/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220828.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 28, 2022, Vol. 26, No. 239 Headlines 37 CAPITAL 2: Moody's Assigns Ba3 Rating to $18.375MM Cl. E Notes ACCESS TO LOANS 1998: Fitch Puts C-1 Debt Rating on Watch Neg. AGL CLO 20: Fitch Assigns BB- Rating on Class E Debt AGL CLO 21: Moody's Assigns B3 Rating to $1MM Class F Notes AMERICAN CREDIT 2022-3: DBRS Finalizes B Rating on Class F Notes ANCHORAGE CREDIT 16: Moody's Assigns Ba3 Rating to $22.5MM E Notes ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs ATLAS STATIC I: Moody's Assigns Ba3 Rating to $18MM Class E Notes ATRIUM HOTEL 2018-ATRM: DBRS Confirms B(low) Rating on Cl. F Certs BAIN CAPITAL 2022-6: Fitch Assigns BB- Rating to Class E Debt BANK 2019-BNK21: Fitch Affirms B-sf Rating on 2 Tranches BANK 2020-BNK29: DBRS Confirms B Rating on Class K Certs BBCMS TRUST 2018-BXH: DBRS Confirms BB(low) Rating on Cl. F Certs BDS 2020-FL5: DBRS Hikes Class F Notes Rating to BB BEAR MOUNTAIN: S&P Assigns BB- (sf) Rating on Class E Notes BENCHMARK 2019-B11: DBRS Confirms BB Rating on Class X-F Certs BENCHMARK 2019-B15: DBRS Confirms BB Rating on Class X-F Certs BLACKROCK DLF 2022-1: DBRS Gives Prov. B Rating on Class W Notes BX COMMERCIAL 2020-VKNG: DBRS Confirms B Rating on Class G Certs BX TRUST 2022-PSB: Fitch Assigns Final B-sf Rating on HRR Certs CARVANA AUTO 2022-P3: S&P Assigns Prelim BB- Rating on Cl. N Notes CHNGE MORTGAGE 2022-NQM1: DBRS Gives Prov. B Rating on B-2 Certs CHNGE MORTGAGE 2022-NQM1: S&P Assigns B (sf) Rating B-2 Certs CITIGROUP 2016-P5: Fitch Affirms BB-sf Rating on Class E Debt CITIGROUP 2020-EXP2: S&P Affirms B+ (sf) Rating on Cl. B-5 Loans CLNY TRUST 2019-IKPR: DBRS Confirms B Rating on Class F Certs COMM 2013-CCRE12: Fitch Cuts Rating on 2 Tranches to CCCsf CSMC 2022-ATH3: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on Cl. E Certs DBWF 2015-LCM: DBRS Confirms BB(low) Rating on 2 Classes Certs EXETER AUTOMOBILE 2022-4: DBRS Finalizes BB Rating on Cl. E Notes FINANCE OF AMERICA 2022-HB2: DBRS Finalizes B Rating on M5 Notes FLAGSHIP CREDIT 2022-3: DBRS Gives Prov. BB Rating on Cl. E Notes FLAGSHIP CREDIT 2022-3: S&P Assigns BB- (sf) Rating on Cl. E Notes FREDDIE MAC 2021-HQA1: Moody's Hikes Rating on Cl. B-1B Debt to B1 FREDDIE MAC 2022-HQA3: DBRS Finalizes BB Rating on 16 Classes FS RIALTO 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes FS RIALTO 2022-FL6: DBRS Confirms B(low) Rating on Class G Notes GCAT 2022-NQM4: DBRS Gives Prov. B Rating on Class B-2 Certs GCAT 2022-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs GOLDENTREE LOAN 15: Fitch Assigns BB+sf Rating to Class E Debt GS MORTGAGE 2012: Fitch Affirms B-sf Rating on Class F Debt GS MORTGAGE 2018-HULA: DBRS Confirms B(low) Rating on Cl. G Certs GS MORTGAGE 2022-LTV2: DBRS Finalizes B Rating on Class B-5 Certs GS MORTGAGE 2022-RPL4: DBRS Assigns B Rating on Class B-2 Notes GS MORTGAGE 2022-RPL4: Fitch Assigns Bsf Rating to Class B-2 Debt HALCYON LOAN 2015-1: Moody's Ups Rating on $30MM D Notes From Ba1 HOMEWARD OPPORTUNITIES 2022-1: DBRS Finalizes B Rating on B2 Certs INSTITUTIONAL MORTGAGE 2013-3: DBRS Cuts Class F Certs Rating to C JP MORGAN 2013-C16: DBRS Confirms BB Rating on Class E Certs JPMBB COMMERCIAL 2014-C18: Fitch Affirms C Rating on Cl. F Debt LCM 38 LTD: Moody's Assigns B3 Rating to $500,000 Class F Notes MADISON PARK LXII: Moody's Assigns B3 Rating to $1MM Class F Notes MORGAN STANLEY 2013-C13: Fitch Cuts Rating on Class G Debt to CCC MOSAIC SOLAR 2022-2: Fitch Assigns BB Rating on Class D Debt NEW RESIDENTIAL 2022-SFR2: DBRS Finalizes BB Rating on F Certs NW RE-REMIC 2021-FRR1: DBRS Confirms B(low) Rating on CK88 Certs OBX TRUST 2022-NQM7: Fitch Gives B(EXP) Rating on Cl. B-2 Debt OHA CREDIT 13: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes PAGAYA AI 2022-1: DBRS Finalizes B Rating on Class G Certs PAWNEE EQUIPMENT 2022-1: DBRS Finalizes BB(low) Rating on E Notes REALT 2017: Fitch Affirms Bsf Rating on Class G Certs REPUBLIC FINANCE 2020-A: DBRS Confirms BB(low) Rating on D Notes RFM RE-REMIC 2022-FRR1: DBRS Finalizes B(low) Rating on 3 Classes SLM Private 2003-C: S&P Affirms CC (sf) Rating on Class C Notes SYMPHONY CLO 35: Fitch Assigns BB-sf Rating on Class E Debt SYMPHONY CLO 35: Moody's Assigns B3 Rating to $500,000 Cl. F Notes TOWD POINT 2022-2: DBRS Finalizes B(high) Rating on Cl. B2 Notes TOWD POINT 2022-2: Fitch Assigns B-(EXP) Rating to Class B2 Debt TOWD POINT 2022-3: DBRS Gives Prov. B(high) Rating on Cl. B2 Notes TOWD POINT 2022-3: Fitch Assigns B-(EXP) Rating to Class B2 Debt TSTAT 2022-1: Fitch Assigns B-sf Rating on Class F Debt UBS COMMERCIAL 2019-C17: Fitch Affirms Bsf Rating on 2 Tranches UPSTART SECURITIZATION 2022-4: Moody's Gives Ba2 Rating to B Notes VELOCITY COMMERCIAL 2022-4: DBRS Finalizes B Rating on 3 Classes VERUS SECURITIZATION 2022-INV1: S&P Assigns (P) B-(sf) on B-2 Notes WELLS FARGO 2017: Fitch Affirms CCC Rating on Class G-RR Debt WFRBS COMMERCIAL 2014-C19: Fitch Cuts Class F Debt Rating to Csf [*] Moody's Upgrades Rating on $36MM of US RMBS Issued 2005-2007 [*] S&P Takes Various Actions on 20 Classes From 12 RMBS Deals [*] S&P Takes Various Actions on 69 Classes from 28 U.S. RMBS Deals ********* 37 CAPITAL 2: Moody's Assigns Ba3 Rating to $18.375MM Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to ten classes of notes issued by 37 Capital CLO 2, Ltd. (the "Issuer" or "37 Capital CLO 2"). Moody's rating action is as follows: US$178,500,000 Class A-1A Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$31,500,000 Class A-1B Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$3,000,000 Class A-2A Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$14,500,000 Class A-2B Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$19,125,000 Class B-1 Senior Secured Floating Rate Notes due 2034, Assigned Aa2 (sf) US$18,500,000 Class B-2 Senior Secured Fixed Rate Notes due 2034, Assigned Aa2 (sf) US$11,000,000 Class C-1 Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned A2 (sf) US$3,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate Notes due 2034, Assigned A2 (sf) US$20,125,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2034, Assigned Baa3 (sf) US$18,375,000 Class E Junior Secured Deferrable Floating Rate Notes due 2034, Assigned Ba3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. 37 Capital CLO 2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, first-lien last-out loans, unsecured loans, and permitted non-loan assets, provided that not more than 5% of the portfolio may consist of permitted non-loan assets. The portfolio is approximately 85% ramped as of the closing date. The Putnam Advisory Company, 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 one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $350,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2643 Weighted Average Spread (WAS): SOFR+3.60% Weighted Average Coupon (WAC): 5.75% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ACCESS TO LOANS 1998: Fitch Puts C-1 Debt Rating on Watch Neg. -------------------------------------------------------------- Fitch Ratings has placed the ratings of Access to Loans for Learning Student Loan Corp - 1998 Master Trust IV (ALL SLC 1998) on Rating Watch Negative. All bonds are rated 'CCCsf'. RATING ACTIONS ENTITY/DEBT RATING PRIOR ----------- ------ ----- Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) 1998 C-1 863903AT7 LT CCCsf Rating Watch On CCCsf Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) 2007 IV-A-14 00433TAA1 LT CCCsf Rating Watch On CCCsf IV-A-16 00433TAC7 LT CCCsf Rating Watch On CCCsf IV-A-17 00433TAD5 LT CCCsf Rating Watch On CCCsf IV-A-18 00433TAE3 LT CCCsf Rating Watch On CCCsf Access to Loans for Learning Student Loan Corp. - 1998 Master Trust IV (CA) 2003-1 A-10 00432MAV1 LT CCCsf Rating Watch On CCCsf A-8 00432MAS8 LT CCCsf Rating Watch On CCCsf TRANSACTION SUMMARY On April 26, 2022, bondholders received a Notice of Settlement (Settlement Agreement) from the trustee, M&T Bank, regarding the December 2020 litigation with Kawa Capital Management, Inc. The Settlement Agreement provides for a liquidation of the trust collateral for a price of at least 96% of the outstanding principal balance and subsequent pro-rata redemption of the senior bonds within 90 days of the approval of the settlement agreement, which should occur by the end of August 2022. Any bonds not redeemed will be cancelled. If the sale of the collateral is not achieved at the specified price, an event of default may be declared, which would also result in an acceleration of the bonds through liquidation of the trust assets. The assignment of Rating Watch Negative reflects the uncertainty of how the provisions of the settlement agreement will affect the assigned ratings of the trust. Fitch will resolve the Rating Watch Negative when there is additional information available on the progress of the portfolio sale. 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'/Outlook Stable. Collateral Performance: Fitch maintained its sustainable constant default rate (sCDR) at 3.20% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary) at 9.00%. The trailing-twelve-month (TTM) levels of deferment, forbearance and income-based repayment (prior to adjustment) are 4.5%, 10.7% and 22.2%, respectively. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. Fitch applies its standard basis and interest rate stresses to the transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread and subordination of the subordinate notes. As of June 30, 2022, reported senior and total parity is 97.3% and 88.5%, respectively. Liquidity support is provided by a reserve account that is sized at its floor of $1,000,000. In January 2018, the transaction changed to turbo structure and will not release cash until the notes are paid in full. Operational Capabilities: Day-to-day servicing is provided by Navient and Nelnet. Fitch believes both to be acceptable servicers, due to their extensive track records of servicing FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments.. 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. The inability to sell the portfolio collateral, or at prices below par will likely result in a default of the outstanding classes and downgrade of the rating to 'Dsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch expects the trust to be liquidated over the next few months based on the terms of the settlement agreement. Rating upgrades are not expected as the portfolio liquidation proceeds will be used to pay back the notes or cancel them. AGL CLO 20: Fitch Assigns BB- Rating on Class E Debt ---------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 20 Ltd. AGL CLO 20 Ltd. A-1 LT NRsf New Rating A-F LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY AGL CLO 20 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 74.2%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the notes were able to withstand respective default rates and recovery assumptions appropriate for their recommended ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B notes, between 'B-sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D notes, and between less than 'B-sf' and 'BBsf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. AGL CLO 21: Moody's Assigns B3 Rating to $1MM Class F Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by AGL CLO 21 Ltd. (the "Issuer" or "AGL 21"). Moody's rating action is as follows: US$216,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$40,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, 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. AGL 21 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, senior secured bonds and senior secured notes, provided that no more than 5% of the portfolio consists of senior secured bonds or senior secured notes. The portfolio is approximately 90% ramped as of the closing date. AGL CLO Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2994 Weighted Average Spread (WAS): SOFR + 3.60% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. AMERICAN CREDIT 2022-3: DBRS Finalizes B Rating on Class F Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes 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 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 Class A, B, C, D, and E coverage multiples 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 strength of the overall 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 on 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 which 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." (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 for 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 represents the 40th securitization completed by ACA since 2011 and offers both senior and subordinate rated securities. The receivables securitized in ACAR 2022-3 are 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, Class C, Class D, Class E, and Class 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. ANCHORAGE CREDIT 16: Moody's Assigns Ba3 Rating to $22.5MM E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Anchorage Credit Funding 16, Ltd. (the "Issuer"). Moody's rating action is as follows: US$135,450,000 Class A Senior Secured Fixed Rate Notes due 2040, Assigned Aaa (sf) US$35,100,000 Class B Senior Secured Fixed Rate Notes due 2040, Assigned Aa3 (sf) US$12,000,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned A3 (sf) US$13,200,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned Baa3 (sf) US$22,500,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, 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. Anchorage Credit Funding 16, Ltd. is a managed cash flow CBO. The issued notes will be collateralized primarily by corporate bonds and loans. At least 30% of the portfolio must consist of first lien senior secured loans, senior secured notes, and eligible investments, and up to 15% of the portfolio may consist of second lien loans. The portfolio is approximately 50% ramped as of the closing date. Anchorage Collateral Management, L.L.C.(the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest 50% of unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $300,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 3358 Weighted Average Coupon (WAC): 5.5% Weighted Average Recovery Rate (WARR): 35.0% Weighted Average Life (WAL): 10 years (11 years covenant) 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. ASHFORD HOSPITALITY 2018-ASHF: DBRS Confirms BB Rating on E Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ASHF issued by Ashford Hospitality Trust 2018-ASHF: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-EXT at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BB (sf) -- Class F at B (low) (sf) With this review, DBRS Morningstar changed the trends on Classes E and F to Stable from Negative to reflect the overall improved performance of the underlying portfolio as it begins to rebound to pre-pandemic levels, according to the most recent financials and STR report. All remaining classes carry Stable trends. The loan is secured by the borrower's fee-simple interest in 17 properties (representing 67.8% of the allocated loan amount (ALA)), the combined fee and leasehold interests in four properties (27.0% of the ALA), and a ground lease in one property (5.3% of the ALA) in the Ashford Highland Hospitality portfolio that consists of one luxury hotel and 22 full-service, select-service, limited-service, and extended-stay hotels, totalling 5,785 keys. The properties are across 12 states and the District of Columbia, with the largest state concentration in Texas (four properties; 22.4% of the ALA). Most of the hotels benefit from strong brand recognition, operating under the Marriott, Hilton, and Hyatt flags. In 2019, three hotels were sold and released from the security portfolio. The Residence Inn in Tampa, Courtyard in Savannah, and the Marriott Plaza in San Antonio were released with a 115% paydown of the ALA for each hotel, bringing the outstanding balance of the pooled trust mortgage down to $720.7 million. The sponsor for the loan is Ashford Hospitality Trust, Inc. (Ashford), a publicly traded real estate investment trust that invests in upper-upscale, full-service hotels. Per Ashford's Q1 2022 earnings call, its hotels have exhibited sequential revenue per available room (RevPAR) improvement over Q1 2021, which has continued into Q2 2022, while the company's liquidity and cash position remain strong. Additionally, across its portfolio of 100 hotels (22,286 net rooms), 27.0% of the properties are outperforming the 2019 hotel EBITDA levels, and according to the asset management team, the portfolio is well positioned to capitalize on the industry's continued recovery. The interest-only (IO) loan, originated in April 2018, had an initial two-year term followed by five successive one-year extension options. Since then, the borrower has exercised its third extension option, extending the maturity to April 2023. There is additional senior and junior mezzanine financing totalling $202.3 million outside the trust that is co-terminus with the trust financing. The initial refinancing required additional equity investment of $33.3 million from the borrower. A $24.7 million capital expenditure reserve was established at closing for future capital requirements at various hotels, including $14.7 million for property improvement plans at three hotels that had not recently been renovated. The sponsor had previously invested $227.5 million ($39,328 per room) in the portfolio's hotels since acquisition in 2013. The loan was transferred to special servicing in April 2020 for monetary default when the borrower had requested Coronavirus Disease (COVID-19) relief. A standstill agreement was executed in July 2020, which, among other things, deferred debt service and reserve payments through October 2020, after which regular payments would resume in addition to a moratorium reserve deposit. The borrower also settled on an agreement with its mezzanine lenders, which entailed waiving mezzanine loan payments while the payment accommodations for the senior debt were in effect. The servicer had been monitoring the loan for low cash flow until June 2022, when the loan came off the watchlist. Per the Q1 2022 financials, the portfolio reported net cash flow (NCF) of $38.6 million for the trailing 12 months (T-12) ended March 31, 2022, reflecting a debt coverage service ratio (DSCR) of 2.24 times (x). Although this NCF figure is well below the DBRS Morningstar NCF of $83.3 million derived when ratings were assigned in 2020, it is a substantial improvement from the YE2020 NCF of -$8.3 million (DSCR of -0.36x). Based on the most recent T-12 ended March 31, 2022, STR report, most of the hotels in the portfolio have exhibited increases over the previous year and have reported a RevPAR of $116, with occupancy, average daily rate, and RevPAR penetration rates of 110.8%, 106.6%, and 118.6%, respectively. The year to date ended March 31, 2022, reported a RevPAR of $126, which surpasses the issuance DBRS Morningstar RevPAR of $120. Overall, based on the portfolio's improved performance and strong sponsor, DBRS Morningstar believes the portfolio will reach pre-pandemic levels in the short to medium term. Notes: All figures are in U.S. dollars unless otherwise noted. ATLAS STATIC I: Moody's Assigns Ba3 Rating to $18MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Atlas Static Senior Loan Fund I, Ltd (the "Issuer" or "Atlas Static Fund I"). Moody's rating action is as follows: US$240,000,000 Class A Senior Secured Floating Rate Notes due 2030, Assigned Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2030, Assigned Aa1 (sf) US$22,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030, Assigned A2 (sf) US$20,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030, Assigned Baa3 (sf) US$18,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030, 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. Atlas Static Fund I is a static cash flow CLO that includes the ability to substitute up to 7.5% of the aggregate principal amount of the collateral obligations in the portfolio between the closing date and the effective date. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, senior secured bonds and unsecured loans. The portfolio is approximately 90.0% ramped as of the closing date. Crescent Capital Group LP (the "Manager") may engage in disposition of the assets on behalf of the Issuer during the life of the transaction and may substitute collateral obligations until the transaction's effective date. After the effective date, reinvestment is not permitted and all sale and unscheduled principal proceeds received will be used to amortize the notes in sequential order. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2743 Weighted Average Spread (WAS): SOFR + 3.55% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 5.0 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. ATRIUM HOTEL 2018-ATRM: DBRS Confirms B(low) Rating on Cl. F Certs ------------------------------------------------------------------ DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-ATRM issued by Atrium Hotel Portfolio Trust 2018-ATRM as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class X-NCP at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) In addition, DBRS Morningstar changed the trends on all classes to Stable from Negative to reflect the overall improved performance of the underlying collateral for the hotel portfolio loan that backs this transaction. The subject loan was previously in special servicing due to the borrower's request for relief as a result of the Coronavirus Disease (COVID-19) pandemic and a loan modification was ultimately approved in late 2020. The borrower was required to contribute $10 million to the reserve accounts as part of the modification and the 18-month repayment period for deferred amounts began in September 2021. The servicer reports the loan is current, with approximately $55.0 million held across all reserve accounts, and the borrower is in compliance with the terms of the modification. Although challenges remain in regard to the hotel sector's continued recovery from the effects of the pandemic, the provided reporting indicates steady recovery trends, with key performance indicators approaching pre-pandemic levels. The transaction is backed by a portfolio of 24 hotel properties. Since DBRS Morningstar's last surveillance action, performance has steadily improved, with the trailing 12 months (T-12) ended April 30, 2022, STR report showing a weighted average (WA) occupancy rate of 57.5%, average daily rate (ADR) of $140.39, and revenue per available room (RevPAR) of $80.72. These metrics suggest the properties are outperforming the competitive sets, which reported WA occupancy of 57.1%, ADR of $124.38, and RevPAR of $70.93; on a WA basis, the subject portfolio reported a RevPAR penetration rate of 116.5% for the period. The T-12 period ended April 30, 2022, figures compare with DBRS Morningstar's occupancy rate of 68.2%, ADR of $134.16, and RevPAR of $91.47, assumed at issuance, and the Issuer's figures of 70.8%, $133.94, and $94.86, respectively. The last month of the T-12 reporting, April 2022, showed occupancy figures in line with DBRS Morningstar's assumptions at issuance, with RevPAR for the month well above the DBRS Morningstar figure. While those figures represent a one-month snapshot, DBRS Morningstar notes they are an encouraging sign for the timeline to a return to prepandemic performance levels for the subject portfolio. The reported cash flows remain depressed, as the portfolio's year-end (YE) 2021 net cash flow (NCF) was $34.6 million, which remains over 50% below the YE2019 figure. However, it is noteworthy that the YE2021 NCF represents a marked improvement from the YE2020 NCF of $5.1 million, and the T-12 ended March 31, 2022, NCF was $44.1 million, supporting the continued improvement trends observed by DBRS Morningstar. The $635.0 million mortgage loan is secured by the fee and leasehold interests in a portfolio of 24 limited-service, extended-stay, and full-service hotels, totaling 5,734 keys across 12 different states in the United States. The sponsor for the loan is Atrium Holding Company (Atrium) a leading hotel owner and management firm with a portfolio of 83 hotels totaling 21,773 rooms across 29 states. An affiliate of the sponsor, Atrium Hospitality, is the property manager for all 24 of the collateral properties. The subject financing of $635.0 million and $112.4 million of equity from the sponsor retired approximately $672.2 million of existing debt and established upfront reserves. The floating-rate, interest-only (IO) loan had an initial two-year term with five one-year extension options. The loan requires that the borrower maintain an interest rate cap agreement for each extension period that, when added to the WA spread, would achieve a debt service coverage ratio of at least 1.10 times. The borrower has exercised its third extension option to June 1, 2023. The subject portfolio of 16 full-service hotels, four extended-stay hotels, and four limited-service hotels are all cross-collateralized and cross-defaulted and operate under franchise agreements with either Hilton Hotels & Resorts or Marriott International, except for one property that operates independently. As part of the sponsor's acquisition of the portfolio, at issuance all franchise agreements were extended beyond the fully extended loan maturity date, with expirations ranging from 2028 to 2038. Flags within the portfolio include Embassy Suites by Hilton, Courtyard by Marriott, Residence Inn by Marriott, Renaissance, Marriott, and Sheraton Hotels and Resorts. The portfolio benefits from its granularity as only one property, the Embassy Suites – Northwest Arkansas, a full-service, 400-key (7.0% of total portfolio keys) hotel in Rogers, Arkansas, represents more than 10.0% of the allocated loan amount (ALA). The largest concentration of collateral properties resides in Texas (three hotels; 948 keys; 22.3% of the ALA), with no other state having more than 20.0% of the ALA. Notes: All figures are in U.S. dollars unless otherwise noted. BAIN CAPITAL 2022-6: Fitch Assigns BB- Rating to Class E Debt ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Bain Capital Credit CLO 2022-6, Limited. Rating Actions Bain Capital Credit CLO 2022-6, Limited A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Bain Capital Credit CLO 2022-6, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Bain Capital Credit U.S. CLO Manager II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 24.4, versus a maximum covenant, in accordance with the initial expected matrix point of 25.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 75.4%, versus a minimum covenant, in accordance with the initial expected matrix point, of 74.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 38.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.2-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 our stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. 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 metrics. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBBsf' and 'AAAsf' for class A-2, between 'BBsf' and 'AAsf' for class B, between 'B-sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. Results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AAsf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. BANK 2019-BNK21: Fitch Affirms B-sf Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has affirmed the ratings of 16 classes of BANK 2019-BNK21 Commercial Mortgage Pass-Through Certificates. Rating Prior ------ ----- BANK 2019-BNK21 A-1 06540BAY5 LT PIFsf Paid In Full AAAsf A-2 06540BAZ2 LT PIFsf Paid In Full AAAsf A-3 06540BBB4 LT AAAsf Affirmed AAAsf A-4 06540BBC2 LT AAAsf Affirmed AAAsf A-5 06540BBD0 LT AAAsf Affirmed AAAsf A-S 06540BBG3 LT AAAsf Affirmed AAAsf A-SB 06540BBA6 LT AAAsf Affirmed AAAsf B 06540BBH1 LT AA-sf Affirmed AA-sf C 06540BBJ7 LT A-sf Affirmed A-sf D 06540BAJ8 LT BBBsf Affirmed BBBsf E 06540BAL3 LT BBB-sf Affirmed BBB-sf F 06540BAN9 LT BB-sf Affirmed BB-sf G 06540BAQ2 LT B-sf Affirmed B-sf X-A 06540BBE8 LT AAAsf Affirmed AAAsf X-B 06540BBF5 LT A-sf Affirmed A-sf X-D 06540BAA7 LT BBB-sf Affirmed BBB-sf X-F 06540BAC3 LT BB-sf Affirmed BB-sf X-G 06540BAE9 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance remains stable since Fitch's prior rating action, with the majority of loans affected by the pandemic continuing to stabilize. Fitch's current ratings incorporate a base case loss of 3.88%, which is in-line with issuance. Fitch identified five loans (7.6% of the pool) as Fitch Loans of Concern (FLOCs), which includes one loan in special servicing (0.8%). Performance stabilization is attributed to 11 hotel loans (14.2% of the pool), which had initially experienced pandemic-related performance declines. Most hotel loans were identified as FLOCs at Fitch's prior rating action, but have experienced performance rebounds in 2021 as impacts from the pandemic subside. Fitch Loans of Concern: The largest FLOC is the El Paseo Simi (2.1% of the pool), which is secured by a 97,000-sf retail center located in Simi Valley, CA. The second largest tenant, Cost Plus (20.6% of the NRA), vacated in 2021 ahead of their January 2023 lease expiration. Per the servicer reporting, the collateral remains about 76% occupied as of Q1 2022. Fitch has requested leasing updates and an updated rent roll from the servicer, which remain outstanding. The collateral is anchored by a Von's Market (40.5% of the NRA) who is on a lease through October 2028. The loan has remained current, but is on the servicer's watchlist due to outstanding servicer advances for taxes paid in May 2020 totaling $20,313. Fitch's analysis included a 15% stress to the YE 2021 NOI to account for the vacant space, which resulted in an 11% base case loss. The second largest FLOC is the 2621 Van Buren (2.0% of the pool) loan, which is secured by a 249,405-sf mixed-use building consisting of industrial/office space located in Norristown, PA. At issuance, the largest tenants included Comcast (26.9% of the NRA), Megger (23.1%) and Paychex North America (7.6%). Megger vacated in 2019 shortly after issuance; however, the space was quickly backfilled with James G. Biddle, Co. Paychex North America vacated their space at their June 2021 lease expiration, causing occupancy to decline to 85.2% as of YE 2021 from 92.7% at issuance. The largest tenant, Comcast, had a lease expiration in September 2021 with a lease renewal pending. Per the March 2022 rent roll, Comcast is still in occupancy, but has not extended their lease. Fitch has requested leasing updates from the servicer, which remain outstanding. Given the tenant departure and pending lease renewal from Comcast, Fitch's analysis included a 10% cap rate and a 15% stress to the YE 2021 NOI, which resulted in a 6% loss. The specially serviced loan, 4400 East Tropicana Avenue (0.8%), is secured by a 49,265-sf retail property in Las Vegas, NV. The loan had transferred to special servicing in September 2020 after its largest tenant 24-Hour Fitness (80% of the NRA) had vacated. The loan transferred to foreclosure in August 2021. Title to the asset was taken on March 2022. The property remains 20% occupied by one tenant, H&P Tire Express. Per servicer updates, the current strategy is to stabilize and sell the asset. Fitch's base case loss of 48% is based off a discount to the most recent servicer provided valuation. Minimal Change in Credit Enhancement (CE): As of the July 2021 distribution date, the pool's aggregate balance was reduced by 3.40% to $1.14 billion from $1.18 billion. One loan, NKX Multifamily Portfolio (2.7% of the original pool balance), has prepaid with yield maintenance and another loan, The Domain Tower (8.0% of the pool) has fully defeased. There are 24 loans (71.5% of the pool) that are full-term, interest only (IO); 12 loans (16.6%) that are partial interest-only; and 12 loans (11.9%) that are currently amortizing. Interest shortfalls of $346,389 are currently affecting the non-rated G and RRI class. