/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220911.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, September 11, 2022, Vol. 26, No. 253 Headlines AGL CLO 21: Fitch Affirms BBsf Rating on Class E Debt ARES LXVI: Fitch Assigns BB-sf Rating on Class E Debt BANK 2019-BNK20: Fitch Affirms B- Rating on Class G Certs BANK 2022-BNK43: Fitch Assigns B-sf Rating to Class F Certs BARCLAYS MORTGAGE 2022-NQM1: Fitch Gives B(EXP) Rating to B2 Certs BARINGS CLO III: Fitch Gives BB-(EXP) Rating to Class E Debt BARINGS LOAN 3: Fitch Assigns BB-sf Rating to Class E Debt BLACKROCK MAROON CLO XI: S&P Assigns Prelim BB- Rating on E Notes BRAVO RESIDENTIAL 2022-NQM3: Fitch to Rate Cl. B-2 Notes 'B(EXP)' CITIGROUP 2022-RP4: Fitch Assigns B(EXP) Rating to Class B-2 Debt CXP TRUST 2022-CXP1: Moody's Assigns (P)B3 Rating to Cl. F Certs ETRADE RV 2004-1: S&P Affirms 'CCC- (sf)' Rating on Cl. D/E Notes FORTRESS CREDIT XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes GLS AUTO 2022-3: S&P Assigns Prelim BB- (sf) Rating Class E Notes GS MORTGAGE 2018-3PCK: S&P Affirms B(sf) Rating on Class X-E Certs ILPT COMMERCIAL 2022-LPF2: Moody's Gives (P)B2 Rating to HRR Certs IMSCI 2015-6: Fitch Affirms Bsf Rating to Class G Certs LCM 39 LTD: Moody's Assigns (P)B3 Rating to $500,000 Class F Notes MARATHON STATIC 2022-18: Fitch Assigns BB+ Rating to Cl. E Debt NEUBERGER BERMAN 51: Moody's Assigns B3 Rating to $1MM Cl. F Notes OBX TRUST 2022-NQM7: Fitch Assigns Bsf Rating on Class B-2 Notes PARK BLUE 2022-I: Moody's Assigns B3 Rating to $1MM Class F Notes RADNOR RE 2021-2: Moody's Upgrades Rating on Cl. M-1B Notes to Ba1 STORM KING: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes WESTLAKE AUTOMOBILE 2021-2: S&P Raises F Notes Rating to B+(sf) [*] S&P Takes Various Actions on 79 Classes from 23 U.S. RMBS Deals ********* AGL CLO 21: Fitch Affirms BBsf Rating on Class E Debt ----------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AGL CLO 21 LTD. Rating Prior ------ ----- AGL CLO 21 LTD. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT NRsf New Rating NR(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 BBsf New Rating BB(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LTNRsf New Rating NR(EXP)sf TRANSACTION SUMMARY AGL CLO 21 LTD. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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', which is in line with that of recent CLOs issuers rated in the 'B' rating category, and denotes a highly speculative credit quality. However, the class B, C, D and E notes benefit from credit enhancement of 25.95%, 19.70%, 13.10% and 10.35%, respectively, 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 74.41%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 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, each class of notes was able to withstand appropriate default rates for their assigned expected 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, between 'B-sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBBsf' for class D, and between less than 'B-sf' and 'BBsf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and between 'BBB+sf' and 'Asf' for class E notes. ARES LXVI: Fitch Assigns BB-sf Rating on Class E Debt ----------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXVI CLO Ltd. Ares LXVI CLO Ltd. A-1a LT NRsf New Rating A-1b LT NRsf New Rating A-1c LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB+sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating TRANSACTION SUMMARY Ares LXVI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO 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/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.1 versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans. The weighted average recovery assumption of the indicative portfolio is 76.08% versus a minimum covenant, in accordance with the initial expected matrix point of 74.63%. 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 3.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the class B, C, D-1, D-2 and E notes can withstand default rates of up to 53.1% 48.2%, 44.4%, 38.0% and 29.6%, respectively, assuming portfolio recovery rates of 48.4%, 57.5%, 66.6%, 66.6%, and 73.0%, in Fitch's 'AAsf', 'Asf', 'BBB+sf' 'BBB-sf', and 'BB-sf' scenarios, respectively. