that exhibits a DBRS Morningstar Issuance LTV in excess of 67.1%, a threshold generally indicative of above-average default frequency. The transaction has a sequential-pay pass-through structure. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2022: Fitch Affirms B-sf Rating on 2 Tranches ------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Benchmark 2022-B36 Mortgage Trust commercial mortgage pass-through certificates, series 2022-B36, as follows: -- $1,000,000 class A-1 'AAAsf'; Outlook Stable; -- $106,901,000 class A-2 'AAAsf'; Outlook Stable; -- $87,500,000 class (a) A-4 'AAAsf'; Outlook Stable; -- $303,640,000 (a) class A-5 'AAAsf'; Outlook Stable; -- $2,240,000 class A-SB 'AAAsf'; Outlook Stable; -- $64,450,000 class A-S 'AAAsf'; Outlook Stable; -- $565,731,000 (b) class X-A 'AAAsf'; Outlook Stable; -- $34,016,000 class B 'AA-sf'; Outlook Stable; -- $30,435,000 class C 'A-sf'; Outlook Stable; -- $64,451,000 (b) class X-B 'A-sf'; Outlook Stable; -- $19,693,000 class D 'BBBsf'; Outlook Stable; -- $16,112,000 class E 'BBB-sf'; Outlook Stable; -- $35,805,000 (b) class X-D 'BBB-sf'; Outlook Stable; -- $8,952,000 class F 'BB+sf'; Outlook Stable; -- $8,952,000 (b) class X-F 'BB+sf'; Outlook Stable; -- $8,951,000 class G 'BB-sf'; Outlook Stable; -- $8,951,000 (b) class X-G 'BB-sf'; Outlook Stable; -- $7,161,000 class H 'B-sf'; Outlook Stable; -- $7,161,000 (c) class X-H 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $11,602,000 class J; -- $11,602,000 (b) class X-J; -- $13,463,056 class K; -- $13,463,056 (b) class X-K; -- $29,839,694 (c) RR Interest; -- $7,850,625 (c) class RR. (a) The initial certificate balances of class A-4 and A-5 are not yet known but are expected to be $391,140,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$175,000,000, and the expected class A-5 balance range is $216,140,000-$391,140,000. The balances for classes A-4 and A-5 reflect the midpoints of each range. (b) Notional amount and interest only (IO) (c) Vertical risk retention interest. The expected ratings are based on information provided by the issuer as of August 1, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 31 loans secured by 69 commercial properties having an aggregate principal balance of $753,806,375 as of the cut-off date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company, and JPMorgan Chase Bank, N.A. Midland Loan Services, a Division of PNC Bank, National Association, is expected to serve as both the master and special servicer. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch's loan-to-value ratio (LTV) of 97.2% is lower than both the 2022 YTD and 2021 averages of 100.9% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.16x is below the 2022 YTD and 2021 averages of 1.34x and 1.38x, respectively. This is in large part because of the higher weighted average mortgage rate. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 99.0% and 1.17x, respectively. High Pool Concentration: The pool's 10 largest loans represent 67.8% of its cutoff balance, which is significantly greater than the 2022 YTD and 2021 averages of 55.5% and 51.2%, respectively. This results in a Loan Concentration Index (LCI) score of 568, which is higher than the 2022 YTD and 2021 averages of 423 and 381, respectively. Investment-Grade Credit Opinion Loans: The pool includes one loan, representing 8.8% of the cutoff balance, that received an investment-grade credit opinion. This is well below both the 2022 YTD and 2021 averages of 16.5% and 13.3%, respectively. Yorkshire & Lexington Towers is the only credit opinion loan, and it received a standalone credit rating of 'BBB-sf*'. Minimal Amortization: Based on scheduled balances at maturity, the pool will pay down by only 0.5%, which is below the 2022 YTD and 2021 averages of 3.4% and 4.8%, respectively. Twenty-nine loans representing 97.5% of the pool are full-term IO loans, and two loans (2.5% of the pool) are partial IO. There are no amortizing balloon loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'BB-sf' / 'B-sf' / 'CCCsf'; -- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'B+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; -- 30% NCF Decline: 'BBB-sf' / 'BBsf' / 'B-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A- sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'. BLACKROCK DLF IX 2020-1: DBRS Finalizes B Rating on Class W Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Notes issued by BlackRock DLF IX 2020-1 CLO, LLC, pursuant to the Note Purchase and Security Agreement (the NPSA) dated as of July 21, 2020, among BlackRock DLF IX 2020-1 CLO, LLC, as Issuer, U.S. Bank National Association, as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent, and the Purchasers referred to therein: -- Class A-1 Notes at AAA (sf) -- Class A-2 Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (high) (sf) -- Class D Notes at BBB (high) (sf) -- Class E Notes at BB (high) (sf) -- Class W Notes at B (sf) The finalized ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of July 21, 2030. The finalized ratings on the Class B, C, D, E, and W Notes address the ultimate payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of July 21, 2030. The Class W Notes have a fixed-rate coupon that is lower than the spread/coupon of some of the more-senior Secured Notes. The Class W Notes also benefit from the Class W Note Payment Amount, which allows for principal repayment of the Class W Notes with collateral interest proceeds, in accordance with the Priority of Payments. The rationale for the finalization of the provisional rating is the completion of the Phase I Commitment Period, as defined in the NPSA. As a result, DBRS Morningstar was able to finalize the provisional ratings on the Secured Notes. The notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2022-PSB: Fitch to Rate Class HRR Debt 'B-sf' ------------------------------------------------------ Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2022-PSB, commercial mortgage pass-through certificates, series 2022-PSB: Fitch expects to rate the transaction and assign Outlooks as follows: -- $1,397,000,000 class A 'AAAsf'; Outlook Stable; -- $455,700,000a class X-CP 'BBB-sf'; Outlook Stable; -- $651,000,000a class X-NCP 'BBB-sf'; Outlook Stable; -- $189,300,000 class B 'AA-sf'; Outlook Stable; -- $212,700,000 class C 'A-sf'; Outlook Stable; -- $249,000,000 class D 'BBB-sf'; Outlook Stable; -- $278,300,000 class E 'BB-sf'; Outlook Stable; -- $270,600,000 class F 'Bsf'; Outlook Stable; -- $136,720,000b class HRR 'B-sf'; Outlook Stable. (a) Notional amount and interest-only (IO). (b) Non-offered horizontal credit risk retention interest. TRANSACTION SUMMARY The BX Trust 2022-PSB, commercial mortgage pass-through certificates, series 2022-PSB (BX 2022-PSB) represent the beneficial interest in a $2.73 billion, two-year initial-term (with three, one-year extension options), floating-rate, IO commercial mortgage loan. The mortgage loan is secured by the borrower's fee simple interests in 138 primarily industrial and office/flex properties located across six states. The $2.73 billion loan finances the sponsor's acquisition of 138 properties, which has an appraised value of $4.3 billion, and fund upfront reserves and pay closing costs. The loan is sponsored by Blackstone Real Estate Partners IX L.P. The loan was co-originated by five originators: Bank of America, National Association; Barclays Capital Real Estate Inc.; Citi Real Estate Funding Inc.; Morgan Stanley Bank N.A.; and Societe Generale Financial Corporation. KeyBank National Association is expected to be the servicer, and 3650 REIT Loan Servicing LLC is expected to be the special servicer. The trustee will be Computershare Trust Company, National Association, and Park Bridge Lender Services LLC will act as operating advisor. KEY RATING DRIVERS High Fitch Stressed Leverage: The $2.73 billion mortgage loan has a Fitch debt service coverage ratio of 0.78x, stressed loan-to-value ratio (LTV) of 113.5%, and base case LTV of 91.1%. The total mortgage debt represents $167 psf. Additional mezzanine debt is permitted subject to debt yield and LTV thresholds. Property and Tenant Diversity: The portfolio is highly diverse and consists of 138 properties located in 13 markets across six states. The largest market concentration is Miami, consisting of 22 properties in a single business park (21.1% of NRA, 24.0% of ALA). The tenancy is also highly diverse, totaling over 2,900 tenants. The largest tenant in the portfolio by size accounts for 2.1% of the NRA. Of the portfolio's 138 individual properties, 22 are single tenanted; however, some of the single-tenanted properties are located within larger multi-tenanted business parks that serve as collateral. Experienced Sponsorship, Including with Industrial Properties: The loan is sponsored by Blackstone Real Estate Partners IX L.P., an affiliate of Blackstone Inc. Blackstone Real Estate has approximately $320 billion of investor capital under management. It is the largest owner of commercial real estate globally, and its portfolio includes properties throughout the world with a mix of property types. Blackstone Inc. has acquired over 600 million sf of industrial space globally since 2010. Infill Locations and Flexible Uses: The properties are generally located in infill industrial areas with proximity to highways and airports in major markets, an advantage as e-commerce shoppers' expectations for delivery times have shortened. The tenant spaces can be used for a variety of purposes; the portfolio's weighted average office finish is 38.1%. Although the primary property type is industrial, the portfolio includes office, retail and self-storage uses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf': --10% NCF Decline: 'AAsf'/A-sf'/'BBB-sf'/'BBsf'; --20% NCF Decline: 'Asf'/'BBB-sf'/'BBsf'/'B+sf'; --30% NCF Decline: 'BBBsf'/'BBsf'/'B+sf'/'B-sf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf': --20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A-sf'. BXHPP TRUST 2021-FILM: DBRS Confirms BB Rating on Class E Certs --------------------------------------------------------------- DBRS, Inc. confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-FILM issued by BXHPP Trust 2021-FILM: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-CP at A (sf) -- Class X-FP at A (sf) -- Class X-NCP at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. The trust loan is a five-year (two years plus three one-year extensions) floating-rate, interest-only (IO) mortgage loan with an outstanding principal balance of $1.1 billion secured primarily by the borrower's fee-simple and/or leasehold interests in five Class A office properties and three studio facilities in Los Angeles. While not contiguous with each other, the properties come together to form a synergistic creative campus in Hollywood that is attractive for tenants in the content creation space. The borrower is a special-purpose entity affiliate of a joint venture partnership established between Blackstone Property Partners (49%) and Hudson Pacific Properties L.P. (HPP; 51%) to own and operate the collateral, which represents a high-barrier-to-entry real estate portfolio that serves as a hub for a growing industry (digital content). The loan is structured to allow individual parcels to be released with a relatively weak prepayment premium of only 105% for the first 30% of the loan balance and 110% of the balance thereafter. As of the July 2022 remittance, no properties had been released. In connection with the mortgage loan, the borrower entered into an interest rate cap agreement with a Libor strike price equal to 3.5%, which is required to be in effect until the initial maturity date. The borrower is also obligated to provide a replacement interest rate cap agreement for any extension period. The office component, totaling 967,000 square feet (sf), has no scheduled lease expirations until more than five years after loan maturity. The studio assets, totaling 1.3 million sf, benefit from longer-term lease structures that are less common for studio properties. The properties have also performed well despite initial disruptions in production schedules related to the ongoing Coronavirus Disease (COVID-19) pandemic. The servicer provided a consolidated YE2021 operating statement analysis report, which showed some notable discrepancies when compared with the issuer's expectations. DBRS Morningstar has requested additional information regarding the below figures, and as of the date of this press release, a response is pending. Effective gross income was down $14.1 million dollars (-8.42%), while total operating expenses were up $19.0 million (28.9%). The repairs and maintenance line item was particularly high, increasing to $66.0 million from the issuer's figure of $10.8 million, representing more than a 500% increase. As a result of these variances, net cash flow (NCF) had decreased to $66.6 million from the issuer's $99.6 million, and the DBRS Morningstar NCF of $91.3 million. However, the loan continues to remain current, and the YE2021 debt service coverage ratio (DSCR) was still covering at 4.44 times (x) compared with the issuer's DSCR of 6.62x. According to a rent roll dated March 31, 2022, the portfolio was 89.0% occupied, with the largest tenant occupying 56.7% of the net rentable area (NRA), across both the studio and office space. The largest tenant that occupies the majority of the office space and a significant portion of the studio space is a publicly traded media services company with more than $20 billion in annual revenue. Company 3, a comprehensive postproduction facility for features, commercials, and music videos, is the second-largest tenant with only 5.8% of NRA, and Streamline Media is the third-largest tenant with 5.5% of NRA. No other tenant represents more than 5.5% of NRA. Although studio leases are generally shorter term—typically six to 12 months—the sponsor has successfully executed longer-term lease agreements with the studio tenants, which currently have a weighted-average lease term of 7.23 years. Recent leasing spreads for the sound stages have been significant, with a 30% positive leasing spread on the largest tenant's right-of-first-offer on four stages at the Sunset Gower property and approximately 13.0% for the ABC Studios' renewal through June 2023 at the Sunset Las Palmas property, where it films the television series Station 19. Furthermore, the sponsor has negotiated must-take minimums with various tenants for grip and light rentals, which reduces the volatility of the grip and light revenue line item. The properties, specifically the studio component, benefit from high barriers to entry. There have been no substantial deliveries of new studio space to the Los Angeles market in the past 20 years, in part because the high cost of land makes it economically unattractive to construct new studio space. The office and studio components collectively form what is effectively a creative campus for digital content, which DBRS Morningstar believes to be synergistic for tenants at both the office and the studio parcels. DBRS Morningstar believes that growing demand for creative digital content is likely to continue, and the properties collectively serve as a major creative hub for one of the largest digital streaming services and content producers in the world. The studio component of the transaction requires specialized knowledge and expertise in order to operate and lease effectively. For example, HPP handles leasing of the studio component through an in-house sales team that specializes in managing relationships with various space users. The pool of potential buyers either for the studio component or the portfolio as a whole may be more limited than other, more traditional property types. Notes: All figures are in U.S. dollars unless otherwise noted. CHC COMMERCIAL 2019-CHC: DBRS Confirms BB Rating on Class E Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates issued by CHC Commercial Mortgage Trust 2019-CHC as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class X at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) -- Class HRR at CCC (sf) The trends on Classes E and F are Negative. All other trends remain Stable, with the exception of Class HRR, which is assigned a rating that generally does not carry a trend for commercial mortgage-backed securities (CMBS) ratings. DBRS Morningstar changed the trends on Classes E and F to Negative in September 2020 as a reflection of concerns with the Coronavirus Disease (COVID-19) pandemic, which has been particularly impactful for healthcare properties such as those that collateralize the loan contributed to the subject transaction. With this review, DBRS Morningstar maintained the Negative trends given the continued uncertainty regarding the timeline for the property cash flows to return to levels achieved prior to the pandemic, as further outlined below. At issuance, the collateral was backed by the borrower's fee and leasehold interests in 156 healthcare properties. Since issuance, three properties (Yuma SNF, North Bend & Mt Si SNF, and Greeley MOB) were released from the collateral, resulting in a collateral reduction of just 0.7%. Mortgage loan proceeds of approximately $1.02 billion, alongside $489.8 million of mezzanine debt and $146.0 million of sponsor equity, refinanced $1.6 billion of existing debt, funded upfront reserves, and paid closing costs. The loan had an initial two-year term with three 12-month extension options. The loan recently exercised its second extension option, extending the loan maturity through June 2023. The geographically diverse portfolio includes medical office buildings (MOB), independent living facilities (ILF), assisted living facilities (ALF), skilled nursing facilities (SNF), and hospital-related properties. The properties fall under three operating segments: (1) MOB, (2) triple net (NNN) leased, and (3) Real Estate Investment Trust (REIT) Investment Diversification and Empowerment Act (RIDEA) facilities. The majority of the portfolio is backed by the MOB segment, which comprises 3.0 million square feet across 88 buildings in 18 states. The NNN leased segment includes 55 properties that skew toward more operationally intensive uses and includes 35 SNF, 11 ALF, and nine hospital/long-term acute-care properties. DBRS Morningstar based the net cash flows for the NNN leased portfolio on the underlying properties' look-through cash flows rather than the NNN rent. The RIDEA portfolio consists of 11 properties that provide for a third-party management agreement and allow the landlord (borrower) to retain the income from the underlying operation without a lease in place. The 11 properties contain predominately ILF and ALF beds, which together comprise approximately 86.3% of the beds in the RIDEA facilities. ILF and ALF properties are generally private-pay, limiting the portfolio's exposure to changes in Medicare and Medicaid reimbursements. The RIDEA properties benefit from a higher portion of private-pay sources; however, DBRS Morningstar did factor in additional conservatism in its determination of net cash flows (NCFs). As of March 2022, the portfolio was 85.7% occupied, improving from 75.0% at March 2021. Based on the Q1 2022 financials, the loan reported a trailing-12 month NCF figure of $105.0 million, reflecting a mortgage loan debt service coverage ratio (DSCR) of 5.21 times (x) and a whole loan DSCR of 2.01x. Despite the decline in NCF from year-end (YE) 2021 at $108.9 million and YE2020 at $122.1 million, revenue has remained relatively stable; the decline has primarily been a result of increased expenses. As of YE2021, the loan reported a 10.8% decline in NCF and a 12.2% increase in expenses, largely driven by increased management fees (+69.6% year over year (YOY)), advertising & marketing (+49.5% YOY), general & administrative (+31.9% YOY), and other expenses (+43.1% YOY). While the rise of these expense line items is notable, DBRS Morningstar views these as a response to dealing with the coronavirus pandemic given the property type and anticipates these to decline with updated financial reporting. The sponsor, Colony Capital (Colony), sold its healthcare portfolio to Aurora, a healthcare-focused investment firm, in February 2022, which included the subject properties. Aurora currently manages over 6,000 beds in healthcare facilities across the United States. The strong sponsorship, geographical diversity, and recent occupancy gains suggest continued stable performance for the loan. Notes: All figures are in U.S. dollars unless otherwise noted. COLT 2022-7: Fitch Assigns Bsf Rating to Class B2 Certs ------------------------------------------------------- Fitch Ratings has assigned final ratings to the residential mortgage-backed certificates to be issued by COLT 2022-7 Mortgage Loan Trust (COLT 2022-7). RATING ACTIONS ENTITY/DEBT RATING PRIOR ---- ------ ----- COLT 2022-7 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 466 nonprime loans with a total balance of approximately $293.5 million as of the cutoff date. Loans in the pool were originated by multiple originators, including Sprout Mortgage, 5th Street Capital and others. Loans were aggregated by Hudson Americas L.P. Loans are currently serviced by Select Portfolio Servicing, Inc. (SPS) or Northpointe Bank. In early July, news emerged that Sprout Mortgage was laying off the majority of their workforce and shutting down operations. Sprout Mortgage originated about 50% of the collateral within the transaction. Fitch feels like the primary risks associated with Sprout Mortgage have been mitigated against as outlined in Fitch's presale report. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 8.9% 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 20.4% yoy nationally as of April 2022. Non-QM Credit Quality (Negative): The collateral consists of 466 loans, totaling $293.5 million and seasoned approximately two months in aggregate. The borrowers have a moderate credit profile -- 730 model FICO and 40% model debt-to-income ratio (DTI) -- and leverage -- 82.7% sustainable loan-to-value ratio (sLTV) and 75.7% combined LTV (cLTV). The pool consists of 58.6% of loans where the borrower maintains a primary residence, while 34.4% comprise an investor property. Additionally, 65.6% are nonqualified mortgage (non-QM); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 27%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 83% of the loans in the pool were underwritten to less than full documentation, and 55% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 675 bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 198 debt service coverage ratio (DSCR) products in the pool (42% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch's expected loss for these loans is 39.9% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 27% weighted average (WA) concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2022-7 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net WA coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. Additionally, after the step-up date, the unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes. 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 analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 40.8% 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 analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. COMM 2012-LTRT: DBRS Confirms CCC Rating on Class E Certs --------------------------------------------------------- DBRS, Inc. downgraded its ratings on two classes of the Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT issued by COMM 2012-LTRT Mortgage Trust as follows: -- Class C to B (high) (sf) from BB (low) (sf) -- Class D to CCC (sf) from B (low) (sf) In addition, DBRS Morningstar confirmed its ratings on the following: -- Class A1 at AAA (sf) -- Class X-A at AA (sf) -- Class A2 at AA (low) (sf) -- Class B at A (low) (sf) -- Class E at CCC (sf) The trends on Classes X-A, A2, B, and C were changed to Stable from Negative. The trend on Class A1 remains Stable. Classes D and E have ratings that do not carry a trend. The ratings downgrades reflect the sustained performance declines for both loans in the transaction, which are secured by retail properties, and DBRS Morningstar's expectation of the ultimate recovery of the second-largest loan in the pool. DBRS Morningstar had previously assigned Negative trends to Classes X-A, A2, B, C, and D as a reflection of the potential for further declines in the outlook for the two loans in this pool as both have experienced performance declines since issuance, exacerbated by the impact of the Coronavirus Disease (COVID-19) pandemic. DBRS Morningstar continues to note the concentration of loans secured by retail properties, as the effects of the COVID-19 pandemic disproportionately affected the performance of retail properties. The subject transaction is evidenced by two promissory notes, each individually secured by the fee interest in a portion of one of two super-regional malls known as the Westroads Mall and the Oaks Mall. The two loans are coterminous with a 10-year loan term, a 30-year amortization schedule with no interest-only (IO) periods, and a maturity date of October 1, 2022. As of the July 2022 remittance, the loans have an aggregate senior note balance of $211.2 million and an aggregate mezzanine debt balance of $30.2 million. The loans are not cross-collateralized or cross-defaulted. The sponsor for both loans is an affiliate of Brookfield Property Partners L.P. In May 2020, the servicer advised that the sponsor had notified the servicer of cash flow concerns caused by the pandemic. A loan modification allowing for a forbearance was approved for both loans by the master servicer by June 2020 and, as of the July 2022 remittance, the loan continues to show current with only nominal outstanding servicer advances, suggesting the forborne amounts have been repaid as agreed. Of the two loans backing the transaction, the Westroads Mall loan, which is secured by the fee interests in 540,304 square feet (sf) of a 1.1 million-sf regional mall in Omaha, Nebraska, has been the stronger performer. The noncollateral anchor spaces are occupied by JCPenney, Von Maur, and First Westroads Bank, while the largest collateral anchor and junior anchor tenants at the property include Dick's Sporting Goods, AMC Theatres, and Forever 21. The Forever 21 store remains in operation at the mall and is the only Forever 21 operating in Nebraska after the retailer left Gateway Mall and Nebraska Crossings in 2019. The mall is a dominant shopping destination within Omaha, but there is a competing open-air shopping center in Village Pointe that is within seven miles and has a concentration of overlapping tenants with Westroads, including Designer Shoe Warehouse (DSW) and Old Navy. Village Pointe targets an upscale clientele and its overall tenant mix is considered superior to the subject's tenant roster as it includes Apple, Lululemon, and Kendra Scott. At issuance, Westroads Mall had an occupancy rate of 94.5% and in-line sales of $458 per square foot (psf). As of the September 2021 rent roll, the occupancy rate of 94.4% was directly in line with the issuance level but, according to the September 2021 tenant sales report (TSR), the mall reported in-line sales of $240 psf. According to the most recent financials, the senior note reported a debt service coverage ratio (DSCR) of 1.63 times (x) at YE2021, compared with 1.51x at YE2020 and 1.89x at YE2019. The revenue increases in 2021 compared with 2020 appear to be directly related to the recovery from the pandemic. The Westroads Mall loan is scheduled to mature in October 2022 and, although the struggles of regional malls in secondary markets that have been exacerbated amid the pandemic could affect the sponsor's ability to secure takeout financing, DBRS Morningstar views the generally stable performance to date as encouraging. DBRS Morningstar analyzed this loan with a 9.25% cap rate. Using the YE2021 net cash flow (NCF), the DBRS Morningstar implied value was $166.2 million, compared with the appraisal value at issuance of $242.0 million (haircut of 31.3%). The Oaks Mall loan is secured by the fee interest in 581,849 sf of a 906,349-sf super regional mall in Gainesville, Florida. The Oaks Mall is approximately four miles from the University of Florida's main campus and is anchored by Belk, two Dillard's stores, and JCPenney. Of the anchors, only one