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans; -- Downgrades to the senior classes (A-1 through A-S) are less likely due to high CE but may occur if losses increase substantially or if there is a likelihood for interest shortfalls; -- A downgrade to classes B, C, D and E would likely occur with if multiple large loans transfer to special servicing and expected losses increase significantly; -- A downgrade to classes F and G and would occur with continued transfer of loans to special servicing, or if performance of the FLOCs continue to deteriorate. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls; -- Upgrades to classes B and C would occur with large improvements in CE and/or defeasance and with the stabilization of performance of the FLOCs/Specially Serviced Assets; -- Upgrades to classes D and E would also consider these factors but would be limited based on sensitivity to concentrations or the potential for future concentrations; -- Upgrades to classes F and G are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and there is sufficient CE. BANK 2020-BNK29: DBRS Confirms B Rating on Class K Certs -------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass Through Certificates, Series 2020-BNK29 issued by BANK 2020-BNK29 as follows: -- Class A-1 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3-1 at AAA (sf) -- Class A-3-2 at AAA (sf) -- Class A-3-X1 at AAA (sf) -- Class A-3-X2 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-4-1 at AAA (sf) -- Class A-4-2 at AAA (sf) -- Class A-4-X1 at AAA (sf) -- Class A-4-X2 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class A-S-1 at AAA (sf) -- Class A-S-2 at AAA (sf) -- Class A-S-X1 at AAA (sf) -- Class A-S-X2 at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-D at A (sf) -- Class X-F at A (low) (sf) -- Class X-G at BBB (sf) -- Class X-H at BBB (low) (sf) -- Class X-J at BB (sf) -- Class X-K at B (high) (sf) -- Class D at A (high) (sf) -- Class E at A (low) (sf) -- Class F at BBB (high) (sf) -- Class G at BBB (low) (sf) -- Class H at BB (high) (sf) -- Class J at BB (low) (sf) -- Class K at B (sf) All trends are Stable. The rating confirmations reflect the transaction's overall stable performance, which remains in line with DBRS Morningstar's expectations. At issuance, the transaction consisted of 41 fixed-rate loans secured by 89 commercial and multifamily properties with an initial trust balance of $871.2 million. According to the July 2022 remittance report, all loans remain in the pool and there has been negligible amortization to date. The transaction is concentrated by property type with eight loans secured by office collateral, 13 loans secured by retail collateral, five loans secured by mixed-use collateral, and five loans secured by self-storage collateral, representing 52.0%, 21.1%, 8.6%, and 5.2% of the pool, respectively. The remaining loans are secured by industrial, co-operative housing, lodging, and mobile home collateral. According to the July 2022 remittance report, there is one loan (114 Mulberry Street; Prospectus ID#14, 2.0% of the pool) in special servicing and three loans, representing 7.0% of the pool, on the servicer's watchlist. The loan in special servicing, 114 Mulberry Street, is secured by a mixed-use property comprising 23 multifamily units and 6,993 square feet of commercial space in New York, New York. According to the Q1 2022 financial reporting, the property was 100% occupied with a debt service coverage ratio (DSCR) of 1.50 times (x). Although the loan is current and performing in line with expectations at issuance, it was transferred to the special servicer in June 2022. According to the reporting, the transfer may be tied to the borrower's bankruptcy filing; however, DBRS Morningstar reached out to the servicer for confirmation and, as of the date of this press release, a response is pending. The largest loan on the servicer's watchlist, 2100 River (Prospectus ID#11, 3.2% of the pool), is secured by an office property in Portland, Oregon. The loan is being monitored because of a minor deferred maintenance issue that was noted during the most recent property inspection. As of March 2022, the property was 100% occupied and the loan was performing well with a DSCR of 2.62x. The second-largest loan on the servicer's watchlist, Turner Towers (Prospectus ID#13, 2.8% of the pool), was shadow-rated investment grade by DBRS Morningstar at issuance. The loan is secured by a 187-unit multifamily co-operative high-rise in Brooklyn, New York, and was added to the servicer's watchlist because of a decline in the DSCR to 1.20x as of YE2021 from 5.61x at issuance. Although occupancy has remained consistent at 100%, effective gross income declined by 47.6% between YE2020 and YE2021 because of a reduction in base rental income. The contraction in rental income, likely a result of tenant abatements and rent relief, is expected to be temporary. Given the loan's low leverage (DBRS Morningstar loan-to-value (LTV) and DBRS Morningstar Balloon LTV of 17.2% and 12.9%, respectively), strong historical performance, and consistent occupancy rate, DBRS Morningstar maintained the investment-grade shadow rating on the loan with this review. In addition to Turner Towers, DBRS Morningstar shadow-rated The Grace Building (Prospectus ID#4, 8.7% of the pool) and McDonald's Global HQ (Prospectus ID#6, 5.3% of the pool) as investment grade at issuance. With this review, DBRS Morningstar confirms the performance for these loans remains in line with the investment-grade shadow ratings. Notes: All figures are in U.S. dollars unless otherwise noted. BBCMS TRUST 2018-BXH: DBRS Confirms BB(low) Rating on Cl. F Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-BXH issued by BBCMS Trust 2018-BXH as follows: -- Class A at AAA (sf) -- Class X-NCP at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) DBRS Morningstar changed the trend on Class F to Stable from Negative, reflecting the continued performance gains of the underlying collateral as further discussed below. All other trends remain Stable. At issuance, the collateral for the trust was a $257.0 million first-mortgage, floating-rate, interest-only (IO) loan with an initial two-year term with five one-year extension options, secured by the fee-simple (16) and leasehold (one) interests in a portfolio of 17 hotels comprising 2,189 guest rooms in seven states. The borrowers' interests in each property are cross collateralized and cross defaulted. The hotels operate under franchise flags affiliated with three major brands—Marriott, Hyatt, and Hilton—with franchise agreements that extend no less than five years beyond the fully extended loan term. The trust loan proceeds were used to recapitalize the portfolio, with the sponsor retaining more than $176.0 million of equity at close. The loan benefits from strong sponsorship through BREIT Operating Partnership, an affiliate of The Blackstone Group. To date, no relief or assistance has been requested as a result of the Coronavirus Disease (COVID-19) pandemic. However, the loan was added to the servicer's watchlist in July 2022 for the upcoming maturity of its second extension option in October 2022. The servicer's watchlist commentary reports that the servicer has reached out to the borrower regarding its plans for the upcoming maturity, but a response is pending. The servicer also notes that a Cash Trap Event occurred because of low debt yield; however, the borrower has executed an excess cash guaranty in lieu of a cash trap, as permitted under the loan terms. As of July 2022, the principal balance remained unchanged from the last review at $241.1 million after being reduced by approximately $15.9 million in June 2019, with that month's remittance report classifying it as a prepayment and the $15.9 million prepayment allocated proportionally to each of the collateral properties according to the allocated loan amount (ALA) at issuance. DBRS Morningstar has requested additional information regarding the circumstances surrounding the prepayment but has not received a response. According to the July 2022 reporting, the loan had a total reserve balance of $1.3 million. The average property age at issuance was 12 years, and nine of the 17 properties are within the top 25 lodging metropolitan statistical areas in the U.S., including Orlando, Atlanta, and San Jose, California. Five hotels (comprising 40.6% of the ALA) are full service, another five (23.5% of the ALA) are select service, five more (22.0% of the ALA) are limited service, and the remaining two (13.6% of the ALA) are extended stay. The properties most recently underwent renovations totaling $13.9 million ($6,350 per key) between 2015 and 2018. The sponsor plans to invest an additional $14.4 million ($6,578 per key) in improvements through 2023. Each of the 17 properties can be released from the mortgage and loan collateral at a release price of 105% of the allocated loan balance for the first 25% of the original principal balance of the loan, and at a release price of 110% for releases thereafter. Allocated principal balances for each hotel range from $21.0 million to $96.4 million. The portfolio properties have performed well historically. At issuance, on a consolidated basis, the portfolio was 81.7% occupied, with an average daily rate (ADR) and revenue per available room (RevPAR) of $146.14 and $119.42, respectively. DBRS Morningstar did not receive updated STR, Inc. reports; however, according to the servicer-reported figures for the trailing 12 months (T-12) ended March 31, 2022, the consolidated occupancy rate was 71.25% with ADR of $126.70 and RevPAR of $89.26, remaining in line with the competitive sets, which reported a consolidated occupancy rate of 68.2%, ADR of $130.04, and RevPAR of $87.69, implying a RevPAR penetration rate of approximately 102%. Performance has continued to improve when compared with the YE2021 occupancy rate of 68.9%, ADR of $117.62, and RevPAR of $80.01, though it has not yet recovered to the YE2019 occupancy, ADR, and RevPAR of 79.1%, $142.61, and $113.13, respectively. The portfolio's net cash flow (NCF) also continues to improve from the T-12 period ended March 31, 2021, when it had fallen to approximately -$2.6 million. According to the YE2021 reporting, NCF had improved to approximately $12.2 million and saw further improvement based on the T-12 period ended March 31, 2022, which reported NCF of nearly $16.0 million, though it has not yet recovered to the YE2019 NCF of $31.6 million. Notes: All figures are in U.S. dollars unless otherwise noted. BDS 2020-FL5: DBRS Hikes Class F Notes Rating to BB --------------------------------------------------- DBRS Limited upgraded its ratings on six classes of notes issued by BDS 2020-FL5 Ltd. as follows: -- Class B Notes to AA (sf) from AA (low) (sf) -- Class C Notes to A (sf) from A (low) (sf) -- Class D Notes to A (low) (sf) from BBB (high) (sf) -- Class E Notes to BBB (sf) from BBB (low) (sf) -- Class F Notes to BB (sf) from BB (low) (sf) -- Class G Notes to B (high) (sf) from B (low) (sf) In addition, DBRS Morningstar confirmed the remaining classes as follows: -- Class A Notes at AAA (sf) -- Class A-S Notes at AAA (sf) All trends are Stable. The rating upgrades reflect the increased credit support to the bonds as a result of successful loan repayments as well as the continued stable performance of the remaining collateral in the transaction. 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. At issuance, the trust consisted of 24 loans secured by transitional real estate properties with a cut-off pool balance of $492.2 million. The $57.8 million ramp-up period ended in August 2020, increasing the pool balance to $550.0 million. The trust featured a two-year reinvestment period that expired with the February 2022 Payment Date. According to the August 2022 remittance report, there are 16 mortgages secured by 17 properties remaining in the pool with a total trust balance of $374.7 million, representing a 31.9% collateral reduction. Since issuance, 25 loans have been repaid from the pool. The current composition of the transaction is concentrated by property type with eight loans secured by multifamily properties, representing 40.9% of the pool, and six loans secured by office assets, representing 44.0% of the pool balance. In comparison with October 2021, loans secured by multifamily properties represented 67.0% of the pool, and loans secured by office properties represented 22.4% of the pool. Loan repayments since October 2021 have been heavily weighted by multifamily properties (14 loans totalling $310.8 million). The loans are secured by properties concentrated in suburban markets with 11 loans, representing 75.6% of the pool in locations with DBRS Morningstar Market Ranks of 3, 4, and 5. An additional four loans, representing 22.9% of the pool, are secured by properties in urban locations with a DBRS Morningstar Market Rank of 6 and 7. In comparison with the pool composition in October 2021, loans comprising 85.0% of the pool were in suburban markets with 15.0% of the pool in urban markets. In terms of leverage, the current pool has a current weighted average (WA) appraised loan to value ratio (LTV) of 70.1% and a WA stabilized LTV ratio of 65.8%. By comparison, these figures were 72.8% and 66.9%, respectively, as of October 2021 and 75.1% and 73.9%, respectively, at closing. Through June 2022, the collateral manager had advanced $50.7 million in loan future funding to 14 individual borrowers to aid in property stabilization efforts. The largest advance, $15.1 million, was made to the borrower of the Northbridge I and II loan, which is secured by two suburban office buildings in Herndon, Virginia. The borrower's business plan is to complete a capital improvement program with upgrades to the lobbies, food service, conference rooms, fitness centers, tenant collaboration spaces, and various exterior upgrades with a subsequent lease up of the property. An additional $10.9 million of loan future funding, allocated to nine borrowers, remains outstanding. Of this amount, $4.3 million is allocated to the borrower of the Briarwood Office loan, and $1.5 million is allocated to the borrower of Morris Corporate Center I and II loan for further capital improvement and prospective leasing costs. Generally, borrowers continue to progress toward completing the stated business plans. There are no loans in special servicing, and two loans, representing 16.1% of the pool are on the servicer's watchlist with both loans flagged for an upcoming maturity in October 2022 and November 2022. Notes: All figures are in U.S. dollars unless otherwise noted. BEAR MOUNTAIN: S&P Assigns BB- (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The preliminary ratings are based on information as of Aug. 18, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Bear Mountain Park CLO Ltd./Bear Mountain Park CLO LLC Class A, $315.00 million: Not rated Class B, $60.75 million: AA (sf) Class C (deferrable), $30.75 million: A (sf) Class D (deferrable), $29.25 million: BBB- (sf) Class E (deferrable), $15.75 million: BB- (sf) Subordinated notes, $39.15 million: Not rated BENCHMARK 2019-B11: DBRS Confirms BB Rating on Class X-F Certs -------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following Commercial Mortgage Pass-Through Certificates, Series 2019-B11 issued by Benchmark 2019-B11 Commercial Mortgage Trust: -- 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-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class D at BBB (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BB (sf) -- Class F at BB (low) (sf) -- Class X-G at B (high) (sf) -- Class G at B (sf) In addition, DBRS Morningstar discontinued the rating on Class A-1 as it was fully repaid with the July 2022 remittance, following the early repayment of the Orchard Park Apartments (Prospectus ID #31) loan. DBRS Morningstar changed the trends on Classes X-F, F, X-G, and G to Stable from Negative. All other trends remain Stable. The confirmations and Stable trends reflect the updated appraisal for the specially serviced Greenleaf at Howell (Prospectus ID#15, 2.4% of the pool) loan, which suggests a lower loss amount for the loan than previously analyzed by DBRS Morningstar as part of the October 2021 surveillance review. The rating actions with this review also reflect the improving performance of five of the loans on the servicer's watchlist that are backed by hotel properties. As of the July 2022 remittance, 39 of the original 40 loans remain in the pool, resulting in a 1.7% reduction since issuance. The transaction is concentrated in loans backed by office properties, representing 43.5% of the pool, with the next-largest concentrations in hotel properties, representing 14.9% of the pool, and multifamily properties, representing 14.4% of the pool. As of the July 2022 remittance, one loan, representing 2.4% of the pool, is in special servicing. Additionally, 13 loans, representing 27.3% of the pool, are on the servicer's watchlist. Loans are on the servicer's watchlist for various reasons including low debt service coverage ratios (DSCRs), servicing trigger events, deferred maintenance, and monitoring after a return from the special servicer. The Greenleaf at Howell loan is secured by a 227,045-square-foot (sf) anchored retail center in Howell, New Jersey. At issuance, the center was 100% occupied, with the largest tenants including BJ's Wholesale Club (39.9% of net rentable area (NRA)), Xscape Theatres (25.0% of NRA), LA Fitness (16.3% of the NRA), and ClimbZone (10.7% of the NRA). Xscape Theatres, which initially closed temporarily in 2020 in response to the Coronavirus Disease (COVID-19) pandemic, permanently closed and surrendered its space in October 2020. As of the March 2022 rent roll, occupancy had declined to 74.1%, following the theater vacating. Additionally, the servicer noted that while ClimbZone remains in occupancy and operating, it was delinquent on rent payments going back to May 2020 and remains in significant arrearage. The loan transferred to the special servicer in September 2020 as a result of the pandemic, with the state of New Jersey issuing shutdown orders that directly affected Xscape Theatres and ClimbZone. The borrower has been negotiating with the special servicer and has submitted several forbearance requests, the latest of which remains under review nearly two years since the loan's initial transfer. According to the YE2021 financials, the loan reported net cash flow (NCF) of $1.0 million, below the YE2020 NCF of $3.1 million and issuance NCF of $3.6 million. The YE2021 NCF figure equates to a DSCR of 0.34 times (x), compared with the YE2020 DSCR of 1.38x and issuance DSCR of 1.48x. The loan remains in cash management since the borrower stopped making debt service payments in November 2020; however, the July 2022 loan-level reserve report did not show any reserves for this loan. The July 2022 remittance report shows the loan remains more than 121 days delinquent, and the servicer is dual tracking continued negotiation regarding a modification as well as foreclosure proceedings, and it is seeking the appointment of a receiver. The servicer reports an April 2022 appraisal value of $34.7 million, up from $30.0 million in August 2021 and the December 2020 appraisal value of $32.9 million, but it is still well below the issuance value of $66.9 million. Based on the April 2022 value, DBRS Morningstar assumed a liquidation scenario with this review, with the resulting loss severity of approximately 45% below the loss severity in excess of 50% analyzed as part of the October 2021 review. The largest loan on the servicer's watchlist, the Arbor Hotel Portfolio (Prospectus ID#6, 4.6% of the pool) loan, is secured by six limited-service hotels in major cities, including Salt Lake City; Santa Barbara, California; Minneapolis; and Arlington, Texas. The borrower has been granted an initial forbearance and a subsequent extension of the forbearance since the start of the pandemic, the most recent of which was executed in June 2021. According to the terms of the forbearance extension, the servicer approved a waiver of all furniture, fixtures, and equipment (FF&E) reserve deposits for the entirety of 2021 and authorized the borrower to apply funds already in the FF&E reserve toward the monthly debt service payments. The borrower must repay all used FF&E reserves over a 12-month period beginning January 2022. As part of the forbearance, the borrower is required to maintain a $1.4 million letter of credit on file with the servicer until all reserves have been repaid. The borrower continues to comply with the terms of the granted modifications, and the loan has reported current or less than 30-days delinquent since the start of the pandemic. As of the YE2021 financials, the servicer reported a consolidated NCF for the portfolio of $4.2 million and a DSCR of 0.84x, which remain below the issuer's initial NCF of $6.8 million and DSCR of 1.70x. However the portfolio's cash flow has improved markedly from the YE2020 NCF of approximately -$610,000 and DSCR of -0.12x. DBRS Morningstar requested updated STR reports, but the servicer reported the subservicer has not provided data for two of the hotels. For the properties that did report operating figures, performance continues to recover but remains below the portfolio's weighted-average occupancy of 79.2%, average daily rate of $140.35, and revenue per available room of $111.20 at issuance. Although the 101 California loan (Prospectus ID#4; 4.6% of the pool) is not on the servicer's watchlist, DBRS Morningstar is monitoring it for occupancy concerns after the largest tenant, Merrill Lynch (8.2% of NRA), announced in February 2022 that it would vacate the property upon its October 2022 lease expiration and relocate to 555 California Street. The loan is backed by the borrower's fee-simple interest in a 1.3 million-sf, Class A, LEED Platinum office in San Francisco. With the loss of Merrill Lynch, occupancy is likely to decline to 68.0% from its current level of 76.2%. The YE2021 NCF decreased 9.1% year over year and remains 14.6% below the issuer's NCF at issuance. The loan had a DSCR of 1.77x as of YE2021. With this review, DBRS Morningstar confirms the performance of the 3 Columbus Circle loan (Prospectus ID#1, 9.1% of pool) remains in line with the investment-grade shadow rating derived when DBRS Morningstar assigned ratings to the transaction in December 2019. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2019-B15: DBRS Confirms BB Rating on Class X-F Certs -------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-B15 issued by Benchmark 2019-B15 Mortgage Trust: -- 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 D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-F at BB (sf) -- Class F at BB (low) (sf) -- Class G-RR at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance when the transaction consisted of 32 fixed-rate loans secured by 87 commercial and multifamily properties. As of the July 2022 remittance report, all 32 of the original loans remain in the pool with a current balance of $838.8 million, representing a nominal collateral reduction of 0.9% since issuance. The transaction is concentrated by property type as eight loans, representing approximately 37.0% of the current trust balance, are secured by office collateral; mixed-use properties back the second-largest concentration of loans, with eight loans representing approximately 30.0% of the current trust balance. As of the July 2022 remittance, eight loans are on the servicer's watchlist and one loan is in special servicing, representing 30.7% and 2.3% of the pool balance, respectively. The second-largest loan on the servicer's watchlist is Kildeer Village Square (Prospectus ID#6; 5.7% of the pool), secured by a nearly 200,000 square foot anchored retail center in Kildeer, Illinois, approximately 30 miles northwest of Chicago. The loan has been on the servicer's watchlist since April 2020 when the former largest tenant, Art Van Furniture (20.4% of the net rentable area (NRA)), vacated the subject after filing for bankruptcy. The loan is structured with a cash flow sweep upon the departure of Art Van Furniture; according to the July 2022 servicer loan level reserve report, the loan reported a lockbox reserve with a balance of $106,000 in addition to leasing and replacement reserves totaling approximately $256,000. Although the space has yet to be backfilled, the borrower has submitted a lease for servicer approval, which is currently pending. According to the December 2021 rent roll, the property was 79.6% occupied with the largest tenants being Nordstrom Rack (16.6% of NRA) and Sierra Trading Post (10.8% of NRA). No other tenant represents more than 8.6% of NRA. Aside from the departure of Art Van Furniture, the loan is currently being monitored on the servicer's watchlist for a low YE2021 debt service coverage ratio (DSCR), which was reported at 0.99 times (x), compared with 1.89x at issuance. The property is relatively new and modern (built in 2017) and is an attractive development that should fare better than other spaces in the area that are also trying to backfill vacant boxes, with its superior location along a heavily traveled thoroughfare within a middle- to upper-middle-class area in Chicago's northwest suburbs. The Hilton Cincinnati Netherland Plaza (Prospectus ID#18; 2.3% of pool), secured by a 561-key full-service hotel in Cincinnati, transferred to special servicing in February 2021 for imminent monetary default as a result of disruptions from the Coronavirus Disease (COVID-19) pandemic; however, the loan has been brought current and the borrower is currently in discussions with the servicer to settle the outstanding penalty fees that remain. An updated STR, Inc. (STR) report was not provided, but the servicer reported YE2021 occupancy, average daily rate (ADR), and revenue per available room (RevPAR) of 41.6%, $144.00, and $59.95, respectively, showing improving performance when compared with the YE2020 RevPAR of $30.17, but still significantly below the pre-pandemic YE2019 RevPAR of $113.00. The property's website showed room rates of more than $230 per night for near-term bookings as of an August 2022 online search conducted by DBRS Morningstar, suggesting that demand has continued to improve since the YE2021 reporting. According to the YE2021 reporting, the loan reported a DSCR of 0.53x, which was an improvement from the YE2020 DSCR of -0.70x, but well below the issuer's DSCR of 1.62x. Based on the April 2021 appraisal, the property was valued at $86.0 million, an 18.1% decline from the issuance value of $105.0 million but above the whole-loan balance of $69.8 million. At issuance, DBRS Morningstar shadow-rated the Century Plaza Towers (Prospectus ID#3; 7.4% of the pool), The Essex (Prospectus ID#14; 2.9% of pool), and Osborn Triangle (Prospectus ID#16; 2.4% of pool) loans as investment-grade. As performance metrics for each of the three loans remain in line with expectations, DBRS Morningstar maintained the shadow rating on all three loans with this review. Notes: All figures are in U.S. dollars unless otherwise noted. BLACKROCK DLF 2022-1: DBRS Gives Prov. B Rating on Class W Notes ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Notes (together, the Secured Notes) of BlackRock DLF X CLO 2022-1, LLC, pursuant to the Note Purchase and Security Agreement (the NPSA) dated as of August 5, 2022, among BlackRock DLF X CLO 2022-1, LLC, as the Issuer; Wilmington Trust National Association, as Collateral Agent, 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 AA (high) (sf) -- Class B Notes at A (low) (sf) -- Class C Notes at BBB (low) (sf) -- Class D Notes at BB (sf) -- Class W Notes at B (sf) The provisional ratings on the Class A-1 Notes and the Class A-2 Notes address the timely payment of interest (excluding the additional interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of August 5, 2034. The provisional ratings on the Class B Notes, the Class C Notes, the Class D Notes, and the Class 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 August 5, 2034. The Class W Notes will 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. Each of the Secured Notes will have a fixed-rate coupon, while the underlying collateral assets are expected to be mostly floating rate. DBRS Morningstar has incorporated the fixed- and floating-rate mismatch into its quantitative analysis, including running interest rate stresses in accordance with its "Cash Flow Assumptions for Corporate Credit Securitizations" methodology. Since a wide disparity exists in the results derived from different interest rate scenarios, DBRS Morningstar ignored the higher interest rate stresses in its analysis in accordance with such methodology. As of the Closing Date, DBRS Morningstar's ratings on the Secured Notes will be provisional. The provisional ratings reflect the fact that the finalization of the provisional ratings are subject to certain conditions after the Closing Date, such as compliance with the Eligibility Criteria (as defined in the NPSA). Provisional ratings are not final ratings with respect to the above-mentioned Secured Notes and may be different than the final ratings assigned or may be discontinued. The assignment of final ratings on the Secured Notes is subject to DBRS Morningstar receiving all data and/or information and final documentation that it deems necessary to finalize the ratings. The Secured Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer will be managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA an acceptable collateralized loan obligation (CLO) manager. The provisional ratings reflect the following primary considerations: (1) The NPSA, dated as of August 5, 2034. (2) The integrity of the transaction's structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand DBRS Morningstar's projected collateral loss rates under various cash flow-stress scenarios. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio that is not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to a facility. Notes: The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. BX COMMERCIAL 2020-VKNG: DBRS Confirms B Rating on Class G Certs ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2020-VKNG issued by BX Commercial Mortgage Trust 2020-VKNG (the Trust) as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) -- Class HRR at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The loan is secured by a portfolio of industrial and logistics properties totalling approximately 8.2 million square feet across six states—Minnesota, Colorado, California, New Jersey, Georgia, and New York. The issuance whole loan of $645.0 million consisted of $600.0 million of senior debt held in the Trust and $45.0 million of mezzanine debt held outside of the Trust. The interest-only loan includes an initial two-year term maturing in October 2022, with three one-year extension options. According to the servicer's response, the borrower has indicated that it is planning to exercise its extension option; however, no formal notice has been provided yet. In total, 20 properties have been released to date, reducing the transaction balance by 25.5% since issuance, with the July 2022 remittance report reflecting a trust balance of $447.0 million. The loan has a partial pro rata/sequential-pay structure, which allows for pro rata paydowns for the initial 30.0% of the unpaid principal balance. The loan also has release provisions where the prepayment premium to release individual assets is 105.0% of the allocated loan balance until the outstanding principal balance has been reduced to $420.0 million, at which point, the release premium will increase to 110.0%. The sponsors, Blackstone Real Estate Partners IX and certain co-investment and managed vehicles under common control, purchased the property through several transactions from October 2019 to March 2020. The portfolio reported a trailing 12-month ended March 31, 2022 (T-12 March 2022), occupancy rate of 93.1%, compared with year-end (YE) 2021, YE2020, and issuance occupancy rates of 92.1%, 90.5%, and 90.0%, respectively. Accounting for the released properties, the updated DBRS Morningstar net cash flow (NCF) was $33.8 million. According to the T-12 March 2022 financials, the loan reported NCF of $37.3 million, well above the updated DBRS Morningstar NCF. The T-12 March 2022 consolidated portfolio debt service coverage ratio (DSCR) was reported at 3.14 times (x), compared with DBRS Morningstar DSCR of 3.23x at issuance. The stable performance of the collateral since issuance coupled with the minimal variances when accounting for the released properties support the rating confirmations. Notes: All figures are in U.S. dollars unless otherwise noted. BX TRUST 2022-PSB: Fitch Assigns Final B-sf Rating on HRR Certs --------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to BX Trust 2022-PSB, commercial mortgage pass-through certificates, series 2022-PSB. Fitch assigns final ratings and Rating Outlooks as follows: -- $1,397,000,000 class A 'AAAsf'; 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; -- $136,720,000 class HRR 'B-sf'; Outlook Stable (a). Fitch has withdrawn the expected rating for classes X-CP and X-NCP because these classes were removed from the final deal structure. The classes above reflect the final ratings and deal structure. (a) 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 have an appraised value of $4.3 billion, as well as 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. Fitch has withdrawn the expected rating for classes X-CP and X-NCP because these classes were removed from the final deal structure. The classes above reflect the final ratings and deal structure. 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, which has approximately $320 billion of investor capital under management, is one of the most active real estate investors globally. Blackstone's portfolio consists of properties located throughout the world with a mix of property types, including a large concentration of industrial space. 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 concentration of space with office finishes 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'/'BB-sf'/'Bsf'/'B-sf'; -- 10% NCF Decline: 'AAsf'/Asf'/'BBBsf'/'BBsf'/'Bsf'/'CCCsf'/ 'CCCsf'; -- 20% NCF Decline: 'A-sf'/'BBB-sf'/'BBsf'/'B+sf'/'CCCsf'/ 'CCCsf'/'CCCsf'; -- 30% NCF Decline: 'BBB-sf'/'BBsf'/'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 table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; -- 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/ 'BBB-sf'/'BB+sf'/'BBsf'. CARVANA AUTO 2022-P3: S&P Assigns Prelim BB- Rating on Cl. N Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Carvana Auto Receivables Trust 2022-P3's asset-backed notes. The note issuance is an ABS transaction backed by prime auto loan receivables. The preliminary ratings are based on information as of Aug. 25, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 14.64%, 11.91%, 9.19%, 7.10%, and 5.665% credit support for the class A (class A-1, A-2, A-3, and A-4), B, C, D, and N notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 5.00x, 4.00x, 3.00x, 2.00x, and 1.43x coverage of our expected net loss range of 2.50%-3.00% for the class A, B, C, D, and N notes, respectively. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (2.00x S&P's expected loss level), all else being equal, its ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- The collateral characteristics of the prime pool being securitized, including a weighted average nonzero FICO score of approximately 704 and a minimum nonzero FICO score of 571. -- The loss performance of Carvana LLC's origination static pools and managed portfolio, its deal-level collateral characteristics, and a comparison with its prime auto finance company peers. -- The transaction's credit enhancement in the form of subordinated notes; a nonamortizing reserve account; overcollateralization, which builds to a target level of 1.35% of the initial receivables balance; and excess spread. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. -- The transaction's payment and legal structures. Preliminary Ratings(i) Assigned Carvana Auto Receivables Trust 2022-P3 Class A-1, $41.00 million(ii): A-1+ (sf) Class A-2, $125.38 million(ii): AAA (sf) Class A-3, $125.38 million(ii): AAA (sf) Class A-4, $38.93 million(ii): AAA (sf) Class B, $11.28 million(ii): AA (sf) Class C, $11.29 million(ii): A (sf) Class D, $10.74 million(ii): BBB (sf) Class N(iii), $3.32 million(ii): BB- (sf) (i)The transaction will issue class XS notes, which are unrated and may be retained or sold in one or more private placements. (ii)The actual size of these tranches will be determined on the pricing date. (iii)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. CHNGE MORTGAGE 2022-NQM1: DBRS Gives Prov. B Rating on B-2 Certs ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2022-NQM1 to be issued by CHNGE Mortgage Trust 2022-NQM1 (CHNGE 2022-NQM1): -- $160.4 million Class A-1 at AAA (sf) -- $27.6 million Class A-2 at AA (high) (sf) -- $31.2 million Class A-3 at A (high) (sf) -- $19.3 million Class M-1 at BBB (high) (sf) -- $15.6 million Class B-1 at BB (high) (sf) -- $12.5 million Class B-2 at B (high) (sf) The AAA (sf) rating on the Class A-1 certificates reflects 43.40% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (high) (sf), BBB (high) (sf), BB (high) (sf), and B (high) (sf) ratings reflect 33.65%, 22.65%, 15.85%, 10.35%, and 5.95% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of fixed- and adjustable-rate prime, expanded prime, and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 375 mortgage loans with a total principal balance of $283,304,772 as of the Cut-Off Date (August 1, 2022). CHNGE 2022-NQM1 represents the fourth securitization issued by the Sponsor, Change Lending, LLC (Change). The first three CHNGE securitizations were issued from the Sponsor's core shelf and comprised loans originated through two programs that do not require income documentation verification (Community Mortgage and E-Z Prime). In contrast, CHNGE 2022-NQM1 predominantly consists of loans originated through programs that may document and qualify borrower income using approaches commonly seen in non-Qualified Mortgage securitizations, such as bank statements, property-level debt service coverage ratios (DSCR), or borrower assets only. All of the loans in the pool were originated by Change, which is certified by the U.S. Department of the Treasury as a Community Development Financial Institution (CDFI). As a CDFI, Change is required to lend at least 60% of its production to certain target markets, which include low-income borrowers or other underserved communities. The loans in the pool were originated under the following Change programs: Alt-Doc, CHM Investor, Prime Plus, and Foreign National. While loans originated by a CDFI are not required to comply with the Consumer Financial Protection Bureau's Qualified Mortgage and Ability-to-Repay (ATR) rules, the mortgages included in this pool were made to generally creditworthy borrowers with near-prime credit scores, robust reserves, and documentation types similar to those prevalent in non-Qualified Mortgage transactions in the market. Change serves as the Servicer for the transaction, and LoanCare, LLC (91.4%) and NewRez LLC doing business as Shellpoint Mortgage Servicing (8.6%) are the Subservicers. Nationstar Mortgage LLC will act as the Master Servicer, and Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as Securities Administrator. Change, as Servicer, 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. The 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. Under the U.S. Risk Retention Rules, CDFI loans fall within the definition of "community-focused residential mortgages." A securitization transaction containing only community-focused residential mortgages is exempt under the U.S. Risk Retention Rules and, accordingly, the Sponsor will not be required to retain any credit risk under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Notwithstanding the exemption, Change has elected to initially retain the Class B-3, XS, and A-IO-S Certificates. 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 7.5% of the total principal balance as of the Cut-Off Date. 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 (Optional Redemption). 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 Class A-1 and then A-2 before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full. Excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to B-2. Of note, interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay the Cap Carryover Amounts. In addition, the Class A-1, A-2, A-3, M-1, B-1, and B-2 coupons step up by 1.00% after the payment date in August 2026. Coronavirus Pandemic Impact The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. 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. CHNGE MORTGAGE 2022-NQM1: S&P Assigns B (sf) Rating B-2 Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to CHNGE Mortgage Trust 2022-NQM1's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate fully amortizing residential mortgage loans, including mortgage loans with initial IO periods, that are secured primarily by single-family residential properties, planned-unit developments, condominiums and two- to four-family homes to prime and nonprime borrowers. The pool has 375 loans, 100% of which are CDFI loans and exempt from the ability-to-repay rule. As a CDFI, the originator, Change Lending, is not required to consider the eight underwriting factors required under the ATR rule, which includes, among others, current or reasonably expected income or assets and monthly payments on the covered transaction and other liabilities. All of the consumer loans (62.5% by pool balance) were underwritten to programs that consider the borrower's income and/or assets and liabilities. S&P said, "We reviewed the underwriting guidelines of Change Lending, confirmed that the income verification data provided for these loans was validated by third-party due diligence firms, and analyzed the loan-level characteristics. Based on our analysis, we believe that credit risk has been appropriately captured for these loans." Change Lending has other consumer loan programs, such as its Community Mortgage program, that do not explicitly consider borrower income, but those loans are not included in this transaction. The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and R&W framework; -- The mortgage originator, Change Lending LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings Assigned CHNGE Mortgage Trust 2022-NQM1(i) Class A-1, $160,350,000: AAA (sf) Class A-2, $27,622,000: AA (sf) Class A-3, $31,164,000: A (sf) Class M-1, $19,264,000: BBB (sf) Class B-1, $15,582,000: BB (sf) Class B-2, $12,466,000: B (sf) Class B-3. $16,856,771: Not rated Class A-IO-S, Notional(ii): Not rated Class XS, Notional(ii): Not rated Class R, N/A: Not rated (i) The notional amount equals the loans' aggregate stated principal balance. (ii)The notional amount equals the loans' aggregate stated principal balance. N/A--Not applicable. CITIGROUP 2016-P5: Fitch Affirms BB-sf Rating on Class E Debt ------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Citigroup Commercial Mortgage Trust 2016-P5. The Rating Outlook on class E remains Negative. Rating Prior ------ ----- CGCMT 2016-P5 A-3 17325DAC7 LT AAAsf Affirmed AAAsf A-4 17325DAD5 LT AAAsf Affirmed AAAsf A-AB 17325DAE3 LT AAAsf Affirmed AAAsf A-S 17325DAF0 LT AAAsf Affirmed AAAsf B 17325DAG8 LT AA-sf Affirmed AA-sf C 17325DAH6 LT A-sf Affirmed A-sf D 17325DAL7 LT BBB-sf Affirmed BBB-sf E 17325DAN3 LT BB-sf Affirmed BB-sf X-A 17325DAJ2 LT AAAsf Affirmed AAAsf X-B 17325DAK9 LT AA-sf Affirmed AA-sf X-D 17325DAU7 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Overall performance and loss expectations for the pool have remained relatively stable since Fitch's prior rating. Fitch's current ratings incorporate a base case loss of 5.3%. The Negative Outlook on class E, which was previously assigned for additional coronavirus-related stresses applied to the pool, reflects the underperformance and sustained pandemic declines for the larger Fitch Loans of Concern (FLOCs), including increased vacancy and/or lease rollover risks for 332 South Michigan (4.0%) and 11 East Broadway (2.5%). Nine loans (33.5%) have been flagged as FLOCs for high vacancy, low NOI debt service coverage ratio (DSCR) and/or pandemic-related underperformance. As of the July 2022 reporting period, there are no specially serviced loans. The largest contributor to overall loss expectations is 332 South Michigan (FLOC, 4.0% of the pool), which is secured by an urban office property located in the East Loop submarket of Chicago, IL. Occupancy has gradually declined since issuance, falling to 72% as of March 2022 from 83%, due to a number of smaller tenants vacating the property. Additionally, WeWork (NRA 15.3%) will break its lease ahead of its November 2030 lease expiration, bringing total occupancy further down to 57%. WeWork will pay a termination fee of $1.5 million to cover costs to re-tenant the space. The borrower has been offering rent concessions in order to maintain occupancy. While expenses have remained flat, due to the increase vacancy and rent concessions subject 2020 EGI has fallen $1.4 million compared with the issuers underwritten EGI. As a result, the YE 2020 NOI is approximately 40% below the issuers underwritten NOI, with NOI DSCR falling to 0.97x as of YTD September 2021 from 1.12x at YE 2020, 1.65x at YE 2019, and 1.87x at issuance. The loan has remained current since issuance. Fitch's expected loss of 20.5% assumes an 11.0% cap rate and a 5% haircut on YE 2020 NOI. The second largest contributor to loss expectations in the pool is 11 East Broadway (FLOC, 2.5%), which is secured by a single tenant, retail/office property located in the Manhattan district of Chinatown. The loan transferred to special servicing in April 2021 for payment default following the subject's sole tenant HSBC Bank (100% of the NRA) cessation of rent payments and vacating ahead of its August 2024 lease expiration. The loan returned to master servicing in December 2021 following the execution of a modification. As of August 2022, the property remains completely vacant. Fitch's expected loss of 24.7% assumes a 9% cap rate and a 20% haircut on TTM September 2020 NOI to reflect HBSC's departure. Minimal Change to Credit Enhancement: As of the July 2022 distribution date, the pool's aggregate principal balance has paid down by 16.1% to $769.8 million from $917.4 million at issuance. Since Fitch's prior rating action in 2021, three loans comprising $82.3 million in outstanding principal balance disposed. The specially serviced loan Norwood House was disposed as part of an October 2021 note sale, resulting in a minor loss of $50. The remaining pool is scheduled to mature in 2025 and 2026. Three loans comprising 2.5% of outstanding pool balance have been fully defeased. Of the remaining pool balance, 10 loans comprising 37.3% of the pool are full interest-only through the term of the loan. The non-rated class G has approximately $1.49 million in cumulative losses primarily due to non-recoverable servicer advances for the Crocker Park Phase One & Two loan (5.1%). ADDITIONAL CONSIDERATIONS Under Collateralization: The transaction is undercollateralized by approximately $503,000 due to a WODRA on the Crocker Park Phase One & Two loan, which was reflected in the July 2022 remittance report. Investment-Grade Credit Opinion Loans: At issuance Fitch gave Easton Town Center (5.9%) and Vertex Pharmaceuticals (4.9%) investment-grade credit opinions of 'A+sf' and 'BBB-sf', respectively, on a standalone basis. The Easton Town Center loan has seen performance declines, and Fitch no longer considers it to have an investment-grade credit opinion. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or an increase in specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure and level of CE, but may occur should interest shortfalls occur or should losses increase significantly. Downgrades to the 'A-sf' and/or 'BBB-sf' category may occur if overall pool losses increase significantly or if one or more large FLOCs have an outsized loss which would erode credit enhancement. Downgrades to the 'BB-sf' category would occur with greater certainty of loss, continued performance declines of the FLOCS and/or additional loans default or transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance, and with the stabilization of performance amongst the FLOCs. Upgrades to the 'BBB-sf' category would also consider these factors but would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to the 'BB-sf' category are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the class. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. CITIGROUP 2020-EXP2: S&P Affirms B+ (sf) Rating on Cl. B-5 Loans ---------------------------------------------------------------- S&P Global Ratings completed its review of 82 classes from three U.S. RMBS transactions issued in 2019 and 2020. The review yielded seven upgrades and 75 affirmations. S&P said, "For each transaction, we performed credit analysis using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. In addition, we used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior-credit-event adjustment factors were based on the transactions' current pool composition." The upgrades primarily reflect deleveraging, as each respective transaction benefits from low or zero accumulated losses to date, high prepayment speeds, and a growing percentage of credit support to the rated classes. In addition, delinquency levels have generally been declining in the reviewed transactions, in part due to borrowers exiting COVID-19 payment-related assistance plans via deferrals, forbearance, and/or loan modifications. The affirmations reflect S&P's view that the projected collateral performance relative to its projected credit support on these classes remains relatively consistent with our prior projections. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of our criteria. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance or delinquency trends; -- Priority of principal payments; -- Priority of loss allocation; -- Available subordination and/or credit enhancement floors; and -- Large balance loan exposure/tail risk. Ratings List RATING ISSUER NAME SERIES CLASS CUSIP TO FROM Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1 17328PAA1 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-2 17328PAH6 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4 17328PAX1 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-1 17328PBM4 AA (sf) AA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-2 17328PBS1 A+ (sf) A+ (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-3 17328PBX0 BBB (sf) BBB (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-4 17328PCC5 BB (sf) BB (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-5 17328PCD3 B+ (sf) B+ (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1-IO1 17328PAB9 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1-IO2 17328PAC7 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1-IOX 17328PAD5 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1A 17328PAE3 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1-IOW 17328PAF0 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-1W 17328PAG8 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-2-IO1 17328PAJ2 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP 2020-EXP2 A-2-IO2 17328PAK9 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-2-IOX 17328PAL7 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-2A 17328PAM5 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-2-IOW 17328PAN3 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-2W 17328PAP8 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3 17328PAQ6 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3-IO1 17328PAR4 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3-IO2 17328PAS2 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3-IOX 17328PAT0 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3A 17328PAU7 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3-IOW 17328PAV5 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-3W 17328PAW3 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4-IO1 17328PAY9 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4-IO2 17328PAZ6 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4-IOX 17328PBA0 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4A 17328PBB8 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4-IOW 17328PBC6 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-4W 17328PBD4 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5 17328PBE2 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5-IO1 17328PBF9 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5-IO2 17328PBG7 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5-IOX 17328PBH5 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5A 17328PBJ1 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5-IOW 17328PBK8 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 A-5W 17328PBL6 AAA (sf) AAA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-1-IO 17328PBN2 AA (sf) AA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-1-IOX 17328PBP7 AA (sf) AA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-1-IOW 17328PBQ5 AA (sf) AA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-1W 17328PBR3 AA (sf) AA (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-2-IO 17328PBT9 A+ (sf) A+ (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-2-IOX 17328PBU6 A+ (sf) A+ (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-2-IOW 17328PBV4 A+ (sf) A+ (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-2W 17328PBW2 A+ (sf) A+ (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-3-IO 17328PBY8 BBB (sf) BBB (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-3-IOX 17328PBZ5 BBB (sf) BBB (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-3-IOW 17328PCA9 BBB (sf) BBB (sf) Citigroup Mortgage Loan Trust 2020-EXP2 2020-EXP2 B-3W 17328PCB7 BBB (sf) BBB (sf) Oceanview Mortgage Loan Trust 2020-1 2020-1 1A 676477AA0 AAA (sf) AAA (sf) Oceanview Mortgage Loan Trust 2020-1 2020-1 A1B 676477AB8 AAA (sf) AAA (sf) Oceanview Mortgage Loan Trust 2020-1 2020-1 A2 676477AC6 AA+ (sf) AA (sf) PRIMARY RATING DRIVER : Increased credit support. Oceanview Mortgage Loan Trust 2020-1 2020-1 A3 676477AD4 A+ (sf) A (sf) PRIMARY RATING DRIVER : Increased credit support. Oceanview Mortgage Loan Trust 2020-1 2020-1 M1 676477AE2 BBB+ (sf) BBB (sf) PRIMARY RATING DRIVER : Increased credit support. Oceanview Mortgage Loan Trust 2020-1 2020-1 B1 676477AF9 BB (sf) BB (sf) Oceanview Mortgage Loan Trust 2020-1 2020-1 B2 676477AG7 B (sf) B (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-16 95001TAR6 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-18 95001TAT2 AA+ (sf) AA+ (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 B-1 95001TBH7 AA (sf) AA- (sf) PRIMARY RATING DRIVER : Increased credit support. Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 B-2 95001TBJ3 A+ (sf) A- (sf) PRIMARY RATING DRIVER : Increased credit support. Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 B-3 95001TBK0 BBB+ (sf) BBB- (sf) PRIMARY RATING DRIVER : Increased credit support. Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 B-4 95001TBL8 BBB- (sf) BB- (sf) PRIMARY RATING DRIVER : Increased credit support. Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-1 95001TAA3 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-2 95001TAB1 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-5 95001TAE5 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-6 95001TAF2 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-9 95001TAJ4 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-10 95001TAK1 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-15 95001TAQ8 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO2 95001TAX3 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO4 95001TAZ8 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO6 95001TBB0 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO9 95001TBE4 AAA (sf) AAA (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-17 95001TAS4 AA+ (sf) AA+ (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-19 95001TAU9 AA+ (sf) AA+ (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-20 95001TAV7 AA+ (sf) AA+ (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO1 95001TAW5 AA+ (sf) AA+ (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO10 95001TBF1 AA+ (sf) AA+ (sf) Wells Fargo Mortgage Backed Securities 2019-1 Trust 2019-1 A-IO11 95001TBG9 AA+ (sf) AA+ (sf) CLNY TRUST 2019-IKPR: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2019-IKPR issued by CLNY Trust 2019-IKPR as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at A (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) -- Class G at CCC (sf) In addition, DBRS Morningstar changed the trends on Classes E and F to Stable from Negative. All remaining classes have Stable trends with the exception of Class G, which has a rating that does not typically carry a trend for Commercial Mortgage Backed Securities (CMBS) ratings. DBRS Morningstar also maintained the Interest in Arrears designation on Class G. The rating confirmations and trend changes reflect the underlying collateral's general improvement in performance as it continues to recover from the effects of the Coronavirus Disease (COVID-19) pandemic. When DBRS Morningstar ratings were assigned in September 2020 and at the time of the surveillance review in September 2021, DBRS Morningstar considered a stressed scenario that estimated a value decline for the subject hotel portfolio as a result of the ongoing COVID-19 pandemic. When ratings were assigned, the subject loan was delinquent and the transfer of Colony's interest in the subject hotel portfolio had not yet occurred, but by the 2021 surveillance review date, the defaults had been resolved, the collateral had been transferred and the loan was reporting financials that showed some improvement over the YE2020 figures. As such, DBRS Morningstar removed the Under Review With Negative Implications designation previously placed on Classes B, C, D, E, F and G in September 2021. For this review, DBRS Morningstar determined the ongoing risks as a result of the COVID-19 pandemic have materially declined. As such, the ratings rationale behind the rating confirmations and Stable trends is primarily based on the surveillance trends as further described below, as well as the results implied by the LTV Sizing Benchmarks when considering the DBRS Morningstar value of $812.1 million for the collateral hotel portfolio. The transaction is secured by a portfolio of 46 extended-stay, limited-service, and full-service hotels in 16 states across the U.S. with a total of 5,948 guest rooms. The properties are conjoined by cross-defaulted and cross-collateralized mortgages, deeds of trust, indenture deeds of trust, or similar instruments applicable in each jurisdiction, plus liens on the furniture, fixtures, equipment, and leases used in the hotels' operations. The portfolio consists of three full-service hotels (6.5% of total rooms), seven select-service hotels (15.2% of total rooms), and 36 extended-stay hotels (78.3% of total rooms). No single hotel represents more than 3.8% of total rooms. The hotels operate under the Marriott, Hyatt, and Hilton brands, in addition to eight different sub-brands. Four states have properties with total allocated loan amounts in excess of 10% of the mortgage loan balance (California: 22.1%; New Jersey: 14.5%; Washington: 11.1%; and Florida: 10.1%). In March 2021, Colony Capital (Colony), which previously served as the loan's sponsor, closed the sale of six of its hospitality portfolios, consisting of 22,676 rooms, to Highgate and an affiliate of Cerberus Capital Management, L.P. (Cerberus), a transaction that included its interest in the collateral portfolio. The sale concluded Colony's previously announced exit from the hospitality business. DBRS Morningstar has noted that the collateral portfolio sale was a neutral to positive development for the subject transaction, particularly given Colony's interest in leaving the hospitality industry altogether. Highgate is an experienced owner and operator of lodging properties with a portfolio of 87,500 hotel rooms across the U.S., Europe, and Latin America. Founded in 1992, Cerberus is a leader in alternative investing with approximately $60 billion in assets across credit, private equity, and real estate platforms. The subject loan was in special servicing between July 2020 and August 2020 after becoming delinquent. The loan was subsequently brought current through the use of reserve funds, and, according to the July 2022 remittance report, the loan remains current. In addition, no property releases have been reported. The loan was scheduled to mature in November 2022; however, the servicer has confirmed that the borrower will exercise its second extension option, pushing the maturity date to November 2023. Consolidated occupancy across the portfolio saw a 12.4% improvement between YE2020 (51.9%) and YE2021 (64.3%). Likewise, the net cash flow (NCF) of $39.2 million in 2021 was 53.7% higher than the previous year, although it was 50.7% lower than the NCF at issuance. Additionally, the NCF figure of $42.7 million for the trailing 12 months (T-12) ended March 31, 2022, indicates continued improvement in performance. According to the financial reporting for the T-12 period ended March 31, 2022, the loan had a debt service coverage ratio of 2.0 times (x), an increase from 1.8x at YE2021 and 0.6x at YE2020. Although the portfolio's current vacancy rate suggests an increased risk for the underlying loan and corresponding certificates, DBRS Morningstar's ratings are reflective of a stressed cash flow and