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B notes, between 'B+sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D-1 notes, between less than 'B-sf' and 'BBB-sf' for class D-2 notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AAsf' for class C notes, 'A+sf' for class D-1 notes, 'A+sf' for class D-2 notes, and 'BBB+sf' for class E notes. BANK 2019-BNK20: Fitch Affirms B- Rating on Class G Certs --------------------------------------------------------- Fitch Ratings has affirmed all 13 classes of BANK 2019-BNK20 Commercial Mortgage Pass-Through Certificates Series 2019-BNK20. In addition, Fitch has revised the Rating Outlook on one class to Stable from Negative. RATING ACTIONS BANK 2019-BNK20 Rating Prior ------ ----- A-2 06540AAC5 LT AAAsf Affirmed AAAsf A-3 06540AAD3 LT AAAsf Affirmed AAAsf A-S 06540AAG6 LT AAAsf Affirmed AAAsf A-SB 06540AAB7 LT AAAsf Affirmed AAAsf B 06540AAH4 LT AA-sf Affirmed AA-sf C 06540AAJ0 LT A-sf Affirmed A-sf D 06540AAM3 LT BBBsf Affirmed BBBsf E 06540AAP6 LT BBB-sf Affirmed BBB-sf F 06540AAR2 LT BB-sf Affirmed BB-sf G 06540AAT8 LT B-sf Affirmed B-sf X-A 06540AAE1 LT AAAsf Affirmed AAAsf X-B 06540AAF8 LT A-sf Affirmed A-sf X-D 06540AAK7 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Improved Loss Expectations: Expected losses have declined slightly since Fitch's prior rating action. The Outlook revision on class F to Stable from Negative reflects performance stabilization of properties that had been negatively affected by the pandemic. The Outlook remains Negative on class G due to continued underperformance of the seven loans (18.8%) designated as Fitch Loans of Concerns (FLOCs), particularly 214-224 West 29th Street, Hawthorne Works Shopping Center, Japan Center East and West, and Century Gateway. However, the Outlook revision to Stable for classes F also reflects that Fitch does not expect imminent losses from 214-224 West 29th Street. As of the August 2022 remittance reporting, there are no loans in special servicing and one loan (0.3%) is delinquent. Fitch's ratings incorporate a base case loss of 3.50%. The largest contributor to loss expectations is 214-224 West 29th Street (6.4%), which is secured by a 200,454 sf office property, located in Manhattan's Chelsea neighborhood. The ground floor retail spaces (approximately 7.0% of NRA) remain vacant. One space was previously occupied by Duane Reade, which vacated upon lease expiration in August 2019. The loan remains a FLOC due to declining base rents and expense reimbursements. The property also has proportionally high exposure to WeWork (43.1% of the NRA leased through January 2034). Per the May 2022 rent roll, occupancy had declined to 68.7% (60.2% excluding the fourth floor space prepared for WeWork), and web searches indicate that WeWork is not taking bookings on the floor. The sponsor has filed a lawsuit against WeWork for defaulting on the lease and allegedly attempting to move the tenants to different WeWork locations. The servicer reported NOI DSCR of 1.60x for YE 2021 with an NOI of $5.1 million, but Fitch's NOI at issuance was $7.0 million. Fitch's analysis is based on an 8.25% cap rate and 10% stress to YE 2021 NOI, resulting in an 18.8% loss expectation. The largest increase in loss expectations since the prior rating action and second largest contributor to losses, Hawthorne Works Shopping Center (3.1%), is secured by a 284,095-sf retail center located in a dense retail corridor in Cicero, IL. The rent roll is granular, with 35 of the 38 tenants occupying less than 7.5% of NRA, the largest being AMC Theatres, which accounts for 19.4% of NRA. YE 2021 NOI declined due to increased operating expenses, specifically real estate taxes and insurance. Occupancy has increased to 88.6% per the March 2022 rent roll, up from 85.2% at YE 2021 but remains below 89.5% at YE 2019. Rollover will be seven tenants (4.5% NRA) in 2023 and five tenants (7.0% NRA) in 2024. Reported tenant sales have increased to $412 psf as of YE 2021, up from $298 psf at YE 2020, and $263 psf in 2019. Fitch's loss expectation of 9% reflects a 9% cap rate and 5% stress to YE 2021 NOI. The second largest increase in expected losses come from the Japan Center East and West (FLOC; 3.0%), secured by a 71,221-sf retail center located in San Francisco's Japantown retail district. Japantown is a six-block retail district focused on offering Japanese entertainment, shopping and cuisine, which is centered on the subject property. The