of the Dillard's stores and the Belk store serve as collateral for the subject loan. At issuance, additional anchors, Macy's and Dillard's, were operating on ground leases. The Macy's closed in 2018 and the ground-leased parcel was purchased by Dillard's and released as collateral for the trust with net proceeds of $4.9 million from the sale being held in reserve as additional collateral. Dillard's continues to operate a second store on the former Macy's parcel. There was also a non-collateral Sears store at issuance, with the property and improvements owned by Seritage, until that anchor was closed in 2018. The Sears anchor is now occupied by the University of Florida Health (UF Health) - The Oaks. UF Health's ear, nose, and throat doctors' offices previously occupied space in the adjacent Hampton Oaks Medical Plaza. The property could potentially add additional office and/or residential space after the City of Gainesville voted to rezone the property from retail to mixed-use in May 2019. The mall historically drew traffic from the nearby college campus, but Butler Plaza, a competing open-air shopping center that is the largest power center in the Southeastern United States with nearly 2.0 million sf of retail space, is also nearby and has become the primary retail destination for the area. At issuance, the Oaks Mall had an occupancy rate of 96.8% and in-line sales of $368 psf. According to the YE2021 rent roll, the property was 94.3% occupied, while the September 2021 TSR reported in-line sales of $151 psf. Although occupancy has remained relatively stable, DBRS Morningstar notes cash flows have been trending downward over the past four years. The senior loan's DSCR dropped to 1.19x at YE2019, from 1.46x at YE2018 and 1.97x at YE2017. According to the most recent financials, the senior note reported a YE2021 DSCR of 1.46x, compared with the YE2020 figure of 0.86x. The year over year (YOY) increase was attributed to a 36.8% decrease in operating expenses, while income remained static. The YOY operating expense declines are likely not sustainable, as the largest decreases included a 52.9% decrease in property tax, and a 143% decrease in other expenses. The loan remains on the servicer's watchlist as the DSCR remains below 75% of the issuer's DSCR of 2.04x. The precipitous cash flow declines began before the loss of two anchor stores and accelerated following the closures. Although it is noteworthy that Dillard's took one of the vacant boxes and a medical tenant took the other, the cash flow trends suggest that the as-is value has declined sharply since issuance, significantly increasing the risks for the loan, which is scheduled to mature in October 2022. Given Brookfield's demonstrated willingness to turn underperforming properties in its portfolio back to the lenders for other assets backing commercial mortgage-backed securities loans, DBRS Morningstar believes the firm's commitment to the subject mall could be tenuous as well. DBRS Morningstar analyzed this loan with a 12.0% cap rate. Using the YE2021 NCF, the DBRS Morningstar implied value was $80.9 million, compared with the appraisal value at issuance of $227.0 million (haircut of 64.3%). The servicer commentary notes that, while both loans have upcoming maturities in October 2022, the servicer has not received an update regarding whether the borrower plans to refinance or repay the loans at maturity. Final maturity notices were not scheduled to be sent until July 2022 and DBRS Morningstar has requested further updates but, as of the date of this press release, a response is pending. Notes: All figures are in U.S. dollars unless otherwise noted. COMM TRUST 2020-CBM: DBRS Confirms BB(low) Rating on Class F Certs ------------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2020-CBM issued by COMM Trust 2020-CBM Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (sf) -- Class X-CP at AA (low) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) In addition, DBRS Morningstar changed the trends on Classes E and F 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 underlying $684.0 million mortgage loan is secured by a first-priority mortgage on the fee and leasehold interests in 52 limited-service hotel properties totalling 7,677 keys. The trust loan is part of a split loan structure composed of seven senior promissory notes in the aggregate principal amount of $298.0 million, one junior promissory note in the aggregate principal amount of $286.0 million, and four senior promissory non-trust notes totalling $100.0 million. The debt contributed to the transaction consists of the seven senior and one junior promissory notes totalling $584.0 million. The portfolio primarily includes older-vintage hotels, with 47 properties, representing 90.4% of the rooms, built in 1989 or earlier. All the hotels operate under the Courtyard by Marriott flag, benefitting from strong brand recognition as well as brand-wide reservation systems, marketing, and loyalty programs. The properties are located across 25 states, with concentrations in California, Florida, Illinois, and Colorado representing 25.2%, 7.6%, 7.1%, and 6.6% of the allocated loan amount, respectively. There was a $99.0 million reserve established at closing to fund capital improvements across the portfolio. As of the July 2022 servicer reporting, approximately 75% of the reserve has been depleted, with a current balance of $25.1 million. In addition, the servicer noted that a second reserve of approximately $70.0 million will be collected over the next few years to fund additional improvements to properties within the portfolio. The sponsor for the transaction is CBM Joint Venture Limited Partnership, a joint venture between affiliates of Clarion Partners, LLC (Clarion) and the Michigan Office of Retirement Services (the majority equity interest holder). Clarion acquired the portfolio and other interests between 2005 and 2012 and remains committed to the collateral as evidenced by the $99.0 million reserve at closing and planned secondary reserve of $70.0 million, in addition to substantial historical investment of more than $370.4 million since acquisition. The portfolio encountered performance challenges because of the coronavirus pandemic, which led to the near-total cessation of commercial and leisure travel. The loan transferred to special servicing in April 2020 in conjunction with the borrower's request for coronavirus-related relief. Although the lender agreed to modification terms that included forbearance, the borrower ultimately abandoned the request for relief, and the loan was returned to the master servicer in May 2020. As of the July 2022 remittance report, the loan is performing and remains current. According to the most recent financial reporting, occupancy and cash flow have improved, although they remain below pre-pandemic levels. The YE2021 debt service coverage ratio (DSCR) and net cash flow (NCF) of 1.40 times (x) and $34.3 million, respectively, are considerably higher than the YE2020 DSCR and NCF of -0.64x and -$15.7 million but lower than the issuer's DSCR and underwritten NCF of 3.46x and $169.7 million. Financial reporting for Q1 2022 indicated a further improvement in operating fundamentals, with annualized NCF climbing marginally higher to $36.6 million. Likewise, consolidated portfolio occupancy has improved to approximately 56% at YE2021 compared with 30% at YE2020. On an aggregate basis, the portfolio has historically outperformed its competitive sets, with occupancy, average daily rates, and revenue per available room penetration rates higher than 100% since 2016. Increased capital investment funded through the reserves will likely help the portfolio maintain and grow its competitive position while improving the overall financial performance of underperforming assets. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2022-C: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by CPS Auto Receivables Trust 2022-C (the Issuer): -- $168,558,000 Class A Notes at AAA (sf) -- $45,451,000 Class B Notes at AA (high) (sf) -- $49,132,000 Class C Notes at A (sf) -- $35,331,000 Class D Notes at BBB (sf) -- $29,075,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The DBRS Morningstar CNL assumption is 14.30% for the base transaction, 14.90% if upsized, based on the expected pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2022 Update," published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse pandemic scenarios, which were first published in April 2020. (2) In addition, the Issuer may upsize the structure during pre-marketing subject to market conditions up to a total issuance of $462.8 million. -- An additional amount up to $152 million in collateral will be added during the prefunding period, which will begin on the Closing Date and end no later than September 30, 2022. (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 the payment of principal by the legal final maturity date. (4) The consistent operational history of Consumer Portfolio Services, Inc. (CPS or the Company) and the strength of the overall Company and its management team. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of CPS with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) DBRS Morningstar exclusively used the static pool approach because CPS has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis that it performed on the static pool data. (7) The Company indicated that there is no material pending or threatened litigation. (8) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 55.20% of initial hard credit enhancement provided by the subordinated notes in the pool (43.20%), the reserve account (1.00%), and OC (11.00%). The ratings on the Class B, C, D, and E Notes reflect 42.85%, 29.50%, 19.90%, and 12.00% of initial hard credit enhancement, respectively. The initial hard credit enhancements are the same for the upsized transaction. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE 2022-4: DBRS Gives Prov. BB Rating on E Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Exeter Automobile Receivables Trust 2022-4 (EART 2022-4 or the Issuer): -- $67,600,000 Class A-1 Notes at R-1 (high) (sf) -- $110,000,000 Class A-2 Notes at AAA (sf) -- $100,450,000 Class A-3 Notes at AAA (sf) -- $85,600,000 Class B Notes at AA (sf) -- $78,110,000 Class C Notes at A (sf) -- $75,910,000 Class D Notes at BBB (sf) -- $62,490,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, a fully funded 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. (2) 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. (3) The DBRS Morningstar CNL assumption is 17.50% based on the cut-off date pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The transaction parties' capabilities with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Exeter and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The Exeter 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 Exeter's auto loan portfolio. -- As of the Cut-off Date (July 17, 2022), the collateral has a weighted-average (WA) seasoning of approximately three months and contains Exeter originations from Q4 2015 through Q3 2022, with approximately 93.6% consisting of loans originated since the second quarter of 2022. The average remaining term of the collateral pool is approximately 69 months. The WA non-zero FICO score of the pool is 584. (6) The legal structure and expected presence of legal opinions, which will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Exeter, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 56.50% of initial hard credit enhancement provided by subordinated notes in the pool (48.35%), OC (7.15%), and the reserve account (1.00%). The ratings on the Class B, C, D, and E Notes reflect 42.80%, 30.30%, 18.15%, and 8.15% of initial hard credit enhancement, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE 2022-4: S&P Assigns BB (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2022-4's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 58.60%, 50.71%, 41.90%, 32.93%, and 27.56% credit support for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 3.05x, 2.60x, 2.10x, 1.60x, and 1.30x S&P's 18.50%-19.50% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 90.15%, 78.02%, 67.03%, 52.69%, and 44.09%, respectively. -- S&P's expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario (1.60x its expected loss level), all else being equal, its ratings will be within the credit stability limits specified by section A.4 of the Appendix in "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2022-4 Class A-1, $67.60 million: A-1+ (sf) Class A-2, $110.00 million: AAA (sf) Class A-3, $100.45 million: AAA (sf) Class B, $85.60 million: AA (sf) Class C, $78.11 million: A (sf) Class D, $75.91 million: BBB (sf) Class E, $62.49 million: BB (sf) FANNIE MAE 2022-R08: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2022-R08's notes. The note issuance is an RMBS transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The real estate mortgage investment conduit (REMIC) structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which we believe enhances the notes' strength; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representations and warranties framework; and -- The potential impact that current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we continue to maintain our updated 'B' FF for the archetypal pool at 3.25%, given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2022-R08 Class 1A-H(i), $19,482,921,116: Not rated Class 1M-1, $377,927,000: BBB+ (sf) Class 1M-1H(i), $19,891,808: Not rated Class 1M-2A(ii), $41,991,000: BBB (sf) Class 1M-AH(i), $2,211,090: Not rated Class 1M-2B(ii), $41,991,000: BBB (sf) Class 1M-BH(i), $2,211,090: Not rated Class 1M-2C(ii), $41,991,000: BBB- (sf) Class 1M-CH(i), $2,211,090: Not rated Class 1M-2(ii), $125,973,000: BBB- (sf) Class 1B-1A(ii), $61,202,000: BB+ (sf) Class 1B-AH(i), $20,401,858: Not rated Class 1B-1B(ii), $61,202,000: BB- (sf) Class 1B-BH(i), $20,401,858: Not rated Class 1B-1(ii), $122,404,000: BB- (sf) Class 1B-2H(i)(iii), $173,408,198: Not rated Class 1B-3H(i)(iii), $51,002,411: Not rated (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The holders of the class 1M-2 notes may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The holders of the class 1B-1 notes may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A and 1B-1B notes may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. (iii)For the purposes of calculating modification gain or modification loss amounts, classes 1B-2H and 1B-3H are deemed to bear interest at the secured overnight financing rate (SOFR) plus 10.0% and 15.0%, respectively. FLAGSHIP CREDIT 2022-3: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2022-3's automobile receivables-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. 8, 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 41.94%, 36.75%, 28.58%, 23.12%, and 18.52% credit support (including excess spread) for the class A-1, A-2, A-3 (collectively, class A), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of S&P's 11.25%-11.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40.00%) of approximately 69.89%, 61.25%, 47.64%, 38.54%, and 30.87%, 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 (1.75x S&P's expected loss level), all else being equal, its preliminary 'A-1+ (sf)', 'AAA (sf)', 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB- (sf)' ratings on the class A-1, A-2, A-3, 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 timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the assigned preliminary ratings. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Flagship Credit Auto Trust 2022-3 Class A-1, $51.20 million: A-1+ (sf) Class A-2, $139.00 million: AAA (sf) Class A-3, $108.56 million: AAA (sf) Class B, $31.46 million: AA (sf) Class C, $48.19 million: A (sf) Class D, $31.24 million: BBB (sf) Class E, $30.35 million: BB- (sf) FREDDIE MAC 2022-HQA2: DBRS Finalizes BB Rating on 16 Classes ------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Structured Agency Credit Risk (STACR) REMIC 2022-HQA2 Notes 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. FREDDIE MAC 2022-HQA3: DBRS Gives Prov. BB Rating on 16 Classes --------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes to be issued by Freddie Mac STACR REMIC Trust 2022-HQA3 (STACR 2022-HQA3): -- $285.0 million Class M-1A at A (low) (sf) -- $146.0 million Class M-1B at BBB (sf) -- $54.5 million Class M-2A at BB (high) (sf) -- $54.5 million Class M-2B at BB (sf) -- $109.0 million Class M-2 at BB (sf) -- $109.0 million Class M-2R at BB (sf) -- $109.0 million Class M-2S at BB (sf) -- $109.0 million Class M-2T at BB (sf) -- $109.0 million Class M-2U at BB (sf) -- $109.0 million Class M-2I at BB (sf) -- $54.5 million Class M-2AR at BB (high) (sf) -- $54.5 million Class M-2AS at BB (high) (sf) -- $54.5 million Class M-2AT at BB (high) (sf) -- $54.5 million Class M-2AU at BB (high) (sf) -- $54.5 million Class M-2AI at BB (high) (sf) -- $54.5 million Class M-2BR at BB (sf) -- $54.5 million Class M-2BS at BB (sf) -- $54.5 million Class M-2BT at BB (sf) -- $54.5 million Class M-2BU at BB (sf) -- $54.5 million Class M-2BI at BB (sf) -- $54.5 million Class M-2RB at BB (sf) -- $54.5 million Class M-2SB at BB (sf) -- $54.5 million Class M-2TB at BB (sf) -- $54.5 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-HQA3 is the 27th 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 49,292 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 November 2020 and were securitized by Freddie Mac between November 1, 2021, and November 30, 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 1.9% 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-HQA3, 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 Private Placement Memorandum for more details. The Notes will be scheduled to mature on the payment date in August 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 8.0% of loans originated under the Home Possible® and HFA Advantage programs. 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 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 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. FS RIALTO 2022-FL6: DBRS Gives Prov. B(low) Rating on Cl. G Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by FS Rialto 2022-FL6 Issuer, LLC (FS RIAL 2022-FL6): -- 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-1 at BBB (high) (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. Classes F and G will be privately placed. The initial collateral consists of 24 floating-rate mortgage loans and participation interests in mortgage loans secured by 58 mostly transitional properties with a cut-off balance totaling $600.0 million, excluding $175.4 million of remaining future funding commitments and $1.4 billion of pari passu debt. Two loans (NYC Multifamily Portfolio and NYC Midtown West Multifamily Portfolio) are cross-collateralized loans and are treated as a single loan in the DBRS Morningstar analysis, resulting in a modified loan count of 23. All figures below and throughout this report reflect this modified loan count. The holder of the future funding companion participations will be FS CREIT Finance Holdings LLC (the Seller), a wholly owned subsidiary of FS Credit Real Estate Income Trust, Inc. (FS Credit REIT), or an affiliate of the Seller. The holder of each future funding participation has full responsibility to fund the future funding companion participations. The collateral pool for the transaction is managed with a 24-month reinvestment period. During this period, the Collateral Manager will be permitted to acquire reinvestment collateral interests, which may include Funded Companion Participations, subject to the satisfaction of the Eligibility Criteria and the Acquisition Criteria. The Acquisition Criteria requires that, among other things, the Note Protection Tests are satisfied, no event of default (EOD) is continuing, and Rialto Capital Management, LLC (Rialto) or one of its affiliates acts as the subadvisor to the Collateral Manager. The Eligibility Criteria has minimum and maximum debt service coverage ratios (DSCRs) and loan-to-value ratios (LTVs), Herfindahl (HERF) scores of at least 18.0, and property-type limitations, among other items. The transaction stipulates that any acquisition of any reinvestment collateral interests will need a rating agency confirmation regardless of balance size. The loans are mostly secured by cash-flowing assets, many of which are in a period of transition with plans to stabilize and improve the asset value. The transaction will have a sequential-pay structure. For the floating-rate loans, DBRS Morningstar incorporates an interest rate stress that is based on the lower of a DBRS Morningstar stressed rate that corresponded to the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. When the debt service payments were measured against the DBRS Morningstar As-Is NCF, 21 loans, comprising 92.8% of the initial pool balance, had a DBRS Morningstar As-Is DSCR of 1.00 times (x) or below, a threshold indicative of default risk. Additionally, 17 loans, comprising 72.3% of the initial pool balance, had a DBRS Morningstar Stabilized DSCR 1.00x or below, which is indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS Morningstar does not give full credit to the stabilization if there are no holdbacks or if other structural features in place are insufficient to support such treatment. Three loans, representing 21.4% of the pool balance, are secured by properties in areas with a DBRS Morningstar Market Rank of 6, 7, or 8, which are characterized as urbanized locations. These markets generally benefit from increased liquidity that is driven by consistently strong investor demand. Such markets therefore tend to benefit from lower default frequencies than less dense suburban, tertiary, or rural markets. Areas with a DBRS Morningstar Market Rank of 7 or 8 are especially densely urbanized and benefit from significantly elevated liquidity. Two loans, comprising 14.6% of the cut-off date pool balance, are secured by a property in such an area. While the transaction represents slightly weaker markets than the FS Rialto 2022-FL5 transaction (17.3% of the initial pool represented by DBRS Morningstar Markt Rank 7 or 8), the transaction demonstrates much stronger markets than the FS Rialto 2022-FL4 and FS Rialto 2021-FL3 transactions that DBRS Morningstar also rated, which had only 11.9% and 0.0% of the pool, respectively, in a DBRS Morningstar Market Rank of 7 or 8. Nine loans, representing 50.2% of the pool balance, are in a DBRS Morningstar MSA Group of 2 or 3, which represent MSAs with below-average historical default rates. More specifically, there are seven loans, representing 40.1% of the pool, in a DBRS Morningstar MSA Group of 3, which is the best-performing group in terms of historic CMBS default rates among the top 25 MSAs. The transaction's MSAs are considerably stronger than the FS Rialto 2022-FL4 and FS Rialto 2021-FL3 transactions, which had 63.2% and 33.6%, respectively, in DBRS Morningstar MSA Group of 2 or 3, and is comparable to the FS Rialto 2022-FL5 transaction which had 65.6% of loans secured by properties in the DBRS Morningstar MSA Group of 2 or 3. Additionally, the FS Rialto 2022-FL4 and FS Rialto 2021-FL3 transactions had only 22.1% and 7.8%, respectively, in a DBRS Morningstar MSA Group of 3. Notes: All figures are in U.S. dollars unless otherwise noted. GOODLEAP SUSTAINABLE 2022-3: S&P Assigns BB (sf) Rating on C Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to GoodLeap Sustainable Home Solutions Trust 2022-3's sustainable home improvement loan-backed series 2022-3 notes. The note issuance is an ABS securitization backed by an underlying trust certificate representing an ownership interest in the trust, whose assets consist of approximately 97% residential solar loans and 3% other types of sustainable home improvement loans, totaling $493.7 million. The ratings reflect S&P's view of: -- The credit enhancement available in the form of overcollateralization, a yield supplement overcollateralization amount, subordination for classes A and B, and a fully funded cash reserve account; -- The servicer's operational, management, and servicing abilities; -- The obligor base's initial credit quality; -- The projected cash flows supporting the notes; and -- The transaction's structure. Ratings Assigned GoodLeap Sustainable Home Solutions Trust 2022-3 Class A, $301.881 million: A (sf) Class B, $25.918 million: BBB (sf) Class C, $27.646 million: BB (sf) GRACIE POINT 2022-2: DBRS Finalizes BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by Gracie Point International Funding 2022-2 (the Issuer): -- $182,700,000 Class A Notes at AA (sf) -- $44,700,000 Class B Notes at AA (low) (sf) -- $13,200,000 Class C Notes at A (sf) -- $9,100,000 Class D Notes at BBB (sf) -- $4,800,000 Class E Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - 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. -- While the ongoing coronavirus pandemic has had an adverse effect on the U.S. borrower in general, DBRS Morningstar expects the performance of the underlying loans in the transaction to remain resilient because the life insurance premium loans are fully collateralized by the cash surrender value from highly rated life insurance companies and other acceptable collateral that is mostly either cash or letters of credit from highly-rated banking institutions. Therefore, the payment sources for the Notes will be either the life insurance companies or cash held at a trust account or at an Eligible Account Bank/Eligible Account Firm. DBRS Morningstar does not expect the economic stress caused by the pandemic to adversely affect an insurance company's ability to pay in the short to medium term. -- Excess spread, a fully funded Reserve Account, and subordination provide credit enhancement levels that are commensurate with the ratings of the Offered Notes. Credit enhancement levels are sufficient to support DBRS Morningstar-projected expected cumulative loss assumptions under various stress scenarios. -- DBRS Morningstar deems Gracie Point, LLC (Gracie Point) an acceptable originator and servicer of life insurance premium finance receivables. However, Gracie Point has incurred operating losses and may continue to incur net losses as it grows its business. If Gracie Point is unable to fulfill its duties because of an Administrative Agent Replacement Event or a Servicer Default, repayment of the Notes would rely on the ability of Vervent Inc. (Vervent) as the Backup Administrative Agent and Backup Servicer, to fulfill the duties of Administrative Agent and Servicer under the Transaction Documents. DBRS Morningstar deems Vervent as an acceptable backup administrator and backup servicer. -- The payment sources of the loans underlying the Participations are life insurance companies that issue the pledged life insurance policy contracts securing the loans. A potential insolvency of such life insurance company can adversely impact the collectability of the cash surrender value or death benefits payable by the life insurance company. The transaction limits that only Eligible Life Insurance Companies may issue life insurance policies to be included in the collateral securing the underlying loans. A portion of the underlying collateral can be cash collateral that is held at depository institutions, and the transaction requires them to be either an Eligible Account Bank or Eligible Account Firm with minimum required ratings. -- The collateral pool consists of 24 life insurance companies, with the top five insurance companies representing approximately 55.11% of the collateral pool. To account for potential losses from exposure to the largest insurance companies in the collateral pool, DBRS Morningstar simulated the default of the five largest insurance companies with rating equivalents lower than the targeted rating for a tranche. -- During the Replacement Period, the Issuer may purchase additional Participations using cash surrender proceeds from defaulted loans or proceeds from prepaid loans or retained collections. Therefore, the credit quality of the underlying loans could change during the Replacement Period. The transaction, however, only allows a new Participation in a loan that meets the Replacement Criteria to maintain a similar collateral pool mix as the closing pool and ensure the related life insurance company or depository institution of the replacement loan are highly rated. -- The transaction is exposed to basis risk that will stem from the mismatch in the rate benchmark between the loans and the Notes until December 31, 2022. After December 31, 2022, the transaction will be exposed to the basis risk due to the loans and the Notes having different payment frequencies. -- Gracie Point was established in 2010 and issued its first loan in June 2013, so the Company does not have significant historical performance data of the loans originated through its platform. Each underlying loan in the collateral pool, however, is fully collateralized by a minimum cash surrender value, a letter of credit, and/or cash collateral, which, coupled with the highly rated insurance companies and depository institutions, partially mitigate uncertainty regarding the underlying loans' future performance. -- Most of the life insurance premium loans have longer maturity dates than the Scheduled Maturity Date of the Notes. Therefore, if the Issuer is not able to refinance or liquidate its Participations, it may not be able to repay such Notes on the Scheduled Maturity Date. Under each Designated Finance Loan Agreement, however, the Finance Lender will have the right to call a loan as fully due and payable upon the occurrence of a Maturity Acceleration Event, which will ensure ultimate payments of principal to the Notes by the Scheduled Maturity Date. -- The legal structure and expected legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Gracie Point, LLC, the trustee will have a valid first-priority security interest in the assets, and are consistent with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. GREEN TREE 1996-8: S&P Raises Class M-1 Notes Rating to B- (sf) --------------------------------------------------------------- S&P Global Ratings completed its review of 13 classes from 11 Green Tree Financial Corp. Man Hsg Trust transactions issued between 1996 and 1998. S&P raised three ratings and affirmed 10. The transactions are U.S. ABS transactions backed by pools of manufactured housing installment sale contracts and installment loan agreements that are currently serviced by Shellpoint Mortgage Servicing. S&P said, "The rating actions reflect the transactions' collateral performance to date, our views regarding future collateral performance, the transactions' structures, and the credit enhancement available. Furthermore, our analysis incorporated secondary credit factors such as credit stability and sector- and issuer-specific analysis. "The upgrades reflect our assessment of the growth in credit enhancement for the affected classes in the form of subordination, which we expect will mitigate the impact of losses being higher than originally expected for these pools. We also took into consideration the relatively short estimated time horizon for the notes to be paid in full. The affirmations reflect our view that the total credit support as a percentage of the amortizing pool balances, compared with our expected remaining cumulative net losses, is sufficient to support the current ratings." Table 1 Collateral Performance (%) As of the July 2022 distribution date Prior Current 60+-day Expected expected GTFCMHT Current Current delinq. lifetime lifetime series Mo. PF (%) CNL (%) (%)(i) CNL (%)(ii) CNL (%) 1996-6 312 1.44 17.32 3.50 17.50-18.50 17.50-18.50 1996-8 310 1.56 16.54 5.54 17.00-18.00 17.00-18.00 1998-8 284 4.40 21.22 7.02 22.75-23.75 22.75-23.75 (i)Aggregate 60-plus day delinquencies as a percentage of the current pool balance. (ii)As of December 2021. Mo.