a variance of -24.9% in property value from the appraised value at issuance. Furthermore, the current ratings also factor in the portfolio's relatively high vacancy rates of 26.7% and 23.3% prior to the pandemic and at issuance, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. COMM 2013-CCRE12: Fitch Cuts Rating on 2 Tranches to CCCsf ---------------------------------------------------------- Fitch Ratings has removed seven classes from Rating Watch Negative, downgraded six classes and affirmed six classes of Deutsche Bank Securities, Inc.'s COMM 2013-CCRE12 commercial mortgage pass-through certificates. RATING ACTIONS ENTITY/DEBT RATING PRIOR ----------- ------ ----- COMM 2013-CCRE12 A-3 12591KAD7 LT AAAsf Affirmed AAAsf A-4 12591KAE5 LT AAAsf Affirmed AAAsf A-M 12591KAG0 LT Asf Downgrade AAAsf A-SB 12591KAC9 LT AAAsf Affirmed AAAsf B 12591KAH8 LT Bsf Downgrade Asf C 12591KAK1 LT CCCsf Downgrade BBBsf D 12624SAE9 LT Csf Affirmed Csf E 12624SAG4 LT Csf Affirmed Csf F 12624SAJ8 LT Csf Affirmed Csf PEZ 12591KAJ4 LT CCCsf Downgrade BBBsf X-A 12591KAF2 LT Asf Downgrade AAAsf X-B 12624SAA7 LT Bsf Downgrade Asf Classes X-A and X-B are interest only. Class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-M, B and C certificates. KEY RATING DRIVERS Increased Loss Expectations: Overall loss expectations on the pool have risen since Fitch's prior rating, primarily due to higher losses on the specially serviced loans. Fitch has designated 12 loans (34.4% of pool) as Fitch Loans of Concern (FLOCs), including five specially serviced loans (24.1%). Fitch's current ratings incorporate a base case loss of 17.9%. The downgrades to classes A-M, B, C, X-A, X-B and PEZ reflect both the higher loss expectations and greater certainty of losses for the existing specially serviced loans, including 175 West Jackson (15.1% of the pool), as well as a recent new transfer to special servicing, 216 West Jackson (1.6%), and larger FLOCs, including the regional mall FLOC, Oglethorpe Mall (6.1%), which have all experienced continued performance deterioration and face increasing refinance concerns. These classes were placed on Negative Watch at Fitch's prior rating action in March 2022, indicating the potential for downgrades of one category or more due to significantly higher loss expectations on the 175 West Jackson loan as a result of a lower reported valuation. The Negative Outlooks on classes A-M, B, X-A and X-B reflect the potential for further downgrades should the FLOCs fail to stabilize, additional loans transfer to special servicing, loss expectations increase and/or realized losses are greater than anticipated. The affirmations and Stable Outlooks to classes A-3, A-4 and A-SB reflect the significant defeased collateral at 25.4% of the pool, and the anticipation that the classes will be paid off by expected loan maturities in 2023. Specially Serviced Loans: The largest specially serviced loan and largest contributor to modeled loss is 175 West Jackson (15.1% of the pool), secured by a 22-story 1.45 million-sf office building located in downtown Chicago, IL. The property was built in 1912 and last renovated in 2020. The loan returned to special servicing in November 2021 due to the sponsor's substantial difficulty remaining current on the loan. Occupancy remains challenged with reported occupancy of 65% as of YE 2021, 63% at YE 2020, 67% at YE 2019 and 61% at YE 2018. The servicer-reported NOI debt service coverage ratio (DSCR) was 0.52x as of YE 2021, which is down from the 0.68x reported for YE 2020. The loan was previously in special servicing in 2018 when Brookfield Property Group purchased the property and assumed the loan. The loan returned to master servicing in August 2018 with the expectation that new sponsorship and fresh capital would accelerate improvement. However, leasing activity has remained persistently sluggish since acquisition and has been exacerbated by the pandemic. The sponsor and special servicer continue workout discussions, but a deed-in-lieu is considered a probable outcome. Loss expectations have increased significantly and become more likely over the last several months; a recent valuation of the property, which was reported by the special servicer in March 2022, indicated a value well below the outstanding debt amount. Fitch's expected loss of approximately 42% is based off a discount to the most recent servicer provided appraised value, and represents a stressed value of approximately $110/sf. The second largest specially serviced loan and second largest contributor to modeled loss is the real-estate owned (REO) Harbourside North (3.9% of the pool). The property consists of a leasehold interest in a 121,983-sf five-story office property located in the Georgetown submarket of Washington, D.C. The property is 74% occupied, but faces significant near-term rollover risk with the largest tenant, Katten Muchin Rosenman (59.1% NRA; lease expiring in March 2023). The loan transferred to the special servicer in July 2018 due to payment default, and the special servicer moved forward with foreclosure and the property became REO around April 2019. Fitch assigned no recovery on this loan in its analysis. The other specially serviced assets are The MAve Hotel (2.1% of the pool), 216 West Jackson (1.6%) and The Crossings (1.4%). The MAve Hotel secured by a 72-key hotel transferred to special servicing in 2021 and is in foreclosure. The 72-key hotel located in the Flatiron District of Manhattan is currently closed. The 216 West Jackson loan recently transferred to special servicing in July 2022 for imminent default. Occupancy at the office property located in Chicago's Loop district has declined to 62% and the office property is expected to face additional vacancies. The Crossings, secured by a retail property located in Elkview, WV, transferred to special servicing in 2016 after property operations were affected by the collapse of the main bridge accessing the property after severe storms and flooding. The loan remains delinquent and there is ongoing litigation with the borrower. High Retail / Regional Mall Exposure: Approximately 33.6% of the remaining loans are backed by retail assets, including two of the four largest loans in the pool. The largest is Miracle Mile Shops (15.1% of the pool), which is secured by a 448,835-sf regional mall located along Las Vegas Boulevard at the base of the Planet Hollywood Resort & Casino in Las Vegas, NV. The servicer reported occupancy as of March 2022 was 94%, down slightly from pre-pandemic occupancy of approximately 97%. Servicer reported NOI DSCR was 1.66x as of YE 2021. The loan is scheduled to mature in September 2023. Performance is considered stable, and the loan is not considered a FLOC. The fourth largest loan and third largest contributor to losses, Oglethorpe Mall (6.1%), is secured by a 626,966-sf portion of a 942,726-sf regional mall located in Savannah, GA. The property is anchored by JCPenney (13.7% of NRA; lease expiration July 2022 but remains open), Macy's (21.5%; through February 2023), Belk (non-collateral) and a dark former Sears (non-collateral). Other large tenants include Barnes & Noble (4.3%; recently renewed to 2027), H&M (3.2%; through January 2028) and DSW (2.7%; through January 2027). The servicer reported 2021 NOI DSCR was 1.44x, compared with 1.47x at YE 2020 and 1.77x at YE 2019. As of March 2022, the collateral was 89% occupied compared with 94% at YE 2021, 91.4% at YE 2020 and 96% at YE 2019. Sears, which is owned by Seritage Growth Properties, closed its store in November 2018. According to a recent news article, a rezoning application has been submitted to construct five apartment buildings at the site. Comparable in line tenant sales have rebounded to $471 psf at YE 2021 compared with $340 psf at YE 2020, $385 psf at YE 2019, $397 psf at YE 2018 and $419 psf at issuance. JCPenney sales were stable at $80 psf for YE 2021 compared with $80 psf at YE 2020, $114 psf at YE 2019 and $122 psf at YE 2018. Macy's sales were down at $55 psf compared with $92 psf at YE 2020, $87 psf at YE 2019 and $90 psf at YE 2018. Fitch's base case loss of 44% is based on a 15% cap rate and a 5% haircut to the YE 2021 NOI, and reflects the potential challenges of refinancing the total A-Note debt of $139 million at the loan maturity in July 2023. Alternative Loss Consideration: All of the loans in the pool are scheduled to mature in late 2023. Higher expected losses were applied pool-wide to address the majority of loans' maturities in the second-half of 2023. Due to significant upcoming maturities and level of specially serviced loans, Fitch performed a paydown scenario that grouped the remaining loans based on the likelihood of repayment and recovery prospects; this scenario supports the current ratings and Outlooks. Classes A-3, A-SB and A-4 are reliant on defeased and performing loans in the pool. Class A-M is partially reliant on the Oglethorpe Mall loan. Class B is also partially reliant on Oglethorpe Mall, and classes C through G would entirely depend on repayment from the specially serviced loans. Change in Credit Enhancement: As of the July 2022 distribution date, the pool's aggregate principal balance has been reduced by 24.4% to $905.2 million from $1.2 billion at issuance. Nineteen loans totaling 25.4% of the pool are defeased. Two specially serviced loans (5.3%) are full-term interest-only and the remainder of the pool is currently amortizing. All of the remaining loans in the pool are scheduled to mature or reach their anticipated repayment date (ARD) in 2023. The non-rated class G has been impacted by $32.3 million in realized losses to date (2.7% of original pool balance). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans; -- Downgrades to the 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; -- Downgrades to the 'Asf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE; -- Downgrades to the 'Bsf' category would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- Upgrades to the 'Bsf' category are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. CSMC 2022-ATH3: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CSMC 2022-ATH3 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Aug. 22, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The transaction's mortgage originator, Athas Capital Group Inc.; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned CSMC 2022-ATH3 Trust Class A-1A, $116,414,000: AAA (sf) Class A-1B, $27,816,000: AAA (sf) Class A-1, $144,230,000: AAA (sf) Class A-2, $24,201,000: AA (sf) Class A-3, $34,910,000: A (sf) Class M-1, $21,975,000: BBB (sf) Class B-1, $15,995,000: BB (sf) Class B-2, $18,359,000: B- (sf) Class B-3, $18,499,044: Not rated Class A-IO-S, notional(i): Not rated Class XS, notional(i): Not rated Class PT, $278,169,044: Not rated Class R, not applicable: Not rated (i)The notional amount will equal the aggregate balance of the mortgage loans as of the first day of the related due period. CSMC TRUST 2017-CHOP: DBRS Confirms BB(low) Rating on Cl. E Certs ----------------------------------------------------------------- DBRS, Inc. confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2017-CHOP issued by CSMC Trust 2017-CHOP as follows: -- Class A at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) In addition, DBRS Morningstar changed the trends on all classes to Stable from Negative. The Stable trends reflect the overall improved performance of the underlying collateral for the hotel portfolio loan that backs this transaction as it is showing steady recovery from the Coronavirus Disease (COVID-19) pandemic, approaching pre-pandemic levels according to the most recent financials and STR, Inc. (STR) reports. The trust certificates represent the beneficial ownership interest in a $780.0 million, interest-only (IO), floating-rate mortgage loan. The collateral consists of the fee and leasehold interests in a portfolio of 48 select-service, limited-service, and extended-stay hotels, totaling 6,401 keys, located across 31 metropolitan statistical areas in 21 states. Geographically diverse, the greatest concentrations by allocated loan amount (ALA) are in New Jersey (13.9% of ALA), New York (12.6% of ALA), Texas (11.6% of ALA), and North Carolina (10.9% of ALA). The top 15 largest properties by ALA represent 46.3% of the total pool balance, though no single property represents more than 4.2% of the ALA or 3.2% of the total keys. The hotels operate under eight different flags across the Marriott, Hilton, and Hyatt brands. The loan was in special servicing beginning in 2020 and was ultimately resolved when a buyer for all 48 hotels was secured and the new ownership, an affiliate of Kohlberg Kravis Roberts & Co. (KKR), assumed the underlying loan. The borrower is required to maintain an interest rate cap agreement that had a Libor strike price of 3.0% from issuance through the initial maturity date, and replacement interest rate cap agreements for each extension period with a Libor strike rate that would result in a debt service coverage ratio of at least 1.20 times. Although no properties had been released as of July 2022, the borrower may release properties from the loan by prepayment of a portion of the mortgage loan equal to (1) 105.0% of the applicable ALA with respect to releases up to the first 10.0% of the original principal balance of the loan; (2) 110.0% of the ALA with respect to releases up to 20.0% of the original balance of the loan; or (3) 115.0% of the ALA with respect to further releases, provided that the debt yield with respect to the remaining properties will be equal to or greater than the greater of (A) 8.15% or (B) the debt yield of all properties immediately prior to the consummation of such release. The loan was modified as part of KKR's assumption, with terms including an extension of the maturity date to June 2027, a borrower-funded debt service reserve equal to 12 months of payments, the replacement of the current property management team with Schulte Hospitality Group and Hersha Hospitality Management, and the loan remaining in cash management for the life of the extended term. KKR Real Estate Partners Americas III AIV, LP, as the replacement guarantor and environmental indemnitor, also provided a flag loss guaranty and a property improvement plan completion guaranty. KKR is a leading global investment firm with approximately $471.0 billion of assets under management as of YE2021 financials. As of March 31, 2022, its real estate team consisted of more than 150 dedicated investment and asset management professionals across nine countries, with more than $59 billion of assets under management. KKR has a 30-year history of hotel investing through its credit and private equity platforms, and prior to the assumption, KKR partnered with Riller Capital to further grow its hotel investing capabilities. As of the July 2022 remittance, the loan is current and performing, but it is still being monitored on the servicer's watchlist after its return from the special servicer in March 2022. According to the trailing 12-month STR reports for each of the 48 properties dated as of March 2022, the portfolio reported a weighted-average (WA) occupancy, average daily rate (ADR), and revenue per available room (RevPAR) of 65.5%, $120.59, and $79.93, respectively. In comparison, the portfolio's competitive set reported WA occupancy, ADR, and RevPAR of 63.4%, $113.22, and $71.95, respectively, showing the portfolio is outperforming its competitive set, with a WA RevPAR penetration rate of 111.9%. While performance has not yet reached the YE2019 pre-pandemic WA occupancy, ADR, and RevPAR metrics of 76.0%, $124.73, and $95.06, respectively, the portfolio has shown steady improvements since its reported YE2020 operating figures of 46.01%, $103.95, and $47.86, respectively. Furthermore, the STR figures for March 2022 showed the occupancy rate was within 1% of the DBRS Morningstar assumptions at issuance, while ADR and RevPAR were slightly above. As of the July 2022 loan-level reserve report, the total reserves balance was reported at $8.9 million. The portfolio had performed in line with expectations up until the outbreak of the pandemic, showing a YE2019 net cash flow (NCF) of $68.1 million, an increase of 6.9% from the issuer's NCF of $63.7 million. The pandemic has had a disproportionate impact on lodging properties, and the portfolio reported a YE2020 NCF of only $3.5 million. The portfolio began to recover in 2021 and reported a YE2021 NCF of $34.6 million, which is still below the DBRS Morningstar NCF of $58.3 million; however, the STR metrics have continued to rebound into 2022, and the NCF is expected to continue to recover as well. The appraiser at issuance determined the value of the portfolio to be $1.06 billion, based on a bulk sale assumption, and $941.0 million on an individual basis. Appraisals were ordered while the loan was in special servicing; however, the reports were never finalized before KKR assumed the loan for an undisclosed purchase price and brought it current. The servicer has confirmed that the purchase price was in excess of the implied DBRS Morningstar value of $613.3 million. The DBRS Morningstar value suggests a loan-to-value ratio (LTV) of 127.2% compared with the issuer's value of $1.06 billion, implying a still relatively high LTV of 73.6%. While leverage on the entire loan is high on the DBRS Morningstar value, the LTV on the $480.0 million of rated proceeds is lower at only 78.3%. Notes: All figures are in U.S. dollars unless otherwise noted. DBWF 2015-LCM: DBRS Confirms BB(low) Rating on 2 Classes Certs -------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-LCM issued by DBWF 2015-LCM Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BB (low) (sf) -- Class F at BB (low) (sf) DBRS Morningstar changed the trends on Classes E and F to Stable from Negative. All remaining trends are Stable. The rating confirmations and trend changes reflect the overall improved credit profile for the transaction since last the review, generally driven by the overall improved outlook for regional malls that were previously performing well before the onset of the Coronavirus Disease (COVID-19) pandemic. Although the collateral mall for the subject transaction has recently reported some cash flow declines compared with its pre-pandemic figures, DBRS Morningstar believes the property remains well positioned overall, given its prominence in the market, strong sponsorship, and diverse tenant roster, which includes some non-traditional retailers for regional malls that likely drive significant local traffic. The collateral for the loan is the fee-simple and leasehold interests in the 2.1 million-square-foot Lakewood Center mall in Lakewood, California. At issuance, the whole loan of $410.0 million consisted of $240.0 million of senior debt and $170.0 million of junior debt. The subject transaction is backed by $120.0 million of the senior debt and the entirety of the junior debt. The remaining $120.0 million of senior debt is secured in the DBRS Morningstar-rated COMM 2015-CCRE24 Mortgage Trust transaction. The whole-loan proceeds refinanced $250.0 million of existing debt and returned $157.8 million of equity to the sponsor. The trust loan has an 11-year term and amortizes over a 30-year schedule, maturing in June 2026. As of the June 2022 remittance, the trust debt had amortized by 10.4% with a current trust balance of $259.8 million. The mall is owned and operated by The Macerich Company, which purchased the remaining 49% ownership interest in the subject in 2014 for a total consideration of approximately $1.8 billion. The anchor tenants include Macy's (17.5% of net rentable area (NRA), lease expires in June 2030), Costco Wholesale (8.0% of NRA, lease expires in February 2029), JCPenney (JCP; 7.9% of NRA, lease expires in June 2025), and Target (7.7% of NRA, lease expires in January 2025). Major in-line tenants include Forever 21 (3.9% of the NRA, lease expires in January 2023), 24 Hour Fitness (2.2% of the NRA, lease expires December 2027), Best Buy (2.2% of the NRA, lease expires in January 2024), and Round 1 Bowling & Amusement (2.1% of the NRA, lease expires July 2023). The June 2022 rent roll reported an occupancy rate of 90.3%, a decline from the prior high rate of 99.0% as of YE2019. The decline in occupancy was primarily driven by the departure of Pacific Theaters (4.4% of the NRA), which was closed in 2021 as part of a chain-wide shut down in operations as a result of the economic distress caused by the pandemic. There is moderate tenant rollover risk as tenants representing 16.5% of the NRA have leases that have recently expired or will be expiring in the next 12 months. According to the YE2021 financials, the loan reported a debt service coverage ratio (DSCR) of 1.23 times (x), compared with the YE2020, YE2019, and DBRS Morningstar DSCRs of 1.34x, 1.65x, and 1.38x, respectively. Although a decrease in revenue was a factor in the net cash flow declines as tenants were provided rental relief amid the pandemic with some tenants permanently converting to percentage rent structure, there was also an increase in operating expenses from pre-pandemic levels, specifically for property insurance, utilities, repairs and maintenance, and payroll. Mitigating factors include the strong sponsorship and favorable location of this property within Los Angeles County in addition to its strong anchors and diverse tenant roster. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE 2022-4: DBRS Finalizes BB Rating on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of notes 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 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. FINANCE OF AMERICA 2022-HB2: DBRS Finalizes B Rating on M5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Notes issued by Finance of America HECM Buyout 2022-HB2: -- $281.3 million Class A1A at AAA (sf) -- $46.7 million Class A1B at AAA (sf) -- $32.9 million Class M1 at AA (low) (sf) -- $23.1 million Class M2 at A (low) (sf) -- $24.9 million Class M3 at BBB (low) (sf) -- $26.3 million Class M4 at BB (low) (sf) -- $9.8 million Class M5 at B (sf) The AAA (sf) rating reflects 26.3% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 18.9%, 13.7%, 8.1%, 2.2%, and 0.0% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowners association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the June 30, 2022, Cut-Off Date, the collateral had approximately $445.0 million in unpaid principal balance from 1,710 performing and nonperforming home equity conversion mortgage (HECM) reverse mortgage loans secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, and planned unit developments. Of the total loans, 1,090 have fixed-rate interest (67.92% of the balance) with a weighted-average coupon (WAC) of 5.018%. The remaining 620 loans have floating-rate interest (32.08% of the balance) with a WAC of 3.446%, bringing the entire collateral pool to a WAC of 4.513%. As of the Cut-Off Date, the loans in this transaction are both performing and nonperforming (i.e., inactive). There are 650 performing loans comprising 39.97% of the total UPB. As for the 1,060 nonperforming loans, 515 loans are referred for foreclosure (31.64% of the balance), 54 are in bankruptcy status (3.2%), 123 are called due following recent maturity (7.81%), 105 are real estate owned (REO; 5.4%), and the remaining 263 are in default (11.97%). However, all these loans are insured by the United States Department of Housing and Urban Development (HUD), which mitigates losses in regard to uninsured loans. Because the insurance supplements the home value, the industry metric for this collateral is not the loan-to-value ratio (LTV) but rather the WA effective LTV adjusted for HUD insurance, which is 50.75% for the loans in this pool. To calculate the WA LTV, DBRS Morningstar divides the UPB by the maximum claim amount and the asset value. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (the Class A1A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Notes: All figures are in U.S. dollars unless otherwise noted. FLAGSHIP CREDIT 2022-3: DBRS Gives Prov. BB Rating on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Flagship Credit Auto Trust 2022-3 (FCAT 2022-3 or the Issuer): -- $51,200,000 Class A-1 Notes at R-1 (high) (sf) -- $139,000,000 Class A-2 Notes at AAA (sf) -- $108,560,000 Class A-3 Notes at AAA (sf) -- $31,460,000 Class B Notes at AA (sf) -- $48,190,000 Class C Notes at A (sf) -- $31,240,000 Class D Notes at BBB (sf) -- $30,350,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The DBRS Morningstar CNL assumption is 10.75%, based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns - 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 consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) The Company indicated it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of class-action complaints by consumers; however, the Company indicated there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship is an independent, full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. There will be seven classes of Notes included in FCAT 2022-3. Initial credit enhancement for the Class A-1, A-2, and A-3 Notes is expected to be 34.05% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.40%, and subordination of 31.65% of the initial pool balance. Initial Class B enhancement is expected to be 27.00% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.40%, and subordination of 24.60% of the initial pool balance. Initial Class C enhancement is expected to be 16.20% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.40%, and subordination of 13.80% of the initial pool balance. Initial Class D enhancement is expected to be 9.20% and will include a 1.00% reserve account (funded at inception and nondeclining), initial OC of 1.40%, and subordination of 6.80% of the initial pool balance. Initial Class E enhancement is expected to be 2.40% and will include a 1.00% reserve account (funded at inception and nondeclining) and initial OC of 1.40%. Notes: All figures are in in U.S. dollars unless otherwise noted. FLAGSHIP CREDIT 2022-3: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The availability of approximately 42.16%, 37.08%, 28.94%, 23.51%, and 18.73% 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 our 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 70.26%, 61.80%, 48.23%, 39.19%, and 31.22%, 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, our '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 ratings. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. Ratings Assigned Flagship Credit Auto Trust 2022-3 Class A-1, $61.70 million: A-1+ (sf) Class A-2, $169.10 million: AAA (sf) Class A-3, $135.86 million: AAA (sf) Class B, $38.61 million: AA (sf) Class C, $59.15 million: A (sf) Class D, $38.33 million: BBB (sf) Class E, $37.25 million: BB- (sf) FREDDIE MAC 2021-HQA1: Moody's Hikes Rating on Cl. B-1B Debt to B1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 32 classes of Provident Funding Mortgage Trust 2019-1 (PFMT 2019-1) and Freddie Mac STACR REMIC TRUST 2021-HQA1 (STACR 2021-HQA1). PFMT 2019-1 is a securitization of agency-eligible mortgage loans originated and serviced by Provident Funding Associates, L.P. STACR 2021-HQA1 is credit risk transfer transaction issued by Freddie Mac. Complete rating actions are as follows: Issuer: Freddie Mac STACR REMIC TRUST 2021-HQA1 Cl. M-1, Upgraded to Aa3 (sf); previously on Dec 21, 2021 Upgraded to A2 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-2A, Upgraded to Baa1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2AI*, Upgraded to Baa1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2AR, Upgraded to Baa1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2AS, Upgraded to Baa1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2AT, Upgraded to Baa1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2AU, Upgraded to Baa1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-2BI*, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2BS, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2BT, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2BU, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2RB, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2BR, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2SB, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2I*, Upgraded to Baa2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-2B, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2R, Upgraded to Baa2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-2S, Upgraded to Baa2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-2T, Upgraded to Baa2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-2U, Upgraded to Baa2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-2TB, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-2UB, Upgraded to Baa3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned Ba2 (sf) Cl. B-1, Upgraded to Ba3 (sf); previously on Feb 23, 2021 Definitive Rating Assigned B2 (sf) Cl. B-1A, Upgraded to Ba2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned B1 (sf) Cl. B-1AI*, Upgraded to Ba2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned B1 (sf) Cl. B-1AR, Upgraded to Ba2 (sf); previously on Feb 23, 2021 Definitive Rating Assigned B1 (sf) Cl. B-1B, Upgraded to B1 (sf); previously on Feb 23, 2021 Definitive Rating Assigned B3 (sf) Issuer: Provident Funding Mortgage Trust 2019-1 Cl. B-2, Upgraded to Aaa (sf); previously on Dec 1, 2021 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa2 (sf); previously on Dec 1, 2021 Upgraded to A1 (sf) Cl. B-4, Upgraded to A2 (sf); previously on Dec 1, 2021 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Dec 1, 2021 Upgraded to Ba2 (sf) *Reflects Interest Only Classes 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 pools. In these transactions, high prepayment rates averaging 10%-14% over the last six months, have benefited the bonds by increasing the paydown and building credit enhancement. The actions also reflect the correction of errors in Moody's prior analysis. Due to incorrect model inputs, the loans in the PFMT 2019-1 transaction were not appropriately flagged as GSE-eligible, and the maturity of the bonds in the STACR 2021-HQA1 transaction - which have a shorter maturity than that of the underlying loans - was not accurately reflected. The correction of these input errors resulted in a positive credit impact on two classes of bonds from PFMT 2019-1 and sixteen classes of bonds from STACR 2021-HQA1, and actions on these bonds reflect both the error correction and the updated transaction performance. 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. Moody's will reduce the adjustment to pool losses in instances where the collateral has demonstrated strong performance since the start of the pandemic. For transactions where (1) the current proportion of loans enrolled in payment relief programs is lower than 2.5%, and (2) the proportion of loans that are cash flowing but were previously enrolled in a payment relief program since the start of the pandemic is lower than 5%, Moody's increase the median expected loss by 10% and Moody's Aaa loss by 2.5%. The reduced adjustment reflects the assumption that pools with a higher proportion of borrowers that continued to make payments throughout the pandemic are likely to have lower default rates as COVID-19 continues to decline. 