loan is considered a FLOC due to a significant decline in cash flow (21%) since issuance. Servicer reported YE 2021 NOI DSCR was 2.12x. Occupancy as of the March 2022 rent roll is 81.5% compared to 78.1% at YE 2021, and 91.5% at issuance. Fitch's analysis included an 8.75% cap rate on YE 2021 NOI resulting in a loss of 6.1%. Change in Credit Enhancement (CE): CE has increased since issuance due to the prepayment of NKX Multifamily Portfolio (previously a FLOC and 5.7% of the pool), and the defeasance of one loan representing 1.2% of the pool. As of the August 2022 remittance report, the pool's aggregate balance has been paid down by 6.6% to $1.155 billion from $1.237 billion at issuance. There are 30 loans (58.9 % of the pool) that are full-term interest-only (IO), 28 (17.4%) balloon loans and 13 (23.7%) 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 the associated 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. Downgrades to classes E, F, and G would occur with continued underperformance of the FLOCs and/or the transfer of loans to special servicing. 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 could cause this trend to reverse. Upgrades to the 'BBB-sf' and 'BBBsf' rated classes are 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. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BANK 2022-BNK43: Fitch Assigns B-sf Rating to Class F Certs ----------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK 2022-BNK43, commercial mortgage pass-through certificates, series 2022-BNK43, as follows: -- $16,160,000 class A-1 'AAAsf'; Outlook Stable; -- $46,018,000 class A-2 'AAAsf'; Outlook Stable; -- $3,443,000 class A-3 'AAAsf'; Outlook Stable; -- $23,908,000 class A-SB 'AAAsf'; Outlook Stable; -- $229,700,000a class A-4 'AAAsf'; Outlook Stable; -- $0b class A-4-1 'AAAsf'; Outlook Stable; -- $0bc class A-4-X1 'AAAsf'; Outlook Stable; -- $0b class A-4-2 'AAAsf'; Outlook Stable; -- $0bc class A-4-X2 'AAAsf'; Outlook Stable; -- $405,454,000a class A-5 'AAAsf'; Outlook Stable; -- $0b class A-5-1 'AAAsf'; Outlook Stable; -- $0bc class A-5-X1 'AAAsf'; Outlook Stable; -- $0b class A-5-2 'AAAsf'; Outlook Stable; -- $0bc class A-5-X2 'AAAsf'; Outlook Stable; -- $724,683,000c class X-A 'AAAsf'; Outlook Stable; -- $195,406,000ac class X-B 'AA-sf'; Outlook Stable; -- $100,938,000 class A-S 'AAAsf'; Outlook Stable; -- $0b class A-S-1 'AAAsf'; Outlook Stable; -- $0bc class A-S-X1 'AAAsf'; Outlook Stable; -- $0b class A-S-2 'AAAsf'; Outlook Stable; -- $0bc class A-S-X2 'AAAsf'; Outlook Stable; -- $50,469,000 class B 'AA-sf'; Outlook Stable; -- $0b class B-1 'AA-sf'; Outlook Stable; -- $0bc class B-X1 'AA-sf'; Outlook Stable; -- $0b class B-2 'AA-sf'; Outlook Stable; -- $0bc class B-X2 'AA-sf'; Outlook Stable; -- $43,999,000 class C 'A-sf'; Outlook Stable; -- $0b class C-1 'A-sf'; Outlook Stable; -- $0bc class C-X1 'A-sf'; Outlook Stable; -- $0b class C-2 'A-sf'; Outlook Stable; -- $0bc class C-X2 'A-sf'; Outlook Stable; -- $50,469,000cd class X-D 'BBB-sf'; Outlook Stable; -- $28,470,000d class D 'BBBsf'; Outlook Stable; -- $21,999,000d class E 'BBB-sf'; Outlook Stable; -- $20,705,000d class F 'BB-sf'; Outlook Stable; -- $10,353,000d class G 'B-sf'; Outlook Stable. Fitch does not rate the following classes: -- $33,646,246d class H; -- $54,487,487e class RR Interest. a. Since Fitch published its expected ratings on Aug. 1, 2022, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $635,154,000 in the aggregate, subject to a 5% variance. The classes above reflect the final ratings and deal structure. Additionally, Fitch's rating on class X-B was updated to 'AA-sf', reflecting the ratings of class B, the lowest class referenced tranche whose payable interest has an effect on the interest-only payments. The classes above reflect the final ratings and deal structure. b. Exchangeable Certificates. Class A-4, A-5, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. c. Notional amount and IO. d. Privately placed and pursuant to Rule 144A. e. Represents the "eligible vertical interest" comprising 5.0% of the pool. The ratings are based on information provided by the issuer as of Aug. 23, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 61 loans secured by 103 commercial properties with an aggregate principal balance of $1,089,749,733 as of the cutoff date. The loans were contributed to the trust by Bank of America, National