--months. PF--Pool factor. CNL--cumulative net loss. GTFCMHT--Green Tree Financial Corp. Man Hsg Trust. Table 2 Hard Credit Support (%) Prior total hard Current total hard GTFCMHT credit support credit support series Class (% of current)(i) (%)(ii)(iii) 1996-6 M-1 45.53 58.26 1996-8 M-1 48.75 62.13 1998-8 A-1 72.25 82.85 (i)As of the December 2021 distribution date. (ii)As of the July 2022 distribution date. (iii)The current hard credit support consists solely of subordination. Prior and current total hard credit support exclude excess spread, if any. GTFCMHT--Green Tree Financial Corp. Man Hsg Trust. S&P said, "The 'CCC (sf)' and 'CC (sf)' ratings reflect our view that our projected credit support will remain insufficient to cover our projected losses for these classes. As defined in our criteria, the 'CCC (sf)' level ratings reflect our view that the related classes are still vulnerable to nonpayment and are dependent upon favorable business, financial, and economic conditions in order to be paid interest and/or principal according to the terms of each transaction. Additionally, the 'CC (sf)' ratings reflect our view that the related classes remain virtually certain to default. Each transaction was initially structured with overcollateralization (O/C) and subordination. However, due to higher-than-expected losses, the O/C on each of these transactions has been depleted to zero, and many of the subordinated classes have experienced principal write-downs. "We will continue to monitor the performance of the transactions relative to their cumulative net loss expectations and the available credit enhancement. We will take rating actions as we consider appropriate." RATINGS RAISED Green Tree Financial Corp. Man Hsg Trust Rating Series Class To From 1996-8 M-1 B- (sf) CCC+ (sf) 1996-9 M-1 CCC+ (sf) CCC (sf) 1998-8 A-1 A- (sf) BBB (sf) RATINGS AFFIRMED Green Tree Financial Corp. Man Hsg Trust Series Class Rating 1996-2 M-1 CC (sf) 1996-2 B-1 CC (sf) 1996-3 M-1 CC (sf) 1996-3 B-1 CC (sf) 1996-4 M-1 CCC- (sf) 1996-5 M-1 CCC- (sf) 1996-6 M-1 B- (sf) 1997-4 M-1 CCC- (sf) 1997-6 M-1 CC (sf) 1997-7 M-1 CC (sf) GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage Securities Trust 2013-G1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class DM at BB (sf) All trends are Stable. The rating confirmations and Stable trends are reflective of DBRS Morningstar's view that the underlying collateral, while composed of three mall properties, is generally performing quite well, with strong sponsorship in place for all three loans and recent developments that suggest that a refinance or short-term extension at the 2022 and 2023 maturity dates is likely. The trust collateral consists of three fixed-rate loans individually secured by two outlet malls and one regional mall: Great Lakes Crossing Outlets (Auburn Hills, Michigan), Katy Mills (Katy, Texas), and Deptford Mall (Deptford, New Jersey), located in established suburban markets outside of Detroit, Houston, and Philadelphia, respectively. The three loans reported an aggregate outstanding principal balance of $483.2 million as of the July 2022 remittance, representing a collateral reduction of 11.2%. The trust debt amount is inclusive of the Deptford Mall subordinate B note, which backs the directed certificate Class DM. Collateral reduction for the trust has been due to amortization of the Great Lakes Crossing Outlets and Deptford Mall loans. The Katy Mills loan is interest only (IO) for the entire term. Great Lakes Crossing Outlets, representing 37.2% of the allocated pool balance, is secured by a 1.1 million-square-foot (sf) portion of a 1.4 million-sf outlet center in Auburn Hills, built in 1998 and renovated in 2010 by the former sponsor, Taubman Centers, Inc. (Taubman). Simon Property Group (Simon) acquired Taubman in late 2020; Simon is now the loan sponsor, and a Simon affiliate serves as the property manager. The 30-year loan matures in January 2023 and amortizes according to a 30-year schedule. The loan is shadow-anchored by a noncollateral 25-screen AMC Theatres location as well as a Bass Pro Shops Outdoor World. As of the March 2022 rent roll, the collateral occupancy was reported at 91.0%, compared with the year-end (YE) 2020 and issuance occupancy rates of 92.6% and 94.1%, respectively. The largest collateral tenants at the property are Burlington Coat Factory (Burlington) (7.2% of the net rentable area (NRA), lease expiration in January 2030), Round 1 Bowling and Amusement (5.2% of the NRA, lease expiration in September 2027), Forever 21 (4.2% of the NRA, lease expiration in January 2023), and Bed Bath & Beyond (3.9% of the NRA, lease expiration in January 2025). Including Forever 21, tenants representing 13.8% of the NRA are scheduled to expire by loan maturity. The property's tenant mix, which includes traditional retailers, outlet formats, and entertainment options, mimics the "Mills" properties owned and operated by Simon, such as the Katy Mills property discussed below, making the subject a natural addition to the existing Simon portfolio. As of the most recent financial reporting, the Great Lakes Crossings Outlets loan reported YE2021 debt service coverage ratio (DSCR) of 2.20 times (x), above the YE2020 DSCR of 1.92x and DBRS Morningstar DSCR of 2.04x. According to the YE2021 sales report, total sales for the mall as a whole averaged $334.40 per square foot (psf), compared with YE2020 and YE2019 figures of $220.90 psf, and $239.10 psf, respectively. While the property faces moderate rollover in the upcoming months, which could introduce some uncertainty at the 2023 maturity, DBRS Morningstar believes Simon should be generally well-positioned to obtain a replacement loan given the recent sales growth, high in-place DSCR, and strong historical performance for the collateral mall, which serves as a primary shopping destination for the Detroit area that also offers popular entertainment options such as Peppa Pig World of Play, Legoland Discovery Center, and Sea Life Aquarium. The Deptford Mall loan, representing 33.9% of the allocated pool balance, is secured by 343,910 sf of in-line space in a 1.0 million-sf regional mall in Deptford, which is located within the Philadelphia metropolitan statistical area. As previously described, the loan was bifurcated into a $179.4 million senior loan contributed to the pooled certificates and a $25.1 million subordinate, non-pooled rake bond that backs the Class DM certificate. As of the July 2022 remittance, the senior portion of the debt had a balance of $143.7 million, while the subordinate piece supporting the rake bond had a balance of $20.1 million, representing a whole-loan collateral reduction of 20.1% since issuance. The 30-year loan matures in April 2023 and amortizes according to a 30-year schedule. The mall is owned and operated by Macerich and is anchored by noncollateral tenants including Boscov's, Macy's, and JCPenney (JCP). MS Portfolio, LLC has back-filled a part of the dark Sears box with a lease extending through December 2035 and another tenant, Bonesaw Brewing Company, is expected to back-fill the remainder of the space, according to a March 2022 article from Courier Post. As of the March 2022 rent roll, the subject had a collateral occupancy rate of 94.6%, compared with the June 2021, YE2020, and YE2019 rates of 87.3%, 78.8% and 89.8%, respectively. The property benefits from a granular rent roll, with the largest tenants being Victoria's Secret (3.2% of the NRA, lease expiration in March 2024), Go! Calendars Go! Games Go! (2.7% of the NRA, lease expiration in January 2023), and American Eagle Outfitters (2.6% of the NRA, lease expiration January in 2027). As of the trailing 12 months (T-12) ended March 2022 sales report, tenants that occupy more than 10,000 sf reported sales of $245 psf, marking an improvement from the YE2020 figure of $143 psf and the pre-Coronavirus Disease (COVID-19) figure of $214 at YE2019. Average sales for tenants less than 10,000 sf for the same time period were reported at $637 psf. The loan reported a YE2021 DSCR of 1.47x, compared with YE2020, YE2019, and DBRS Morningstar DSCR of 1.11x, 1.81x and 1.49x, respectively. There is negligible tenant rollover in the next 12 months, with tenants representing 5.9% of the NRA set to expire. Given the healthy sales trends, improvement in the occupancy rate to nearly 95% as of March 2022 and the heathy in-place DSCR, DBRS Morningstar believes Macerich should be able to refinance the loan at maturity. Katy Mills, representing 28.9% of the allocated loan balance, is secured by a 1.2 million-sf portion of a 1.6 million-sf regional mall in the Houston suburb of Katy, Texas. The loan is the sole IO loan in the pool, with an upcoming maturity in December 2022. The loan is sponsored through a joint venture between Simon and KanAm USA LLC. Noncollateral tenants include a somewhat eclectic mix for an outlet mall in a Walmart Supercenter, a Hilton Garden Inn hotel, and a Caliber Collision in the out lot. There is also a dark former Toys "R" Us (TRU) outparcel, which has been empty since 2018 when the retailer filed bankruptcy and closed all locations. As of the December 2021 rent roll, the collateral was 83.1% occupied, compared with YE2020 and YE2019 occupancy rates of 76.1%, and 89.0%, respectively. Occupancy declined to 83.0% in 2018 with the departure of TRU and has struggled to return to the issuance level of 89.0% since. The largest collateral tenants include Bass Pro Shops (12.1% of the NRA, lease expiration in October 2024), Burlington (8.3% of the NRA, lease expiration in January 2025), AMC Cinema (6.4% of the NRA, lease expiration in October 2029), and Marshalls (2.7% of the NRA, lease expiration in January 2031). Despite the occupancy declines, cash flows have remained healthy, with sustained growth since issuance. The YE2021 net cash flow figure of $28.5 million is well above the issuer's figure of $21.7 million and comfortably above the YE2019 figure of $26.8 million DBRS Morningstar considered when ratings were assigned in 2020. As of the most recent financial reporting, the loan reported a very strong YE2021 DSCR of 5.75x, compared with the YE2020, YE2019, and DBRS Morningstar DSCR of 4.91x, 5.42x, and 4.15x, respectively. Updated sales were requested but have not been provided to date. Given the similarly diverse tenant mix as previously discussed for the Great Lakes Crossing Outlets property, as well as the subject's location within a desirable Houston suburb, high coverage ratio, cash flow growth from issuance, and strong sponsorship in a JV that includes Simon, DBRS Morningstar has generally held that the loan was likely to repay at the December 2022 maturity date. This appears to have borne out, as a report from CRE Direct released in early August 2022 noted a major bank had agreed to make a $130.0 million loan that would retire the subject debt. DBRS Morningstar has requested confirmation of this from the servicer and the response is pending as of this press release. At issuance, DBRS Morningstar shadow-rated all three loans investment grade. With this review, DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Overall, the collateralized properties are well established draws in their respective markets and have satisfactory in-line sales performance, high-quality sponsorship, and low-leverage financing. Notes: All figures are in U.S dollars unless otherwise noted. GS MORTGAGE 2018-GS10: DBRS Confirms B(low) Rating on G-RR Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2018-GS10 issued by GS Mortgage Securities Trust 2018-GS10 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G-RR at B (low) (sf) All trends are Stable. The rating confirmations reflect the stable performance of the transaction, which has remained consistent with DBRS Morningstar's expectations. At issuance, the transaction comprised 33 fixed-rate loans secured by 57 commercial and multifamily properties with a trust balance of $810.7 million. As of the July 2022 remittance report, all loans remain in the pool with an outstanding trust balance of $801.0 million, representing a nominal collateral reduction of 1.2% since issuance. There are three loans—1000 Wilshire (Prospectus ID#2, 8.1% of the pool balance), Aliso Creek Apartments (Prospectus ID#3, 7.9% of the pool balance), and Marina Heights State Farm (Prospectus ID#11, 3.4% of the pool balance)—that were shadow-rated investment grade by DBRS Morningstar at issuance. With this review, DBRS Morningstar confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. As of the July 2022 remittance, no loans have been defeased, nor are there any loans in special servicing. There are six loans on the servicer's watchlist, representing 11.0% of the pool balance. The servicer is monitoring these loans for a variety of reasons, including low debt service coverage ratio (DSCR), concerns with occupancy, and/or tenant rollover risk. DBRS Morningstar has been closely monitoring the largest loan in the pool, GSK North American HQ (Prospectus ID#1, 9.4% of the pool balance), following the decision by the property's single tenant, GlaxoSmithKline plc (GSK), to vacate its space in Q1 2022, as announced in 2021. The subject loan is secured by a Class A office complex in Philadelphia's Navy Yard submarket. The property was built-to-suit for GSK at a cost of $80.0 million in 2013, when GSK executed a 15-year lease through September 2028 with no termination options. Although the subject is now physically vacant, GSK will continue to honor its rental payments through the remainder of the lease term. According to the servicer, Jones Lang LaSalle has been engaged to market the space for sublease. The loan was structured with a cash flow sweep that was to be triggered if GSK vacated or went dark in at least 90% of its space, excluding subleases signed by GSK. As of the July 2022 reporting, the servicer noted $1.7 million being held in the cash management account but no funds held in tenant reserves. Office properties in the South Philadelphia submarket have historically reported strong market fundamentals, supported by the Q1 2022 vacancy rate of 1.1% as reported by Reis. According to an article published by The Philadelphia Inquirer on June 28, 2022, a $6.0 billion investment plan to revitalize and redevelop the Navy Yard over the next 20 years was announced, with the hope of creating a new neighborhood in the city. This plan is estimated to bring 12,000 new jobs to the Navy Yard, as well as 8.9 million square feet (sf) of new residential, commercial, retail, and mixed-use space. The developers, Mosaic Development Partners and Ensemble Real Estate Investments, plan to build 4,000 residential units as part of the redevelopment. Based on the annualized Q1 2022 financials, the loan reported a DSCR of 2.40 times (x), compared with the YE2021 and YE2020 DSCR of 2.33x. The historically strong DSCR figures suggest that some meaningful excess cash can be trapped between the trigger event and loan maturity in June 2023. According to the appraisal at issuance, the dark value of the property was reported at $91.8 million, which is in excess of the whole-loan amount of $85.2 million. Although the loan's refinance risk has significantly increased following the departure of GSK given the upcoming loan maturity in June 2023, mitigating factors include historically strong submarket and property performance in addition to the redevelopment plans discussed above and the sponsor's commitment to the property. Korea Investment Management, an investment firm owned by Korea Investment Holdings Co., Ltd. (a financial services firm in South Korea), is the loan sponsor and has been working with Coretrust Capital Partners, LLC, which serves as a domestic asset manager in the United States. At issuance, the sponsor contributed $45.9 million of equity to purchase the property. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-GC42: Fitch Affirms B- Rating on Cl. G-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust 2019-GC42" Commercial Mortgage Pass-Through Certificates. RATING ACTIONS ENTITY/DEBT RATING PRIOR ---- ------ ----- GSMS 2019-GC42 A-1 36257UAH0 LT AAAsf Affirmed AAAsf A-2 36257UAJ6 LT AAAsf Affirmed AAAsf A-3 36257UAK LT AAAsf Affirmed AAAsf A-4 36257UAL1 LT AAAsf Affirmed AAAsf A-AB 36257UAM9 LT AAAsf Affirmed AAAsf A-S 36257UAQ0 LT AAAsf Affirmed AAAsf B 36257UAR8 LT AA-sf Affirmed AA-sf C 36257UAS6 LT A-sf Affirmed A-sf D 36257UAA5 LT BBBsf Affirmed BBBsf E 36257UAC1 LT BBB-sf Affirmed BBB-sf F-RR 36257UAD9 LT BB-sf Affirmed BB-sf G-RR 36257UAE7 LT B-sf Affirmed B-sf X-A 36257UAN7 LT AAAsf Affirmed AAAsf X-B 36257UAP2 LT A-sf Affirmed A-sf X-D 36257UAB3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Performance: The overall performance remains stable for the majority of the pool; performance is in line with issuance expectations. Three loans (5.4%) are flagged as a Fitch Loan of Concern (FLOC). No loans are delinquent or in special servicing. Fitch's ratings incorporate a base case loss of 3.9%. The largest FLOC is the Millennium Park Plaza loan (2.8% of the pool), which is secured by a mixed-use property located in Chicago, IL. The property consists of 561 multifamily units, 85,000-sf of retail space, and 18,000-sf of office space. Located in the Loop in downtown Chicago and two blocks from Maggie Daley Park, the subject has experienced pandemic-related performance declines, with overall occupancy dropping to 85% by year-end (YE) 2020 from 99% at issuance. As a result, NOI DSCR had significantly declined reporting at 0.95x as of YE 2021, compared to 1.56x at YE 2020. Occupancy has since improved to 98% as of YE 2021. The multifamily portion of the collateral accounts for 76.7% of the base rent and is 100% occupied as of YE 2021, with office occupancy reporting at 100% and retail at 88%. Fitch expects performance to continue to improve and return to issuance expectations as the impacts from the pandemic continues to subside. Minimal Changes to Credit Enhancement: As of the July 2022 distribution date, the pool's aggregate balance has been reduced by 0.6% to $1.054 billion, from $1.060 billion at issuance. The pool contains 28 loans that are full interest-only (82.0% of the pool), five loans that are partial interest-only (8.8% of the pool), and five loans that are amortizing balloon loans (9.2% of the pool). At issuance, based on the scheduled balance at maturity, the pool was expected to pay down by 3.2% prior to maturity, which is lower than the average for transactions of a similar vintage. There has been no defeasance, no loans have paid off and there have been no recognized losses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. -- Downgrades to the 'AA-sf' through 'AAAsf' rated-classes are not considered likely as performance remains stable and credit enhancement (CE) is expected to increase, 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. -- Downgrades to the 'B-sf' and 'BB-sf' rated classes would occur should base case losses expectations increase and/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 could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations, or underperformance of the FLOCs, could cause this trend to reverse. -- Upgrades to the 'BBBsf' and below-rated classes are considered unlikely in the near term and would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- Additionally, an upgrade to the 'BB-sf' and 'B-sf' rated classes is not likely until later years of the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE, which would likely occur when the nonrated class is not eroded and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2022-LTV2: DBRS Gives Prov. BB Rating on B4 Certs ------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2022-LTV2 to be issued by GS Mortgage-Backed Securities Trust 2022-LTV2 (GSMBS 2022-LTV2): -- $246.7 million Class A-1 at AAA (sf) -- $246.7 million Class A-X-1 at AAA (sf) -- $246.7 million Class A-2 at AAA (sf) -- $246.7 million Class A-X-2 at AAA (sf) -- $246.7 million Class A-3 at AAA (sf) -- $246.7 million Class A-X-3 at AAA (sf) -- $123.3 million Class A-4 at AAA (sf) -- $123.3 million Class A-X-4 at AAA (sf) -- $123.3 million Class A-5 at AAA (sf) -- $123.3 million Class A-X-5 at AAA (sf) -- $123.3 million Class A-6 at AAA (sf) -- $123.3 million Class A-X-6 at AAA (sf) -- $148.0 million Class A-7 at AAA (sf) -- $148.0 million Class A-X-7 at AAA (sf) -- $148.0 million Class A-8 at AAA (sf) -- $148.0 million Class A-X-8 at AAA (sf) -- $148.0 million Class A-9 at AAA (sf) -- $148.0 million Class A-X-9 at AAA (sf) -- $24.7 million Class A-10 at AAA (sf) -- $24.7 million Class A-X-10 at AAA (sf) -- $24.7 million Class A-11 at AAA (sf) -- $24.7 million Class A-X-11 at AAA (sf) -- $24.7 million Class A-12 at AAA (sf) -- $24.7 million Class A-X-12 at AAA (sf) -- $61.7 million Class A-13 at AAA (sf) -- $61.7 million Class A-X-13 at AAA (sf) -- $61.7 million Class A-14 at AAA (sf) -- $61.7 million Class A-X-14 at AAA (sf) -- $61.7 million Class A-15 at AAA (sf) -- $61.7 million Class A-X-15 at AAA (sf) -- $37.0 million Class A-16 at AAA (sf) -- $37.0 million Class A-X-16 at AAA (sf) -- $37.0 million Class A-17 at AAA (sf) -- $37.0 million Class A-X-17 at AAA (sf) -- $37.0 million Class A-18 at AAA (sf) -- $37.0 million Class A-X-18 at AAA (sf) -- $185.0 million Class A-19 at AAA (sf) -- $185.0 million Class A-X-19 at AAA (sf) -- $185.0 million Class A-20 at AAA (sf) -- $185.0 million Class A-X-20 at AAA (sf) -- $185.0 million Class A-21 at AAA (sf) -- $185.0 million Class A-X-21 at AAA (sf) -- $123.3 million Class A-22 at AAA (sf) -- $123.3 million Class A-X-22 at AAA (sf) -- $123.3 million Class A-23 at AAA (sf) -- $123.3 million Class A-X-23 at AAA (sf) -- $123.3 million Class A-24 at AAA (sf) -- $123.3 million Class A-X-24 at AAA (sf) -- $98.7 million Class A-25 at AAA (sf) -- $98.7 million Class A-X-25 at AAA (sf) -- $98.7 million Class A-26 at AAA (sf) -- $98.7 million Class A-X-26 at AAA (sf) -- $98.7 million Class A-27 at AAA (sf) -- $98.7 million Class A-X-27 at AAA (sf) -- $61.7 million Class A-28 at AAA (sf) -- $61.7 million Class A-X-28 at AAA (sf) -- $61.7 million Class A-29 at AAA (sf) -- $61.7 million Class A-X-29 at AAA (sf) -- $61.7 million Class A-30 at AAA (sf) -- $61.7 million Class A-X-30 at AAA (sf) -- $26.4 million Class A-31 at AAA (sf) -- $26.4 million Class A-X-31 at AAA (sf) -- $26.4 million Class A-32 at AAA (sf) -- $26.4 million Class A-X-32 at AAA (sf) -- $26.4 million Class A-33 at AAA (sf) -- $26.4 million Class A-X-33 at AAA (sf) -- $273.0 million Class A-X at AAA (sf) -- $11.7 million Class B-1 at AA (sf) -- $7.1 million Class B-2 at A (sf) -- $5.2 million Class B-3 at BBB (sf) -- $4.9 million Class B-4 at BB (sf) -- $771.0 thousand Class B-5 at B (sf) Classes A-X-5, A-X-6, A-X-11, A-X-12, A-X-17, A-X-18, A-X-29, A-X-30, A-X-32, A-X-33, and A-X are interest-only certificates. The class balances represent notional amounts. ClassesA-1, A-X-1, A-2, A-X-2, A-3, A-X-3, A-X-4, A-5, A-6, A-7, A-X-7, A-8, A-X-8, A-9, A-X-9, A-X-10, A-11, A-12, A-13, A-X-13, A-14, A-15, A-X-15, A-X-16, A-17, A-18, A-19, A-X-19, A-20, A-X-20, A-21, A-X-21, A-22, A-X-22, A-23, A-X-23, A-24, A-X-24, A-25, A-X-25, A-26, A-X-26, A-27, A-X-27, A-X-28, A-29, A-30, A-X-31, A-32, and A-33 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8 A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, A-18, A-19, A-20, A-21, A-22, A-23, A-24, A-25, A-26, A-27, A-28, A-29, and A-30 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Class A-31, A-32, and A-33) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect 20.00%% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 7.65%, 5.35%, 3.65%, 2.05%, and 1.80% of credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. This securitization is a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2022-LTV2 (the Certificates). The Certificates are backed by 296 loans with a total principal balance of $308,348,671 as of the Cut-Off Date (July 1, 2022). Compared with other post-crisis prime pools, this portfolio consists of higher loan-to-value (LTV), first-lien, fully amortizing fixed-rate mortgages with original terms to maturity of up to 30 years. The weighted-average (WA) original combined LTV (CLTV) for the portfolio is 88.7% and the majority of the pool (90.4%) comprises loans with DBRS Morningstar-calculated current CLTV ratios greater than 80.0%, but not higher than 90%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO scores, low debt-to-income ratios, robust income and reserves, as well as other strengths detailed in the Key Probability of Default Drivers section of the related report. The originators for the aggregate mortgage pool are United Wholesale Mortgage, LLC (UWM; 34.0% of the pool), Fairway Independent Mortgage Corp. (16.1%), Movement Mortgage, LLC ( 11.5%), and various other originators, each comprising less than 10.0% of the pool. All the mortgage loans will be serviced by Newrez, LLC doing business as Shellpoint Mortgage Servicing (SMS). Computershare Trust Company, N.A. will act as the Master Servicer, Securities Administrator, Certificate Registrar, Rule 17g-5 Information Provider and Custodian. U.S. Bank Trust National Association (U.S. Bank; rated AA (high) with a Stable trend by DBRS Morningstar) will act as Delaware Trustee. Pentalpha Surveillance LLC (Pentalpha) will serve as the Representations and Warranties (R&W) Reviewer. CORONAVIRUS IMPACT The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the coronavirus, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTV ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2022-LTV2: Moody's Gives (P)B3 Rating to Cl. B-5 Debt ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 72 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2022-LTV2, and sponsored by Goldman Sachs Mortgage Company. The securities are backed by a pool of prime jumbo (100% by balance) residential mortgages aggregated by Maxex Clearing, LLC, originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2022-LTV2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-X-2*, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-X-3*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-X-4*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-X-5*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-X-6*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-X-7*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-X-8*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-X-9*, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-X-10*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-X-11*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-X-12*, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-X-13*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-X-14*, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-X-15*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-X-16*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-X-17*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-X-18*, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-X-19*, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-X-20*, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-X-21*, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-X-22*, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-X-23*, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-X-24*, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-X-25*, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-X-26*, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-X-27*, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-X-28*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-X-29*, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-X-30*, Assigned (P)Aaa (sf) Cl. A-31, Assigned (P)Aa1 (sf) Cl. A-X-31*, Assigned (P)Aa1 (sf) Cl. A-32, Assigned (P)Aa1 (sf) Cl. A-X-32*, Assigned (P)Aa1 (sf) Cl. A-33, Assigned (P)Aa1 (sf) Cl. A-X-33*, Assigned (P)Aa1 (sf) Cl. A-X, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.51%, in a baseline scenario-median is 1.12% and reaches 9.99% 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. GS MORTGAGE 2022-RPL3: DBRS Gives B Rating on Class B-2 Notes ------------------------------------------------------------- DBRS, Inc. assigned ratings to the Mortgaged-Backed Securities, Series 2022-RPL3 issued by GS Mortgage-Backed Securities Trust 2022-RPL3 (GSMBS 2022-RPL3 or the Trust), as follows: -- $967.8 million Class A-1 at AAA (sf) -- $37.3 million Class A-2 at AA (sf) -- $1.0 billion Class A-3 at AA (sf) -- $1.0 billion Class A-4 at A (sf) -- $1.0 billion Class A-5 at BBB (sf) -- $24.3 million Class M-1 at A (sf) -- $15.1 million Class M-2 at BBB (sf) -- $9.7 million Class B-1 at BB (sf) -- $9.7 million Class B-2 at B (sf) The Class A-3, A-4, and A-5 Notes are exchangeable. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect 10.55% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 7.10%, 4.85%, 3.45%, 2.55%, and 1.65% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and reperforming, primarily first-lien residential mortgages funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 7,143 loans with a total principal balance of $1,138,897,045 as of the Cut-Off Date (June 30, 2022). The portfolio is approximately 192 months seasoned and contains 70.5% modified loans. The modifications happened more than two years ago for 67.1% of the modified loans. Within the pool, 1,545 mortgages have non-interest-bearing deferred amounts, which equate to approximately 2.0% of the total principal balance. There are no Government-Sponsored Enterprise (GSE) Home Affordable Modification Program (HAMP) and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 99.3% of the loans in the pool are current. Approximately 0.7% of the pool are 30 days delinquent and five loans are 60 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Approximately 0.1% are in bankruptcy. (All bankruptcy loans are performing.) Approximately 85.0% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. The majority of the pool (99.6%) is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated prior to January 10, 2014, the date on which the rules became applicable. The loans subject to the ATR rules are designated as Non-QM (0.4%). The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC; 99.8%) and MCLP Asset Company, Inc. (MCLP; 0.2%), acquired the mortgage loans in various transactions prior to the Closing Date from various mortgage loan sellers or from an affiliate. GS Mortgage Securities Corp. (the Depositor) will contribute the loans to the Trust. These loans were originated and previously serviced by various entities through purchases in the secondary market. The Sponsor, GSMC, or a majority-owned affiliate will retain an eligible vertical interest in the transaction consisting of an uncertificated interest (the Retained Interest) in the Trust representing the right to receive at least 5.0% of the amounts collected on the mortgage loans, net of the Trust's fees, expenses, and reimbursements and paid on the Notes (other than the Class R Notes) and the Retained Interest to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. As of the servicing transfer date (August 1, 2022), the mortgage loans will be serviced by Select Portfolio Servicing, Inc. (SPS; 86.5%) and NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS; 13.5%). Unlike previous transactions from the GSMBS RPL shelf, which have a fixed aggregate servicing fee rate percentage, the servicing fee payable for GSMBS 2022-RPL3 will be calculated using a dollar servicing fee construct. The monthly servicing fee charged per loan will be determined based on the delinquency status of each mortgage loan. In its analysis, DBRS Morningstar assumed an fixed aggregate servicing fee rate higher than suggested by the dollar servicing fee construct. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicers or any other party to the transaction; however, the Servicers are obligated to make advances with respect to the preservation, inspection, restoration, protection, and repair of a mortgaged property, which includes delinquent tax and insurance payments, the enforcement or judicial proceedings associated with a mortgage loan, and the management and liquidation of properties (to the extent that the Servicer deems such advances recoverable). When the aggregate pool balance of the mortgage loans is reduced to less than 25% of the Cut-Off Date balance, the Controlling Noteholder will have the option to purchase all remaining loans and other property of the Issuer at a specified minimum price. The Controlling Noteholder will be the beneficial owner of more than 50% the Class B-5 Notes (if no longer outstanding the next most subordinate Class of Notes, other than Class X). As a loss mitigation alternative, the Controlling Noteholder may direct the Servicers to sell mortgage loans that are in an early or advanced stage of default or for which foreclosure or default is imminent to unaffiliated third-party investors in the secondary whole loan market on arms-length terms and at fair market value to maximize proceeds on such loans on a net present value basis. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on the Class M-1 Notes and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. Excess interest can be used to amortize the principal of the notes after paying transaction parties' fees, Net Weighted-Average Coupon (WAC) shortfalls, and making deposits onto the breach reserve account. CORONAVIRUS DISEASE (COVID-19) IMPACT The pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. As of the Cut-Off Date, there are 38 loans (0.6% of unpaid principal balance) that are subject to an active coronavirus-related forbearance plan with the servicers. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2022-RPL3: Fitch Assigns Bsf Rating on Class B-2 Debt ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings to GS Mortgage-Backed Securities Trust 2022-RPL3 (GSMBS 2022-RPL3): RATING ACTIONS ENTITY/DEBT RATING ---- ------ GSMBS 2022-RPL3 A-1 LT AAAsf New Rating A-2 LT AAsf New Rating A-3 LT AAsf New Rating A-4 LT Asf New Rating A-5 LT BBBsf New Rating M-1 LT Asf New Rating M-2 LT BBBsf New Rating B-1 LT BBsf New Rating B-2 LT Bsf New Rating B-3 LT NRsf New Rating B-4 LT NRsf New Rating B-5 LT NRsf New Rating B LT NRsf New Rating PT LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating RISKRETEN LT NRsf New Rating CERT LT NRsf New Rating R LT NRsf New Rating TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 7,143 seasoned performing loans and reperforming loans (RPLs) with a total balance of approximately $1.14 billion, which includes $23 million of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cut-off date. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.1% below a long-term sustainable level (vs. 9.2% on a national level as of April 2022, down 1.4% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates, and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. RPL Credit Quality (Mixed): The collateral consists of 7,143 seasoned performing and re-performing first and second lien loans, totaling $1,139 million, and seasoned approximately 191 months in aggregate. The pool is 99.3% current and 0.7% DQ. Over the last two years 85% of loans have been clean current. Additionally, 70.5% of loans have a prior modification. The borrowers have a strong) credit profile (731 Fitch model FICO and 45% DTI) and low leverage (52% sLTV). The pool consists of 98% of loans where the borrower maintains a primary residence. No Advancing (Mixed): The deal is structured to zero months of servicer advances for delinquent principal and interest. The lack of advancing reduces loss severities, as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Sequential Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes. Representation Framework (Negative): The loan-level representations and warranties (R&Ws) are consistent with a Tier 2 framework. The tier assessment is based primarily on the inclusion of knowledge qualifiers in the underlying reps, as well as a breach reserve account that replaces the Sponsor's responsibility to cure any R&W breaches following the established sunset period. Fitch increased its loss expectations by 61bps at the 'AAAsf' rating category to reflect both the limitations of the R&W framework as well as the non-investment-grade counterparty risk of the provider. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41% at 'AAA'. -- The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. -- Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. -- Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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. HAWAII HOTEL 2019-MAUI: DBRS Hikes Class G Certs Rating to B ------------------------------------------------------------ DBRS Limited upgraded its ratings on three classes of Commercial Mortgage Pass-Through Certificates, Series 2019-MAUI issued by Hawaii Hotel Trust 2019-MAUI as follows: -- Class F to BB (low) (sf) from B (high) (sf) -- Class G to B (sf) from B (low) (sf) -- Class HRR to B (low) (sf) from CCC (sf) In addition, DBRS Morningstar confirmed the following ratings: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) DBRS Morningstar changed the trends on Classes F and G to Stable from Negative. DBRS Morningstar also assigned a Stable trend to Class HRR with the upgrade to B (low) (sf). All remaining classes have Stable trends. During DBRS Morningstar's last review of the transaction, the Negative trends on Classes F and G reflected the underlying pressures and lasting residual effects of the Coronavirus Disease (COVID-19) global pandemic, which have been significantly reduced over the past year as Hawaiian tourism rates have been rebounding. As such, the underlying collateral has reported a substantial increase in net cash flow (NCF) and performance metrics in 2021, which supports the rating confirmations, upgrades, and trend changes. The collateral for the Certificates is a $650.0 million mortgage loan, which is secured by the borrower's fee-simple interest in the Four Seasons-branded luxury, five-star resort hotel in Wailea, Hawaii. The full-service luxury hotel features 383 guest rooms, with four food and beverage offerings, specialty retail shops, and 38,000 square feet of meeting space. The hotel operates under the Four Seasons flag via an agreement that expires in February 2025, and benefits from its luxury quality, strong brand affiliation, and a wide range of amenities, including a spa, three outdoor pools, tennis courts, a games room and fitness center, and preferred access to the 54-hole Wailea Golf Club directly across Wailea Alanui Drive from the hotel. The hotel also offers direct access to Wailea Beach as well as stunning views of the island's volcanic mountains and westward to the bay and Pacific Ocean. Wailea has one of the highest barriers to entry of any resort market in the world. Available sites are extremely rare or nonexistent, and zoning is complex and protective. Because of the very low demand brought on by the pandemic, the property was temporarily closed between April 2020 and December 2020, which resulted in a negative cash flow in year-end (YE) 2020. Demand has since largely come back, however, and according to a Skift article, dated July 11, 2022, there were over 776,000 visitors to the Islands in May 2022, which is a 92% recovery from May 2019, as stated by the Hawaiian Tourism Authority. According to the YE2021 financials, the hotel has benefited from these trends and has shown significant performance improvements, reporting an NCF of $56.2 million, an increase from the YE2020 and issuance figures of -$20.4 million and $48.3 million, respectively. The year-over-year increase is predominately due to an increase in occupancy rate from 28.3% as of YE2020 to 63.5% as of YE2021. As such, the loan was removed from the servicer's watchlist in May 2022, and is no longer cash managed after achieving a debt yield of 8.6% as of YE2021, surpassing the required debt yield threshold of 6.0%. During the same time period, the borrower also exercised its second of five one-year extension options, extending the maturity to May 2023. Additionally, according to the most recent STR report, as of the trailing-28 days (T-28) through August 7, 2021, the property reported an occupancy, average daily rate (ADR), and revenue per available room (RevPAR) of 83.3% , $1,502, and $1,252, respectively, with a RevPAR penetration rate of 175.7% for the same period. In comparison to the DBRS Morningstar NCF of $44.0 million derived when ratings were assigned in 2020, the loan's YE2021 NCF of $56.2 million has greatly exceeded expectations, primarily because of higher-than-expected departmental revenue. With Hawaii tourism returning close to pre-pandemic levels, the property's T-28 through August 2021 ADR and RevPAR figures have surpassed the DBRS Morningstar figures of $960 and $812, respectively. DBRS Morningstar expects performance to remain strong in 2022, in line with 2021 and pre-pandemic performance, therefore supporting the rating upgrades. Notes: All figures are in U.S. dollars unless otherwise noted. HOMEWARD 2022-1: DBRS Gives Prov. B(low) Rating on Class B-2 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2022-1 to be issued by Homeward Opportunities Fund Trust 2022-1 (the Trust): -- $224.7 million Class A-1 at AAA (sf) -- $22.6 million Class A-2 at A (high) (sf) -- $38.5 million Class A-3 at A (sf) -- $22.4 million Class M-1 at BBB (sf) -- $17.4 million Class B-1 at BB (low) (sf) -- $17.1 million Class B-2 at B (low) (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Certificates reflects 36.75% of credit enhancement provided by subordinated Certificates. The A (high) (sf), A (sf), BBB (sf), BB (low) (sf), and B (low) (sf) ratings reflect 30.40%, 19.55%, 13.25%, 8.35%, and 3.55% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate prime, expanded prime, and nonprime first-lien residential mortgages to be funded by the issuance of the Certificates. The Certificates are backed by 757 mortgage loans with a total principal balance of $355,213,2781 as of the Cut-Off Date (July 1, 2022). The originators for the mortgage pool are Roc Capital Holdings LLC (25.5%), RF Renovo Management Company, LLC (24.2%), 5th Street Capital (16.4%), Logan Finance Corp. (16.0%), and other originators, each comprising less than 15.0% of the mortgage loans. Fay Servicing, LLC (39.6%), Specialized Loan Servicing LLC (36.3%), and RF Mortgage Services Corporation (24.1%) will service the loans within the pool as of the Closing Date. The Servicers will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent, contingent upon recoverability determination. Each Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (Servicing Advances). The Servicers will not advance P&I for the payments forborne on the loans where the borrower has been granted forbearance or similar loss mitigation in response to the Coronavirus Disease (COVID-19) pandemic or otherwise. However, the Servicers will be required to make P&I advances for any delinquent payments due after the end of the related forbearance period. If the applicable Servicer fails to make a required P&I advance, the Master Servicer will fund such P&I advance until it is deemed unrecoverable. Although the mortgage loans, except for the business-purpose investor loans, were originated to satisfy the Consumer Financial Protection Bureau's Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 22.6% of the loans are designated as non-QM. Approximately 77.4% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. Homeward Opportunities Fund LP (HOF) is the Sponsor, the initial Controlling Holder, and the Servicing Administrator of the transaction. HOF Asset Selector LLC serves as the Asset Selector for securitizations sponsored by HOF and, for this transaction, determined which mortgage loans would be included in the pool. The Sponsor, Depositor, Asset Selector, and Servicing Administrator are affiliates of the same entity. Computershare Trust Company, N.A. (rated BBB with a Stable trend by DBRS Morningstar) will act as the Master Servicer. U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will serve as Trustee, Securities Administrator, Certificate Registrar, and Custodian. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest in at least 5% of the Certificates (the Class B-2, B-3, and X Certificates) issued by the Issuer to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the Distribution date occurring in August 2025 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor has the option to purchase all outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts. After such purchase, the Depositor then has the option to complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan (other than loans under forbearance plan as of the Closing Date) that becomes 90 or more days delinquent or are in real estate owned at the repurchase price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior classes (Classes A-1, A-2, and A-3) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1 certificates before being applied sequentially to amortize the balances of the certificates. For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class A-3. Of note, P&I otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay the Class A Cap Carryover amounts. In addition, the Class A-1, A-2, and A-3 coupons step up by 1.00% after the payment date in August 2026 (step-up date). Also, the interest rate on Class B-2 drops to 0.00% from the Net Weighted-Average Coupon Rate on the step-up date, which helps to increase the amount of interest available to pay the stepped-up coupon on the Class A-1, A-2, and A-3 Certificates. Coronavirus Impact The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the coronavirus, DBRS Morningstar saw an increase in the delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the coronavirus, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value 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. JP MORGAN 2022-8: Fitch Gives Final B-sf Ratings on Class B5 Debt ----------------------------------------------------------------- Fitch Ratings has assigned final ratings to JP Morgan Mortgage Trust 2022-8 (JPMMT 2022-8). RATING ACTIONS ENTITY/DEBT RATING PRIOR ---- ------ ----- JPMMT 2022-8 A-1 LT AAsf New Rating AA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-4-A LT AAAsf New Rating AAA(EXP)sf A-4-X LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-5-A LT AAAsf New Rating AAA(EXP)sf A-5-X LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-6-A LT AAAsf New Rating AAA(EXP)sf A-6-X LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-7-A LT AAAsf New Rating AAA(EXP)sf A-7-X LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-8-A LT AAAsf New Rating AAA(EXP)sf A-8-X LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-9-A LT AAAsf New Rating AAA(EXP)sf A-9-X LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-10-A LT AAAsf New Rating AAA(EXP)sf A-10-X LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-11-A LT AAAsf New Rating AAA(EXP)sf A-11-X LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-12-A LT AAAsf New Rating AAA(EXP)sf A-12-X LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-13-A LT AAAsf New Rating AAA(EXP)sf A-13-X LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-14-A LT AAAsf New Rating AAA(EXP)sf A-14-X LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-15-A LT AAAsf New Rating AAA(EXP)sf A-15-X LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-16-A LT AAAsf New Rating AAA(EXP)sf A-16-X LT AAAsf New Rating AAA(EXP)sf A-17 LT AAsf New Rating AA(EXP)sf A-17-A LT AAsf New Rating AA(EXP)sf A-18 LT AAsf New Rating AA(EXP)sf A-18-A LT AAsf New Rating AA(EXP)sf A-19 LT AAsf New Rating AA(EXP)sf A-19-A LT AAsf New Rating AA(EXP)sf A-X-1 LT AAsf New Rating AA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAsf New Rating AA(EXP)sf A-X-3-A LT AAsf New Rating AA(EXP)sf A-X-3-B LT AAsf New Rating AA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned final ratings to the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2022-8 (JPMMT 2022-8) as indicated. The certificates are supported by 343 loans with a total balance of approximately $386.29 million as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages from various mortgage originators. The pool consists of loans originated by United Wholesale Mortgage, LLC (53.2%), loanDepot.com, LLC (11.7%) and Fairway Independent Mortgage Corp. (10.4%), with the remaining 24.7% of the loans originated by various originators, each contributing less than 10% to the pool. However, in Fitch's analysis Fitch considered 52.4% of the loans originated by United Wholesale Mortgage, 11.7% by loanDepot.com, 10.4% by Fairway Independent Mortgage Corp and 25.5% by various originators. The loan-level representations and warranties are provided by the various originators or Maxex (aggregator). NewRez LLC (f/k/a New Penn Financial, LLC), d/b/a Shellpoint Mortgage Servicing (Shellpoint), will act as interim servicer for approximately 35.1% of the pool from the closing date until the servicing transfer date (35.9% as determined by Fitch), which is expected to occur on or about Oct. 1, 2022. After the servicing transfer date, these mortgage loans will be serviced by JPMorgan Chase Bank, National Association (Chase). Since Chase will service these loans after the transfer date, Fitch performed its analysis assuming Chase is the servicer for these loans. Other servicers in the transaction include United Wholesale Mortgage, LLC (servicing 53.2% of the loans [52.4% of the loans as determined by Fitch]), and loanDepot.com, LLC (servicing 11.7% of the loans). Nationstar Mortgage LLC (Nationstar) will be the master servicer. 99.6% of the loans qualify as safe-harbor qualified mortgage (SHQM), or QM safe-harbor (average prime offer rate [APOR]) and 0.4% of the loans were designated as rebuttable presumption QM. There is no exposure to LIBOR in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed-rate and capped at the net weighted average coupon (WAC) or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.9% above a long-term sustainable level (versus 9.2% on a national level as of April 2022, down 1.4% since 1Q22). Underlying fundamentals are not keeping pace with growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.2% yoy nationally as of December 2021. High Quality Mortgage Pool (Positive): The pool consists of high quality, fixed-rate, fully amortizing loans with maturities of up to 30 years. 99.6% of the loans qualify as SHQM, or QM safe-harbor (APOR) and 0.4% of the loans were designated as rebuttable presumption QM. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of five months, according to Fitch (three months per the transaction documents). The pool has a WA original FICO score of 759, as determined by Fitch, which is indicative of very high credit quality borrowers. Approximately 65.5% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 74.6%, translating to a sustainable LTV (sLTV) ratio of 81.7%, represents substantial borrower equity in the property and reduced default risk. A 97.2% portion of the pool comprises nonconforming loans, while the remaining 2.8% represents conforming loans. All of the loans are designated as QM loans, with 46.6% of the pool originated by a retail and correspondent channel. Of the pool, 100.0% comprises loans where the borrower maintains a primary or secondary residence. Single-family homes, planned unit developments (PUDs), and single-family attached dwellings constitute 95.1% of the pool; condominiums make up 3.9%; and multifamily homes make up 1.0%. The pool consists of loans with the following loan purposes: purchases (73.6%), cash-out refinances (21.8%) and rate-term refinances (4.6%). A total of 178 loans in the pool are over $1.0 million, and the largest loan is approximately $3.00 million. Fitch determined that none of the loans were made to nonpermanent residents. Geographic Concentration (Negative): Of the pool, 46.5% is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (19.0%), followed by the San Francisco-Oakland-Fremont, CA MSA (6.7%) and the San Diego-Carlsbad-San Marcos, CA MSA (6.2%). The top three MSAs account for 32% of the pool. As a result, there was a 1.004x probability of default (PD) penalty applied for geographic concentration which increased the loss expectation at the 'AAAsf' level by 0.03%. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction; each servicer is expected to advance delinquent P&I on loans that enter into a coronavirus pandemic-related forbearance plan. Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 2.60% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 1.80% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. -- The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.4% 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. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS JPMMT 2022-8 has an ESG Relevance Score of '4+' for Transaction Parties and Operational Risk. Operational risk is well controlled for in JPMMT 2022-8, including strong transaction due diligence, an 'Above Average' aggregator and the majority of the pool originated by an 'Above Average' originator, which results in a reduction in expected losses and is relevant to the rating. Although this transaction has loans that were purchased in connection with the sponsor's Elevate Diversity and Inclusion program or the sponsor's Clean Energy program, Fitch did not take these programs into consideration when assigning an ESG Relevance Score, as the programs did not directly affect the expected losses assigned or were not relevant to the rating, in Fitch's view. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MADISON PARK LV: Moody's Assigns (P)B3 Rating to $500K Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by Madison Park Funding LV, Ltd. (the "Issuer" or "Madison Park Funding LV"). Moody's rating action is as follows: -- US$360,000,000 Class A-1 Floating Rate Senior Notes due 2035, Assigned (P)Aaa (sf) -- US$500,000 Class F Deferrable Floating Rate Junior 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. Madison Park Funding LV 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 up to 10% of the portfolio may consist of assets that are not senior secured loans. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. Credit Suisse Asset Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue 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: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3029 Weighted Average Spread (WAS): SOFR + 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.04 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. MADISON PARK LV: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of notes issued by Madison Park Funding LV, Ltd. (the "Issuer" or "Madison Park Funding LV"). Moody's rating action is as follows: US$360,000,000 Class A-1 Floating Rate Senior Notes due 2035, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Deferrable Floating Rate Junior 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. Madison Park Funding LV 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 up to 10% of the portfolio may consist of assets that are not senior secured loans. The portfolio is approximately 80% ramped as of the closing date. Credit Suisse Asset Management, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3029 Weighted Average Spread (WAS): SOFR + 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.04 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. MF1 2022-FL10 LLC: DBRS Finalizes B(low) Rating on 3 Classes Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by MF1 2022-FL10 LLC (the Issuer or the Trust): -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) -- Class B Notes at AA (low) (sf) -- Class C Notes at A (low) (sf) -- Class D Notes at BBB (sf) -- Class E Notes at BBB (low) (sf) -- Class F Notes at BB (high) (sf) -- Class F-E Notes at BB (high) (sf) -- Class F-X Notes at BB (high) (sf) -- Class G Notes at BB (low) (sf) -- Class G-E Notes at BB (low) (sf) -- Class G-X Notes at BB (low) (sf) -- Class H Notes at B (low) (sf) -- Class H-E Notes at B (low) (sf) -- Class H-X Notes at B (low) (sf) All trends are Stable. The initial collateral consists of 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: DBRS Finalizes B Rating on Class B-2 Certs --------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-INV2 issued by MFA 2022-INV2 Trust (the Issuer) as follows: -- $121.4 million Class A-1 at AAA (sf) -- $22.2 million Class A-2 at AA (high) (sf) -- $25.5 million Class A-3 at A (high) (sf) -- $14.8 million Class M-1 at BBB (sf) -- $10.2 million Class B-1 at BB (sf) -- $7.8 million Class B-2 at B (sf) Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 certificates reflects 43.40% of credit enhancement provided by subordinate certificates. The AA (high) (sf), A (high) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 33.05%, 21.15%, 14.25%, 9.50%, and 5.85% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 888 mortgage loans with a total principal balance of $214,451,329 as of the Cut-Off Date (June 30, 2022). The originator and servicer for the whole mortgage pool is Lima One Capital, LLC (Lima One or the Company). MFA Financial, Inc. (MFA) is the Sponsor and the Servicing Administrator of the transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. The Sponsor and Servicing Administrator are the same entity, and the Depositor is its affiliate. The initial Controlling Holder is expected to be the Depositor. The Depositor will retain an eligible horizontal interest consisting of the Class B-3 and XS certificates representing at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Additionally, the Depositor will initially own the Class B-2 and Class A-IO-S certificates. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by DBRS Morningstar) will act as the Securities Administrator and Certificate Registrar. Deutsche Bank National Trust Company, Computershare, and Wilmington Trust, National Association will act as the Custodians. On or after the earlier of (1) the third anniversary of the Closing Date or (2) the date when the aggregate unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor, at its option, may redeem all of the outstanding certificates at a price equal to the class balances of the related certificates plus accrued and unpaid interest, including any Cap Carryover Amounts, and any postclosing deferred amounts due to the Class XS certificates (optional redemption). After such purchase, the Depositor may complete a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the transaction by purchasing all of the mortgage loans and any real estate owned (REO) property from the Issuer at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest thereon, the lesser of the fair market value of any REO property and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any preclosing deferred amounts, and expenses that are payable or reimbursable to the transaction parties (optional termination). An optional termination is conducted as a qualified liquidation. For this transaction, the Servicer or any other transaction party will not fund advances on delinquent principal and interest (P&I) on any mortgage. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, A-2, and A-3 Notes (Senior Classes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated bonds after a Trigger Event has occurred. For the Class A-3 Notes (only after a Trigger Event) and for the mezzanine and subordinate classes of Notes (both before and after a Trigger Event), principal proceeds will be available to cover interest shortfalls only after the more senior classes have been paid off in full. The excess spread can be used to cover (1) realized losses and (2) cumulative applied realized loss amounts preceding the allocation of funds to unpaid Cap Carryover Amounts due to Class A-1 down to Class M-1. Coronavirus Impact The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. MORGAN STANLEY 2013-C11: Moody's Cuts Cl. A-S Certs Rating to Ba2 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eleven classes and downgraded the rating on one class in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11 ("MSBAM 2013-C11"), Commercial Mortgage Pass-Through Certificates as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Aug 10, 2021 Confirmed at Aaa (sf) Cl. A-3, Affirmed Aa2 (sf); previously on Aug 10, 2021 Downgraded to Aa2 (sf) Cl. A-4, Affirmed Aa2 (sf); previously on Aug 10, 2021 Downgraded to Aa2 (sf) Cl. A-S, Downgraded to Ba2 (sf); previously on Aug 10, 2021 Downgraded to Baa3 (sf) Cl. B, Affirmed Caa2 (sf); previously on Aug 10, 2021 Downgraded to Caa2 (sf) Cl. C, Affirmed Caa3 (sf); previously on Aug 10, 2021 Confirmed at Caa3 (sf) Cl. D, Affirmed C (sf); previously on Aug 10, 2021 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Aug 10, 2021 Affirmed C (sf) Cl. F, Affirmed C (sf); previously on Aug 10, 2021 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Aug 10, 2021 Affirmed C (sf) Cl. PST, Affirmed Caa1 (sf); previously on Aug 10, 2021 Downgraded to Caa1 (sf) Cl. X-A*, Affirmed Aa2 (sf); previously on Aug 10, 2021 Downgraded to Aa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes, Cl. A-AB, Cl. A-3 and Cl. A-4, were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. These classes will benefit from principal paydowns as the remaining loans approach their maturity dates and defeased loans now represent 27% of the pool. Principal proceeds from the pool are first distributed to Class A-AB until the principal balance of such class has been reduced to the planned principal balance for the respective distribution date and then to Cl. A-3 and Cl. A-4 sequentially. The planned principal balance for Class A-AB reduces to $0 in April 2023. The ratings on six P&I classes, Cl. B thru Cl. G, were affirmed because the ratings are consistent with Moody's expected loss. The rating on one P&I class, Cl. A-S, was downgraded due to anticipated losses and increased risk of interest shortfalls due to the exposure to specially serviced loans and the potential refinance challenges for certain performing loans with upcoming maturity dates. Two loans, representing nearly 32% of the pool are in special servicing, including the Westfield Countryside (17% of the pool) which is current on its debt service payment and matures in June 2023 and The Mall at Tuttle Crossing (15% of the pool) which is more than 90 days delinquent. Furthermore, one hotel loan, Marriott Chicago River North Hotel (7.8% of the pool), may face increased refinance risk at its maturity date in 2023 as its reported NOI DSCR has been below 0.50X since 2020. All of the remaining loans mature by August 2023 and if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The rating on the IO class was affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, Cl. PST, was affirmed due to the credit quality of its referenced exchangeable classes. The action has considered how the coronavirus pandemic has reshaped the US economic environment and the way its aftershocks will continue to reverberate and influence the performance of commercial real estate. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under Moody's ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 24.6% of the current pooled balance, compared to 26.2% at Moody's last review. Moody's base expected loss plus realized losses is now 21.2% of the original pooled balance, compared to 22.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the July 15, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 35% to $555 million from $856 million at securitization. The certificates are collateralized by 30 mortgage loans ranging in size from less than 1% to 16.7% of the pool, with the top ten loans (excluding defeasance) constituting 63.5% of the pool. Eight loans, constituting 27% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of eight, compared to ten at Moody's last review. Seven loans, constituting 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan, the Matrix Corporate Center loan, has been liquidated from the pool, resulting in a significant realized loss of $45.5 million (for a loss severity of 78%). Two loans, constituting 31.6% of the pool, have transferred to special servicing since June 2020. The largest specially serviced loan is the Westfield Countryside Loan ($92.5 million -- 16.7% of the pool), which represents a pari-passu portion of a $144.4 million mortgage loan. The loan is secured by a 465,000 square foot (SF) component of an approximately 1.26 million square foot (SF) super-regional mall located in Clearwater, Florida approximately 20 miles west of Tampa. The mall is anchored by Dillard's, Macy's and JC Penney, all of which are non-collateral. Sears (non-collateral) initially downsized its location in 2014 and closed the remainder of its space in 2018. The former Sears space was partially backfilled by a Whole Food's and Nordstrom Rack. The largest collateral tenant includes a 12-screen Cobb Theaters (lease expiration in December 2026), which re-opened in October 2020 after being closed due to the coronavirus pandemic. The loan has been in special servicing since June 2020 and was more than 90 days delinquent for most of 2021. As of the July 2022 remittance statement the loan was current due to the application of funds that were excess operating cash collected from the receiver. As of March 2022, collateral occupancy was 71%, compared to 82% in December 2021 and 93% in December 2019. The property's NOI has generally declined since 2015 and the property's 2021 NOI was 37% below securitization levels and the reported 2021 NOI DSCR was 1.12X. The loan was originally sponsored by Westfield and O'Connor Capital Partners, however, Westfield previously indicated that they no longer wanted to support the asset and JLL was appointed as a receiver in January 2021 and is currently managing the property. The special servicer is assessing additional leasing and determining the right time to take the property to market for sale. As of the July 2022 remittance statement an appraisal reduction of $67.1 million has been realized and a November 2021 appraisal valued the property 66% lower than the appraised value at securitization and 36% below the outstanding total mortgage loan. Due to the declining performance and the current retail environment, Moody's anticipates a significant loss on this loan. The second largest loan is the Mall at Tuttle Crossing Loan ($83.1 million -- 15.0% of the pool), which represents a pari-passu portion of a $110.0 million loan. The loan is secured by a 385,000 SF component of an approximately 1.13 million square foot (SF) super-regional mall located in Dublin, Ohio approximately 17 miles northwest of Columbus. The mall is currently anchored by JC Penney, Scene 75 and Macy's (all three of which are non-collateral). Scene 75, an indoor entertainment center, backfilled a former Macy's Home Store that closed in 2017. The mall currently has one non-collateral vacant anchor space, a former Sears (149,000 SF), that vacated in early 2019. The collateral portion was 81% leased as of December 2021, compared to 70% in April 2020, 76% in June 2019 and 88% in December 2015. The mall's in-line occupancy was 76% in December 2021 compared to a low of 64% in April 2020 but still lower than the 82% in December 2017. The property's net operating income (NOI) has generally declined since 2016 due to lower revenues. The 2019 NOI was already 26% lower than underwritten levels and the property faced significant further NOI declines due to the pandemic. The 2021 NOI was only $5 million compared to the underwritten NOI of $16.6 million causing the NOI DSCR to be well below 1.00X. The loan transferred to special servicing in July 2020 and the loan sponsor, Simon Property Group, has classified this mall under their "Other Properties." The loan is last paid through its July 2021 payment date and had an original maturity date in May 2023. Special servicer commentary indicated enforcement options are being evaluated and a court appointed receiver has been working to stabilize the property and prepare for a potential receivership sale. As of the July 2022 remittance statement an appraisal reduction of $43.5 million has been realized, which is based on November 2021 appraisal which valued the property 79% lower than the appraised value at securitization and nearly 56% below the outstanding total mortgage loan. Due to the declining performance and the current retail environment, Moody's anticipates a significant loss on this loan. Moody's has also assumed a high default probability for two poorly performing loans, constituting 8.4% of the pool. The largest troubled loan is The Marriott Chicago River North Hotel Loan ($43.3 million -- 7.8% of the pool), which is secured by a full-service hotel property in downtown Chicago, IL. The Hotel is dual flagged under Marriott's Residence Inn and Springhill Suites brands and operates subject to Franchise agreements that are scheduled to expire in 2033. The property's 2019 NOI declined nearly 20% year over year due to lower room revenue and increased operating expenses. The loan had been in special servicing from July 2020 through January 2022, when the loan was brought current and subsequently returned to the master servicer as a performing loan. The loan remains on the watchlist due to DSCR triggers as a result of depressed 2021 performance. As of the March 2022 STR report, the collateral's trailing twelve month occupancy and RevPAR were 53.6% and $82.31, respectively, both of which exceeded its competitive set. While at the prior review, an appraisal reduction of $11.4 million has been recognized, a recent appraisal valued the property 25% above the outstanding total mortgage loan balance. Despite the upward trend, Moody's considers this a troubled loan. Moody's estimates an aggregate $134.8 million loss for the specially serviced and troubled loans (61% expected loss on average). As of the July 2022 remittance statement cumulative interest shortfalls were $3.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2021 operating results for 95% of the pool, and partial year 2022 operating results for 56% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 81%, compared to 101% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2021. Moody's value reflects a weighted average capitalization rate of 10.1%. Moody's actual and stressed conduit DSCRs are 1.68X and 1.42X, respectively, compared to 1.44X and 1.14X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 14% of the pool balance. The largest loan is the Bridgewater Campus Loan ($38.1 million -- 6.9% of the pool), which is secured by eight Class B mixed-use buildings totaling 446,649 SF. The property is located in Bridgewater, New Jersey, approximately 41 miles southwest of New York City. The buildings are leased to three tenants, all of which have been at the property since securitization and have lease expirations in 2023 or later. As of March 2022, the property was 87% leased, unchanged from September 2020 and compared to 100% in December 2019. The loan has amortized over 12% since securitization and matures in July 2023. Moody's LTV and stressed DSCR are 98% and 1.05X, respectively, compared to 98% and 1.02X at the last review. The second largest loan is the ADG Pool 6 Loan ($21.3 million – 3.8% of the pool), which is secured by a portfolio of 16 mobile home parks, all located in Wisconsin, and built between 1960 and 1994. The portfolio was 79% leased as of March 2022, compared to 77% from 2018 through 2020. The loan has amortized 17% since securitization and matures in July 2023. Moody's LTV and stressed DSCR are 84% and 1.23X, respectively, compared to 105% and 1.00X at the last review. The third largest loan is the ADG Pool 4 Loan ($19.7 million – 3.6% of the pool), which is secured by a portfolio of 13 mobile home parks located in Wisconsin and Minnesota, built between 1950 and 1980. The portfolio was 82% leased as of March 2022, compared to 81% in 2019 and 2020. The loan has amortized 17% since securitization and matures in July 2023. Moody's LTV and stressed DSCR are 75% and 1.39X, respectively, compared to 82% and 1.27X at the last review. MORGAN STANLEY 2022-17A: Moody's Assigns B3 Rating to $1MM F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of notes issued by Morgan Stanley Eaton Vance CLO 2022-17A, Ltd. (the "Issuer" or "MSEV 2022-17A"). Moody's rating action is as follows: US$246,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$1,000,000 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. MSEV 2022-17A is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments , and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 95% ramped as of the closing date. Morgan Stanley Eaton Vance CLO Manager LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2931 Weighted Average Spread (WAS): 3mS + 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. MOSAIC SOLAR 2022-2: Fitch Gives BB(EXP) Rating on Class D Notes ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to notes issued by Mosaic Solar Loan Trust 2022-2 (Mosaic 2022-2). RATING ACTIONS ENTITY/DEBT RATING ---- ------ Mosaic Solar Loan Trust 2022-2 A LT AA-(EXP)sf Expected Rating B LT A- (EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB (EXP)sf Expected Rating TRANSACTION SUMMARY Mosaic 2022-2 is a securitization of consumer loans backed by residential solar equipment. The originator is Solar Mosaic, LLC, one of the longest-established solar lenders in the U.S.; it has advanced solar loans since 2014 and financed them through public securitizations since 2017. KEY RATING DRIVERS LIMITED PERFORMANCE HISTORY INFORMS 'AAsf' CAP Notwithstanding strong borrower demographics and expected performance attributes similar residential home loans, the absence of through-the-cycle performance warrants relatively conservative rating assumptions. While more robust than other solar lenders, observed performance data for Mosaic originated loans of approximately six years is relatively limited compared to residential solar loan terms of 25 to 30 years. EXTRAPOLATED ASSET ASSUMPTIONS Fitch considered both originator-wide data and previous Mosaic transactions to set a lifetime default expectation of 9%, based on the annualized default rate (ADR) from historical data and certain forward-looking prepayment assumptions. Fitch has also assumed a 30% base case recovery rate. Fitch's Rating Default Rate (RDR) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are, respectively, 36.3%, 27%, 21.6% and 14.9%. Fitch's Rating Recovery Rate (RRR) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are, respectively, 19%, 21.8%, 23.3% and 25.5%. ESTABLISHED LENDER, BUT NEW ASSETS Mosaic is one of the first movers among U.S. solar loan lenders, with the longest track record among the originators of the solar ABS that Fitch rates. Concord Servicing LLC is the subservicer, while Mosaic has remained in its role in direct servicing over time. Servicing disruption risk is further mitigated by the appointment of Vervent, Inc. as the backup servicer. TRIGGER BREACH MATERIAL TO CASH FLOW ANALYSIS The class A and B notes will initially amortize based on target overcollateralization percentages. Should asset performance deteriorate, additional principal will be paid to cover any defaulted amounts and, once the cumulative loss trigger is breached, the payment waterfall will switch to "turbo" sequential to the senior class, deferring any interest payments for class C and D and thus accelerating the class A deleveraging. The trigger provides less protection in Fitch's driving model scenario for class A, which features back-loaded defaults and low prepayments. STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP The transaction account is with Wilmington Trust (A/Negative/F1) and the servicer's account is with Wells Fargo Bank (AA-/Negative/F1+). Commingling risk is mitigated by the transfer of collections within two business days, high ACH share at closing and ratings of Wells Fargo. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Asset performance that indicates an implied ADR above 1.1% and a simultaneous fall in prepayments activity may put pressure on the rating or lead to a Negative Outlook. -- Material changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also affect the ratings negatively. Below, Fitch shows model-implied rating sensitivities to changes in default and/or recovery assumptions. Increase of defaults (Class A / B / C / D): +10%: 'AA-sf' / 'A-sf' / 'BBBsf'/ 'BBsf'; +25%: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BBsf'; +50%: 'Asf' / 'BBBsf' / 'BB+sf' / 'B+sf'. Decrease of recoveries (Class A / B / C / D): -10%: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBsf'; -25%: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBsf'; -50%: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBsf'. Increase of defaults and decrease of recoveries (Class A / B / C / D): +10% / -10%: 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBsf'; +25% / -25%: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BBsf'; +50% / -50%: 'A-sf' / 'BBB-sf' / 'BBsf' / 'Bsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch currently caps ratings in the 'AAsf' category due to limited performance history, while the assigned 'AA-sf' rating is further constrained by the level of credit enhancement (CE). As a result, a positive rating action could result from an increase of CE due to deleveraging, underpinned by good transaction performance; for example, through high prepayments and ADR below 1.1%. Below Fitch shows model-implied rating sensitivities, capped at 'AA+sf', to changes in default and/or recovery assumptions. Decrease of defaults (Class A / B / C / D): -10%: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf' -25%: 'AA+sf' / 'AA-sf' / 'Asf' / 'BBBsf' -50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'Asf' Increase of recoveries (Class A / B / C / D): +10%: 'AAsf' / 'Asf' / 'BBB+sf' / 'BB+sf' +25%: 'AA+sf' / 'Asf' / 'BBB+sf' / 'BBB-sf' +50%: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf' Decrease of defaults and increase of recoveries (Class A / B / C / D): -10% / +10%: 'AA+sf' / 'A+sf' / 'BBB+sf' / 'BBB-sf' -25% / +25%: 'AA+sf' / 'AAsf' / 'Asf' / 'BBB+sf' -50% / +50%: 'AA+sf' / 'AA+sf' / 'A+sf' / 'Asf' NATIONAL COLLEGIATE 2007-4: S&P Affirms 'CC' Rating on A-3-L Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its rating on four classes from National Collegiate Master Student Loan Trust I and 12 classes from National Collegiate Student Loan Trust 2007-3 and 2007-4. All three of the trusts are collateralized by a pool of private student loans issued between 2001 and 2007. The rating actions considered collateral performance since our last review and its impact on the available credit enhancement relative to remaining net losses. The rating actions also considered the trusts' relevant structural features--in particular, each trust's cost of funds, capital structure, payment waterfalls, available credit enhancement, and operational risk provisions. Ongoing litigation between the transaction parties is still pending. S&P said, "In our view, the servicer and special servicer for these transactions are key transaction parties performing roles that affect the collateral's performance. In our view, there is still uncertainty as to how the resolution of the litigation will affect the transactions and the roles of their related servicers. In applying our operational risk criteria framework, this uncertainty affected our assessment of the maximum potential rating. We have assessed the maximum rating on the notes to be limited to the 'BB' category." Trust Performance Since S&P's last full surveillance review, the pace of increase in cumulative defaults for all three trusts has slowed. Additionally, the percentage of loans in repayment and current status has remained stable. The performance, in terms of the pace of defaults and the percentage of loans in repayment, indicates that the trusts are likely past their peak default periods. The historical impact of poor collateral performance, as measured by high levels of realized cumulative net losses, has led to significant undercollateralization for all of the trusts. Based on the information in the latest servicer report, total parity for each trust is less than 30%. However, class parity for highest-priority notes in series 2007-3 and 2007-4 that are currently receiving principal payments have increased since our last review. Structural Features All three of the trusts were originally structured with a bond insurance policy from Ambac. Because S&P does not rate Ambac, it does not assume the bond insurance policy provides any support to the notes. The reserve accounts for each of the trusts are currently at, or amortizing to, their respective floors. The reserve accounts are available to pay note interest and fees, as well as principal at final maturity. Master Trust I pays principal sequentially in ascending order of the numerical designation of the series of outstanding notes. The 2007-3 and 2007-4 trusts pay principal pro rata between the LIBOR rate note and the auction rate notes. All three trusts have a single-class structure and accordingly pay interest pro rata to all the notes each distribution period. At issuance, each of the trusts were structured to provide excess spread over the transaction's life as additional credit enhancement. Excess spread levels have been under pressure for each trust, primarily because of undercollateralization. Additionally, all three trusts contain higher-cost auction-rate notes. Coupons on the auction-rate notes have been based on the maximum rate definitions in the indentures (generally LIBOR plus a rating dependent margin) since the auction-rate market failed. Rationale S&P said, "The class A-3-AR-3 notes for the series 2007-3 and 2007-4 have started receiving principal payments, resulting in increases in class parity, but remain exposed to negative excess spread caused by substantial undercollateralization of the deal. Class AR-13 of the master trust has been receiving principal payments, but continues to experience declines in class parity due to exposure to negative excess spread and is now undercollateralized. All of the remaining classes are substantially undercollateralized and continue to experience declines in class parity despite stable collateral performance. Accordingly, we have applied our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', and 'CC' Ratings," published Oct. 1, 2012, in surveilling the remaining undercollateralized notes from all three trusts. "In applying our criteria, we rate an issue 'CC (sf)' when we expect default to be virtually certain, regardless of the time to default. Accordingly, the 'CC (sf)' ratings reflect that we believe these classes will default under the optimistic collateral performance scenario over a longer period of time based on their undercollateralization and their declining trend in hard enhancement (despite recent improvements in collateral performance). The class A-3-AR-3 notes for the series 2007-3 and 2007-4 are rated 'CCC (sf)', reflecting that while they are not undercollateralized, they are vulnerable to nonpayment, particularly in a rising interest rate environment, which would put additional pressure on excess spread. The class AR-12 of the master trust is rated 'CCC- (sf)', reflecting its current undercollateralization and the negative trend in its hard enhancement. "We will continue to monitor the ongoing performance of these trusts. In particular, we will continue to review available credit enhancement, which is primarily a function of the pace of defaults, principal amortization, excess spread, and the unresolved disputes between the transaction parties." Ratings Affirmed National Collegiate Master Student Loan Trust I Series NCT-2003, class AR-13: CCC- (sf) Series NCT-2003, class AR-14: CC (sf) National Collegiate Master Student Loan Trust I Series NCT-2005AR, class AR-15: CC (sf) Series NCT-2005AR, class AR-16: CC (sf) National Collegiate Student Loan Trust 2007-3 Class A-3-AR-3: CCC (sf) Class A-3-AR-4: CC (sf) Class A-3-AR-5: CC (sf) Class A-3-AR-6: CC (sf) Class A-3-AR-7: CC (sf) Class A-3-L: CC (sf) National Collegiate Student Loan Trust 2007-4 Class A-3-AR-3: CCC (sf) Class A-3-AR-4: CC (sf) Class A-3-AR-5: CC (sf) Class A-3-AR-6: CC (sf) Class A-3-AR-7: CC (sf) Class A-3-L: CC (sf) NCF GRANTOR 2005-3: S&P Affirms BB+ (sf) Rating on Cl. A-5-2 Notes ------------------------------------------------------------------ S&P Global Ratings raised the ratings on eight classes, placed one rating on CreditWatch positive, and affirmed the ratings on 15 classes from National Collegiate Student Loan Trusts (12 discrete trusts and four grantor trusts, all collateralized by private student loans issued between 2003 and 2007. The remaining 20 ratings were previously lowered to 'D (sf)' because the affected classes breached their subordinate interest triggers and missed receiving timely interest payments. The rating actions considered the trusts' collateral performance since S&P's last review and its effects on the available credit enhancement relative to remaining net losses. The rating actions also considered the trusts' relevant structural features--in particular, each trust's cost of funds, capital structure, payment waterfalls, available credit enhancement, and operational risk provisions. Ongoing litigation between the transaction parties is still pending. S& said, "In our view, the servicer and special servicer for these transactions are key transaction parties performing roles that affect the collateral's performance. In our view, there is still uncertainty as to how the resolution of the litigation will affect the transactions and the roles of their related servicers. In applying our operational risk criteria framework, this uncertainty affected our assessment of the maximum potential rating. We have assessed the maximum rating on the notes to be limited to the 'BB' category." Trust Performance Since S&P's last surveillance review, the pace of increase in cumulative defaults for all 16 trusts has slowed. Additionally, the percentage of loans in repayment and current status has remained stable. The performance, in terms of the pace of defaults and the percentage of loans in repayment, indicates that the trusts are likely past their peak default periods. The historical impact of poor collateral performance, as measured by high levels of realized cumulative net losses, has led to significant undercollateralization for all of the trusts. Based on the information in the latest servicer report, total parity for all trusts is in the range of 36%-79%. However, class parity for almost all of the highest-priority notes that are currently receiving principal payments have increased since our last review. For series 2006-2, the class parity for the highest-priority notes (class A-4) has declined since S&P's last review. Structural Features The reserve accounts for each of the trusts are currently at, or are amortizing to, their respective floors. The reserve accounts are available to pay note interest (except for the interest on subordinate classes that have been reprioritized) and fees, as well as principal at final maturity. In addition to subordination of the lower classes of notes in each trust, all of the trusts except for series 2003-1 and 2004-1 are supported by interest reprioritization triggers. The triggers are generally based on a cumulative default threshold or parity levels. When a class' interest reprioritization trigger is breached, the interest payment to that class will become subordinate to principal payments of the most senior classes until targeted parity levels are reached. At issuance, each of the trusts were structured to provide excess spread over the transaction's life as additional credit enhancement. Excess spread levels have been under pressure for each trust, primarily because of undercollateralization. Additionally, the series 2003-1 and 2004-1 transactions contain higher-cost, auction-rate notes. The coupons on the auction-rate notes have been based on the maximum rate definitions in the indentures (generally LIBOR plus a rating-dependent margin) since the auction-rate market failed. Rationale The grantor trusts are pass-through structures, and the ratings on the certificates issued out of the related grantor trusts are linked to the credit quality of the underlying notes repackaged from the discrete trust. The discrete trusts are impaired by substantial undercollateralization levels due primarily to historical loss performance. However, the credit enhancement as measured by class parity has increased for current paying senior notes in most of the trusts due to recent improvement in collateral performance and continued deleveraging. Additionally, the senior notes for trusts with subordinate note interest triggers are generally able to absorb greater losses than trusts without subordinate note triggers. As discussed above, when an interest trigger is breached, available funds in the trust's payment waterfall are used to make principal payments to the senior notes before paying interest to the subordinate notes. S&P said, "We affirmed the 'BB+ (sf)' ratings on seven classes based on the improvement in hard enhancement relative to remaining net losses since our last review. We also raised the ratings on six classes to 'BB+ (sf)' based on our review of their credit metrics as compared to similar classes at the time of the last review. This is the maximum rating for the notes given our operational risk assessment discussed above. "Eleven classes were affected by the application of our criteria for assigning 'CCC' and 'CC' ratings. In applying our criteria, we rate an issuer or issue 'CC' when we expect default to be a virtual certainty, regardless of the time to default. Accordingly, the 'CC (sf)' ratings on eight classes reflect our view that the classes will default under even optimistic collateral performance scenarios over a longer period of time based on their undercollateralization (despite recent improvements in collateral performance). We raised the rating on series 2005-3's class B notes to 'CCC (sf)' reflecting improvement in credit enhancement since our last review, despite the class remaining undercollateralized. In our view, the notes could reach 100% parity if positive trends continue or improve; however, they still may be vulnerable to non-payment." Series 2006-3's class B notes were previously rated 'D (sf)' due to missed monthly interest payments and declining trends in undercollateralization. The class started receiving interest again in September 2016 after missing interest payments from August 2013 and is now current. Additionally, credit enhancement has improved since S&P's last review and could reach 100% parity if positive trends continue or improve. Accordingly, S&P raised the rating on this class to 'CCC (sf)'. S&P said, "Series 2005-1's class B notes were previously rated 'CCC (sf)'. Based on the growth in hard enhancement relative to remaining net losses, we believe the class may have credit enhancement sufficient for a higher rating. Accordingly, we placed the rating on CreditWatch positive. "We previously lowered 20 of our ratings on the class B, C, and D notes from the discrete trusts to 'D (sf)' because the affected classes stopped receiving interest payments after their subordinate interest triggers were breached (which occurs when the class senior in the capital structure becomes undercollateralized). While some of the classes have since started to receive interest payments due to the increase in parity of the class senior in the capital structure, we are not raising the ratings of these classes from 'D (sf)' because, in our view, a further default is virtually certain based on the current level of undercollateralization. "We will continue to monitor the ongoing performance of these trusts. In particular, we will continue to review available credit enhancement, which is primarily a function of the pace of defaults, principal amortization, excess spread, and the ongoing disputes between the transaction parties." Ratings Raised NCF Grantor Trust 2005-2 Series 2005-2, class A-5-1 to 'BB+ (sf)' from 'BB- (sf)' Series 2005-2, class A-5-2 to 'BB+ (sf)' from 'BB- (sf)' National Collegiate Student Loan Trust 2003-1 (The) Series 2003-1, class A-7 to 'BB+ (sf)' from 'BB (sf)' National Collegiate Student Loan Trust 2004-2 (The) Series 2004-2, class B to 'BB+ (sf)' from 'BB (sf)' National Collegiate Student Loan Trust 2005-3 (The) Series 2005-3, class B to 'CCC (sf)' from 'CC (sf)' National Collegiate Student Loan Trust 2006-3 (The) Series 2006-3, class A-5 to 'BB+ (sf)' from 'BB (sf)' Series 2006-3, class B to 'CCC (sf)' from 'D (sf)' National Collegiate Student Loan Trust 2007-2 (The) Series 2007-2, class A-4 to 'BB+ (sf)' from 'B- (sf)' Rating On CreditWatch Positive National Collegiate Student Loan Trust 2005-1 (The) Series 2005-1, class B to 'CCC(sf)' CW Pos from 'CCC(sf)' Ratings Affirmed National Collegiate Student Loan Trust 2003-1 (The) Series 2003-1, class B-1: CC (sf) Series 2003-1, class B-2: CC (sf) National Collegiate Student Loan Trust 2004-1 (The) Series 2004-1, class A-4 : CC (sf) Series 2004-1, class B-1 ARC: CC (sf) Series 2004-1, class B-2 ARC: CC (sf) National Collegiate Student Loan Trust 2004-2 (The) Series 2004-2, class C: D (sf) National Collegiate Student Loan Trust 2005-1 (The) Series 2005-1, class C: D (sf) National Collegiate Student Loan Trust 2005-2 (The) Series 2005-2, class B: D (sf) Series 2005-2, class C: D (sf) National Collegiate Student Loan Trust 2005-3 (The) Series 2005-3, class C: D (sf) National Collegiate Student Loan Trust 2006-1 (The) Series 2006-1, class A-5: BB+ (sf) Series 2006-1, class B: D (sf) Series 2006-1, class C: D (sf) National Collegiate Student Loan Trust 2006-2 (The) Series 2006-2, class A-4: CC (sf) Series 2006-2, class B: D (sf) Series 2006-2, class C: D (sf) National Collegiate Student Loan Trust 2006-3 (The) Series 2006-3, class C: D (sf) Series 2006-3, class D: D (sf) National Collegiate Student Loan Trust 2006-4 (The) Series 2006-4, class A-4: BB+ (sf) Series 2006-4, class B: D (sf) Series 2006-4, class C: D (sf) Series 2006-4, class D: D (sf) National Collegiate Student Loan Trust 2007-1 (The) Series 2007-1, class A-4: BB+ (sf) Series 2007-1, class B: D (sf) Series 2007-1, class C: D (sf) Series 2007-1, class D: D (sf) National Collegiate Student Loan Trust 2007-2 (The) Series 2007-2, class B: D (sf) Series 2007-2, class C: D (sf) Series 2007-2, class D: D (sf) NCF Grantor Trust 2004-1 Series 2004-1, class A-1: CC (sf) Series 2004-1, class A-2: CC (sf) NCF Grantor Trust 2005-1 Series 2005-1, class A-5-1: BB+ (sf) Series 2005-1, class A-5-2: BB+ (sf) NCF Grantor Trust 2005-3 Series 2005-3, class A-5-1: BB+ (sf) Series 2005-3, class A-5-2: BB+ (sf) NEW RESIDENTIAL 2022-SFR2: DBRS Gives Prov. BB Rating on F Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Single-Family Rental Pass-Through Certificates to be issued by New Residential Mortgage Loan Trust 2022-SFR2 (NRMLT 2022-SFR2): -- $143.2 million Class A at AAA (sf) -- $57.5 million Class B at AA (high) (sf) -- $17.4 million Class C at A (high) (sf) -- $23.9 million Class D at A (low) (sf) -- $42.3 million Class E-1 at BBB (sf) -- $6.5 million Class E-2 at BBB (low) (sf) -- $42.3 million Class F at BB (low) (sf) The AAA (sf) rating on the Class A certificate reflects 61.4% of credit enhancement, provided by the subordinated notes in the pool. The AA (high) (sf), A (high) (sf), A (low) (sf), BBB (sf), BBB (low) (sf), BB (low) (sf) ratings on Classes B, C, D, E-1, E-2, and F, respectively, reflect 45.9%, 41.2%, 34.8%, 23.4%, 21.6%, and 10.2% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate classes in this transaction. New Residential Mortgage Loan Trust's 1,404 properties are in 12 states, with the largest concentration by broker price opinion value in Florida (26.6%). The largest metropolitan statistical area (MSA) by value is Houston (13.0%), followed by Atlanta (10.9%). The geographic concentration dictates the home-price stresses applied to the portfolio and the resulting market value decline (MVD). The MVD at the AAA (sf) rating level for this deal is 56.4%. NRMLT 2022-SFR2 has properties from 27 MSAs, many of which experienced dramatic home price index declines in the housing crisis of 2008. DBRS Morningstar assigned the provisional ratings for 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 will finalize the provisional ratings on 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 flows (NCFs) based on an evaluation of 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. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2022-J2: Moody's Assigns B2 Rating to Cl. B-5 Notes ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 34 classes of residential mortgage-backed securities (RMBS) issued by OBX 2022-J2 Trust, and sponsored by Onslow Bay Financial LLC (Onslow Bay). The securities are backed by a pool of prime jumbo (92% by balance) and GSE-eligible (8% by balance) residential mortgages originated by multiple entities and serviced by NewRez LLC d/b/a Shellpoint Mortgage Servicing. The complete rating actions are as follows: Issuer: OBX 2022-J2 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-3*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-5*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-7*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-9*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-X-1*, Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-X-2*, Definitive Rating Assigned A2 (sf) Cl. B-2A, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes Moody's is withdrawing the provisional ratings for the Class A-1A and A-2A loans, assigned on July 26, 2022, because the issuer will not be issuing these 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 0.58%, in a baseline scenario-median is 0.39% and reaches 4.00% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in 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. OHA CREDIT 12: Moody's Assigns B3 Rating to $1MM Class F Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by OHA Credit Funding 12, Ltd. (the "Issuer" or "OHA 12"). Moody's rating action is as follows: -- US$320,000,000 Class A Senior Secured Floating Rate Notes due 2033, Assigned Aaa (sf) -- US$45,750,000 Class B Senior Secured Floating Rate Notes due 2033, Assigned Aa2 (sf) -- US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2033, 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. OHA 12 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 up to 10% of the portfolio may consist of second lien loans, unsecured loans and bonds. The portfolio is approximately 95% ramped as of the closing date. Oak Hill Advisors, L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued three other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the 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: 61 Weighted Average Rating Factor (WARF): 2869 Weighted Average Spread (WAS): 3mS + 3.34% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. PALMER SQUARE 2022-3: Moody's Assigns B3 Rating to $1MM F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes 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, Definitive Rating Assigned Aaa (sf) US$1,000,000 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. 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. The portfolio is 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 issued 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): 2969 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.00% 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. PFP 2019-6: DBRS Hikes Class G Notes Rating to B(high) ------------------------------------------------------ DBRS Limited upgraded the ratings on the following classes of notes issued by PFP 2019-6, Ltd.: -- Class B to AAA (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) -- Class D to A (sf) from BBB (high) (sf) -- Class E to BBB (high) (sf) from BBB (low) (sf) -- Class F to BB (high) (sf) from BB (low) (sf) -- Class G to B (high) (sf) from B (low) (sf) In addition, DBRS Morningstar confirmed the following class of notes: -- Class A-S at AAA (sf) All trends are Stable. The rating for Class A was discontinued as the class was fully repaid as of the July 2022 remittance report. The rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayment as there has been 58.2% collateral reduction since closing with 13 of the original 36 loans remaining in the trust as of the July 2022 remittance. 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. As of the July 2022 remittance, the trust reported an outstanding balance of $317.8 million. Since the previous DBRS Morningstar rating action in October 2021, 11 loans were repaid from the trust. To date, the lender has advanced $19.1 million in loan future funding to eight individual borrowers to aid in property stabilization for the remaining loans in the pool. An additional $8.2 million in loan future funding allocated to the borrower of the 5 Wood Hollow Road loan remains outstanding. The loan is secured by an office property in Parsippany, New Jersey, and the borrower's business plan was to complete capital improvements and fund leasing cost through available future funding dollars to lease the property to stabilization. According to the Q2 2022 collateral manager update, an additional $13.5 million of formerly available loan future funding dollars previously allocated to six additional borrowers will no longer be advanced as the period in which the borrowers could have requested those dollars has now expired. The transaction is concentrated by property with office, multifamily, mixed-use, and hotel properties representing 45.4%, 29.5%, 8.2%, and 5.3% of the pool balance, respectively. The property type concentration is generally similar with the pool composition as of September 2021 but has changed since issuance when office, multifamily, mixed-use, and hotel properties represented 29.8%, 47.5%, 4.1%, and 2.2% of the pool balance, respectively. As of July 2022, the majority of loans are secured by properties in suburban and urban markets. Loans representing 36.8% of the pool are secured by properties in markets with a DBRS Morningstar Market Rank of 4 and loans representing 48.8% of the pool are secured by properties in markets with DBRS Morningstar Market Ranks of 6, 7, or 8. At issuance, 66.7% of the loans were secured by properties in suburban and urban markets, as 42.9% of the pool had DBRS Morningstar Market Ranks of 4 or 5 and 23.9% of the pool had DBRS Morningstar Market Ranks of 6, 7, or 8. The current poolwide weighted-average as-is loan-to-value (LTV) and stabilized LTV ratios are 65.9% and 63.6%, respectively, compared with the issuance as-is and stabilized LTV ratios of 74.6% and 62.2%, respectively. There are no loans in special servicing and five loans on the servicer's watchlist, representing 26.4% of the pool balance. These loans are being monitored mainly for upcoming maturity, although the majority of the loans in the transaction, including loans not on the servicer's watchlist, have exercised the first or second extension options with all loans having a fully extended maturity date in 2024. There is one loan on the servicer's watchlist, Palihotel Seattle (Prospectus ID#16, 5.3% of pool), that is being monitored for a low debt service coverage ratio as performance continues to rebound following the impacts of the Coronavirus Disease (COVID-19) pandemic. Four loans, representing 34.9% of the pool, were modified or the borrowers were granted a forbearance. In each, relief was granted to performance issues arising from complications of the pandemic. Notes: All figures are in U.S. dollars unless otherwise noted. PFP 2021-8: DBRS Confirms B(low) Rating on Class G Notes -------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of notes issued by PFP 2021-8, 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 (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 issuance expectations. In conjunction with this press release, DBRS Morningstar has published a Surveillance Performance Update report with in-depth analysis and credit metrics for the transaction and with business plan updates on select loans. For access to this report, please click on the link under Related Documents below or contact us at info@dbrsmorningstar.com. At issuance, the collateral consisted of 46 floating-rate mortgages secured by 55 mostly transitional commercial real estate properties totalling approximately $1.1 billion, excluding approximately $125.9 million of future funding commitments. Most loans were in a period of transition with plans to stabilize and improve asset value. The transaction is structured with a Replenishment Period through the September 2024 Payment Date, whereby the Issuer has the right to use principal proceeds to acquire related fully funded future funding participations subject to stated criteria. The transaction will pay sequentially following the end of the Replenishment Period. As of the July 2022 remittance, the pool comprises 44 loans secured by 53 properties with a cumulative trust balance of $1.1 billion. Since issuance, two loans with a former cumulative trust balance of $67.7 million have been successfully repaid from the pool. As of the July 2022 remittance, there was $15.0 million available in the Permitted Funded Companion Participation Acquisition account. Most borrowers are progressing toward completing the stated business plans as through June 2022, the collateral manager had advanced $41.9 million in loan future funding to 21 individual borrowers since the transaction closed in September 2021. The majority of this amount has been released to the borrower of the Fort Collins Portfolio loan ($11.2 million) to fund capital improvements. An additional $86.9 million of loan future funding allocated to 29 borrowers to further aid in property stabilization efforts remains outstanding. The majority of this potential funding is allocated to the borrowers of the River Centre Office Campus loan ($17.9 million) and the Greenwood Corporate Plaza loan ($10.4 million) to fund capital improvements and leasing costs. The collateral pool is concentrated by property type as 20 loans, representing 58.5% of the cumulative loan balance, are secured by multifamily properties and 11 loans, representing 19.8% of the cumulative loan balance, are secured by office properties. By geographical concentration, the collateral is most heavily concentrated in California and Colorado, with loans representing 25.0% and 13.5% of the cumulative loan balance, respectively. Five loans, representing 16.6% of the cumulative trust balance, are in urban markets with DBRS Morningstar Market Ranks of 6, 7, and 8. These markets have historically shown greater liquidity and demand. There are 21 loans, representing 42.7% of the cumulative loan balance, secured by properties in markets with a DBRS Morningstar Market Rank of 3 or 4, which are suburban in nature and have historically had higher probability of default levels when compared with properties in urban markets. As of the July 2022 reporting, all loans remain current with no loans on the servicer's watchlist or in special servicing. There have been two loans, representing 3.1% of the pool balance, that have reported loan modifications. The San Carlos Tech Center loan was modified to allow for the early termination of a tenant lease. In conjunction with the lease termination, the borrower agreed to deposit funds into a cash collateral reserve equal to the amount of rent beyond the termination date. The 970 Stewart loan was modified in order to activate cash management provisions. Notes: All figures are in U.S. dollars unless otherwise noted. RFM REREMIC 2022-FRR1: DBRS Gives Prov. B(low) Rating on 3 Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of Multifamily Mortgage-Backed Certificates, Series 2022-FRR1 to be issued by RFM RE-REMIC TRUST 2022-FRR1: -- Class AK55 at BBB (low) (sf) -- Class BK55 at BB (low) (sf) -- Class AB55 at BB (low) (sf) -- Class CK55 at B (low) (sf) -- Class AK60 at BBB (low) (sf) -- Class BK60 at BB (low) (sf) -- Class AB60 at BB (low) (sf) -- Class CK60 at B (low) (sf) -- Class AK64 at BBB (low) (sf) -- Class BK64 at BB (low) (sf) -- Class AB64 at BB (low) (sf) -- Class CK64 at B (low) (sf) All trends are Stable. This transaction is a resecuritization collateralized by the beneficial interests in seven commercial mortgage-backed pass-through certificates from three underlying transactions: FREMF 2016-K55 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2016-K55; FREMF 2016-K60 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2016-K60; and FREMF 2017-K64 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2017-K64. The ratings are dependent on the performance of the underlying transactions. There were no Environmental/Social/Governance factor(s) that had a significant or relevant effect on the credit analysis. Notes: All figures are in U.S. dollars unless otherwise noted. RR 22 LTD: Moody's Assigns B3 Rating to $700,000 Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by RR 22 LTD (the "Issuer" or "RR 22"). Moody's rating action is as follows: - US$288,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) - US$33,075,000 Class A-2 Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) - US$700,000 Class E Secured Deferrable Floating Rate Notes due 2035, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. RR 22 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second-lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 100% ramped as of the closing date. Redding Ridge Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated 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: $450,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2986 Weighted Average Spread (WAS): SOFR + 3.35% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.19 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. SPSS 2021-A LLC: DBRS Confirms BB Rating on Class D Securities -------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following securities issued by SPSS 2021-A LLC: -- Class A at AAA (sf) -- Class B at A (sf) -- Class C at BBB (sf) -- Class D at BB (sf) 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 Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. -- The generally high credit quality of annuity providers and their improved capitalization positions and risk management frameworks, which have been enhanced since the global financial crisis of 2008–09. -- The ability of the transaction to withstand stresses in the cash flow scenarios and repay investors in accordance with the terms of the transaction. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The transaction's capital structure, and form and sufficiency of available credit enhancement. -- The transaction's performance to date, with minimal defaults and zero losses. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (May 16, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. STACR 2020-HQA5: Moody's Ups Rating on Cl. B-1 Bonds to Ba1 ----------------------------------------------------------- Moody's Investors Servicehas upgraded the ratings of 43 bonds from Freddie Mac STACR REMIC Trust 2020-HQA2 (STACR 2020-HQA2) and Freddie Mac STACR REMIC Trust 2020-HQA5 (STACR 2020-HQA5). STACR 2020-HQA2 and STACR 2020-HQA5 are both high-LTV transactions that benefit from mortgage insurance. In addition, the credit risk exposure of the notes depends on the actual realized losses and modification losses incurred by the reference pool. The complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC Trust 2020-HQA2 Cl. M-2, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba1 (sf) Cl. M-2B, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2BI*, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2BR, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2BS, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2BT, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2BU, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2I*, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba1 (sf) Cl. M-2R, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba1 (sf) Cl. M-2RB, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2S, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba1 (sf) Cl. M-2SB, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2T, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba1 (sf) Cl. M-2TB, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Cl. M-2U, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba1 (sf) Cl. M-2UB, Upgraded to Baa2 (sf); previously on Nov 17, 2021 Upgraded to Ba2 (sf) Issuer: Freddie Mac STACR REMIC Trust 2020-HQA5 Cl. B-1, Upgraded to Ba1 (sf); previously on Oct 7, 2021 Upgraded to Ba3 (sf) Cl. B-1A, Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Cl. B-1AI*, Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Cl. B-1AR, Upgraded to Baa2 (sf); previously on Oct 7, 2021 Upgraded to Ba1 (sf) Cl. B-1B, Upgraded to Ba2 (sf); previously on Oct 7, 2021 Upgraded to B1 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa1 (sf) Cl. M-2A, Upgraded to A1 (sf); previously on Oct 7, 2021 Upgraded to A3 (sf) Cl. M-2AI*, Upgraded to A1 (sf); previously on Oct 7, 2021 Upgraded to A3 (sf) Cl. M-2AR, Upgraded to A1 (sf); previously on Oct 7, 2021 Upgraded to A3 (sf) Cl. M-2AS, Upgraded to A1 (sf); previously on Oct 7, 2021 Upgraded to A3 (sf) Cl. M-2AT, Upgraded to A1 (sf); previously on Oct 7, 2021 Upgraded to A3 (sf) Cl. M-2AU, Upgraded to A1 (sf); previously on Oct 7, 2021 Upgraded to A3 (sf) Cl. M-2B, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl.M-2BI*, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2BR, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2BS, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2BT, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2BU, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2I*, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa1 (sf) Cl. M-2R, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa1 (sf) Cl. M-2RB, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2S, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa1 (sf) Cl. M-2SB, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2T, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa1 (sf) Cl. M-2TB, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) Cl. M-2U, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa1 (sf) Cl. M-2UB, Upgraded to A3 (sf); previously on Oct 7, 2021 Upgraded to Baa2 (sf) *Reflects Interest-Only Classes A List of Affected Credit Ratings is available at https://bit.ly/3bDkX2M RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pool. In this transaction, high prepayment rates averaging 19%-28% over the last six months, have benefited the bonds by increasing the paydown and building credit enhancement. In Moody's analysis Moody's considered the additional risk posed by borrowers enrolled in payment relief programs. Moody's increased Moody's MILAN model-derived median expected losses by 15% and Moody's Aaa losses by 5% to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. For transactions where more than 4% of the loans in pool have been enrolled in payment relief programs for more than 3 months, Moody's further increased the expected loss to account for the rising risk of potential deferral losses to the subordinate bonds. Moody's also considered higher adjustments for transactions where more than 10% of the pool is either currently enrolled or was previously enrolled in a payment relief program. Specifically, Moody's account for the marginally increased probability of default for borrowers that have either been enrolled in a payment relief program for more than 3 months or have already received a loan modification, including a deferral, since the start of the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are enrolled in payment relief plans in the underlying pool ranged between 1.15% - 3.48% over the last six months. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. In response to the COVID-19-spurred economic shock, the GSEs have enacted temporary policies that allow servicers to offer payment forbearance to borrowers impacted by COVID-19. The GSEs report these loans that are granted forbearance as delinquent for purposes of CRT transactions despite suspension of reporting borrowers to the credit bureaus. Additionally, delinquencies caused by COVID-19 qualify for "natural disaster" treatment, and the transaction provide a grace period for such loans before they are recognized as a Credit Event Reference Obligation (when the loans become 180 day or more delinquent). The losses are allocated based on actual losses incurred upon liquidation of defaulted mortgage loans in the reference pool (i.e., "actual loss" transaction) and these losses are allocated to bondholders, reverse sequentially. Principal Methodologies 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 of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. STACR 2022-HQA3: Moody's Gives (P)Ba3 Rating to 10 Tranches ----------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 24 classes of residential mortgage-backed securities (RMBS) issued by Freddie Mac STACR Remic Trust 2022-HQA3, 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-HQA3 Cl. M-1A, Assigned (P)A2 (sf) Cl. M-1B, Assigned (P)Baa3 (sf) Cl. M-2A, Assigned (P)Ba1 (sf) Cl. M-2B, Assigned (P)Ba3 (sf) Cl. M-2, Assigned (P)Ba2 (sf) Cl. M-2R, Assigned (P)Ba2 (sf) Cl. M-2S, Assigned (P)Ba2 (sf) Cl. M-2T, Assigned (P)Ba2 (sf) Cl. M-2U, Assigned (P)Ba2 (sf) Cl. M-2I*, Assigned (P)Ba2 (sf) Cl. M-2AR, Assigned (P)Ba1 (sf) Cl. M-2AS, Assigned (P)Ba1 (sf) Cl. M-2AT, Assigned (P)Ba1 (sf) Cl. M-2AU, Assigned (P)Ba1 (sf) Cl. M-2AI*, Assigned (P)Ba1 (sf) Cl. M-2BR, Assigned (P)Ba3 (sf) Cl. M-2BS, Assigned (P)Ba3 (sf) Cl. M-2BT, Assigned (P)Ba3 (sf) Cl. M-2BU, Assigned (P)Ba3 (sf) Cl. M-2BI*, Assigned (P)Ba3 (sf) Cl. M-2RB, Assigned (P)Ba3 (sf) Cl. M-2SB, Assigned (P)Ba3 (sf) Cl. M-2TB, Assigned (P)Ba3 (sf) Cl. M-2UB, Assigned (P)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 4.43% 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. TIKEHAU US II: Moody's Assigns Ba3 Rating to $13.8MM Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to four classes of notes issued by Tikehau US CLO II Ltd. (the "Issuer" or "Tikehau II"). Moody's rating action is as follows: US$159,000,000 Class A-1N Senior Secured Floating Rate Notes due 2033, Assigned Aaa (sf) US$49,000,000 Class A-1F Senior Secured Fixed Rate Notes due 2033, Assigned Aaa (sf) US$9,750,000 Class AJ Senior Secured Floating Rate Notes due 2033, Assigned Aaa (sf) US$13,812,500 Class E Junior Secured Deferrable Floating Rate Notes due 2033, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Tikehau II is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 95.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 5.0% of the portfolio may consist of second-lien loans, unsecured loans, and permitted debt securities. The portfolio is approximately 90% ramped as of the closing date. Tikehau Structured Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $325,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2591 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6.95 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. TOWD POINT 2022-1: DBRS Finalizes B(high) Rating on Class B2 Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the Asset-Backed Securities, Series 2022-1 issued by Towd Point Mortgage Trust 2022-1 (TPMT 2022-1 or the Trust) as follows: -- $423.5 million Class A1 at AAA (sf) -- $27.8 million Class A2 at AA (high) (sf) -- $12.4 million Class M1 at A (sf) -- $8.9 million Class M2 at BBB (sf) -- $6.5 million Class B1 at BB (high) (sf) -- $4.0 million Class B2 at B (high) (sf) -- $423.5 million Class A1A at AAA (sf) -- $423.5 million Class A1AX at AAA (sf) -- $423.5 million Class A1B at AAA (sf) -- $423.5 million Class A1BX at AAA (sf) -- $27.8 million Class A2A at AA (high) (sf) -- $27.8 million Class A2AX at AA (high) (sf) -- $27.8 million Class A2B at AA (high) (sf) -- $27.8 million Class A2BX at AA (high) (sf) -- $27.8 million Class A2C at AA (high) (sf) -- $27.8 million Class A2CX at AA (high) (sf) -- $12.4 million Class M1A at A (sf) -- $12.4 million Class M1AX at A (sf) -- $12.4 million Class M1B at A (sf) -- $12.4 million Class M1BX at A (sf) -- $12.4 million Class M1C at A (sf) -- $12.4 million Class M1CX at A (sf) -- $8.9 million Class M2A at BBB (sf) -- $8.9 million Class M2AX at BBB (sf) -- $8.9 million Class M2B at BBB (sf) -- $8.9 million Class M2BX at BBB (sf) -- $8.9 million Class M2C at BBB (sf) -- $8.9 million Class M2CX at BBB (sf) Classes A1AX, A1BX, A2AX, A2BX, A2CX, M1AX, M1BX, M1CX, M2AX, M2BX, and M2CX are interest-only (IO) notes. The class balances represent notional amounts. Classes A1A, A1AX, A1B, A1BX, A2A, A2AX, A2B, A2BX, A2C, A2CX, M1A, M1AX, M1B, M1BX, M1C, M1CX, M2A, M2AX, M2B, M2BX, M2C, and M2CX are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) rating on the Notes reflects 14.80% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (sf), BB (high) (sf), and B (high) (sf) ratings reflect 9.20%, 6.70%, 4.90%, 3.60%, and 2.80% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of predominantly seasoned performing and reperforming first-lien mortgages funded by the issuance of the Notes. The Notes are backed by 2,812 loans with a total principal balance $497,063,099 as of the Cut-Off Date (June 30, 2022). The Notes are backed by 2,861 loans with a total principal balance $507,531,788 as of the Statistical Calculation Date (May 31, 2022). Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the Statistical Calculation Date. The portfolio is approximately 186 months seasoned, and all loans are more than 24 months seasoned. Modified loans make up 63.9% of the portfolio, and modifications happened more than two years ago for 94.4% of those loans. Within the pool, 782 mortgages, equating to approximately 5.0% of the total principal balance, have non-interest-bearing deferred amounts. No Home Affordable Modification Program or proprietary principal forgiveness amounts are included in the deferred amounts. As of the Statistical Calculation Date, 97.7% of the pool is current and 2.3% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, 0.3% of the pool is in bankruptcy (all non-pandemic bankruptcy loans are performing or are 30 days delinquent). Approximately 83.4% of the mortgage loans have been zero times 30 days delinquent under the MBA delinquency for at least the past 24 months. The majority of the pool (99.9%) is exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The loans subject to the ATR rules are designated as QM Safe Harbor (0.1%) and Temporary QM Safe Harbor ( TOWD POINT 2022-2: DBRS Gives Prov. BB Rating on Class B1 Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Asset-Backed Securities, Series 2022-2 to be issued by Towd Point Mortgage Trust 2022-2 (TPMT 2022-2 or the Trust) as follows: -- $426.7 million Class A1 at AAA (sf) -- $23.5 million Class A2 at AA (low) (sf) -- $11.3 million Class M1 at A (low) (sf) -- $7.4 million Class M2 at BBB (low) (sf) -- $5.4 million Class B1 at BB (sf) -- $3.4 million Class B2 at B (high) (sf) -- $426.7 million Class A1A at AAA (sf) -- $426.7 million Class A1AX at AAA (sf) -- $426.7 million Class A1B at AAA (sf) -- $426.7 million Class A1BX at AAA (sf) -- $23.5 million Class A2A at AA (low) (sf) -- $23.5 million Class A2AX at AA (low) (sf) -- $23.5 million Class A2B at AA (low) (sf) -- $23.5 million Class A2BX at AA (low) (sf) -- $23.5 million Class A2C at AA (low) (sf) -- $23.5 million Class A2CX at AA (low) (sf) -- $11.3 million Class M1A at A (low) (sf) -- $11.3 million Class M1AX at A (low) (sf) -- $11.3 million Class M1B at A (low) (sf) -- $11.3 million Class M1BX at A (low) (sf) -- $11.3 million Class M1C at A (low) (sf) -- $11.3 million Class M1CX at A (low) (sf) -- $7.4 million Class M2A at BBB (low) (sf) -- $7.4 million Class M2AX at BBB (low) (sf) -- $7.4 million Class M2B at BBB (low) (sf) -- $7.4 million Class M2BX at BBB (low) (sf) -- $7.4 million Class M2C at BBB (low) (sf) -- $7.4 million Class M2CX at BBB (low) (sf) Classes A1AX, A1BX, A2AX, A2BX, A2CX, M1AX, M1BX, M1CX, M2AX, M2BX, and M2CX are interest-only notes. The class balances represent notional amounts. Classes A1A, A1AX, A1B, A1BX, A2A, A2AX, A2B, A2BX, A2C, A2CX, M1A, M1AX, M1B, M1BX, M1C, M1CX, M2A, M2AX, M2B, M2BX, M2C, and M2CX are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. The AAA (sf) rating on the Notes reflects 13.00% of credit enhancement provided by subordinated certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf), and B (high) (sf) ratings reflect 8.20%, 5.90%, 4.40%, 3.30%, and 2.60% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of predominantly seasoned performing and reperforming first-lien mortgages funded by the issuance of asset-backed notes (the Notes). The Notes are backed by 2,931 loans with a total principal balance $490,489,663 as of the Cut-Off Date (June 30, 2022). The portfolio is approximately 189 months seasoned, and 99.9% of the loans are greater than 24 months seasoned. The portfolio contains 67.4% modified loans, and modifications happened more than two years ago for 92.4% of the modified loans. Within the pool, 847 mortgages, equating to approximately 4.8% of the total principal balance, have non-interest-bearing deferred amounts. There are no Home Affordable Modification Program and proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 97.9% of the pool is current and 2.1% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, 0.3% of the pool is in bankruptcy (all non-pandemic-related bankruptcy loans are performing or 30 days delinquent). Approximately 83.6% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. The majority of the pool (99.9%) is exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. The loans subject to the ATR rules are designated as QM Safe Harbor ( UBSCM 2018-NYCH: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-NYCH issued by UBSCM 2018-NYCH Mortgage Trust as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class X-NCP at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) DBRS Morningstar changed the trends on Classes F and G to Stable from Negative. All other 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 transaction is collateralized by a $300.0 million floating-rate, interest-only (IO) mortgage loan that is secured by the fee-simple interests on seven recently renovated limited-service and extended-stay hotels in New York City totalling 1,087 rooms. The loan had an initial term of three years with two one-year extension options with an initial maturity date of February 2021. Individual properties in the portfolio may be released subject to certain provisions, including a paydown in principal on the loan equal to 115% of the allocated loan amount for the released hotel(s). As of the July 2022 remittance, no properties have been released. As a result of the coronavirus pandemic and its forced shutdown of the economy, the loan was transferred to special servicing in April 2020. The loan payments for April and May 2020, and subsequent months, were made by the mezzanine lender and the borrower requested a forbearance and an extension of the maturity date. Although the loan was structured with two conditional one-year extension options remaining, the collateral did not meet the required debt yield requirements to extend the maturity date. The mezzanine lender ultimately foreclosed on the portfolio in early 2021. The mezzanine lender brought the senior loan payments current and received a modification in June 2021, extending the maturity date to February 2024. The modification required a paydown of $10.0 million and partial payment of default interest. The loan was returned to the master servicer in September 2021 as a corrected mortgage because the borrower brought the loan current, according to the servicer. The loan has remained on the servicer's watchlist since September 2021 because of sustained cash flow declines resulting from the residual effects of the pandemic. Because of the low debt yield, the note is trapping cash and, as of the July 2022 reporting, the loan reported $9.0 million in the capital reserve account and an additional $6.9 million in the other reserve account. The seven hotels are in Manhattan submarkets that typically have very active lodging demand: Times Square (three hotels), the Financial District (two hotels), and one hotel in each of Chelsea and Herald Square. The midmarket hotels are flagged with well-known brands: Hampton Inn (three hotels), Holiday Inn Express (two hotels), Holiday Inn, and Candlewood Suites. At issuance, occupancy rates at the properties ranged from 90% to 95% with average daily rates (ADR) ranging from $198 to $229 per room, and revenue per available room (RevPAR) of $212. The sponsor invested $15.2 million, or $13,983 per room, for a portfolio-wide property improvement plan renovation that took place from 2016 to 2017. According to the most recent reporting, occupancy, ADR, and RevPAR metrics have improved, yet remain below pre-pandemic levels. The portfolio reported an occupancy rate of 51.2% as of March 2022, which is an improvement from the June 2021 occupancy rate of 40%. As of the March 2022 Operations Statement, the portfolio reported year-to-date (YTD) ADR and RevPAR of $128.46 and $65.81, respectively, compared with its YTD March 2021 ADR and RevPAR of $115.10 and $36.19, respectively. The Q2 2021 debt service coverage ratio (DSCR) was reported at -0.50 times (x), compared with the DSCR at issuance of 2.18x. However, the loan has remained current since September 2021. The June 2021 appraisal reported a value of $357.5 million, representing a decline of 38.4% compared with the $580.7 million value at issuance. Even with this significant decline, the new value remains above the outstanding loan balance, providing some insulation for the bottom-rated classes. Additionally, DBRS Morningstar finds comfort in the mezzanine lender's commitment to the property. Notes: All figures are in U.S. dollars unless otherwise noted. UPSTART SECURITIZATION 2022-4: Moody's Gives '(P)Ba2' to B Notes ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Upstart Securitization Trust 2022-4 ("UPST 2022-4"), the fourth personal loan securitization issued from the UPST shelf this year. The collateral backing UPST 2022-4 consists of unsecured consumer installment loans originated by Cross River Bank, a New Jersey state-chartered commercial bank and FinWise Bank, a Utah state-chartered commercial bank, all utilizing the Upstart Program, respectively. Upstart Network, Inc. ("Upstart") will act as the servicer of the loans. The complete rating actions are as follows: Issuer: Upstart Securitization Trust 2022-4 Class A Notes, Assigned (P)A3 (sf) Class B Notes, Assigned (P)Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure and fast amortization of the assets, the experience and expertise of Upstart as servicer, and the back-up servicing arrangement with Wilmington Trust, National Association ("Wilmington") and its designated sub-agent, Systems & Services Technologies, Inc. (S&ST unrated). Moody's median cumulative net loss expectation for the 2022-4 pool is 16.9% and the stress loss is 58.0%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Upstart to perform its servicing functions; the ability of Wilmington and its sub-agent to perform the backup servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A and Class B notes are expected to benefit from 32.5% and 20.5% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination for the Class A notes. The notes may also benefit from excess spread. The social risk for this transaction is high. Marketplace lenders have attracted elevated levels of regulatory attention at the state and federal level. As such, regulatory and borrower challenges to marketplace lenders and their third-party lending partners over "true lender" status and interest rate exportation could result in some of Upstart's loans being deemed void or unenforceable, in whole or in part. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Moody's expectation of pool losses could decline as a result of better than expected improvements in the economy, changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. In addition, greater certainty concerning the legal and regulatory risks facing this transaction could lead to lower loss volatility assumptions, and thus lead to an upgrade of the notes. Down Moody's could downgrade the ratings of the notes if pool losses exceed its expectations and levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses may increase, for example, due to performance deterioration stemming from a downturn in the US economy, deficient servicing, errors on the part of transaction parties, inadequate transaction governance or fraud. In addition, the legal and regulatory risks stemming from the bank partner model that Upstart utilizes could expose the pool to increased losses. VELOCITY COMMERCIAL 2022-4: DBRS Gives Prov. B Rating on 3 Classes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the Mortgage-Backed Certificates, Series 2022-4 to be issued by Velocity Commercial Capital Loan Trust 2022-4 (VCC 2022-4 or the Issuer) as follows: -- $193.1 million Class A at AAA (sf) -- $193.1 million Class A-S at AAA (sf) -- $193.1 million Class A-IO at AAA (sf) -- $23.7 million Class M-1 at AA (sf) -- $23.7 million Class M1-A at AA (sf) -- $23.7 million Class M1-IO at AA (sf) -- $12.7 million Class M-2 at A (low) (sf) -- $12.7 million Class M2-A at A (low) (sf) -- $12.7 million Class M2-IO at A (low) (sf) -- $21.8 million Class M-3 at BBB (sf) -- $21.8 million Class M3-A at BBB (sf) -- $21.8 million Class M3-IO at BBB (sf) -- $45.0 million Class M-4 at BB (sf) -- $45.0 million Class M4-A at BB (sf) -- $45.0 million Class M4-IO at BB (sf) -- $20.2 million Class M-5 at B (sf) -- $20.2 million Class M5-A at B (sf) -- $20.2 million Class M5-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 42.10% of credit enhancement (CE) provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 35.00%, 31.20%, 24.65%, 11.15%, and 5.10% of CE, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. VCC 2022-4 is a securitization of a portfolio of newly originated and seasoned fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Mortgage-Backed Certificates, Series 2022-4. The Certificates are backed by 782 mortgage loans with a total principal balance of $333,547,047 as of the Cut-Off Date (July 1, 2022). Approximately 51.9% of the pool comprises residential investor loans and about 48.1% of SBC loans. All except one loan in this securitization (i.e., 99.5%) were originated by Velocity Commercial Capital, LLC (Velocity or VCC). The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (No Ratio). The lender reviews mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flows or minimum debt service coverage ratio in underwriting SBC loans with balances over $750,000 for purchase transactions and over $500,000 for refinance transactions. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA-RESPA Integrated Disclosure rule. The pool is about one month seasoned on a weighted average (WA) basis, although seasoning may span from zero up to 93 months. PHH Mortgage Corporation will service all loans within the pool for a servicing fee of 0.30% per annum. In addition, Velocity will act as a Special Servicer servicing the loans that defaulted or became 60 or more days delinquent under Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Loans). The Special Servicer will be entitled to receive compensation based on an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances are deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Trustee, Paying Agent, and Custodian. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class P, Class XS, and Class M-7 Certificates, collectively representing at least 5% of the fair value of all Certificates, to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. On or after the later of (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 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of real estate owned (REO) properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A credit enhancement (CE) falling below 10.0% of the loan balance as of the Cut-off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each Class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each Class' target principal balance, as long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses because the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over a life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted average coupon shortfalls (Net WAC Rate Carryover Amounts). Please see the Cash Flow Structure and Features section of the report for more details. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY Of the 331 loans, 329 loans, representing 98.9% of the SBC portion of the pool, have a fixed interest rate with a straight average of 8.63%. The two floating-rate loans have an interest rate ranging from 6.50% to 8.25% and an interest rate margin of 4.50%. To determine the POD and loss given default inputs in the CMBS Insight Model, DBRS Morningstar applied a stress to the index type that corresponded with the remaining fully extended term of the loan and added the respective contractual loan spread to determine a stressed interest rate over the loan term. DBRS Morningstar looked to the greater of the interest rate floor or the DBRS Morningstar stressed index rate when calculating stressed debt service. The WA modeled coupon rate was 8.31%. Most of the loans have original loan term lengths of 30 years and fully amortize over 30-year schedules. However, 25 loans, which comprise 14.7% of the SBC pool, have an initial IO period ranging from 12 months to 120 months and then fully amortize over shortened 20- to 29-year schedules. All SBC loans were originated between September 2014 and June 2022, resulting in a WA seasoning of 1.3 months. The SBC pool has a WA original term length of 356.7 months, or nearly 30 years. Two SBC loans have an original term of 10 years, one loan has a 15-year term, one loan has a 20-year term, and the remaining 327 loans have 30-year terms. Based on the current loan amount, which reflects approximately 9 basis points (bps) of amortization, and the current appraised values, the SBC pool has a WA loan-to-value ratio (LTV) of 64.1%. However, DBRS Morningstar made LTV adjustments to 47 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the DBRS Morningstar Market Rank. The DBRS Morningstar minimum capitalization rates range from 5.0% for properties in Market Rank 8 to 8.0% for properties in Market Rank 1. This resulted in a higher DBRS Morningstar LTV of 69.8%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. DBRS Morningstar's research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% to 22.0%, with an overall average of 15.7%. As contemplated and explained in "DBRS Morningstar's Rating North American CMBS Interest-Only Certificates" methodology, the most significant risk to an IO cash flow stream is term default risk. As DBRS Morningstar noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one-third of the total default rate), and the term default rate was approximately 11%. DBRS Morningstar recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a POD for a CMBS bond from its rating, DBRS Morningstar estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for DBRS Morningstar to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The DBRS Morningstar CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to zero conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, DBRS Morningstar would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and DBRS Morningstar expects that this pool will have prepayments over the remainder of the transaction. DBRS Morningstar applied the following to calculate a default rate prepayment haircut: Using Intex Dealmaker, a lifetime constant default rate (CDR) was calculated that approximated the default rate for each rating category. While applying the same lifetime CDR, DBRS Morningstar applied a 2.0% CPR. When holding the CDR constant and applying 2.0% CPR, the cumulative default amount declined. The percentage change in the cumulative default prior to and after applying the prepayments, subject to a 10.0% maximum reduction, was then applied to the cumulative default assumption to calculate a fully adjusted cumulative default assumption. The SBC pool is quite diverse based on loan size, with an average cut-off date loan balance of $485,188, a concentration profile equivalent to that of a transaction with 161 equal-size loans, and a top-10 loan concentration of 15.8%. Increased pool diversity helps to insulate the higher-rated classes from event risk. The loans are mostly secured by traditional property types (i.e., multifamily, retail, office, and industrial), with no exposure to higher-volatility property types, such as hotels or other lodging facilities. Of the 331 loans, 330 loans in the SBC pool fully amortize over their respective remaining loan terms between 120 months and 360 months, reducing refinance risk. As classified by DBRS Morningstar for modeling purposes, the SBC pool contains a significant exposure to retail (22.9% of the SBC pool) and a smaller exposure to office (16.8% of the SBC pool), which are two of the higher-volatility asset types. Loans counted as retail include those identified as automotive and potentially commercial condominium. Combined, retail and office properties represent nearly 40% of the SBC pool balance. Retail, which has struggled because of the Coronavirus Disease (COVID-19) pandemic, comprises the second-largest asset type in the transaction. DBRS Morningstar applied a 20.0% reduction to the net cash flow (NCF) for retail properties and a 41.6% reduction for office assets in the SBC pool, which is above the average NCF reduction applied for comparable property types in CMBS analyzed deals. DBRS Morningstar did not perform site inspections on loans within its sample for this transaction. Instead, DBRS Morningstar relied upon analysis of third-party reports and online searches to determine property quality assessments. Of the 63 loans DBRS Morningstar sampled, two were Average quality (7.4%), 40 were Average – (58.3%), 18 were Below Average (28.4%), and three were Poor (5.9%). DBRS Morningstar assumed unsampled loans were Average – quality, which has a slightly increased POD level. This is more conservative than the assessments from sampled loans and is consistent with other SBC transactions. Limited property-level information was available for DBRS Morningstar to review. Asset summary reports, PCRs, Phase I/II environmental site assessment (ESA) reports, and historical cash flows were generally not available for review in conjunction with this securitization. DBRS Morningstar received and reviewed appraisals for the top 18 loans, which represent 23.1% of the SBC pool balance. These appraisals were issued between November 2021 and May 2022 when the respective loans were originated. DBRS Morningstar was able to perform a loan-level cash flow analysis on the top 18 loans. The haircuts ranged from -1.2% to -100.0%, with an average of -21.9% when excluding outliers; however, DBRS Morningstar generally applied more conservative haircuts on the unsampled loans. No ESA reports were provided and are not required by the Issuer; however, all of the loans are placed onto an environmental insurance policy that provides coverage to the Issuer and the securitization trust in the event of a claim. DBRS Morningstar received limited borrower information, net worth or liquidity information, and credit history. DBRS Morningstar generally initially assumed loans had Weak sponsorship scores, which increases the stress on the default rate. The initial assumption of Weak reflects the generally less sophisticated nature of small-balance borrowers and assessments from past small-balance transactions. Furthermore, DBRS Morningstar received a 12-month pay history on each loan as of February 28, 2022. If any loan had more than two late pays within this period or was currently 30 days past due, DBRS Morningstar applied an additional stress to the default rate. This occurred for three loans, representing 1.2% of the SBC pool balance. Finally, DBRS Morningstar received a borrower FICO score for all loans, with an average FICO score of 721. While the CMBS Methodology does not contemplate FICO scores, the residential mortgage-backed securities (RMBS) Methodology does and would characterize a FICO score of 721 as near prime, whereas prime is considered greater than 750. Borrowers with a FICO score of 721 could generally be described as potentially having had previous credit events (foreclosure, bankruptcy, etc.), but, if they did, it is likely that these credit events were cleared about two to five years ago. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 451 mortgage loans with a total balance of approximately $172.9 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to No Ratio program guidelines for business-purpose loans. The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of the pandemic. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was so widely available that it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances in 2020 performed better than expected, thanks to government aid, low LTVs, 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. As of the Cut-Off Date, no borrower within the pool is currently subject to a coronavirus-related forbearance plan with the Servicer. Notes: All figures are in U.S. dollars unless otherwise noted. WACHOVIA BANK 2007-C33: S&P Discontinues 'D' Rating on A-J Certs ---------------------------------------------------------------- S&P Global Ratings discontinued its 'D (sf)' ratings on two classes of commercial mortgage pass-through certificates from two U.S. CMBS transactions. S&P said, "We discontinued these ratings according to our surveillance and withdrawal policies. We previously lowered the ratings on these classes to 'D (sf)' because of principal losses and/or accumulated interest shortfalls that we believed would remain outstanding for an extended period of time. We view a subsequent upgrade to a rating higher than 'D (sf)' to be unlikely under the relevant criteria for the classes within this review. Ratings Discontinued Wachovia Bank Commercial Mortgage Trust, Series 2007-C33 Class A-J to NR from 'D (sf)' J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 Class F to NR from 'D (sf)' WELLS FARGO 2015-LC22: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-LC22 issued by Wells Fargo Commercial Mortgage Trust 2015-LC22 as follows: -- 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 B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (high) (sf) -- Class F at B (sf) DBRS Morningstar changed the trends on Classes E, F, XE, and XF to Stable from Negative. All remaining classes have Stable trends. The rating confirmations and trend changes reflect the improved overall outlook for the loans in special servicing and the improved performance of the loans on the servicer's watchlist since the transaction's last review. As of the July 2022 remittance, 95 of the original 100 loans remain in the trust, with an aggregate balance of approximately $801.6 million, representing a collateral reduction of 16.8% since issuance. Additionally, 13 loans, representing 14.6% of the current pool balance are fully defeased. Homewood Suites Houston Intercontinental (Prospectus ID #39) was liquidated in March 2022 at a realized loss of $2.6 million, below the loss estimate at last review. Also as of the July 2022 remittance, four loans, representing 4.3% of the current pool balance, are in special servicing, and 19 loans, representing 25.4% of the pool, are on the servicer's watchlist for a variety of performance-related concerns. The largest specially serviced loan, Clearwater Collection (Prospectus ID #17, 1.6% of the pool), is secured by a 134,361-square foot (sf) retail property in Clearwater, Florida. The loan was transferred to the special servicer in July 2018 because of payment default when the sponsor, Gary J. Dragul of GDA Real Estate Services, was indicted for fraudulent activities. The special servicer pursued a foreclosure strategy with the appointed receiver working toward selling the properties. Recently, in April 2022, the Borrower filed Chapter 11 bankruptcy in Colorado, and the litigation remains ongoing. The special servicer is anticipating a Receiver's sale that will reportedly result in a full payoff of the loan, per the most recent servicer commentary. According to the March 2022 rent roll, the property is 54.4% occupied by two tenants, Floor & Decor Outlets of America, Inc. (Floor & Decor; 49% of the net rentable area (NRA), lease expiry recently extended to May 2027) and Blazin Wings (formerly 5.4% of the NRA, lease expiry July 2022). Blazin Wings seems to have left the property following its lease expiration, leaving Floor & Decor as the sole tenant. The YE2021 debt service coverage ratio (DSCR) was reported at 0.44 times (x), compared with the YE2020 DSCR of 0.24x and the YE2019 DSCR of 2.32x. According to the July 2021 appraisal, the property was valued at $10.8 million, which is slightly above the October 2020 appraisal value of $10.4 million but a 41.6% decrease from the issuance value of $18.5 million. As of this review, DBRS Morningstar liquidated this loan from the pool, which resulted in a loss severity in excess of 25%. The largest loan on the servicer's watchlist, 40 Wall Street (Prospectus ID#1; 9.6% of pool), also the largest loan in the pool, is secured by the leasehold interest in a 71-story, 1.2-million sf office building at 40 Wall Street, one block from the New York Stock Exchange. The loan is on the watchlist because of a low DSCR, with the YE2021 DSCR reported at 1.13x, YE2020 DSCR of 1.25x, and DBRS Morningstar DSCR of 1.53x at issuance. The decline in net cash flow was mainly driven by a decrease in base rental revenue because the borrower had offered rent concessions to some of its tenants amid the pandemic with the goal of retaining tenants long term, while other tenants had delayed move-in dates. According to the servicer, the borrower will not be forgiving any rents and is expecting revenues to rebound. According to the most recent financial reporting, the property had trailing three month (T-3) ended March 31, 2022, an occupancy rate of 83.5%, slightly below the YE2021 and YE2020 occupancy rates of 86.0% and 87.2%, respectively, as well as issuance occupancy of 97.8%. The former third-largest tenant at the subject, Thorton Tomasetti (5.2% of the NRA) recently vacated the premises to relocate to its new headquarters and paid a lease cancellation fee. Other large tenants remaining at the property include Green Ivy (7.4% of NRA, lease expires in November 2061) and Country Wide Insurance (7.3% of NRA, lease expires in August 2036). The property benefits from an ideal location as well as a granular rent roll with minimal rollover in the next 12 months. The Downtown submarket reported a Q1 2022 vacancy rate of 12.4%, compared with Q1 2021 and Q1 2020 vacancy rates of 11.8% and 11.7%, respectively. The sponsor, Donald J. Trump of the Trump Organization, has made headlines for inconsistent reporting of his corporate financial statements and generally withholding information regarding his real estate portfolio. Considering the decline in performance because of dropping occupancy and general challenges that the sponsor is currently encountering, DBRS Morningstar analyzed this loan with an elevated probability of default to increase the expected loss with this review. The second-largest loan on the servicer's watchlist loan is West Palm Beach Marriott (Prospectus ID#6; 3.4% of the pool), which is secured by a 352-key, full-service hotel in West Palm Beach, Florida. This loan is on the watchlist because of a low DSCR, with T-12 ended December 31, 2021, DSCR reported at 0.24x, an improvement from the YE2020 DSCR of -0.45x but below the YE2019 DSCR of 1.96x and the DBRS Morningstar DSCR of 1.66x. It is noteworthy that despite the poor performance, the loan is current and the borrower did not request any relief during the pandemic. According to article published by Real Deal in December 2019, the Marriott family sold the subject to Jackson Hole Trust Company, which manages real estate, businesses, and other investments on behalf of families in the U.S. and internationally. More recently, in May 2022, an article from Palm Beach Post noted that the property owners want to build a 327,000-sf office and conference complex. Considering the decline in performance of the hotel and the general uncertainty surrounding the repurposing of the subject by the new owners, DBRS Morningstar will continue to monitor the loan for any developments. Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2016-C36: DBRS Confirms CCC Rating on Class EFG Certs ----------------------------------------------------------------- DBRS Limited downgraded its ratings on nine classes of the Commercial Mortgage Pass-Through Certificates, Series 2016-C36 issued by Wells Fargo Commercial Mortgage Trust 2016-C36 as follows: -- Class E-2 to B (high) (sf) from BB (sf) -- Class E to B (high) (sf) from BB (sf) -- Class F-1 to B (sf) from B (high) (sf) -- Class F-2 to B (low) (sf) from B (sf) -- Class F to B (low) (sf) from B (sf) -- Class EF to B (low) (sf) from B (sf) -- Class G-1 to CCC (sf) from B (low) (sf) -- Class G-2 to C (sf) from CCC (sf) -- Class G to C (sf) from CCC (sf) DBRS Morningstar also confirmed its ratings on the remaining classes as follows: -- 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 X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class E-1 at BBB (low) (sf) -- Class EFG at CCC (sf) DBRS Morningstar also changed the trends on Classes D and X-D to Stable from Negative. The trends on classes E-1, E-2, E, F-1, F-2, EF, and F remain Negative. All other trends are Stable with the exceptions of Classes G-1, G-2, G, and EFG, which are assigned ratings that generally do not carry a trend for Commercial Mortgage-Backed Securities (CMBS) ratings. The rating downgrades and Negative trends reflect the continued performance challenges for the loans showing increased risks from issuance including one specially serviced loan and the largest watchlisted loan, as further described below. In particular, DBRS Morningstar anticipates sizable losses for the Mall at Turtle Creek, which would erode the unrated classes and could spill over into Class G, prompting the aforementioned downgrades. The trust consists of 66 of the original 73 loans with an aggregate principal balance of $741.9 million, reflecting a collateral reduction of 13.5% since issuance. As of July 2022, there are 15 loans, representing 30.8% of the pool, on the servicer's watchlist. There are four loans, representing 10.7% of the pool, in special servicing and two loans, representing 4.1% of the pool, are delinquent. Nine loans, representing 4.3% of the current pool, have fully defeased. The pool is concentrated by property type, with 33.7% of the pool secured by retail properties, 24.1% of the pool secured by retail properties, and 12.8% of the pool secured by multifamily properties. The largest loan, Gurnee Mills (Prospectus ID#1, 10.1% of the current pool), is secured by a regional mall in Gurnee, Illinois. The loan is sponsored by Simon Property Group (Simon) and was previously in special servicing before it was brought current, cash management was initiated and returned to the master servicer in June 2021. The servicer approved a loan modification that allowed for a period of deferred debt service payments and interest-only (IO) debt service payments, with deferred amounts to be paid in 24 installments beginning in March 2021. The loan has consistently reported cash flows below the Issuer's figure of $25.1 million, with occupancy decreases driving the bulk of the declines. These trends preceded the onset of the Coronavirus Disease (COVID-19) pandemic, which exacerbated those previous trends and contributed to the default on the loan in 2020. The property was 81.9% occupied as of March 2022, slightly increasing from 77.5% at yearend (YE) 2021 but still below the issuance occupancy rate of 91%. The loan reported a debt service coverage ratio of 1.74 times (x) as of March 2022, remaining in line with YE2021. However, this appears to be based on the in-place debt service obligation with the modified loan terms; based on the original debt service amount, the implied coverage is much lower, at 1.13x. There is limited rollover risk within the next 12 months, with 9.3% of net rentable area (NRA) scheduled to expire. As of July 2022, all anchor units were fully or partially occupied, with Hobby Lobby (4.0% of the net rentable area (NRA)), partially back-filling the former Sears space (previously 11.9% of the NRA), space. No recent sales were provided in response to DBRS Morningstar's request of the servicer. Although the in-place coverage is healthy, the occupancy declines from issuance and the sharp decline in cash flow from issuance to $17.8 million at YE2021 suggests there has likely been a significant value decline in that time. Simon appears committed to the loan and property, however, and there have been some recent positive developments in the leasing activity and cash flow improvements from YE2020. Given the increased risks for this loan, DBRS Morningstar assumed a stressed scenario to increase the expected loss in the analysis. The largest specially serviced loan, Mall at Turtle Creek (Prospectus ID#7, 3.5% of the current pool) is secured by a portion of a regional mall in Jonesboro, Arkansas. The loan transferred to special servicing in August 2020 for imminent default and remains delinquent. The property was largely destroyed by a tornado in March 2020, with only noncollateral tenants, Dillards, JCPenney, and Target, reopening later that year. The majority of the mall was later demolished. As of July 2022, servicer commentary reports the majority of the mall has been demolished and the borrower is unwilling to rebuild the property and carry the loan. As of July 2022, the servicer commentary shows that the servicer expects to take title of the property within the next few months. The mall was showing significant performance declines prior to the tornado event, with YE2019 net cash flow at $5.3 million, down from the Issuer's figure of $7.1 million. Given these factors, the insurance settlement could be reduced to reflect the likely value decline from issuance. Given these factors, DBRS Morningstar believes a high loss severity is likely at disposition and assumed a loss severity exceeding 75.0% in the analysis for this review. Notes: All figures are in U.S. dollars unless otherwise noted. [*] DBRS Confirms 11 Ratings From 6 Affirm Asset Trust Deals ------------------------------------------------------------ DBRS, Inc. upgraded three ratings and confirmed 11 ratings from six Affirm Asset Securitization Trust transactions. Debt Rated Rating Action ---------- ------ ------ Affirm Asset Securitization Trust 2020-Z1 Class A Notes AAA (sf) Upgraded Affirm Asset Securitization Trust 2020-Z2 Class A Notes AAA (sf) Upgraded Affirm Asset Securitization Trust 2021-A Class A Notes AA (sf) Confirmed Class B Notes A (sf) Confirmed Class C Notes BBB (sf) Confirmed Class D Notes BB (sf) Confirmed Class E Notes B (sf) Confirmed Affirm Asset Securitization Trust 2021-B Class A Notes AA (sf) Confirmed Class B Notes A (sf) Confirmed Class C Notes BBB (sf) Confirmed Class D Notes BB (sf) Confirmed Class E Notes B (sf) ConfirmeD Affirm Asset Securitization Trust 2021-Z1 Class A Notes AAA (sf) Upgrade Affirm Asset Securitization Trust 2021-Z2 Class A Notes AA (sf) Confirmed 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. [*] DBRS Reviews 57 Classes from 8 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. reviewed 57 classes from eight U.S. single-family rental transactions. Of the 57 classes reviewed, DBRS Morningstar upgraded five ratings and confirmed 52 ratings. AMSR 2019-SFR1 Trust -- AMSR 2019-SFR1 Trust, Class A confirmed at AAA (sf) -- AMSR 2019-SFR1 Trust, Class B confirmed at AAA (sf) -- AMSR 2019-SFR1 Trust, Class C upgraded to AAA (sf) from AA (high) (sf) -- AMSR 2019-SFR1 Trust, Class D confirmed at AA (sf) -- AMSR 2019-SFR1 Trust, Class E confirmed at BBB (low) (sf) -- AMSR 2019-SFR1 Trust, Class F confirmed at BB (sf) -- AMSR 2019-SFR1 Trust, Class G confirmed at B (high) (sf) AMSR 2020-SFR1 Trust -- AMSR 2020-SFR1 Trust, Class A confirmed at AAA (sf) -- AMSR 2020-SFR1 Trust, Class B confirmed at AAA (sf) -- AMSR 2020-SFR1 Trust, Class C upgraded to AAA (sf) from AA (high) (sf) -- AMSR 2020-SFR1 Trust, Class D confirmed at AA (high) (sf) -- AMSR 2020-SFR1 Trust, Class E confirmed at BBB (low) (sf) -- AMSR 2020-SFR1 Trust, Class F confirmed at BB (sf) -- AMSR 2020-SFR1 Trust, Class G confirmed at B (sf) AMSR 2020-SFR2 Trust -- AMSR 2020-SFR2 Trust, Class A confirmed at AAA (sf) -- AMSR 2020-SFR2 Trust, Class B confirmed at AAA (sf) -- AMSR 2020-SFR2 Trust, Class C confirmed at AA (high) (sf) -- AMSR 2020-SFR2 Trust, Class D upgraded to AA (sf) from AA (low (sf) -- AMSR 2020-SFR2 Trust, Class E1 upgraded to A (sf) from A (low) (sf) -- AMSR 2020-SFR2 Trust, Class E2 confirmed at BBB (low) (sf) -- AMSR 2020-SFR2 Trust, Class F confirmed at BB (high) (sf) -- AMSR 2020-SFR2 Trust, Class G confirmed at BB (low) (sf) -- AMSR 2020-SFR2 Trust, Class H confirmed at B (low) (sf) AMSR 2020-SFR3 Trust -- Single-Family Rental Pass-Through Certificates, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class C confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class D upgraded to AA (low) (sf) from A (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class F-1 confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class F-2 confirmed at B (low) (sf) Home Partners of America 2019-1 Trust -- HPA 2019-1, Class A confirmed at AAA (sf) -- HPA 2019-1, Class B confirmed at AA (high) (sf) -- HPA 2019-1, Class C confirmed at AA (low) (sf) -- HPA 2019-1, Class D confirmed at A (low) (sf) -- HPA 2019-1, Class E confirmed at BBB (sf) -- HPA 2019-1, Class F confirmed at BBB (low) (sf) Home Partners of America 2019-2 Trust -- HPA 2019-2, Class A confirmed at AAA (sf) -- HPA 2019-2, Class B confirmed at AAA (sf) -- HPA 2019-2, Class C confirmed at AA (sf) -- HPA 2019-2, Class D confirmed at A (low) (sf) -- HPA 2019-2, Class E confirmed at BBB (low) (sf) -- HPA 2019-2, Class F confirmed at BB (sf) Progress Residential 2019-SFR3 Trust -- PRD 2019-SFR3, Class A confirmed at AAA (sf) -- PRD 2019-SFR3, Class B confirmed at AAA (sf) -- PRD 2019-SFR3, Class C confirmed at AA (high) (sf) -- PRD 2019-SFR3, Class D confirmed at A (high) (sf) -- PRD 2019-SFR3, Class E confirmed at BBB (low) (sf) -- PRD 2019-SFR3, Class F confirmed at BB (sf) Progress Residential 2021-SFR7 Trust -- Single-Family Rental Pass-Through Certificates, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificates, Class B confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class C confirmed at A (high) (sf) -- Single-Family Rental Pass-Through Certificates, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class E-1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificates, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificates, Class G confirmed at B (sf) The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. DBRS Morningstar's rating actions are based on the following analytical consideration: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: The principal methodology is U.S. Single-Family Rental Securitization Ratings Methodology (May 28, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria. [*] DBRS Reviews 72 Classes from 8 U.S. RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 72 classes from eight U.S. residential mortgage-backed security (RMBS) transactions. Of the 72 classes reviewed, DBRS Morningstar confirmed all 72 ratings. The Affected Ratings Are Available at https://bit.ly/3zAxnQG The rating confirmations reflect asset performance and credit support levels that are consistent with the current ratings. The pools backing the reviewed RMBS transactions consist of non-Qualified Mortgage and reperforming mortgage collateral and fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade. -- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class A-3 -- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class M-1 -- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class B-1 -- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class B-2 -- Imperial Fund Mortgage Trust 2021-NQM2, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-2 -- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class A-3 -- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class M-1 -- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-1 -- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-2 -- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class A-3 -- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class M-1 -- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class B-1 -- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class B-2 -- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class M-1 -- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class M-2 -- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class B-1 -- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class B-2 -- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class A-4 -- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class A-5 -- PRPM 2021-RPL1, LLC, Asset Backed Notes, Series 2021-RPL1, Class A-2 -- PRPM 2021-RPL1, LLC, Asset Backed Notes, Series 2021-RPL1, Class M-1 -- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M-4 -- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M-5 -- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M4-A -- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M4-IO -- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M5-A -- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M5-IO -- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-5 -- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M5-A -- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M5-IO CORONAVIRUS DISEASE (COVID-19) IMPACT The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. Because the option to forbear mortgage payments was so widely available at the onset of the pandemic, it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and North American CMBS Surveillance Methodology (March 4, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. ********* 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 ***