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 0.4%-1.1% 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. 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. 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. FREDDIE MAC 2022-HQA3: DBRS Finalizes BB Rating on 16 Classes ------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes (the Notes) 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 October 2020 and were securitized by Freddie Mac between November 1, 2021, and November 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 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, 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. FS RIALTO 2021-FL3: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. confirmed its ratings on all classes of notes issued by FS Rialto 2021-FL3 Issuer, 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 info@dbrsmorningstar.com. The initial collateral consisted of 26 floating-rate mortgage assets with an aggregate cut-off date balance of $1.13 billion secured by 68 properties. The aggregate unfunded future funding commitment of the future funding participations as of the cut-off date was approximately $95.1 million. As of the July 2022 remittance, the composition of the transaction remains unchanged since closing, consisting of the same 26 loans with a cumulative trust balance of $1.13 billion. The transaction is a managed vehicle, structured with a 24-month Reinvestment Period, ending on or about the October 2023 Payment Date. During this period, the Issuer may acquire Reinvestment Collateral Interests, which may include Funded Companion Participations, subject to the Eligibility Criteria and Acquisition Criteria as defined at closing. Additionally, during the Reinvestment Period, the transaction must maintain a cumulative minimum balance of loans secured by multifamily properties of 80.0% of the $1.13 billion transaction balance. As of July 2022, the Reinvestment Account has a zero balance. In general, borrowers are making progress toward completing the stated business plans at loan closing. Through July 2022, the collateral manager had advanced cumulative loan future funding of $16.9 million to 14 individual borrowers. The largest advances have been made to the borrowers of The Morgan ($2.8 million) and the Highlander Apartments ($2.4 million) loans. The loans are secured by multifamily properties in Austin, Texas, and Everett, Washington, respectively, and the borrowers' business plan is to complete capital improvements across the properties to increase occupancy and rental rates. An additional $78.2 million of loan future funding allocated to 17 individual borrowers remains outstanding, available to aid in property stabilization efforts. By far, the largest remaining ($34.9 million) allocation is to the borrower of the Paradise Plaza loan, which is secured by a mixed-use property in Miami, Florida. The loan was structured with future funding of $36.0 million to fund $15.0 million of new tenant's build-out, $5.0 million for leasing costs and up to $15.0 million as an earnout subject to specified tenants achieving sales volume thresholds by year three of the loan term. As the collateral pool remains unchanged since issuance, the loan size, property type, and property location concentrations remain the same with the largest 10 loans representing 51.6% of the pool balance. Of the 26 loans, 22 are secured by multifamily properties, representing 83.6% of the pool balance. Remaining asset types include industrial, mixed-use, and self-storage, which secure one loan each. In terms of property location, the assets are primarily in suburban markets, as 24 loans, representing 88.9% of the pool balance, are secured by properties in markets with a DBRS Morningstar Market Rank of 3, 4, and 5, which DBRS Morningstar considers suburban in nature. The two remaining loans are secured by properties in urban markets with a DBRS Morningstar Market Rank of 6. Regarding pool-wide leverage, the DBRS Morningstar Weighted-Average (WA) Appraised As-Is Loan-to-Value Ratio (LTV) is 72.5% with a WA Appraised Stabilized LTV of 66.6%. As of July 2022 reporting, there are no delinquent or specially serviced loans, nor are there any loans on the servicer's watchlist. Additionally, the collateral manager confirmed that no individual borrowers have requested or received a loan forbearance. Notes: All figures are in U.S. dollars unless otherwise noted. FS RIALTO 2022-FL6: DBRS Confirms B(low) Rating on Class G Notes ---------------------------------------------------------------- DBRS, Inc. assigned the provisional rating of AAA (sf) to the Class A-CS notes to be issued by FS Rialto 2022-FL6 Issuer, LLC (FS RIAL 2022-FL6). DBRS Morningstar confirmed the provisional ratings on the following classes of notes to be issued by 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. After DBRS Morningstar assigned provisional ratings to FS RIAL 2022-FL6 on August 4, 2022, the Class A Notes were bifurcated into the Class A Notes, for which the benchmark will be term SOFR, and the Class A-CS Notes, for which the benchmark will be compounded SOFR. The principal balance of the Class A-CS Notes will be $349,375,000 and the principal balance of the Class A-CS Notes will be $50,000,000. Principal and interest payments on the Class A Notes and Class A-CS Notes will be pari passu with one another and paid on a pro rata basis. The deal was also upsized to a total cut-off balance of $750.0 million from its original total cut-off balance of $600.0 million. Notes: All figures are in U.S. dollars unless otherwise noted. GCAT 2022-NQM4: DBRS Gives Prov. B Rating on Class B-2 Certs ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2022-NQM4 to be issued by GCAT 2022-NQM4 Trust: -- $277.2 million Class A-1 at AAA (sf) -- $30.2 million Class A-2 at A (high) (sf) -- $47.8 million Class A-3 at A (sf) -- $19.8 million Class M-1 at BBB (sf) -- $15.4 million Class B-1 at BB (sf) -- $10.0 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Certificates reflects 33.35% of credit enhancement provided by subordinated Certificates. The A (high) (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 26.10%, 14.60%, 9.85%, 6.15%, and 3.75% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of fixed- and adjustable-rate prime, expanded prime, and nonprime first-lien residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2022-NQM4 (the Certificates). The Certificates are backed by 812 mortgage loans with a total principal balance of $415,890,514 as of the Cut-Off Date (August 1, 2022). The originators for the mortgage pool are Arc Home LLC (Arc Home; 67.5%); Quontic Bank (Quontic; 26.9%); and other originators, each comprising less than 15.0% of the mortgage loans. These loans were originated primarily under the following five programs: -- Bank Statement Loans -- Full Documentation Loans -- Debt Service Coverage Ratio -- Asset Depletion Loans NewRez LLC d/b/a Shellpoint Mortgage Servicing (SMS) will act as Servicer of the loans. Certain loans (11.9%) are scheduled to transfer to SMS on or before September 1, 2022. Blue River Mortgage III LLC (Blue River) will act as the Sponsor, Red Creek Asset Management LLC (Red Creek) will act as the Servicing Administrator and Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. GCAT NQM Depositor III, LLC will act as the Depositor. U.S. Bank Trust Company, National Association will act as the Trustee, Securities Administrator and Certificate Registrar. U.S. Bank National Association will serve as the Custodian. Although the mortgage loans, except for the business-purpose investor loans, were originated to satisfy the Consumer Financial Protection Bureau's (CFPB) 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, 26.0% of the loans are designated as non-QM, 12.0% as QM Safe Harbor, and 8.7% as QM Rebuttable Presumption. Approximately 34.9% of the loans were made to investors for business purposes and, hence, are not subject to the QM/ATR rules. Additionally, Quontic Bank originated 26.9% of the loans and is designated by the U.S. Department of the Treasury as a Community Development Financial Institution (CDFI). Such loans are exempt from the QM/ATR rules. While CDFI loans are not required to comply with the ATR rules, the CDFI loans included in this pool were made to mostly creditworthy borrowers with a weighted-average (WA) debt-to-income (DTI) ratio of 29.8% and a WA credit score of 742. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent. The 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. The Servicer has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. However, the Servicer will be required to advance P&I at the end of the related forbearance period. On or after the earlier of (1) three years from the Closing Date 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, 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 plus any preclosing deferred amounts due to the Class X Certificates. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Depositor will also have the option, but not the obligation, to purchase any mortgage loan that becomes 90 or more days delinquent (not related to a Coronavirus Disease (COVID-19) forbearance) under the Mortgage Bankers Association method at par plus interest, provided that such purchases in aggregate do not exceed 7.5% 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 (Class 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 A-3. Of note, interest and principal 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% on and after the payment date in September 2026. In contrast to other securitizations that typically retain a residual interest consisting of at least 5% of the Certificates, GCAT 2022-NQM4 is subject to an adjusted required credit risk. Under U.S. Risk Retention rules, the percentage retained by the sponsor is eligible to be reduced by the ratio of the CDFI loan balances to the aggregate pool balance i.e. reduction by 26.9% in this transaction. As such, the Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal residual interest consisting of at least 3.7% 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. 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. GCAT 2022-NQM4: S&P Assigns B (sf) Rating on Class B-2 Certs ------------------------------------------------------------ S&P Global Ratings assigned its ratings to GCAT 2022-NQM4 Trust's mortgage pass-through certificates. The note issuance is an RMBS securitization backed by seasoned and unseasoned first-lien, fixed- and adjustable-rate residential mortgage loans to prime and nonprime borrowers, including mortgage loans with initial interest-only periods. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, cooperatives, and two- to four-family residential properties. The pool has 812 loans, comprising non-qualified mortgage (non-QM/ability-to-pay [ATR] compliant) loans, ATR-exempt mortgage loans, QM/higher-priced mortgage loans, and QM/safe harbor loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage III LLC; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. Although pandemic-related performance concerns have waned, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%. This reflects our current outlook for the U.S. economy, considering the impact of the Russia-Ukraine conflict, supply-chain disruptions, and rising inflation and interest rates." Ratings Assigned GCAT 2022-NQM4 Trust Class A-1, $277,191,000: AAA (sf) Class A-2, $30,152,000: AA (sf) Class A-3, $47,827,000: A (sf) Class M-1, $19,755,000: BBB (sf) Class B-1, $15,388,000: BB (sf) Class B-2, $9,981,000: B (sf) Class B-3, $15,596,514: Not rated Class A-IO-S, notional(i): Not rated Class X, notional(i): Not rated Class R, not applicable: Not rated (i)The notional amount equals the aggregate stated principal balance of the loans. GOLDENTREE LOAN 15: Fitch Assigns BB+sf Rating to Class E Debt -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to GoldenTree Loan Management US CLO 15, Ltd. GoldenTree Loan Management US CLO 15, Ltd. A LT NRsf New Rating B LT NRsf New Rating C LT Asf New Rating D LT BBBsf New Rating E LT BB+sf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating X LT NRsf New Rating TRANSACTION SUMMARY GoldenTree Loan Management US CLO 15, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Loan Management II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.00 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.4% first-lien senior secured loans and has a weighted average recovery assumption of 76.19%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class C, D and E notes can withstand default rates of up to 46.8%, 40.1% and 34.0% assuming recoveries of 56.1%, 65.5% and 71.2%, respectively RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'Bsf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are between 'A+sf' and 'AAsf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. GS MORTGAGE 2012: Fitch Affirms B-sf Rating on Class F Debt ----------------------------------------------------------- Fitch Ratings has affirmed eight classes of GS Mortgage Securities Trust 2012-GCJ9. The Rating Outlooks on classes E and F remain Negative. Rating Prior ------ ----- GS Mortgage Securities Trust 2012-GCJ9 A-3 36192PAJ5 LT AAAsf Affirmed AAAsf A-S 36192PAT3 LT AAAsf Affirmed AAAsf B 36192PAD8 LT AAsf Affirmed AAsf C 36192PAG1 LT A-sf Affirmed A-sf D 36192PAK2 LT BBB-sf Affirmed BBB-sf E 36192PAN6 LT BBsf Affirmed BBsf F 36192PAR7 LT B-sf Affirmed B-sf X-A 36192PAQ9 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Increased Loss Expectations: Fitch's base case loss has increased compared to prior rating action, due to an increase in the number of Fitch Loans of Concern (FLOCs) and higher expected losses on the specially serviced loan, Jamaica Center (8.9%). The Negative Outlooks on classes E and F reflect concerns surrounding upcoming maturities and refinance risk of the pool's FLOCs. Seven loans have been designated as FLOCs (26.7%), including two other loans (9.8%) in special servicing; five loans (16.9%) have been flagged for low DSCR, high vacancy and/or maturity default risk. The largest contributor to modelled losses is the Gansevoort Park Avenue loan (7.8%), which is secured by a 249-key, full-service boutique hotel located in Manhattan, NY. The property features a tri-level, 20,000 sf rooftop bar, which includes a swimming pool, 24-hour in-room dining, 3,000 sf of meeting space, a salon and spa, fitness center, valet parking and laundry/dry cleaning service. The property was sold to Highgate in December 2017 and subsequently rebranded to Royalton Park Avenue. The loan was previously transferred to the special servicer in June 2021 due to imminent monetary default as a result of the pandemic. The borrower requested payment relief related to the pandemic in June 2020, and was granted a forbearance in August 2020, allowing the use of existing reserve funds to cover debt service payments through YE 2020, and the monthly FF&E reserve requirement was suspended. As part of a loan modification, the borrower also contributed $7.5 million of new equity to cover operating expenses, and the loan maturity was extended by two years to June 2024. The loan returned to the master servicer in August 2021 and has remained current. At issuance, the property featured a full-service restaurant, champagne bar and retail outlets, with food and beverage income accounting for more than 40% of total revenues. Those leases expired between 2018 and 2020, and none of the spaces have been backfilled. As of TTM March 2022, property occupancy, ADR and RevPAR were 42%, $296 and $125, respectively, compared to 54%, $200 and $107 at YE 2020. While the property metrics have improved since YE 2020, performance remains well below pre-pandemic levels of 89%, $308 and $272, respectively. The TTM March 2022 RevPAR penetration rate was 51.3%. Fitch's base case loss of 27% reflects a 5% haircut to the YE 2019 NOI, and factors in a reduction of the loss severity by 50% to account for the property's quality and experienced sponsorship. The second largest contributor to modelled losses is Jamaica Center (8.9%). Jamaica Center is secured by a leasehold interest in a retail/office mixed-use building in Queens, NY. This loan transferred to special servicing in August 2020 for payment default due to pandemic-related economic hardship. As of July 2022, the special servicer was pursuing a foreclosure. This loan is scheduled to mature in November 2022. Occupancy has fallen to 80% at September 2021 from 100% at YE 2016. The initial decline in occupancy during 2017 was the result of Bally Total Fitness (12% of NRA) vacating the property at its 2017 lease expiration, and K&G Men's Company (7% of NRA) vacated the subject property ahead of its lease expiration in April 2022. Two tenants, a movie theatre tenant, National Amusements (NRA 38.5%) and Old Navy (NRA 13.9%) leases were scheduled to expire in May 2022. Fitch's expected loss of 14% reflects a 12% cap rate on underwritten NOI at issuance. Barrett Summit (FLOC, 1.8%) is secured by a suburban office property located in Kennesaw, GA. Occupancy has fallen to 24% as of March 2022 from 47% at YE 2019, 87% at YE 2018 and 98% at YE 2017. Per the borrower, they are recruiting a tenant that has expressed strong interest in the property and could fill between 50,000 SF and 100,000 SF. This loan is scheduled to mature in September 2022. Fitch's expected loss of 37.0% reflects a 12.5% cap rate and a 35% haircut on YE 2019 NOI to reflect increased vacancy. Significant Near-Term Maturities: Due to the majority of the pool maturing by November 2022, Fitch performed a look-through analysis that grouped the remaining loans based on the likelihood of repayment and recovery prospects. The Negative Outlooks on classes E and F reflect this analysis, and a scenario in which the specially serviced assets and FLOCs are the only remaining loans in the pool. In this scenario, approximately 67.9% and 79.5% would need to be recovered from these assets to pay class E and F, respectively, in full. Defeasance/Improved Credit Enhancement Since Issuance: Credit enhancement has improved since issuance from amortization, maturing loans and defeasance. As of the July 2022 distribution date, the pool's aggregate balance has been reduced by 46.7% to $740 million from $1.4 billion at issuance. Since Fitch's prior rating action in 2021, 28 loans comprising $254.6 million in outstanding loan balance prepaid during their respective open periods. Twelve loans comprising 22.8% of outstanding pool balance have been fully defeased. Realized losses and interest shortfalls are currently affecting non-rated class G. Three loans (36.2%) are full-term interest-only and the remaining loans are amortizing. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-3 through A-S are not likely due to the position in the capital structure but may occur should interest shortfalls affect these classes. A downgrade of one category to class B is possible should more loans transfer to special servicing, and the Gansevoort Park Avenue loan experience outsized losses, or if interest shortfalls occur. Downgrades to classes C and D would occur should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing at maturity, higher losses incurred on the specially serviced loans than expected and/or the Gansevoort Park Avenue experience outsized losses. Downgrades to classes E and F would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the Gansevoort Park Avenue loan and other FLOCs, coupled with additional paydown and/or defeasance. Upgrades to class B would likely occur with significant improvement in CE and/or defeasance and/or the stabilization of the Gansevoort Park Avenue loan 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 were likelihood of interest shortfalls. Upgrades to classes C and D class may occur as the number of FLOCs are reduced and/or with a workout of the Gansevoort Park Avenue loan that results in scenarios better than currently expected, and there is sufficient CE to the classes. Classes E and F are unlikely to be upgraded absent FLOCs paying at their respective maturity dates and higher recoveries than expected on the Gansevoort Park Avenue loan. GS MORTGAGE 2018-HULA: DBRS Confirms B(low) Rating on Cl. G Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2018-HULA issued by GS Mortgage Securities Corporation Trust 2018-HULA as follows: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class X-NCP at AA (low) (sf) -- Class D at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since DBRS Morningstar's last review in September 2021. The interest-only (IO) loan is secured by the Four Seasons Resort Hualalai, a luxury hotel and resort located on the Big Island of Hawaii. At issuance, whole-loan proceeds of $450.0 million were used to refinance existing debt, return $62.2 million of equity to the sponsor, and fund reserves and closing costs. The trust had an initial balance of $350.0 million, while a $100.0 million B note was held outside of the trust. There has been a principal reduction, primarily as a result of land that was part of the collateral and was sold for a residential development. The collateral consists of a 243-key resort spread across 39 acres, the private membership Hualalai Club, and, at issuance, 250 acres of residential master-planned community. As of the July 2022 remittance, the trust had an outstanding balance is $320.2 million, representing a collateral reduction of 8.5% since issuance. With the exception of the residential lots, the collateral is subject to a ground lease. The underlying land is owned by the Trustees of the Estate of Bernice Pauahi Bishop. The ground lease expires in December 2061, with no renewal options. The borrower pays a minimum rent of $4.2 million and a percentage of revenue through December 2026. The loan has an initial two-year term with five one-year extension options. Two of the options have been exercised while a third option is currently being processed, which would extend the loan maturity date to July 2023. The loan is currently on the servicer's watchlist for its upcoming maturity as well as a servicing trigger event as the loan reported a September 2021 debt yield of 2.9%, below the 5.3% threshold. This was due to a large-scale renovation project that was completed in October 2021. However, the loan reported debt yields above the threshold for two consecutive quarters with the March 2022 figure at 10.6%. DBRS Morningstar expects the loan to be removed from the servicer's watchlist for both events in the near term as the extension is finalized. The renovation began in mid-2020 at a reported cost of approximately $100 million and was completed in October 2021 as per a press release from Four Seasons. The scope of the work included full renovations to all rooms, upgrades to the finishes and furniture, and a new bungalow that added six new rooms along the property's oceanfront. Amenities were upgraded as well, with significant work to be completed at King's Pond, the property's swimmable aquarium, and to other pools at the property. Finally, the property's golf course was to be upgraded with new features and a new turf. According to the trailing 12-month ended (T-12) March 31, 2022, financials the loan reported a net cash flow (NCF) of $44.0 million, an increase from the year-end (YE) 2021 NCF of $28.8 million and YE2020 when the loan reported negative NCFs. As of the April 2022 STR report, the subject reported a T-12 occupancy rate, average daily rate (ADR), and revenue per available room (RevPAR) of 71.2%, $1,774, and $1,263, respectively, with a RevPAR penetration figure of 282.6%. This is a significant improvement over the T-12 ended June 30, 2021, figures, with the property's occupancy rate, ADR, and RevPAR reported at 50.7%, $1,434, and $894, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2022-LTV2: DBRS Finalizes B Rating on Class B-5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-LTV2 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-RPL4: DBRS Assigns B Rating on Class B-2 Notes --------------------------------------------------------------- DBRS, Inc. assigned ratings to the Mortgaged-Backed Securities, Series 2022-RPL4 to be issued by GS Mortgage-Backed Securities Trust 2022-RPL4 (GSMBS 2022-RPL4 or the Trust), as follows: -- $186.3 million Class A-1 at AAA (sf) -- $20.2 million Class A-2 at AA (sf) -- $206.5 million Class A-3 at AA (sf) -- $221.4 million Class A-4 at A (sf) -- $234.4 million Class A-5 at BBB (sf) -- $15.0 million Class M-1 at A (sf) -- $12.9 million Class M-2 at BBB (sf) -- $8.6 million Class B-1 at BB (sf) -- $6.5 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) rating on the Notes reflects 30.90% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 23.40%, 17.85%, 13.05%, 9.85%, and 7.45% 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 the Notes. The Notes are backed by 2,075 loans with a total principal balance of $283,731,633 as of the Cut-Off Date (July 31, 2022). The portfolio is approximately 191 months seasoned and contains 85.9% modified loans. The modifications happened more than two years ago for 88.1% of the modified loans. Within the pool, 791 mortgages have non-interest-bearing deferred amounts, which equate to approximately 7.7% of the total principal balance. There are no Government-Sponsored Enterprise Home Affordable Modification Program or proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 95.8% of the loans in the pool are current. Approximately 4.2% of the pool are 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Approximately 1.6% of the pool is in bankruptcy. (All bankruptcy loans are performing.) Approximately 46.5% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the MBA delinquency method. The majority of the pool (96.7%) is exempt from the Consumer Financial Protection Bureau (CFPB) Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the loans were originated as investor property loans or 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 (3.3%). The Mortgage Loan Sellers, Goldman Sachs Mortgage Company (GSMC; 72.5%), MTGLQ Investors, L.P. (22.9%) and MCLP Asset Company, Inc. (27.5%), 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. The mortgage loans will be serviced by Select Portfolio Servicing, Inc. (76.6%) and NewRez LLC dba Shellpoint Mortgage Servicing (23.4%). Similar to the GSMBS 2022-RPL3 transaction, the servicing fee payable for GSMBS 2022-RPL4 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 that 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 in 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 related 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% of 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 arm's-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 shortfalls, and making deposits to the breach reserve account. CORONAVIRUS DISEASE (COVID-19) IMPACT The pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in 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 pandemic-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. GS MORTGAGE 2022-RPL4: Fitch Assigns Bsf Rating to Class B-2 Debt ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings to GS Mortgaged-Backed Securities Trust (GSMBS 2022-RPL4) as follows: GSMBS 2022-RPL4 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 CERT LT NRsf New Rating PT LT NRsf New Rating R LT NRsf New Rating RISKRETEN LT NRsf New Rating SA LT NRsf New Rating X LT NRsf New Rating TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 2,075 seasoned performing loans and reperforming loans (RPLs) with a total balance of approximately $284 million, which includes $22 million of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cutoff 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 11.1% above a long-term sustainable level (vs. 11.0% on a national level as of July 2022, up 1.8% 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 19.7% YoY nationally as of May 2022. RPL Credit Quality (Negative): The collateral consists of 2,075 seasoned performing and re-performing first and second lien loans, totaling $284 million, and seasoned approximately 192 months in aggregate. The pool is 95.8% current and 4.2% DQ. Over the last two years 46.5% of loans have been clean current. Additionally, 85.9% of loans have a prior modification. The borrowers have a weak credit profile (669 Fitch FICO and 45% Fitch DTI) and low leverage (66% sustainable loan-to-value). The pool consists of 91.8% of loans where the borrower maintains a primary residence, while 7.5% are investment properties or second home. 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 178bps 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 market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a regulatory compliance review that covered applicable federal, state and local high-cost loan and/or anti-predatory laws, as well as the Truth In Lending Act (TILA) and Real Estate Settlement Procedures Act (RESPA). The scope was consistent with published Fitch criteria for due diligence on RPL RMBS. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment(s) to its analysis: Loans with an indeterminate HUD1 located in states that fall under Freddie Mac's "Do Not Purchase List" received a 100% loss severity over-ride. Loans with an indeterminate HUD1 but not located in states that fall under Freddie Mac's "Do Not Purchase List" received a five-point loss severity increase. Loans with a missing modification agreement received a three-month liquidation timeline extension. Unpaid taxes and lien amounts were added to the loss severity. In total, these adjustments increased the 'AAAsf' loss by approximately 50bps. HALCYON LOAN 2015-1: Moody's Ups Rating on $30MM D Notes From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Halcyon Loan Advisors Funding 2015-1 Ltd.: US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due April 20 2027, Upgraded to Baa3 (sf); previously on July 31, 2020 Downgraded to Ba1 (sf) Halcyon Loan Advisors Funding 2015-1 Ltd., originally issued in April 2015 and partially refinanced in October 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in April 2019. RATINGS RATIONALE The rating action is primarily a result of deleveraging of the senior notes since July 2021.The Class A-R notes have been paid off. The Class B-1-R notes and Class B-2-R notes have been paid down by approximately 71.12% or $17.78 million and $10.11 million respectively since July 2021. Based on the trustee's July 2022 report[1] , the OC ratios for the Class B-1-R/B-2-R, Class C and Class D notes are reported at 421.96%, 173.51% and 115.31%, respectively, versus July 2021[2] levels of 184.13%, 135.93% and 111.03%, respectively. Moody's notes that the July 2022 trustee-reported OC ratios do not reflect the July 2022 payment distribution, when $7.1 million of principal proceeds were used to pay down the Class B-1-R and Class B-2-R notes. 