Association, Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC and National Cooperative Bank, N.A. The master servicers are expected to be Wells Fargo Bank, National Association and National Cooperative Bank, N.A. The special servicers are expected to be Greystone Servicing Company LLC and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 38.0% of the properties by balance, cash flow analyses of 85.9% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Conduit-specific Leverage than Recent Transactions: This transaction's leverage is lower when compared with other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio of 1.43x is greater than the 2022 YTD and 2021 averages of 1.34x and 1.38x, respectively. Additionally, the pool's Fitch loan-to-value (LTV) ratio of 94.0% is lower than the 2022 YTD and the 2021 averages of 100.9% and 103.3%, respectively. The pool's conduit specific leverage is also lower than recent multiborrower transactions Fitch has rated recently. Excluding the co-operative (co-op) and the credit opinion loans, the pool's DSCR and LTV are 1.30x and 98.5%, respectively. The 2022 YTD and 2021 averages excluding credit opinion and co-op loans are 1.24x/108.9% and 1.30x/110.5%, respectively. Higher Pool Concentration: The pool's largest 10 loans represent 59.2% of its cutoff balance, which is greater than the 2022 YTD and 2021 averages of 55.5% and 51.2%, respectively. This results in Loan Concentration Index (LCI) score of 446 for the pool, which is higher than the 2022 YTD and 2021 averages of 323 and 381, respectively. Investment-Grade Credit Opinion and Co-Op Loans: The pool includes one loan, representing 7.71% of the pool, which received an investment-grade credit opinion. This is below the 2022 YTD average of 16.5% as well as the 2021 average of 13.3%. Constitution Center (7.71% of the pool) received a credit opinion of 'A-sf*' on a standalone basis. Additionally, the pool contains a total of 15 loans, representing 4.0% of the cutoff balance, that are secured by residential co-ops and exhibit leverage characteristics significantly lower than typical conduit loans. The weighted-average (WA) Fitch DSCR and LTV for the co-op loans are 5.30x and 28.4%, respectively. Limited Amortization: Based on the estimated loan balances at maturity, the pool is scheduled to pay down only 4.2%, which is above the 2022 YTD average of 3.4% but below the 2021 average of 4.8%. Thirty-five loans, representing 70.5% of the pool, are full-term interest only. Five additional loans, representing 6.0% of the pool, are partial interest only. The percentage of full-term interest-only loans is slightly lower than the 2022 YTD and 2021 averages of 79.2% and 70.5%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 10% NCF Decline: 'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf'; -- 20% NCF Decline: 'A-sf'/'BBB-sf'/'BB+sf'/'Bsf'/'CCCsf'/'CCCsf'/'CCCsf'; -- 30% NCF Decline: 'BBBsf'/'BB+sf'/'B-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; -- 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BBB-sf'/'BBB-sf'. BARCLAYS MORTGAGE 2022-NQM1: Fitch Gives B(EXP) Rating to B2 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Barclays Mortgage Loan Trust 2022-NQM1 (BARC 2022-NQM1). BARC 2022-NQM1 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating AIOS LT NR(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 M1 LT BBB(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 718 nonprime loans with a total balance of approximately $255.3 million as of the cutoff date. Loans in the pool were primarily originated by Carrington Mortgage Services, LLC or acquired by Invigorate Finance, LLC. Loans were aggregated by Barclays Bank PLC. Loans are currently serviced by Carrington Mortgage Services, LLC or Fay Servicing, LLC. 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 10.5% above a long-term sustainable level (versus 11.0% on a national level as of Q1 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. Non-QM Credit Quality (Negative): The collateral consists of 718 loans, totaling $255.3 million and seasoned approximately eight months in aggregate. The borrowers have a moderate credit profile - 728 Fitch model FICO and 44.7% model debt-to-income ratio (DTI), which takes into account Fitch's converted DSCR values— and leverage — 72.2% sustainable loan-to-value ratio (sLTV) and 68.8% combined LTV (cLTV). The pool consists of 47.6% of loans where the borrower maintains a primary residence, while 51.2% comprise an investor property. Additionally, 48% are nonqualified mortgage (non-QM); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 25.25%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 93% of the loans in the pool were underwritten to less than full documentation, and 38% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 725 bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 404 debt service coverage ratio (DSCR) products in the pool (56% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared with standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats them as low documentation. Fitch's expected loss for these loans is 33.1% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 49.3% WA concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then paying agent will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. BARC 2022-NQM1 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. Additionally, after the step-up date, the unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. BARINGS CLO III: Fitch Gives BB-(EXP) Rating to Class E Debt ------------------------------------------------------------ Fitch Ratings expects to assign ratings and Rating Outlooks to Barings CLO Ltd. 2022-III. Barings CLO Ltd. 2022-III A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Barings CLO Ltd. 2022-III (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $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'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.9 versus a maximum covenant, in accordance with the initial expected matrix point of 26.9. 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. The weighted average recovery assumption of the indicative portfolio is 76.21% versus a minimum covenant interpolated from the Fitch Test Matrix of 75.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 38.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBBsf' and 'AAAsf' for class A-2, between 'BBsf' and 'AAsf' for class B, between 'B-sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BBsf' 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 'AA+sf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. BARINGS LOAN 3: Fitch Assigns BB-sf Rating to Class E Debt ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings Loan Partners CLO Ltd. 3. Barings Loan Partners CLO Ltd. 3 A LT NRsf New Rating A Loans 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 Barings Loan Partners CLO Ltd. 3 (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 76.57%. 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 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 'AAsf' for class B, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and between 'BBB+sf' and 'A+sf' for class E notes. BLACKROCK MAROON CLO XI: S&P Assigns Prelim BB- Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Blackrock Maroon Bells CLO XI LLC's fixed- and floating-rate debt. The note issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by BlackRock Capital Investment Advisors LLC. The preliminary ratings are based on information as of Sept. 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Blackrock Maroon Bells CLO XI LLC Class X(i), $17.50 million: AAA (sf) Class A-1, $131.75 million: AAA (sf) Class A-L, $40.00 million: AAA (sf) Class A-F, $26.00 million: AAA (sf) Class B-1, $27.00 million: AA (sf) Class B-F, $8.00 million: AA (sf) Class C (deferrable), $32.38 million: A- (sf) Class D (deferrable), $19.25 million: BBB- (sf) Class E (deferrable), $24.00 million: BB- (sf) Variable dividend notes, $53.70 million: Not rated (i)The class X notes are expected to be paid down using interest proceeds during the first 16 payment dates in equal installments of $1.09 million. BRAVO RESIDENTIAL 2022-NQM3: Fitch to Rate Cl. B-2 Notes 'B(EXP)' ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by BRAVO Residential Funding Trust 2022-NQM3 (BRAVO 2022-NQM3). RATING ACTIONS BRAVO 2022-NQM3 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating AIOS LT NR(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 FB LT NR(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 920 loans with a total interest-bearing balance of approximately $387 million as of the cutoff date. There is also roughly 879,000 of non-interest-bearing deferred amounts whose payments or losses will be used solely to pay down or write off the class FB notes. Loans in the pool were originated by multiple originators. The loans are serviced by Acra Lending (Acra), Rushmore Loan Management Services LLC (Rushmore), and AmWest Funding Corp. (AmWest). 