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: $101,337,980 Defaulted par: $3,554,287 Diversity Score: 32 Weighted Average Rating Factor (WARF): 3287 Weighted Average Spread (WAS):: 3.49% Weighted Average Recovery Rate (WARR): 47.76% Weighted Average Life (WAL): 2.58 years Par haircut in OC tests and interest diversion test: 6.47% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. HOMEWARD OPPORTUNITIES 2022-1: DBRS Finalizes B Rating on B2 Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2022-1 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 Mortgage Pass-Through Certificates, Series 2022-1 (the Certificates). The Certificates are backed by 757 mortgage loans with a total principal balance of $355,213,278 as of the Cut-Off Date (July 1, 2022). The originators for the mortgage pool are Roc Capital Holdings LLC (Roc360; 25.5%), RF Renovo Management Company, LLC (Renovo Originator; 24.2%), 5th Street Capital (5th Street; 16.4%), Logan Finance Corp. (Logan; 16.0%), and other originators, each comprising less than 15.0% of the mortgage loans. Fay Servicing, LLC (Fay; 39.6%), Specialized Loan Servicing LLC (SLS; 36.3%), and RF Mortgage Services Corporation (Renovo Servicer; 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 (CFPB) 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. (Computershare; 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 (REO) 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 (Class 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 A-3. Of note, interest and principal 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 WAC 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 (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. Notes: All figures are in U.S. dollars unless otherwise noted. INSTITUTIONAL MORTGAGE 2013-3: DBRS Cuts Class F Certs Rating to C ------------------------------------------------------------------ DBRS Limited downgraded the ratings on two classes of Commercial Mortgage Pass-Through Certificates Series 2013-3 issued by Institutional Mortgage Securities Canada Inc., Series 2013-3 as follows: -- Class E to BB (sf) from BBB (low) (sf) -- Class F to C (sf) from CCC (sf) DBRS Morningstar also upgraded the rating on the following class: -- Class B to AAA (sf) from AA (sf) In addition, DBRS Morningstar confirmed its ratings on the remaining classes as follows: -- Class A-3 at AAA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) With this review, DBRS Morningstar also changed the trend on Class E to Stable from Negative. All other trends are Stable, with the exception of Class F as it has a rating that generally does not carry a trend for commercial mortgage-backed securities (CMBS) ratings. DBRS Morningstar also removed its Interest in Arrears designation on Class F. The rating upgrade for Class B and the rating confirmations for Classes A-3, C, and D reflect the overall stable performance of the pool as illustrated by the significant paydown since issuance that has significantly increased credit support for the most senior classes remaining in the transaction. As of the July 2022 remittance, 20 of the original 38 loans remained in the trust with an outstanding trust balance of $71.9 million, representing a collateral reduction of 71.3% since issuance. No loans have been defeased to date. There are three loans that are secured by self-storage properties (U-Haul – Queensview, U-Haul – West Surrey, and U-Haul – West Edmonton) that have an anticipated repayment date of December 2023 with a fully extended maturity date of August 2037. The remaining loans in the pool outside of these U-Haul loans are scheduled to mature by February 2024. There are no loans in special servicing, and there are six loans, representing 45.0% of the pool balance, on the servicer's watchlist; these loans are being monitored primarily for upcoming maturity dates and/or reported low debt service coverage ratios (DSCRs). The rating downgrades for Classes E and F are reflective of the increased risks that have been sustained for three loans secured by multifamily properties in Fort McMurray, Alberta, collectively representing 15.4% of the pool balance. The Lunar and Whimbrel Apartments (Prospectus ID#10, 5.6% of the pool), Snowbird and Skyview Apartments (Prospectus ID#11, 5.3% of the pool), and Parkland and Gannet Apartments (4.5% of the pool) have had performance declines since the downturn in the oil and gas industry that began in late 2014. The sponsor for all three loans, Lanesborough REIT, has worked with the servicer several times to paper loan modifications that allowed for various forms of payment relief and extensions to the maturity date, with the most recent maturity extensions running through February 2024. With each extension, the borrower was required to make principal curtailment payments and, according to the servicer, $4.1 million in curtailment payments have been made since 2018, while an additional $1.8 million is expected to be paid by August 2023 as part of the most recent maturity extension. Once the August 2023 payment is made, the aggregate principal balance across these three loans is scheduled to be reduced to approximately $9 million from $11.1 million. As of the most recent reporting available, the properties reported occupancy rates between 86% and 100%, with average rental rates ranging between $1,070 per unit and $1,372 per unit. According to Canada Mortgage and Housing Corporation, multifamily properties in the Wood Buffalo census metropolitan area of Alberta reported an October 2021 vacancy rate of 20.3% and average rental rate of $1,274 per unit, compared with the October 2020 vacancy rate of 13.6% and average rental rate of $1,317 per unit and the October 2019 vacancy rate of 22.4% and average rental rate of $1,362 per unit. All three loans report DSCRs well below 1.0 times and have reported similar coverage ratios for the last several years. Although the borrower's commitment to the loans is apparent and has been frequently demonstrated with principal curtailments and debt service funded despite significant shortfalls at the collateral properties, the sustained cash flows well below issuance levels will continue to present significantly increased risks for these loans, particularly given the lack of meaningful recovery in the area markets since the downturn began in 2014. To gauge the bonds most exposed to these risks, DBRS Morningstar analyzed a hypothetical liquidation scenario based on a stressed value for each of the collateral properties that suggested Classes E and F would be the most exposed to reduced credit support and/or losses should a default and liquidation ultimately occur within the near to moderate term. Notes: All figures are in Canadian dollars unless otherwise noted. JP MORGAN 2013-C16: DBRS Confirms BB Rating on Class E Certs ------------------------------------------------------------ DBRS Limited upgraded its ratings on six classes of Commercial Mortgage Pass-Through Certificates (Series 2013-C16), issued by JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 as follows: -- Class B to AA (high) (sf) from AA (low) (sf) -- Class C to A (high) (sf) from A (low) (sf) -- Class F to B (high) (sf) from B (sf) -- Class EC to A (high) (sf) from A (low) (sf) -- Class X-B to AAA (sf) from AA (sf) -- Class X-C to BB (low) (sf) from B (high) (sf) In addition, DBRS Morningstar 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 D at BBB (low) (sf) -- Class E at BB (sf) -- Class X-A at AAA (sf) All trends are Stable. The rating upgrades and Stable trends reflect the overall steady performance of the transaction since DBRS Morningstar's last surveillance rating action in October 2021, as well as the three additional loans defeased and further collateral reduction since that time. Per the July 2022 remittance, 46 of the original 60 loans remain in the pool, with an aggregate principal balance of $715.5 million, representing a collateral reduction of 37.0% since issuance as a result of loan repayments, scheduled amortization, and the liquidation of two loans. Since October 2021, Holiday Inn Energy Corridor (Prospectus ID#27) was liquidated from the pool with the November 2021 remittance with a realized loss of $3.4 million to the trust, representing a loss severity of 31.4%. In addition, the pool benefits from 21 loans, representing 32.6% of the current pool balance, that are defeased. According to the July 2022 remittance, seven loans, representing 31.5% of the current pool balance, are on the servicer's watchlist. These loans are being monitored for a number of reasons, including low debt service coverage ratios (DSCRs), occupancy issues, servicing trigger events, and delinquent payments. In addition, only one loan, Northpointe Center (Prospectus ID#23, 1.7% of the current pool), is in special servicing and is real estate owned (REO). The largest loan on the servicer's watchlist and also the largest loan in the pool, The Aire (Prospectus ID#1, 16.8% of the current pool) is being monitored for a persistently low DSCR. The loan is secured by a 310-unit luxury apartment on the Upper West Side of Manhattan. The loan has been on the servicer's watchlist since February 2017 because of a DSCR below break-even, primarily as a result of a steady rise in real estate taxes as the property's 10-year tax abatement burns off, leading to tax increases of 20.0% every two years since 2014. The subject was significantly affected by the Coronavirus Disease (COVID-19) pandemic with occupancy dropping to 70.3% by year-end (YE) 2020, but occupancy has since increased to 99.4% as of the May 2022 rent roll. At May 2022, the property had an average rental rate of $5,597 per unit compared with the July 2021 average rental rate of $5,885 per unit, when the property was 95.0% occupied. As of the most recent financials, the trailing three month (T-3) ended March 2022 DSCR was reported at 0.71 times (x), an increase from the YE2021 and YE2020 DSCRs of 0.36x and 0.58x, respectively. While cash flow continues to significantly trail expectations, the sponsor has kept the loan current with no missed payments reported to date. The sole loan in special servicing, Northpointe Center, is secured by a 190,196-square-foot anchored retail property in Zanesville, Ohio. The loan transferred to the special servicer in June 2020 for imminent default and, as of June 2021, the subject became REO with the foreclosure deed recorded in September 2021. The loan was previously being monitored on the servicer's watchlist for an occupancy decline when former largest tenant TJ Maxx (29.2% of net rentable area (NRA)) relocated in 2018 and MC Sports (13.0% of NRA) vacated as a result of a bankruptcy filing in 2018. In July 2021, Hobby Lobby (29.2% of NRA) informed management it would not be exercising its renewal option upon lease expiry in September 2021. The servicer reported an in-place occupancy of 37.0% as of December 2021 following Hobby Lobby's departure. The subject was reappraised in May 2022, which valued the property at $8.9 million, representing a 54% decline from the issuance appraised value of $19.5 million and a 7.3% decline from the May 2021 appraised value of $9.6 million. In the analysis for this review, DBRS Morningstar liquidated the loan from the pool with a scenario that resulted in a loss severity in excess of 60.0%. Notes: All figures are in U.S. dollars unless otherwise noted. JPMBB COMMERCIAL 2014-C18: Fitch Affirms C Rating on Cl. F Debt --------------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed nine classes of JPMBB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates series 2014-C18. RATING ACTIONS ENTITY/DEBT RATING PRIOR ----------- ------ ----- JPMBB 2014-C18 A-4A1 46641JAV8 LT AAAsf Affirmed AAAsf A-4A2 46641JAA4 LT AAAsf Affirmed AAAsf A-5 46641JAW6 LT AAAsf Affirmed AAAsf A-S 46641JBA3 LT AAAsf Affirmed AAAsf A-SB 46641JAX4 LT AAAsf Affirmed AAAsf B 46641JBB1 LT Asf Downgrade AA-sf C 46641JBC9 LT BBBsf Downgrade A-sf D 46641JAE6 LT CCCsf Affirmed CCCsf E 46641JAG1 LT CCsf Affirmed CCsf EC 46641JBD7 LT BBBsf Downgrade A-sf F 46641JAJ5 LT Csf Affirmed Csf X-A 46641JAY2 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect Fitch's increased loss expectations since the prior rating action primarily driven by the Miami International Mall. Fitch has identified 11 Fitch Loans of Concern (FLOCs; 48.7% of the pool balance), including three (9.3%) specially serviced loans. Thirteen loans (51.1%) are on the master servicer's watchlist for declines in occupancy, performance declines as a result of the pandemic, upcoming rollover and/or deferred maintenance. Fitch's current ratings incorporate a base case loss of 10.1%. The largest increase in loss since the prior review is the Miami International Mall (15.2% of the pool) loan, which is secured by the 306,855-sf collateral portion of a 1.1 million-sf regional mall located approximately 12 miles northwest of downtown Miami, FL and 10 miles west of Miami International Airport. The property features three non-collateral tenants, Macy's (2/23 lease expiration), JCPenney (2/23) and Kohl's (2/23), along with a vacant Seritage- owned Sears space that closed in November 2018 (12/53). Large collateral tenants include H&M (7.4% of NRA; 1/25 lease expiration), Old Navy (5.5%; 1/25), Victoria's Secret (4.7%; 1/23) and Forever 21 (4.2%; 1/24). All other tenants comprise less than 3% of NRA individually. The subject has substantial nearby competition, including the Taubman-owned Dolphin Mall located a mile to the west and the Simon-owned Dadeland Mall located eight miles to the south. The Dolphin Mall is an outlet center that is complementary to the subject while Dadeland Mall has a higher end tenant profile including Nordstrom and Saks Fifth Avenue. Property occupancy declined to 78% as of March 2022, down from 83% at YE 2020, 99% at YE 2019 and 94% at issuance. Annualized March 2022 NOI debt service coverage ratio (DSCR) was 2.94x, and YE 2021 NOI DSCR was 2.37x, compared to 2.75x at YE 2019. Fitch's analysis applied a 12.5% cap rate to the YE 2021 NOI resulting in a 11% modeled loss. The largest contributor to overall loss expectations is the specially serviced Meadows Mall (6.2%) loan, which is secured by 308,190sf of in-line space of a 945,043-sf regional mall located in Las Vegas, NV, approximately four miles west of downtown Las Vegas. The four anchors, Dillard's, Macy's, JCPenney and Sears (closed in February 2020), own their improvements. The loan is sponsored by Brookfield Property Partners, which acquired the property and subject loan in August 2018. The loan transferred to the special servicer in October 2020 for monetary default. According to the servicer, discussions are ongoing with the borrower for a potential loan modification. Servicer-reported NOI DSCR for this loan was 1.27x as of the YTD March 2022 compared with 1.11x at YE 2021 and 1.22x at YE 2020. Collateral occupancy as of March 2022 was reported to be 87.8% compared with 84% at March 2020 and 91% in March 2019. Reported in-line tenant sales increased to $488 per square foot (psf) for YE 2020 compared to $380psf for the trailing 12-month period ending March 31, 2020, $378psf for YE 2018, $364psf for YE 2017 and $416psf at issuance in 2013. Fitch's modeled loss of 39% is based on a discount to a recent servicer-provided valuation. The second largest contributor to overall loss expectations is the Shops at Wiregrass (6.5% of the pool) loan, which is secured by a 456,637-sf portion of a 759,880-sf outdoor shopping center located in Wesley Chapel, FL, sponsored by Queensland Investment Corporation. The property was built in 2008 and is anchored by Macy's and Dillard's (both non-collateral) and JCPenney (21.1% of NRA; exp. October 2035). The property suffered declining cash flow during the pandemic, but is recovering to pre-pandemic levels. Servicer-reported NOI debt DSCR increased to 1.44x as of the YTD March 2022 compared with 1.15x at YE 2021, 0.42x at YE 2020 and 1.15x at YE 2019. Collateral occupancy as of March 2022 was 84% compared with 86% at YE 2021, 76% at YE 2020 and 90% at YE 2019. Fitch's analysis applied a 15% cap rate and 5% stress to the YE 2021 NOI resulting in a 34% modeled loss. Increasing Credit Enhancement (CE): As of the July 2022 distribution date, the pool's aggregate balance has been reduced by 31.4% to $657.1 million from $957.6 million at issuance. Three loans (3.1% at prior review) have paid down at maturity or post maturity. Eleven loans (14% of current pool) are fully defeased. Only one loan (2.8%) is full term interest only and all remaining loans are currently amortizing. In 2020, the pool had a $29.2 million loss from the disposition of 545 Madison Avenue. Interest shortfalls totaling $652,077 are currently impacting the non-rated class NR and class F. Pari Passu Loans: Five loans (51.8% of pool) are pari passu. Concentrated Pool: The transaction is becoming increasingly concentrated with 36 of the original 51 loans remaining; the top 10 loans comprise 71.3% of the pool. Loans secured by retail properties comprise 63.4% of the pool. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. -- Downgrades of the 'AAAsf' rating categories are not considered likely due to the position in the capital structure and level of CE, but may occur should interest shortfalls affect these classes. -- Downgrades to the 'Asf' and 'BBBsf' category could occur if performance of the FLOCs continues to decline, additional loans transfer to special servicing and/or loans impacted by the pandemic do not stabilize. -- Further downgrades to the distressed 'CCCsf' rated and below classes would occur with increased certainty of losses or as additional losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would occur with stable to improved asset performance coupled with pay down and/or defeasance. -- Upgrades of the 'Asf' and 'BBBsf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs or loans that continually to be negatively affected by the pandemic could cause this trend to reverse. -- Upgrades to the 'CCCsf' and below categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient credit enhancement to the classes. LCM 38 LTD: Moody's Assigns B3 Rating to $500,000 Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued by LCM 38 Ltd. (the "Issuer") Moody's rating action is as follows: US$193,000,000 Class A-1A Senior Floating Rate Notes due 2034, Assigned Aaa (sf) US$27,500,000 Class A-1B Senior Fixed Rate Notes due 2034, Assigned Aaa (sf) US$500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2034, 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. LCM 38 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and fixed rate collateral debt obligations. The portfolio is approximately 90% ramped as of the closing date. LCM EURO 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 six classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $350,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2902 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 6.66 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 LXII: Moody's Assigns B3 Rating to $1MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by Madison Park Funding LXII, Ltd. (the "Issuer" or "Madison Park Funding LXII"). Moody's rating action is as follows: US$248,000,000 Class A-1 Floating Rate Senior Notes due 2033, Assigned Aaa (sf) US$4,000,000 Class A-2 Fixed Rate Senior Notes due 2033, Assigned Aaa (sf) US$1,000,000 Class F Deferrable Floating Rate Junior 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. Madison Park Funding LXII 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 75% 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 three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk and credit improved assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes and one class of subordinates 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): 3071 Weighted Average Spread (WAS): SOFR + 3.70% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 6.16 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. MORGAN STANLEY 2013-C13: Fitch Cuts Rating on Class G Debt to CCC ----------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2013-C13 (MSBAM 2013-C13). The Rating Outlook on class F remains Negative. Rating Prior ------ ----- MSBAM 2013-C13 A-3 61763BAT1 LT AAAsf Affirmed AAAsf A-4 61763BAU8 LT AAAsf Affirmed AAAsf A-S 61763BAW4 LT AAAsf Affirmed AAAsf A-SB 61763BAS3 LT AAAsf Affirmed AAAsf B 61763BAX2 LT AAsf Affirmed AAsf C 61763BAZ7 LT Asf Affirmed Asf D 61763BAC8 LT BBB-sf Affirmed BBB-sf E 61763BAE4 LT BB+sf Affirmed BB+sf F 61763BAG9 LT BB-sf Affirmed BB-sf G 61763BAJ3 LT CCCsf Downgrade B-sf PST 61763BAY0 LT Asf Affirmed Asf X-A 61763BAV6 LT AAAsf Affirmed AAAsf X-B 61763BAA2 LT AAsf Affirmed AAsf KEY RATING DRIVERS Increased Loss Expectations; Greater Certainty of Loss: The downgrade on class G and Negative Outlook on class F reflect higher loss expectations since Fitch's prior rating action, driven by increased losses on The Mall at Chestnut Hill (15.3% of pool) due to declining performance and increasing refinance risks as the loan approaches its 2023 maturity date. In addition, higher expected losses were applied pool-wide to address the majority of loans maturing in the second-half of 2023. Nine loans (25.8%), including four (5.3%) in special servicing, were designated Fitch Loans of Concern (FLOCs). Fitch's current ratings reflect a base case loss of 5.60%. Regional Mall FLOC: The largest contributor to loss expectations, The Mall at Chestnut Hill (15.3%), is secured by 168,642-sf of a 465,895-sf reginal mall in Newton, MA and anchored by Bloomingdales (non-collateral). Crate and Barrel is the largest collateral tenant and leases 7.9% NRA through January 2024. Other notable tenants include Apple, Coach and Tiffany and Co. The loan, which is sponsored by Simon Property Group, was designated a FLOC due to occupancy declines, rollover concerns, market competition and refinance concerns at the loan's November 2023 maturity. Collateral occupancy declined to 79% as of March 2022 from 84% at YE 2020 and 90% at YE 2019 due to tenant vacancies. The property has also experienced increasing expenses against lower expense reimbursements, lowering the NOI DSCR for this interest-only (IO) loan to 1.60x at YE 2021 from 1.86x at YE 2020 and 2.16x at YE 2019. In-line tenant sales were $586 psf ($380 psf excluding Apple) as of the TTM ended March 2021 compared with $963 psf ($781 psf excluding Apple) at issuance. Near-term rollover risks include leases for 24% of the NRA expiring by YE 2023. The property also faces nearby competition with Natick Mall, an approximate 1.9 million square foot mall owned by Brookfield Properties Retail Group, located approximately 10 miles from the subject. Fitch's base case loss of 11.7% reflects a 9% cap rate off the YE 2021 NOI. Fitch's analysis reflects concerns with the occupancy declines, rollover risks and nearby competition but gives credit for the strong tenancy, sales and sponsorship. Pool/Maturity Concentration: The top 10 loans comprise 54.6% of the pool. Loan maturities are concentrated in 2023 (96.6%). Based on property type, the largest concentrations are retail at 60.9%, hotel at 14.6% and multifamily at 9.9%. The largest loan in the pool, Stonestown Galleria (15.5%), is secured by 585,758-sf of an 853,546-sf regional mall in San Francisco, CA and sponsored by Brookfield Properties Retail Group. Occupancy declined to 72% as of March 2022 from 98% at YE 2019 primarily due to Nordstrom (previously 28% NRA) vacating at the end of 2019. The occupancy declines coupled with economic disruptions from the pandemic resulted in a 30% decline in NOI, with servicer-reported NOI DSCR falling to 1.25x as of the TTM ended March 2022 from 1.79x at YE 2019. The sponsor has been successful in redeveloping vacated space at the mall. Target recently expanded into 1/3 of the former Nordstrom Space, increasing its footprint to approximately 15% from 5.5% and bringing total collateral occupancy to approximately 72% as of March 2022 from 65% at YE 2020. In addition, the sponsor actively redeveloped a non-collateral anchor box previously occupied by Macy's into a mixed use space, with leases executed with Whole Foods, Regal Cinemas and Sports Basement. Comparable in-line sales for tenants occupying less than 10,000 sf and reporting sales were $1,005 psf ($607 psf excluding Apple) for the TTM ended March 2022 compared with $648 psf ($372 psf excluding Apple) for the TTM ended June 2021. Fitch's base case loss of approximately 2.5% is based off a 10% cap rate and a 15% total haircut to the YE 2019 NOI. The loan is not currently considered a FLOC. Fitch's s analysis gives credit for the positive leasing activity and upside potential for the existing vacant space and reflects the high-quality asset, location and sponsor commitment. Increasing Credit Enhancement (CE): As of the July 2022 distribution date, the pool's aggregate principal balance has been reduced by 21.1% to $785.4 million from $995.3 million at issuance. Four loans (19.0%) are full-term IO, and 16 loans (36.9%), which had a partial-term IO period at issuance, have all begun amortizing. Eleven loans (10.2%) are fully defeased. Cumulative interest shortfalls of $911,306 are currently affecting the non-rated class H. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes in the 'AAAsf' and 'AAsf' categories are not likely due to sufficient CE and expected continued amortization but could occur if interest shortfalls affect these classes. Classes in the 'Asf' and 'BBBsf' categories would be downgraded should overall pool losses increase significantly and/or one or more of the larger FLOCs have an outsized loss, which would erode CE. Classes E, F and G would be downgraded if loss expectations increase from further performance deterioration on the FLOCs or additional loans become FLOCs and/or transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, X-B, C, PST and D may occur with significant improvement in CE and/or defeasance, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes E, F and G are not likely but could occur if performance of the FLOCs improves significantly and there is sufficient CE. MOSAIC SOLAR 2022-2: Fitch Assigns BB Rating on Class D Debt ------------------------------------------------------------ Fitch Ratings has assigned final ratings to notes issued by Mosaic Solar Loan Trust 2022-2 (Mosaic 2022-2). RATING ACTIONS ENTITY/DEBT RATING PRIOR ----------- ------ ----- Mosaic Solar Loan Trust 2022-2 A LT AA-sf New Rating AA-(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf 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' NEW RESIDENTIAL 2022-SFR2: DBRS Finalizes BB Rating on F Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Single-Family Rental Pass-Through Certificates 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. Furthermore, DBRS Morningstar reviewed the third-party participants in the transaction, including the property manager, servicer, and special servicer. These transaction parties are acceptable to DBRS Morningstar. DBRS Morningstar also conducted a legal review and found no material rating concerns. Notes: All figures are in U.S. dollars unless otherwise noted. NW RE-REMIC 2021-FRR1: DBRS Confirms B(low) Rating on CK88 Certs ---------------------------------------------------------------- DBRS Limited conducted its surveillance review of multiple transactions, which included 61 classes from seven Freddie Mac commercial mortgage-backed security (CMBS) transactions, 35 classes from seven Freddie Mac Structured Pass-Through Certificate transactions, and three classes from one ReREMIC transaction collateralized by an underlying Freddie Mac CMBS transaction. The seven Freddie Mac CMBS transactions and seven companion Freddie Mac Structured Pass-Through Certificate Transactions were all closed in 2019. DBRS Morningstar confirmed its ratings with Stable trends on 99 classes across the 15 transactions. The rating confirmations reflect the overall stable performances of the transactions, which have generally remained in line with DBRS Morningstar's expectations at issuance. NW RE-REMIC TRUST 2021-FRR1 -- Class AK88 BBB (low) (sf) Stb Confirmed -- Class BK88 BB (low) (sf) Stb Confirmed -- Class CK88 B (low) (sf) Stb Confirmed According to the June 2022 servicer reporting, there are 396 loans secured across the seven Freddie Mac CMBS transactions with an aggregate outstanding balance of $10.1 billion. There are no loans in special servicing, and there are 33 loans representing 8.3% of the transactions' aggregate outstanding balance on the respective servicers' watchlists. Watchlisted loans are generally being monitored for deferred maintenance issues and declines in occupancy and cash flow, resulting in stressed debt service coverage ratios. In addition, 32 loans, representing 8.2% of the transactions' aggregate outstanding balance have defeased. In evaluating the performance of these transactions, DBRS Morningstar looked for year-over-year changes since its last review including new defeasance, new additions to, or removals from, the servicers' watchlists, and loan repayments. Given the recent vintage, these changes were generally minimal and, as such, no significant credit events were noted in the analysis. These rating actions addressed one ReREMIC transaction: NW RE-REMIC 2021-FRR1. The transaction is a resecuritization collateralized by the beneficial interests in one commercial mortgage-backed pass-through certificate from one underlying transaction: FREMF 2019-K88 Mortgage Trust, Multifamily Mortgage Pass-Through Certificates, Series 2019-K88. The ratings assigned to the ReREMIC is dependent on the performance of the underlying transaction. Notes: All figures are in U.S. dollars unless otherwise noted. OBX TRUST 2022-NQM7: Fitch Gives B(EXP) Rating on Cl. B-2 Debt -------------------------------------------------------------- Fitch Ratings has assigned expected ratings to OBX 2022-NQM7 Trust. RATING ACTIONS ENTITY/DEBT RATING ----------- ------ OBX 2022-NQM7 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes issued by OBX 2022-NQM7 Trust (OBX 2022-NQM7) as indicated above. The transaction is scheduled to close on Aug. 23, 2022. The notes are supported by 681 loans with a total unpaid principal balance of approximately $358.9 million as of the cut-off date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management, Inc. (Annaly) from various originators and aggregators. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop-advance feature where the P&I advancing party or AmWest Funding Corp. will advance delinquent P&I for up to 120 days. Of the loans, approximately 57.5% are designated as non-qualified mortgage (non-QM) and 37% are investment properties not subject to the Ability to Repay (ATR) Rule. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.9% above a long-term sustainable level (versus 11% on a national level as of August 2022, up 1.8% 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 19.8% yoy nationally as of May 2022. Non-Prime Credit Quality (Mixed): The collateral consists of 30- and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate loans constitute 6.9% of the pool; 16.8% are interest-only (IO) loans and the remaining 83.2% are fully amortizing loans. The pool is seasoned approximately seven months in aggregate as calculated by Fitch. Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 741, debt to income ratio (DTI) of 43.4% and moderate leverage of 77.3% sustainable loan to value ratio (sLTV). Pool characteristics resemble recent non-prime collateral. Investor Properties, Non-QM and Alternative Documentation (Negative): The pool contains a meaningful amount of investor properties (37%) and non-QM loans (62%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity (LS) adjustments for potential ATR challenges. Higher LS assumptions are assumed for the investor property product to reflect potential risk of a distressed sale or disrepair. Fitch viewed approximately 83.5% of the pool as less than full documentation, and alternative documentation was used to underwrite the loans. Of this, 48.1% were underwritten to a bank statement program to verify income, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.6x on the bank statement loans. Besides loans underwritten to a bank statement program, 24.1% are a DSCR product, 2.3% are a WVOE product, 4.4% are P&L loans and 3.5% constitute an asset depletion product. High California Concentration (Negative): Approximately 48% of the pool is located in California. Additionally, the top three metropolitan statistical areas (MSAs) -- Los Angeles (25%), Miami (8%) and Riverside (7%) -- account for 40% of the pool. As a result, a geographic concentration penalty of 1.05x was applied to the PD. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, 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 notes until they are reduced to zero. The structure includes a step-up coupon feature where the classes A-1, A-2 and A-3 fixed interest rate will increase by 100bps starting on the September 2026 payment date. This reduces the modest excess spread available to repay losses. However, the interest rate is subject to the net WAC, and any unpaid cap carryover amount for classes A-1, A-2 and A-3 may be reimbursed from the monthly excess cash flow, to the extent available. Additionally, starting on the September 2026 payment date, any interest and interest carryforward amounts otherwise allocable to class B-3 will be redirected to class A-1, A-2 and A-3 to support the step-up coupon feature. Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency, to the extent such advances are deemed recoverable. The P&I advancing party (Onslow Bay Financial LLC) is obligated to fund delinquent P&I advances for the SPS and Shellpoint loans. AmWest will be responsible for making P&I advances with respect to the AmWest serviced mortgage loans. If AmWest or the P&I advancing party, as applicable, fails to remit any P&I advance required to be funded, the master servicer (Wells Fargo) will fund the advance. The stop-advance feature limits the external liquidity to the bonds in the event of large and extended delinquencies, but the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I for the life of the transaction, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. -- The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.7% at 'AAAsf'. -- The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. -- Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. -- Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Canopy Financial Technology Partners, Clayton Services LLC, Consolidated Analytics, Covius Real Estate Services, LLC, Evolve Mortgage Servicers and Inglet Blair. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis due to the loan-level due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 46bps. OHA CREDIT 13: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to OHA Credit Funding 13 Ltd./OHA Credit Funding 13 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Oak Hill Advisors L.P., a subsidiary of T. Rowe Price. The preliminary ratings are based on information as of Aug. 22, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned OHA Credit Funding 13 Ltd./OHA Credit Funding 13 LLC Class A, $242.00 million: Not rated Class B, $50.00 million: AA (sf) Class C-1 (deferrable), $20.00 million: A+ (sf) Class C-2 (deferrable), $10.50 million: A (sf) Class D (deferrable), $23.35 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $41.15 million: Not rated PAGAYA AI 2022-1: DBRS Finalizes B Rating on Class G Certs ---------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Single-Family Rental Pass-Through Certificates issued by Pagaya AI Technology in Housing Trust 2022-1 (PATH 2022-1): -- $96.1 million Class A at AAA (sf) -- $25.3 million Class B at AA (high) (sf) -- $10.8 million Class C at AA (sf) -- $15.2 million Class D at A (sf) -- $26.7 million Class E-1 at BBB (high) (sf) -- $19.5 million Class E-2 at BBB (low) (sf) -- $23.1 million Class F at BB (low) (sf) -- $14.4 million Class G at B (sf) The AAA (sf) rating on the Class A certificates reflects 61.5% of credit enhancement provided by subordinated notes in the pool. The AA (high) (sf), AA (sf), A (sf), BBB (high) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 51.3%, 47.0%, 40.9%, 30.2%, 22.3%, 13.0%, and 7.3% credit enhancement, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. The PATH 2022-1 certificates are supported by the income streams and values from 846 rental properties. The properties are distributed across 11 states and 32 metropolitan statistical areas (MSAs) in the United States. DBRS Morningstar maps an MSA based on the ZIP code provided in the data tape, which may result in different MSA stratifications than those provided in offering documents. As measured by broker price opinion (BPO) value, 69.1% of the portfolio is concentrated in three states: Georgia (28.9%), Arizona (20.8%), and Florida (19.4%). The average value is $341,519. The average age of the properties is roughly 28 years. The majority of the properties have three or more bedrooms. The certificates represent a beneficial ownership in an approximately three-year, fixed-rate, interest-only (IO) loan with an initial aggregate principal balance of approximately $249.2 million. The Sponsor intends to satisfy its risk-retention obligations under the U.S. Risk Retention Rules by Class H, which is 6.25% of the initial total issuance balance, either directly or through a majority-owned affiliate. DBRS Morningstar assigned the provisional ratings to each class of certificates by performing a quantitative and qualitative collateral, structural, and legal analysis. This analysis uses DBRS Morningstar's single-family rental subordination model and is based on DBRS Morningstar's published criteria. DBRS Morningstar developed property-level stresses for the analysis of single-family rental assets. DBRS Morningstar assigned the provisional ratings to each class based on the level of stresses each class can withstand and whether such stresses are commensurate with the applicable rating level. DBRS Morningstar's analysis includes estimated base-case net cash flow (NCF) by evaluating the gross rent, concession, vacancy, operating expenses, and capital expenditure data. The DBRS Morningstar NCF analysis resulted in a minimum debt service coverage ratio of higher than 1.0 times. Notes: All figures are in U.S. dollars unless otherwise noted. PAWNEE EQUIPMENT 2022-1: DBRS Finalizes BB(low) Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. finalizes its provisional ratings on the following classes of notes issued by Pawnee Equipment Receivables (Series 2022-1) LLC (the Issuer): -- $47,000,000 Class A-1 Notes at R-1 (high) (sf) -- $100,000,000 Class A-2 Notes at AAA (sf) -- $125,850,000 Class A-3 Notes at AAA (sf) -- $34,970,000 Class B Notes at AA (sf) -- $12,020,000 Class C Notes at A (sf) -- $12,020,000 Class D Notes at BBB (sf) -- $14,754,000 Class E Notes at BB (low) (sf) RATING RATIONALE/DESCRIPTION The ratings are based on DBRS Morningstar's review of the following analytical considerations: -- Transaction capital structure, proposed ratings, and sufficiency of available credit enhancement, which includes overcollateralization, subordination, and amounts held in the reserve account, to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stressed cash flow scenarios. -- The respective coverage multiples of the expected CNL, which are afforded to each class of Notes by the available credit enhancement. Under various stressed cash flow scenarios, credit enhancement can withstand the expected loss using DBRS Morningstar multiples of 5.40 times (x) with respect to the Class A Notes and 4.40x, 3.55x, 2.50x, and 1.70x with respect to the Class B, C, D, and E Notes, respectively. DBRS Morningstar assumes an expected base-case CNL of 3.55% for this transaction. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns - June 2022 Update, published on June 29, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The capabilities of Pawnee Leasing Corporation (Pawnee or the Company) with regard to originations, underwriting, and servicing. DBRS Morningstar performed an operational review of Pawnee and considers the entity to be an acceptable originator and servicer of equipment-backed lease and loan contracts. In addition, Vervent will be the Backup Servicer for this transaction. DBRS Morningstar reviewed Vervent and believes that the entity is an acceptable backup servicer. -- The Asset Pool does not contain any significant concentrations of obligors, brokers, size or geographies and consists of a diversified mix of the equipment types similar to those included in other small-ticket lease and loan securitizations rated by DBRS Morningstar. -- The Company focuses on small-ticket financing ($500,000 cap for prime credits and lower for near prime and nonprime credits). No nonprime credits will be included in the collateral for the Notes; however, 23.41% of the collateral consists of B+ credits (with the weighted-average nonzero guarantor Beacon Score of 722 as of the Statistical Calculation Date compared with a score of 764 for A credits as of the same date). Payment by automated clearing house is in place for 92.00% of B+ credit contracts compared with about 82.10% for A credit contracts. In addition, as of the Statistical Calculation Date, personal guarantees supported close to 98.26% of B+ collateral in the Statistical Asset Pool compared with approximately 89.35% for A credits. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Pawnee, and that the Indenture Trustee has a valid first-priority security interest in the assets. DBRS Morningstar also reviewed the transaction terms for consistency with DBRS Morningstar's Legal Criteria for U.S. Structured Finance. Notes: All figures are in U.S. dollars unless otherwise noted. REALT 2017: Fitch Affirms Bsf Rating on Class G Certs ----------------------------------------------------- Fitch Ratings has upgraded one class and affirmed seven classes of Real Estate Asset Liquidity Trust (REAL-T) commercial mortgage pass-through certificates series 2017. Additionally, the Rating Outlook on the upgraded class B is Stable, and the Rating Outlook on class C has been revised to Positive from Stable. All currencies are denominated in Canadian dollars (CAD). RATING ACTIONS ENTITY/DEBT RATING PRIOR ----------- ------ ----- REAL-T 2017 A-1 75585RPY5 LT PIFsf Paid In Full AAAsf A-2 75585RPZ2 LT AAAsf Affirmed AAAsf B 75585RQB4 LT AAAsf Upgrade AAsf C 75585RQC2 LT Asf Affirmed Asf D-1 75585RQD0 LT BBBsf Affirmed BBBsf D-2 LT BBBsf Affirmed BBBsf E LT BBB-sf Affirmed BBB-sf F LT BBsf Affirmed BBsf G LT Bsf Affirmed Bsf KEY RATING DRIVERS Improved Credit Enhancement (CE): The upgrade and Positive Outlook reflect improving CE, primarily due to loan payoffs and continued scheduled amortization. As of the July 2022 distribution date, the pool's aggregate principal balance has been paid down by 32.8% to $273 million from $407 million at issuance. Since Fitch's prior rating action, 11 loans ($76.4 million) were repaid at or around their scheduled 2021 and 2022 maturity dates. One loan (James Street Multifamily; 3% of pool) is defeased. All loans in the pool are amortizing. There are 10 loans (17.3%) scheduled to mature in August and September 2022. Improved Loss Expectations: Fitch's loss expectations have improved since the prior rating action due to increasing CE from loan payoffs and continued amortization. Fitch's current ratings reflect a base case loss of 2.20%. There are no loans currently in special servicing. There are three FLOCs (13.9%), including the largest loan in the pool, Skyline Thunder Centre (10%). With the exception of the FLOCs, the majority of the pool has exhibited generally stable to improving performance since issuance. The largest contributor to loss expectations, Skyline Thunder Centre (10%), is secured by a 168,087-sf anchored shopping center located in Thunder Bay, ON. The property is located across the street from Intercity Shopping Centre, the largest enclosed shopping mall in Thunder Bay. Property-level YE 2020 NOI declined 41% from YE 2019 due to lower rental income from increased vacancy and reduced rent paid by Old Navy as a result of a co-tenancy clause trigger. Collateral occupancy was 74.9% as of the most recent provided rent roll from December 2020, up from 65.6% as of May 2020, but below the 93.2% reported at YE 2018. Occupancy had previously fallen following the departures of Home Outfitters (18.8% of NRA) and Mark's Work Wearhouse (8.7%) in 2019, together which previously contributed approximately 26% of combined gross rent at issuance. Prior to these tenant departures, occupancy averaged over 98% between 2011 and 2017. The recent occupancy improvement is due to a new lease with Giant Tiger for a portion of the former Home Outfitters space (15.8% of NRA leased through June 2030) that commenced in June 2020. Giant Tiger is now the property's largest tenant and its total annual rent is approximately 28% below what was previously paid by Home Outfitters. Of the former Home Outfitters space, 4,968 sf (3%) remained vacant as of the December 2020 rent roll. However, the increased occupancy was partially offset by Pier 1 Imports (5.6% of NRA; 8% of total base rents) vacating during the second half of 2020, ahead of its scheduled February 2021 lease expiration. Other major tenants at the property include Michaels (13%; February 2026), Old Navy (8.9%; November 2024) and Dollarama (7.2%; expired November 2021). Upcoming lease rollover includes 6% of the NRA in 2022 and 9% in 2023. Per the servicer in August 2021, terms of a 10-year extension for Dollarama had been verbally agreed and paperwork was currently with Dollarama to sign; per a web search, this location remains open. Michaels, Old Navy and six in-line tenants have termination clauses or co-tenancy clauses tied to anchor departures and/or occupancy falling below 65% to 70%. Per the servicer, Old Navy exercised its co-tenancy clause in 2019 and is currently paying 50% of its scheduled rent. The servicer-reported NOI DSCR fell to 0.55x as of YE 2020 from 0.93x at YE 2019. At issuance, the loan carried a full recourse guarantee from the sponsor, Skyline Retail Real Estate LP. Alternative Loss Considerations: Fitch's analysis included an additional sensitivity scenario that factored in the expected paydown from defeasance and non-FLOCs with upcoming 2022 and 2024 maturities. This sensitivity scenario supported the upgrade of class B and Positive Outlook revision for class C. Canadian Loan Attributes: The ratings reflect strong historical Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors on many loans. As of July 2022, approximately 62% of the pool features either full or partial recourse to the borrowers, sponsors or additional guarantors. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. -- Downgrades to the 'Asf', 'AAsf' and 'AAAsf' categories are not likely due to the increasing credit enhancement and expected continued paydowns from loan payoffs and amortization, but may occur at the 'AAsf' and 'AAAsf' categories should interest shortfalls affect these classes. -- Downgrades to the 'BBB-sf' category would occur should overall pool losses increase significantly and/or one or more large loans experience an outsized loss, which would erode credit enhancement. -- Downgrades to the 'Bsf' and 'BBsf' categories would occur should loss expectations increase with further performance deterioration of the FLOCs and/or loans default and/or transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. -- Upgrades to the 'Asf' and 'AAsf' categories would likely occur with significant improvement in credit enhancement and/or defeasance. However, adverse selection, increased concentrations and further underperformance of the FLOCs or loans expected to be negatively affected by the coronavirus pandemic could cause this trend to reverse. -- Upgrades to the 'BBB-sf' category would also take in to account these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. -- Upgrades to the 'Bsf' and 'BBsf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient credit enhancement to the classes. REPUBLIC FINANCE 2020-A: DBRS Confirms BB(low) Rating on D Notes ---------------------------------------------------------------- DBRS, Inc. confirmed eight ratings from two Republic Finance Issuance Trust transactions. Republic Finance Issuance Trust 2020-A -- Class D Notes BB (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- Class A Notes AA (sf) Confirmed Republic Finance Issuance Trust 2021-A -- Class D Notes BB (low) (sf) Confirmed -- Class C Notes BBB (low) (sf) Confirmed -- Class B Notes A (low) (sf) Confirmed -- 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 level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in the reserve fund available in the transaction. Hard credit enhancement and estimated excess spread are sufficient to support DBRS Morningstar's current rating levels. -- The collateral performance to date and DBRS Morningstar's assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. 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. RFM RE-REMIC 2022-FRR1: DBRS Finalizes B(low) Rating on 3 Classes ----------------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the following classes of Multifamily Mortgage-Backed Certificates, Series 2022-FRR1 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. Notes: All figures are in U.S. dollars unless otherwise noted. SLM Private 2003-C: S&P Affirms CC (sf) Rating on Class C Notes --------------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A, B, and C notes from three SLM Private Credit Student Loan Trust transactions issued in 2003. At the same time, S&P removed its ratings on the class A and B notes from CreditWatch, where they were placed with positive implications on June 7, 2022. The transactions are backed by pools of private student loans. These loans are not guaranteed or reinsured under the Federal Family Education Loan Program, or by any other federal student loan program or private insurance provider. The loans were originated and underwritten under various loan programs administered or sponsored by Navient Solutions LLC or an affiliate of Navient Solutions LLC. RATIONALE The affirmations reflect our view of each transaction's collateral performance, structural features, payment priorities, and credit enhancement levels, as well as our cash flow analysis. The ratings also reflect the application of our criteria for assigning 'CCC' and 'CC' ratings. Under our criteria: -- A rating above 'B-' is assigned if the security has sufficient credit enhancement to withstand scenarios that are more stressful than the current conditions. -- A 'B-' rating is assigned if the security has sufficient credit enhancement to withstand a steady-state scenario where the current stress level shows little to no increase and collateral performance remains steady (i.e., performance does not deteriorate or improve). -- A 'CCC' rating is assigned if the security is vulnerable to nonpayment and the issuer depends on favorable conditions to meet its financial commitment on the obligation. A 'CCC' rated security is expected to pay timely interest and not realize a default for multiple years under a steady-state, unstressed scenario, while ultimately at risk of a principal default at its legal final maturity date. -- A 'CC' rating is assigned if we believe default is a virtual certainty, regardless of the expected time to default. As of the collection period ended May 2022, the cumulative default rate for these transactions ranged from approximately 16.1% to 19.0%. Based on S&P's review of the current and projected performance for the loan pools, it expects a base-case remaining default rate of approximately 7.0%-8.0% of the current outstanding loan principal balance. The transactions are currently making sequential principal payments to the notes. As a result, senior and mezzanine parity ratios have increased. However, total parity levels continue to decrease for all three transactions because of negative excess spread due to the higher cost of funds for the auction-rate notes in the transactions. The auction-rate notes are currently paying the applicable ratings-based rates, according to the transaction documents. The elevated cost of funds in each transaction required principal collections to be used to cover interest expenses in prior periods, which led to the compression of excess spread and caused total parity levels to decline. Table 1 Parity Levels(i) Current Current Current 12-months senior mezzanine total prior total parity parity parity parity Series (%)(ii) (%)(iii) (%)(iv) (v) 2003-A 152.7 145.7 87.9 89.5 2003-B 138.5 134.4 82.5 84.7 2003-C 137.2 132.3 80.0 82.6 (i)As of the May 2022 collection period. (ii)Sum of the total pool balance, cash capitalization account, and reserve account over the outstanding class A notes. (iii)Sum of the total pool balance, cash capitalization account, and reserve account over the outstanding class A and B notes. (iv)Sum of the total pool balance, cash capitalization account, and reserve account over the total outstanding notes. (v)As of the May 2021 collection period. BREAK-EVEN CASH FLOW MODELING ASSUMPTIONS AND RESULTS S&P said, "We ran midstream cash flows for the class A and B notes under 'B' stress scenarios. The cash flow runs provided break-even percentages that represent the maximum amount of remaining cumulative net losses (CNLs) each class can absorb (as a percentage of the pool balance as of the cash flow cutoff date) without any interest and principal shortfalls. Table 2 shows some of the major assumptions we modeled." Table 2 Cash Flow Assumptions Cumulative default timing/fast scenario (approximate %) per year 20/20/20/20/20 Cumulative default timing/slow scenario (approximate %) per year 15/15/15/15/10/10/10/10 Cumulative recovery rate 20.0% over 10 years Voluntary prepayment(i) 1/2/3/4/5/6 for remaining life Forbearance 3.0% for 12 months Deferral 3.0% for 24 months (i)Voluntary prepayment speeds that start at 1.0% CPRs and then ramp up 1.0% per year to reach maximum CPRs of 6.0% for the remainder of the transactions' lives. CPRs--Constant prepayment rates (annualized prepayment speeds stated as a percentage of the current loan balance). S&P used a credit rating model based on the Cox-Ingersoll-Ross framework to simulate interest rate scenarios for the 'B' stress levels. These include "up/down" and "down/up" interest rate scenarios for floating-rate indices. CASH FLOW RESULTS S&P said, "The cash flow results indicate that the credit enhancement currently available for each class of notes is insufficient to withstand our standard 'B' stress cash flow scenarios, including our interest rate vectors, due to mismatches between the weighted average life of the remaining collateral pool and the notes' maturity date." These asset-liability mismatches are partly due to the rates of principal paydown and loss across loan types. Each transaction also contains auction-rate notes that are currently paying the applicable ratings-based rates, according to the transaction documents. Over time, due to the higher cost of funds and the resulting negative excess spread, the transactions have used principal collections to make interest payments. This caused their parity ratios to decline and resulted in insufficient cash flow to pay the notes by the respective legal final maturity dates under our standard rating stress scenarios. Based on those cash flow results and S&P's criteria for assigning 'CCC' and 'CC' ratings, it believes: -- The 'B- (sf)' rated classes have sufficient credit enhancement to pay timely interest and principal under a steady-state scenario. -- The 'CCC (sf)' rated classes have sufficient liquidity to pay timely interest payments, but they lack sufficient credit enhancement to make principal payments by the legal final maturity dates without favorable conditions leading to improved collateral performance. -- The 'CC (sf)' rated classes are virtually certain to default at some point after 12 months. Under even the most optimistic collateral performance scenario where all loans perform and there are no defaults, there is insufficient collateral cash flow to repay these notes in full by their legal final maturity dates. PAYMENT STRUCTURE AND STRUCTURAL FEATURES Each transaction is currently paying principal sequentially to its class A, B, and C notes because total parity is less than 100%. In addition, once a transaction reaches a 10.0% pool factor, the releases are stopped and the transaction makes turbo principal payments to the notes. The pool factor for each transaction is below 10.0% and, therefore, releases are no longer allowed. RATINGS AFFIRMED AND REMOVED FROM CREDITWATCH POSITIVE SLM Private Credit Student Loan Trust Rating Series Class CUSIP To From 2003-A A-3 78443CAJ3 B- (sf) B- (sf)/Watch Pos 2003-A A-4 78443CAK0 B- (sf) B- (sf)/Watch Pos 2003-A B 78443CAG9 B- (sf) B- (sf)/Watch Pos 2003-B A-3 78443CAN4 B- (sf) B- (sf)/Watch Pos 2003-B A-4 78443CAP9 B- (sf) B- (sf)/Watch Pos 2003-B B 78443CAQ7 CCC (sf) CCC (sf)/Watch Pos 2003-C A-3 78443CBA1 B- (sf) B- (sf)/Watch Pos 2003-C A-4 78443CBB9 B- (sf) B- (sf)/Watch Pos 2003-C A-5 78443CBC7 B- (sf) B- (sf)/Watch Pos 2003-C B 78443CBD5 CCC (sf) CCC (sf)/Watch Pos RATINGS AFFIRMED SLM Private Credit Student Loan Trust Series Class CUSIP Rating 2003-A C 78443CAH7 CC (sf) 2003-B C 78443CAR5 CC (sf) 2003-C C 78443CBE3 CC (sf) SYMPHONY CLO 35: Fitch Assigns BB-sf Rating on Class E Debt ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Symphony CLO 35, Ltd. Symphony CLO 35, Ltd. A-1 LT NRsf New Rating A-2 LT NRsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT A+sf New Rating D LT BBBsf New Rating E LT BB-sf New Rating F LT NRsf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Symphony CLO 35, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC (SAAM), an affiliate of Nuveen Asset Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.8% first-lien senior secured loans and has a weighted average recovery assumption of 76.81%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 41.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the notes were able to withstand respective default rates and recovery assumptions appropriate for their recommended ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B-1, between 'BB+sf' and 'AA+sf' for class B-2, 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: Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-1 notes, 'AAAsf' for class B-2 notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes and 'BBB+sf' for class E notes. SYMPHONY CLO 35: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by Symphony CLO 35, Ltd. (the "Issuer") Moody's rating action is as follows: US$250,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$6,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2034, Assigned Aaa (sf) US$500,000 Class F Senior Secured Deferrable Floating Rate Notes due 2034, 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. Symphony CLO 35, Ltd. 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, eligible investments and up to 10.0% of the portfolio may consist of second-lien loans, unsecured loans and non-loan assets . The portfolio is approximately 95% ramped as of the closing date. Symphony Alternative 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: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6.5 years (7.5 covenant) 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 2022-2: DBRS Finalizes B(high) Rating on Cl. B2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Asset-Backed Securities, Series 2022-2 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 ( TOWD POINT 2022-2: Fitch Assigns B-(EXP) Rating to Class B2 Debt ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to Towd Point Mortgage Trust 2022-2 (TPMT 2022-2). TPMT 2022-2 A1 LTAAAsf New Rating AAA(EXP)sf A2 LTAA-sf New Rating AA-(EXP)sf M1 LTA-sf New Rating A-(EXP)sf M2 LTBBB-sf New Rating BBB-(EXP)sf B1 LTBB-sf New Rating BB-(EXP)sf B2 LTB-sf New Rating B-(EXP)sf B3 LTNRsf New Rating NR(EXP)sf B4 LTNRsf New Rating NR(EXP)sf B5 LTNRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by one collateral group that consists of 2,931 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $490.49 million, including $23.4 million, or 4.8% of the aggregate pool balance in non-interest-bearing deferred principal amounts as of the cut-off date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not advance delinquent monthly payments of P&I. On Aug. 2, 2022, Fitch released an updated version of the U.S RMBS Loan Loss Model that incorporated the use of updated Case Shiller/sMVD data, which reflects 1Q22 and updated Economic Risk Factor data that reflects 2Q22. There were no material changes to the losses due to the updated version of the loan loss model, and the losses that were previously disclosed in the presale were maintained. As a result, there are no changes from the expected ratings to the final ratings due to the updates to the U.S. RMBS Loan Loss Model. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 9.0% above a long-term sustainable level (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, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. SPL and RPL Collateral (Mixed): The collateral pool consists primarily of peak-vintage SPLs and RPLs, as defined by Fitch. Of the pool, approximately 2.1% were delinquent (DQ) as of the cut-off date. Approximately 83.6% have had clean pay histories for 24 months or more (defined by Fitch as "clean current"), and the remaining 14.3% of the loans are current but have had recent delinquencies or incomplete 24-month pay strings. Fitch applied a probability of default (PD) credit to account for the pool's large concentration of clean current loans. Roughly 67.4% have been modified. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original CLTV of 83.8%. All loans received updated property values, translating to a WA current (MtM) CLTV ratio of 51.4% and sustainable LTV (sLTV) of 56.5% at the base case. This reflects low leverage borrowers and is stronger than recently rated SPL/RPL transactions. 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 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicers will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AA-sf' rated classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 40.9% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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 'AAAsf' ratings. TOWD POINT 2022-3: DBRS Gives Prov. B(high) Rating on Cl. B2 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the Asset-Backed Securities, Series 2022-3 to be issued by Towd Point Mortgage Trust 2022-3 (TPMT 2022-3 or the Trust) as follows: -- $428.6 million Class A1 at AAA (sf) -- $23.3 million Class A2 at AA (sf) -- $11.4 million Class M1 at A (low) (sf) -- $8.9 million Class M2 at BBB (low) (sf) -- $5.4 million Class B1 at BB (low) (sf) -- $3.5 million Class B2 at B (high) (sf) -- $428.6 million Class A1A at AAA (sf) -- $428.6 million Class A1AX at AAA (sf) -- $428.6 million Class A1B at AAA (sf) -- $428.6 million Class A1BX at AAA (sf) -- $23.3 million Class A2A at AA (sf) -- $23.3 million Class A2AX at AA (sf) -- $23.3 million Class A2B at AA (sf) -- $23.3 million Class A2BX at AA (sf) -- $23.3 million Class A2C at AA (sf) -- $23.3 million Class A2CX at AA (sf) -- $11.4 million Class M1A at A (low) (sf) -- $11.4 million Class M1AX at A (low) (sf) -- $11.4 million Class M1B at A (low) (sf) -- $11.4 million Class M1BX at A (low) (sf) -- $11.4 million Class M1C at A (low) (sf) -- $11.4 million Class M1CX at A (low) (sf) -- $8.9 million Class M2A at BBB (low) (sf) -- $8.9 million Class M2AX at BBB (low) (sf) -- $8.9 million Class M2B at BBB (low) (sf) -- $8.9 million Class M2BX at BBB (low) (sf) -- $8.9 million Class M2C at BBB (low) (sf) -- $8.9 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 13.40% of credit enhancement provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (high) (sf) ratings reflect 8.70%, 6.40%, 4.60%, 3.50%, 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 asset-backed notes (the Notes). The Notes are backed by 3,003 loans with a total principal balance $494,969,903 as of the Cut-Off Date (July 31, 2022). The portfolio is an average of approximately 186 months seasoned, and 97.9% of the loans are more than 24 months seasoned. Modified loans make up 62.1% of the portfolio, and modifications happened more than two years ago for 89.1% of those loans. Within the pool, 683 mortgages, equating to approximately 2.1% of the total principal balance, have non-interest-bearing deferred amounts. No Home Affordable Modification Program or proprietary principal forgiveness amounts included in the deferred amounts. As of the Cut-Off Date, 97.4% of the pool is current and 2.6% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method. Additionally, 0.8% of the pool is in bankruptcy (all non-coronavirus bankruptcy loans are performing or 30 days delinquent). Approximately 85.6% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the MBA delinquency or since origination. The majority of the pool (97.6%) 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 Temporary QM Safe Harbor (1.7%), QM Safe Harbor (0.5%), Non-QM (0.2%), and Higher Priced QM ( TOWD POINT 2022-3: Fitch Assigns B-(EXP) Rating to Class B2 Debt ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Towd Point Mortgage Trust 2022-3 (TPMT 2022-3). TPMT 2022-3 A1 LT AAA(EXP)sf Expected Rating A2 LT AA-(EXP)sf Expected Rating M1 LT A-(EXP)sf Expected Rating M2 LT BBB-(EXP)sf Expected Rating B1 LT BB-(EXP)sf Expected Rating B2 LT B-(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating B4 LT NR(EXP)sf Expected Rating B5 LT NR(EXP)sf Expected Rating A1A LT AAA(EXP)sf Expected Rating A1AX LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A1BX LT AAA(EXP)sf Expected Rating A2A LT AA-(EXP)sf Expected Rating A2AX LT AA-(EXP)sf Expected Rating A2B LT AA-(EXP)sf Expected Rating A2BX LT AA-(EXP)sf Expected Rating A2C LT AA-(EXP)sf Expected Rating A2CX LT AA-(EXP)sf Expected Rating M1A LT A-(EXP)sf Expected Rating M1AX LT A-(EXP)sf Expected Rating M1B LT A-(EXP)sf Expected Rating M1BX LT A-(EXP)sf Expected Rating M1C LT A-(EXP)sf Expected Rating M1CX LT A-(EXP)sf Expected Rating M2A LT BBB-(EXP)sf Expected Rating M2AX LT BBB-(EXP)sf Expected Rating M2B LT BBB-(EXP)sf Expected Rating M2BX LT BBB-(EXP)sf Expected Rating M2C LT BBB-(EXP)sf Expected Rating M2CX LT BBB-(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by Towd Point Mortgage Trust 2022-3 (TPMT 2022-3) as indicated above. The transaction is expected to close on Aug. 31, 2022. The notes are supported by one collateral group that consists of 3,003 seasoned performing loans (SPLs) and re-performing loans (RPLs) with a total balance of approximately $494.97 million, including $10.51 million, or 2.12%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the cut-off date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not advance delinquent (DQ) 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 11.6% above a long-term sustainable level (versus 11.0% on a national level as of August 2022, up 1.8% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.8% yoy nationally as of May 2022. SPL and RPL Collateral (Mixed): The collateral pool consists primarily of peak-vintage SPLs and RPLs, as defined by Fitch. Of the pool, approximately 2.6% were DQ as of the cut-off date. Approximately 83.8% have had clean pay histories for 24 months or more (defined by Fitch as "clean current"), 1.8% are newly-originated loans with clean pay histories of at least 12 months, and the remaining 11.8% of the loans are current but have had recent delinquencies or incomplete 24-month pay strings. Fitch applied a probability of default (PD) credit to account for the pool's large concentration of clean current loans. Roughly 62.1% have been modified. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original CLTV of 83.9%. All loans received updated property values, translating to a WA current (MtM) CLTV ratio of 50.7% and sustainable LTV (sLTV) of 57.6% at the base case. This reflects low leverage borrowers and is stronger than recently rated SPL/RPL transactions. 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 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicers will not advance DQ monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AA-sf' rated classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 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 42.5% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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'. TSTAT 2022-1: Fitch Assigns B-sf Rating on Class F Debt ------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to TSTAT 2022-1, Ltd. RATING ACTIONS ENTITY/DEBT RATING ----------- ------ TSTAT 2022-1, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT A+sf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY TSTAT 2022-1, Ltd. (the issuer) is a static arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Trinitas Capital Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the purchased portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The purchased portfolio consists of 97.8% first-lien senior secured loans and has a weighted average recovery assumption of 75.32%. Portfolio Composition (Positive): The largest three industries constitute 34.7% of the purchased portfolio balance in aggregate while the top five obligors represent 4.5% of the purchased 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 does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. 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. Each class of notes was able to withstand default rates in excess of the respective rating hurdles. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'A-sf' and 'AAAsf' for class A-1, 'BBB+sf' and 'AAAsf' for class A-2, between 'BBB-sf' and 'AA+sf' for class B, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, between less than 'B-sf' and 'B+sf' for class E, and less than 'B-sf' for class F. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. 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 'AA-sf' and 'AA+sf' for class C notes, 'AA-sf' for class D-1 notes, between 'A+sf' and 'AA-sf' for class D-2 notes, 'BBB+sf' for class E notes, and between 'BBB-sf' and 'BBB+sf' for class F notes. UBS COMMERCIAL 2019-C17: Fitch Affirms Bsf Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of UBS Commercial Mortgage Trust 2019-C17 Commercial Mortgage Pass-Through Certificates, Series 2019-C17. In addition, Fitch has revised the Rating Outlooks on classes G and X-G to Stable from Negative. Rating Prior ------ ----- UBS 2019-C17 A-1 90278MAW7 LT AAAsf Affirmed AAAsf A-2 90278MAX5 LT AAAsf Affirmed AAAsf A-3 90278MAZ0 LT AAAsf Affirmed AAAsf A-4 90278MBA4 LT AAAsf Affirmed AAAsf A-S 90278MBD8 LT AAAsf Affirmed AAAsf A-SB 90278MAY3 LT AAAsf Affirmed AAAsf B 90278MBE6 LT AA-sf Affirmed AA-sf C 90278MBF3 LT A-sf Affirmed A-sf D 90278MAG2 LT BBBsf Affirmed BBBsf E 90278MAJ6 LT BBB-sf Affirmed BBB-sf F 90278MAL1 LT BBsf Affirmed BBsf G 90278MAN7 LT Bsf Affirmed Bsf X-A 90278MBB2 LT AAAsf Affirmed AAAsf X-B 90278MBC0 LT A-sf Affirmed A-sf X-D 90278MAA5 LT BBB-sf Affirmed BBB-sf X-F 90278MAC1 LT BBsf Affirmed BBsf X-G 90278MAE7 LT Bsf Affirmed Bsf KEY RATING DRIVERS Stable Loss Expectations: Fitch's base case loss expectations have remained relatively stable since Fitch's prior rating action. The Outlook revisions to Stable from Negative on classes G and X-G reflect performance stabilization and better than expected performance of properties affected by the pandemic. This includes several hotel loans outside of the top 15, which have had significantly improved performance in 2021 from the peak of the pandemic in 2020, have begun to stabilize and are no longer considered Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 4.88%, which is in-line with issuance. Nine loans (11.8% of pool), including five (5.4%) in special servicing, were designated FLOCs. The largest specially serviced loan is Hudson River Hotel (1.7%), which is secured by a 56-key limited service boutique hotel located three blocks east of the Hudson Yards development. The loan, which is sponsored by Ae Sook Choi and Jin Sup An, transferred to special servicing in June 2020. The borrower filed for Chapter 11 Bankruptcy in March 2022. The special servicer is evaluating all alternatives, including foreclosure. Financials have not been provided since issuance. Fitch's base case loss of 44% reflects a discount to the recent servicer provided valuation and a Fitch stressed value of $187.5K per key. Minimal Change to Credit Enhancement (CE): As of the July 2022 distribution date, the pool's aggregate balance has been paid down by 1.7% to $793.6 million from $807.3 million at issuance. Twenty-one loans (34.2% of pool) are full-term, IO, and 21 loans (34.8%) have a partial-term, IO component. Three loans (2.8%) are fully defeased. Cumulative interest shortfalls of $419,853 are currently affecting the non-rated classes NR-RR and VRRI. Pool Concentration: The top 10 loans comprise 37.7% of the pool. Loan maturities are concentrated in 2029 (99.0%). Based on property type, the largest concentrations are retail at 23.0%, hotel at 21.4% and industrial at 15.3%. Credit Opinion Loans: Two loans representing 9.5% of the pool were credit assessed at issuance. Grand Canal Shoppes (6.3%) received a stand-alone credit opinion of 'BBB-sf' and 10000 Santa Monica Boulevard (3.2%) received a stand-alone credit opinion of 'BBBsf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes in the 'AAAsf' and 'AAsf' categories are not likely due to sufficient CE and expected continued amortization but would occur at the 'AAAsf' and 'AAsf' levels if interest shortfalls occur. Downgrades of classes in the 'Asf' and 'BBBsf' categories would occur if additional loans become FLOCs or if performance of the FLOCs deteriorates significantly. Classes F, X-F, G and X-G would be downgraded if loss expectations increase on the FLOCs or additional loans become FLOCs and/or transfer to special servicing. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, C, X-B, D, E and X-D may occur with significant improvement in CE and/or defeasance but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes F, X-F, G and X-G are not likely until the later years of the transaction, but could occur if performance of the FLOCs improves significantly and there is sufficient CE. UPSTART SECURITIZATION 2022-4: Moody's Gives Ba2 Rating to B Notes ------------------------------------------------------------------ Moody's Investors Service as assigned definitive ratings to the notes 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 $152,185,000, 5.98%, Class A Notes, Definitive Rating Assigned A3 (sf) $26,856,000, 8.68%, Class B Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure and 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 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 Finalizes B Rating on 3 Classes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Certificates, Series 2022-4 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. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2022-INV1: S&P Assigns (P) B-(sf) on B-2 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2022-INV1's mortgage-backed notes. The note issuance is an RMBS securitization backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Aug. 17, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned Verus Securitization Trust 2022-INV1 Class A-1, $218,926,000: AAA (sf) Class A-2, $36,813,000: AA (sf) Class A-3, $45,187,000: A (sf) Class M-1, $32,528,000: BBB- (sf) Class B-1, $21,035,000: BB- (sf) Class B-2, $16,751,000: B- (sf) Class B-3, $18,309,358: Not rated Class A-IO-S, $389,549,358(i): Not rated Class XS, $389,549,358(i): Not rated Class R, not applicable: Not rated (i)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cut-off date. WELLS FARGO 2017: Fitch Affirms CCC Rating on Class G-RR Debt ------------------------------------------------------------- Fitch Ratings has revised the Rating Outlooks on two classes and affirmed all 15 classes of Wells Fargo Commercial Mortgage Trust, Series 2017-C4. In addition, Fitch has affirmed the rating and revised the Outlook for the 2017 C41 III Trust pass through certificate (MOA 2020-WC41 Class E-RR) to Stable from Negative. WFCM 2017-C41 A-1 95001AAZ9 LT AAAsf Affirmed AAAsf A-2 95001ABA3 LT AAAsf Affirmed AAAsf A-3 95001ABC9 LT AAAsf Affirmed AAAsf A-4 95001ABD7 LT AAAsf Affirmed AAAsf A-S 95001ABG0 LT AAAsf Affirmed AAAsf A-SB 95001ABB1 LT AAAsf Affirmed AAAsf B 95001ABH8 LT AA-sf Affirmed AA-sf C 95001ABJ4 LT A-sf Affirmed A-sf D 95001AAD8 LT BBB+sf Affirmed BBB+sf E-RR 95001AAG1 LT BBB-sf Affirmed BBB-sf F-RR 95001AAK2 LT BBsf Affirmed BBsf G-RR 95001AAN6 LT CCCsf Affirmed CCCsf X-A 95001ABE5 LT AAAsf Affirmed AAAsf X-B 95001ABF2 LT AA-sf Affirmed AA-sf X-D 95001AAA4 LT BBB+sf Affirmed BBB+sf MOA 2020-WC41 E E-RR 90215VAA1 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS The Outlook revisions to Stable from Negative on classes E-RR, G-RR, and pass through MOA 2020-WC41 E-RR 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 (7.6% of the pool) were defeased. Fitch's current ratings incorporate a base case loss of 4.40%. Currently, 11 loans (36.1%) have been identified as FLOCs. As of the July 2022 remittance reporting, zero loans are in special servicing and/or delinquent. The largest contributor to loss expectations is the Mall of Louisiana (FLOC; 5.3% of the pool) loan, which is a 1.5 million-sf (of which 776,789 sf is collateral) super-regional mall built in 1997 (renovated in 2008), located in Baton Rouge, LA. The subject is the dominate mall in a secondary market, but is considered a FLOC due to declining NOI, a now vacant non-collateral Sears box, and upcoming tenant rollover of 12.9% and 8.3% NRA in 2022 and 2023, respectively. In-line tenant sales recovered in 2021 and were reported at $539 psf for stores under 10,000 sf, excluding Apple, and $678 including Apple, both of which are an improvement from 2020 and 2019, reporting $334 and $394, $454 and $587, respectively. However, reported sales for AMC Theaters were $64,467 per screen in 2021, a 68% decrease from $199,956 in 2020. The servicer reported YE 2021 NOI declined by 8.3% compared to 2020, and is down 37.3% from underwritten expectations. YE 2021 DSCR was 1.48x, down from 2.00x a year earlier, and 2.39x in 2019. The loan began amortizing in September 2020, which partly contributed to the decline in DSCR. Fitch's modeled loss of 17% is based on a 5% stress to YE 2021 NOI and a 12.5% cap rate. The second largest contributor to expected losses is 61 Grove Street (2.9%), which is secured by a 12-unit mixed-use (multifamily/retail) property located in New York, NY. The property was originally constructed in 1900 and most recently renovated in 2016 when the sponsor reportedly spent over $2 million during renovations ($170,583/unit). The Master Servicer has been unable to receive updated financials for the subject from the borrower with the most recently reported figures are from June 2018. However, the loan remains current. Fitch's loss expectations of 11.5% are based on the Fitch net cash flow from issuance due to the lack of updated reporting. The second largest increase in loss since the prior rating action is the National Office Portfolio (FLOC; 3.7%), secured by a 2.6 million-sf suburban office portfolio consisting of 18 properties across four states (TX, IL, GA, AZ). At issuance, Fitch noted that the buildings were leased to more than 1,000 different tenants and no tenant accounted for more than 4.5% NRA. The largest tenants include American Intercontinental University (4.5% NRA; lease expiry in May 2028) and Trinity Universal Insurance Co (3.3% NRA; June 2025). The portfolio was 74% occupied as of December 2021, up slightly from 73% at YE 2020, but still be low 79% at YE 2019. Fitch's loss expectations of approximately 5% reflects a 10% stress to YE 2021 NOI due to concerns with upcoming rollover in the second half of 2022. Since the prior rating action, the pool experienced a sizable loss of $11.9 million on the disposal of the Hilton Houston Galleria TX (previously 1.9% of the pool) in May 2022. The trust received $2.2 million in net recoveries from the sale, (approximately $7,500 per key), which was much lower than anticipated. The loan originally transferred to the special servicer in July 2020 due to payment default and the trust took the title in February 2022. Change in Credit Enhancement (CE): CE has declined since issuance due to the disposal of the Hilton Houston Galleria, limited amortization, and three loan defeasances representing 7.6% of the pool. As of the July 2022 remittance report, the pool's aggregate balance has been paid down by 4.1% to $742.0 million from $785.9 million at issuance. There are 19 loans (34.6% of the pool) that are full-term interest-only (IO), 16 (27.8%) balloon loans and 15 (37.6%) loans with a partial IO component. 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, X-B and X-D may occur should expected losses for the pool increase substantially from continued underperformance of the FLOCs. Downgrades to classes E-RR, F-RR, and pass through MOA 2020-WC41 E-RR will occur with a greater certainty of loss from continued performance decline of the FLOCs and/or loans transfer to special servicing. Downgrades to the distressed class G-RR would occur as losses are realized. 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 were 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. WFRBS COMMERCIAL 2014-C19: Fitch Cuts Class F Debt Rating to Csf ---------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 12 classes of WFRBS Commercial Mortgage Trust 2014-C19, commercial mortgage pass-through certificates. Fitch has also revised the Rating Outlooks on three classes to Stable from Negative. Rating Prior ------ ----- WFRBS 2014-C19 A-3 92938VAN5 LT AAAsf Affirmed AAAsf A-4 92938VAP0 LT AAAsf Affirmed AAAsf A-5 92938VAQ8 LT AAAsf Affirmed AAAsf A-S 92938VAS4 LT AAAsf Affirmed AAAsf A-SB 92938VAR6 LT AAAsf Affirmed AAAsf B 92938VAT2 LT AA-sf Affirmed AA-sf C 92938VAU9 LT A-sf Affirmed A-sf D 92938VAA3 LT BBsf Affirmed BBsf E 92938VAC9 LT CCCsf Affirmed CCCsf F 92938VAE5 LT Csf Downgrade CCsf PEX 92938VAV7 LT A-sf Affirmed A-sf X-A 92938VAW5 LT AAAsf Affirmed AAAsf X-B 92938VAX3 LT BBsf Affirmed BBsf KEY RATING DRIVERS Increase in Loss Expectations; Greater Certainty of Loss: The downgrade of class F reflects a greater certainty of loss due to higher loss expectations on the pool since Fitch's last rating action, driven mainly by the specially serviced Brunswick Square and Waltonwood at Lakeside loans. Fitch's current ratings reflect a base case loss of 6.60%. Twelve loans (24.5% of the pool) are considered Fitch Loans of Concern (FLOCs), which include two specially serviced loans (4.1%). The Outlook revisions to Stable from Negative reflect performance stabilization of loans that had been negatively affected by the pandemic. The Outlook remains Negative on classes D and X-B due to continued performance concerns on the Brunswick Square, Renaissance Chicago Downtown and Waltonwood at Lakeside loans, for which the class is reliant on for recoveries; a downgrade is possible with further performance deterioration and/or prolonged workouts of these loans. The largest increase in loss since the last rating action is the specially serviced Brunswick Square loan (3.1%), which is secured by a 292,685-sf portion of a 760,311-sf regional mall located in East Brunswick, NJ. Non-collateral anchors include JCPenney and Macy's. The collateral is anchored by a 13-screen AMC Theatre (15.8% of NRA; through May 2027) and Barnes & Noble (8.5%; January 2025). The loan transferred back to the special servicer for a second time in July 2021 after becoming 60+ days delinquent. The loan had first transferred to special servicing in June 2020 for imminent monetary default related the ongoing coronavirus pandemic, and was transferred back to the master servicer in October 2020 at the borrower's request with no modification. A receiver is in place and the special servicer is currently assessing options to complete a receivership sale within the next 60-90 days. The loan is sponsored by Washington Prime Group. Collateral occupancy was 90% as of YE 2021, compared with 88% at YE 2020 and 94% at YE 2019. YE 2021 NOI fell an additional 42% from YE 2020 due to lower rental revenues. The servicer-reported YE 2021 NOI debt service coverage ratio (DSCR) declined to 0.59x from 1.02x at YE 2020 and 1.32x at YE 2019. As of the latest available sales figures provided to Fitch for TTM May 2021, in-line tenant sales were low at $169 psf, down significantly from $277 psf as of TTM May 2019 and $332 psf reported around the time of issuance. Fitch's base case loss of 81% factors in a stress to a recent appraisal and implies a 20% cap rate to the YE 2021 NOI. The next largest increase in loss since the last rating action is the Waltonwood at Lakeside loan (2.2%), which is secured by a 122-unit senior housing facility located in Sterling Heights, MI. YE 2021 NOI declined 27% from YE 2020. Property performance has continued to deteriorate due to higher operating expenses, declining rental income and increased market competition, which has contributed to the decline in occupancy. The property was 77.8% occupied as of March 2022, down from 80.8% at YE 2021, 71.7% at YE 2020 and 83.3% at YE 2019. Fitch's base case loss of 53% reflects a 9.25% cap rate and a 5% haircut to the YE 2021 NOI, resulting in a stressed value of approximately $70,400 per unit. The largest FLOC is the Renaissance Chicago Downtown loan (9.1%), which is secured by the leasehold interest in a 553-key, full service hotel located in downtown Chicago, IL. The property is subject to a ground lease through 2087. The most recent ground rent reset was in 2018 and occurs every 10 years thereafter. While property performance has not returned to pre-pandemic levels, it continues to stabilize. The servicer-reported YE 2021 NOI DSCR was 0.28x, compared with -2.51x in 2020 and 2.77x in 2019. Per STR and as of TTM January 2022 report, the property's reported occupancy, ADR and RevPAR were 52.6%, $198 and $104, respectively, compared with 16.9%, $175 and $30 for TTM December 2021 and 80.6%, $249 and $200 for TTM December 2020. The RevPAR penetration rate as of TTM January 2022 was strong at 154.9%. In 2020, the loan's original maturity date of January 2021 was extended to July 2022. The maturity was recently further extended to January 2023. As part of the extension request, the loan is cash managed until the extended maturity date. Fitch's analysis incorporates a 26% stress to the YE 2019 NOI to account for performance declines related to the pandemic. Alternative Loss Consideration; Maturity Concentration: Due to significant upcoming maturity as all of the remaining loans in the pool mature during first quarter 2024, Fitch performed an additional paydown scenario and considered the Brunswick Square, Renaissance Chicago Downtown and Waltonwood at Lakeside loans as the last remaining loans in the pool. A small portion of class C and classes D and below would be reliant on these three loans for repayment; this scenario supported the downgrade and Outlook revisions. Increasing Credit Enhancement (CE): CE has increased since the last rating action due to continued amortization, prepayment and defeasance. As of the July 2022 distribution reporting, the pool's balance has been reduced by 25.6% since issuance. Since the last rating action, three loans ($25 million) were prepaid with yield maintenance. Defeasance has increased to 21 loans (15.7%) from 15 loans (9.4%) at the last rating action. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to the 'AAAsf' and 'AA-sf' rated classes are not considered likely due to the position in the capital structure and/or increasing CE from continued amortization and paydowns, but may occur should interest shortfalls affect these classes. Downgrades of classes C and PEX are possible should loss expectations increase significantly due to further declines in pool performance, additional loan defaults or greater than expected losses are incurred on the FLOCs. Downgrades of classes D and X-B are possible with further performance deterioration and/or prolonged workouts of the Brunswick Square, Renaissance Chicago Downtown and Waltonwood at Lakeside loans. Downgrades of classes E and F would occur with a greater certainty of losses 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: Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B, C and PEX could occur with a significant improvement in CE and/or defeasance, coupled with stabilization of performance on the FLOCs, primarily Brunswick Square and Waltonwood at Lakeside. An upgrade to classes D and X-B are considered unlikely and would be limited based on sensitivity to concentrations, or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. Classes rated 'CCCsf' and below are unlikely to be upgraded absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans, particularly the Brunswick Square loan. [*] Moody's Upgrades Rating on $36MM of US RMBS Issued 2005-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 3 bonds from 2 US residential mortgage backed transactions (RMBS), backed by Alt-A and subprime mortgages issued by multiple issuers. A list of Affected Credit Ratings is available at https://bit.ly/3QLg2Mw Complete rating actions are as follows: Issuer: GSAA Home Equity Trust 2005-MTR1 Cl. A-4, Upgraded to Aaa (sf); previously on Jul 5, 2018 Upgraded to Aa2 (sf) Cl. A-5, Upgraded to Aa2 (sf); previously on Jul 5, 2018 Upgraded to A1 (sf) Issuer: Saxon Asset Securities Trust 2007-1, Mortgage Loan Asset Backed Certificates, Series 2007-1 Cl. A-2d, Upgraded to Baa3 (sf); previously on Jun 27, 2017 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" 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. [*] S&P Takes Various Actions on 20 Classes From 12 RMBS Deals -------------------------------------------------------------- S&P Global Ratings completed its review of 20 classes from 12 U.S. RMBS transactions. The review yielded 14 downgrades due to observed principal write-downs and six downgrades due to observed interest shortfalls/missed interest payments. In addition, S&P placed one of the lowered ratings on CreditWatch with negative implications. A list of Affected Ratings can be viewed at: https://bit.ly/3AKVMVE Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Historical and/or outstanding interest shortfalls/missed interest payments; and -- Available and/or insufficient subordination and/or overcollateralization (O/C). Rating Actions S&P said, "The rating changes reflect our view of the associated transaction-specific collateral performance, the structural characteristics, or the application of criteria relevant to these classes. "The lowered ratings due to interest shortfalls are consistent with our "S&P Global Ratings Definitions," published Nov. 9, 2021, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "In instances where the class does receive additional compensation for outstanding interest shortfalls, our analysis considers the likelihood that the missed interest payments, including the capitalized interest, would be reimbursed under our various rating scenarios. Five classes from five transactions were affected in this review. "In instances where the class does not receive additional compensation for outstanding interest shortfalls, our analysis focuses on our expectations regarding the length of the interest payment interruptions to assign the rating on the class. The rating on the class M-1 certificates issued from CPT Asset-Backed Certificates Trust 2004-EC1 was lowered in this review due to its first reported interest shortfall during the April 2022 remittance report and continued interest shortfalls reported through the July 2022 remittance period (four periods). Based on "S&P Global Ratings Definitions," an outstanding interest shortfall for a duration of four periods is consistent with a maximum potential rating of 'A- (sf)'. "Additionally, we placed the CPT Asset-Backed Certificates Trust 2004-EC1 class M-1 certificates on CreditWatch with negative implications. The CreditWatch placement reflects the current interest shortfalls on this class, the current level of O/C (13.4% of the deal's target O/C amount), and the potential for the target to be reached prior to an additional three periods of interest shortfalls in which, based on our criteria, displays a maximum potential rating of 'BBB- (sf)'. We will continue to monitor the O/C level and interest shortfall of the class M-1 balance and resolve the CreditWatch placement. "The lowered ratings due to outstanding principal write-downs reflect our assessment of the principal write-downs' effect on the affected classes during recent remittance periods. All of these classes were rated 'CCC (sf)' or 'CC (sf)' before today's rating actions." [*] S&P Takes Various Actions on 69 Classes from 28 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 69 classes from 28 U.S. RMBS transactions issued between 2003 and 2007. All of these transactions are backed by subprime collateral. The review yielded 41 upgrades, three downgrades, and 25 affirmations. A list of Affected Ratings can be viewed at: https://bit.ly/3ADBgWV Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Increases in credit support; -- An expected short duration; -- Payment priority; and -- Historical and/or outstanding missed interest payments/interest shortfalls. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections." The upgrades are primarily due to increased credit support. These transactions have failed its cumulative loss trigger, which provides a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the class' exposure to losses. As a result, the upgrades on these classes reflect their ability to withstand a higher level of projected losses than previously anticipated. Additionally, the majority of these classes are receiving all of the principal payments, or are next in payment priority when the more senior class pays down. ********* 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. 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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 ***