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 10.3% above a long-term sustainable level (versus 11.0% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.8% yoy nationally as of May 2022. Non-QM Credit Quality (Negative): The collateral consists of 920 loans totaling $387 million and seasoned approximately 19 months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile - a 715 model FICO and a 48% debt-to-income ratio (DTI), which includes mapping for debt service coverage ratio (DSCR) loans - and low leverage, as evidenced by a 68% sustainable loan to value ratio (sLTV). The pool comprises 58% of loans treated as owner-occupied, while 42% were treated as an investor property or second home (includes loans to Foreign Nationals or loans where the residency status was not provided). Of the loans, 55.1% are designated as a nonqualified mortgage (non-QM) loan; while the Ability to Repay Rule (ATR) does not apply for 42%. Lastly, 2.3% of the loans are 30 days' delinquent as of the cutoff date, while 10.1 are current but have experienced a delinquency within the past 24 months. Loan Documentation (Negative): Approximately 87% of the pool were underwritten to less than full documentation, and 39.3% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) ATR, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigors of the ATR mandates regarding the underwriting and documentation of the borrower's ability to repay. Additionally, 35% comprise a DSCR or property cash flow-focused product, 2.2% are a Written Verification of Employment (WVOE) product and the remaining is a mix of other alternative documentation products. Separately, 35 loans were originated to foreign nationals. Modified Sequential-Payment Structure (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 or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 notes until they are reduced to zero. No P&I Advancing (Mixed): The deal is structured without servicer advances for delinquent P&I. 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. Excess Cash Flow (Positive): The transaction benefits from excess cash flow that provides benefit to the rated notes before being paid out to class XS notes, although to a much smaller extent than seen in prior vintages. The excess is available to pay timely interest and protect against realized losses. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. 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 41.7% 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. CITIGROUP 2022-RP4: Fitch Assigns B(EXP) Rating to Class B-2 Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Citigroup Mortgage Loan Trust 2022-RP4 (CMLTI 2022-RP4). CMLTI 2022-RP4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT AA(EXP)sf Expected Rating A-4 LT A(EXP)sf Expected Rating A-5 LT BBB(EXP)sf Expected Rating M-1 LT A(EXP)sf Expected Rating M-2 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating B-4 LT NR(EXP)sf Expected Rating B-5 LT NR(EXP)sf Expected Rating B LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating X LT NR(EXP)sf Expected Rating SA LT NR(EXP)sf Expected Rating PT LT NR(EXP)sf Expected Rating PT-1 LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2022-RP4 (CMLTI 2022-RP4), as indicated above. The transaction is expected to close on Aug. 31, 2022. The notes are supported by two collateral groups consisting of 1,804 seasoned performing loans (SPLs) and reperforming loans (RPLs), with a total balance of approximately $477 million, including $61.1 million, or 12.8%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. Distributions of principal and interest (P&I) and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.5% above a long-term sustainable level versus 11% on a national level. Underlying fundamentals are not keeping pace with growth in home prices, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.8% yoy nationally as of May 2022. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Of the pool, 1.7% was 30 days delinquent as of the cutoff date, and 63.8% of the loans are current but have had delinquencies within the past 24 months. Additionally, 96.7% of the loans have a prior modification. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. See the Asset Analysis section for additional information. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan to value (CLTV) ratio of 83.1%. All loans received updated property values, translating to a WA current (MtM) CLTV ratio of 55.3% and sustainable LTV (sLTV) of 61.8% at the base case. This reflects low leverage borrowers and is stronger than in 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 reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.8% at 'AAA'. The analysis indicates there is some potential for rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10.0% 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 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. CXP TRUST 2022-CXP1: Moody's Assigns (P)B3 Rating to Cl. F Certs ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to two classes of CMBS securities, to be issued by CXP Trust 2022-CXP1, Commercial Mortgage Pass Through Certificates, Series 2022-CXP1: Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) RATINGS RATIONALE The transaction represents the first securitization backed by a portion of a floating-rate, interest-only whole mortgage loan collateralized by the borrower's fee simple or leasehold interests in a portfolio of seven office properties located in New York City, San Francisco, Jersey City, and Boston. Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. The whole mortgage loan is comprised of 21 promissory notes, in the aggregate initial principal amount of $1,717,842,628: three pari-passu senior A-A notes with an aggregate principal balance of $681,400,000, three pari-passu A-B Notes with an aggregate principal balance of $135,600,000, three pari-passu A-C Notes with an aggregate principal balance of $119,900,000, three pari-passu A-D Notes with an aggregate principal balance of $136,200,000, three pari-passu A-E Notes with an aggregate principal balance of $212,800,000, three pari-passu A-F Notes with an aggregate principal balance of $271,942,628, three pari-passu junior B Notes with a principal balance of $160,000,000. Only the A-E Notes and the A-F Notes (collectively, the "Trust Notes" or the "Trust Loan", with an aggregate principal balance of $ $484,742,628) will be an asset of the fund. The A-A- Notes, A-B Notes, A-C Notes, A-D Notes, A-E Notes and A-F Notes are collectively referred to as the "A Notes" or the "Senior Loan", with an aggregate principal balance of $1,557,842,628. The A-A Notes are generally senior in right of payment to the A-B Notes, A-C Notes, A-D Notes, A-E Notes, A-F Notes and B Note; the A-B Notes are generally senior in right of payment to the A-C Notes, A-D Notes, A-E Notes, A-F Notes and B Note; the A-C Notes are generally senior in right of payment to the A-D Notes, A-E Notes, A-F Notes and B Note; the A-D Notes are generally senior in right of payment to the A-E Notes, A-F Notes and B Note; the A-E Notes are generally senior in right of payment to the A-F Notes and B Note; and the A-F Notes are generally senior in right of payment to the B Note. The A-A Notes, A-B Notes, A-C Notes, A-D Notes and the B Note will not be part of the trust fund, but may be securitized in one or more future securitizations. The whole loan is being serviced and administered pursuant to the trust and servicing agreement of this securitization. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower CMBS methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The whole mortgage loan is secured by the borrower's fee simple or leasehold interests in seven cross-collateralized office properties totaling 2,749,316 SF across four markets in New York, NY (three properties, 1,094,567 SF), San Francisco, CA (two properties, 729,493SF), Jersey City, NJ (one property, 652,329 SF) and Boston, MA (one property, 272,876 SF). Construction dates range between 1902 and 1991, with a weighted average year built of 1952. Property sizes range between 258,000 SF to 652,329 SF, with an average size of 392,752 SF. As of May 2022, the portfolio was approximately 84.5% leased to 116 tenants. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's Senior Loan DSCR is 1.28x and Moody's first mortgage DSCR is 1.24x. Moody's Senior Loan stressed DSCR at a 9.25% constant is 0.67x and Moody's first mortgage stressed DSCR is 0.61x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the Senior Loan balance is 138.0% and Moody's LTV ratio for the first mortgage balance is 152.1%, based on Moody's Value. Adjusted Moody's LTV ratio for the Senior Loan balance is 119.8% and adjusted Moody's LTV ratio for the first mortgage balance is 132.1%, based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's weighted average quality grade is 1.05. Notable strengths of the transaction include locations, tenant quality, limited rollover, experienced sponsorship, and multiple property pooling. Notable concerns of the transaction include high Moody's LTV, floating-rate and interest-only mortgage loan profile, recent occupancy and NOI decline, and other credit-negative legal features. The principal methodology used in these ratings was " Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. ETRADE RV 2004-1: S&P Affirms 'CCC- (sf)' Rating on Cl. D/E Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its 'CCC- (sf)' and 'CC (sf)' ratings on E*Trade RV and Marine Trust 2004-1's class D and E notes, respectively. E*Trade RV and Marine Trust 2004-1 is an ABS transaction backed by recreational vehicle and marine retail installment contracts. S&P said, "The affirmations reflect our view that credit support will remain insufficient to cover our expected losses for the class D and E notes. As defined in our criteria, the 'CCC (sf)' rating category reflects our view that a class is vulnerable to nonpayment and depends on favorable business, financial, and economic conditions to be paid interest or principal according to the transaction terms. The 'CCC-' rating on the class D notes reflects our view that minimal additional economic stress would lead to a default on these notes, while the 'CC (sf)' rating on the class E notes reflects our view that the class remains virtually certain to default." As of the August 2022 distribution date, the transaction has experienced cumulative net losses of 9.51% after 212 months of performance, with a pool factor of 0.46%. S&P said, "We continue to expect the transaction to experience a lifetime cumulative net loss of up to 9.75%, unchanged from November 2021 (see table 1). The transaction's overcollateralization and reserve amount has been fully depleted. The class E notes provide a limited amount of subordination as the collateral pool has experienced defaults to a level whereby the class E notes are almost completely under-collateralized. We do not expect the class E notes to receive full and timely principal by their legal final maturity date--even under the most optimistic collateral performance scenario." Table 1 Collateral Performance (%)(i) Prior Current expected expected Pool Current lifetime lifetime Mo. factor CNL CNL(ii) CNL 2004-1 212 0.46 9.51 Up to 9.75 Up to 9.75 (i)As of the August 2022 distribution date. (ii)November 2021. Mo.--Months. CNL--Cumulative net loss. FORTRESS CREDIT XIX: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Fortress Credit Opportunities XIX CLO LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by FCOD CLO Management LLC. The preliminary ratings are based on information as of Sept. 1, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Fortress Credit Opportunities XIX CLO LLC Class A-L-1, $25.00 million: AAA (sf) Class A-L-2, $76.20 million: AAA (sf) Class A-R, $64.80 million: AAA (sf) Class A-T, $50.00 million: AAA (sf) Class B, $28.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D (deferrable), $28.00 million: BBB- (sf) Class E (deferrable), $28.00 million: BB- (sf) Subordinated notes, $64.78 million: Not rated GLS AUTO 2022-3: S&P Assigns Prelim BB- (sf) Rating Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2022-3's automobile receivables-backed notes series 2022-3. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 54.71%, 46.81%, 36.58%, 27.25%, and 22.66% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.25x, 2.75x, 2.15x, 1.55x, and 1.27x our 16.25%-17.25% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.60x S&P's expected loss level), all else being equal, its rating movements are within the limits specified by our credit stability criteria. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The transaction's sequential pay structure, which provides non-amortizing credit enhancement for the senior classes of notes. -- S&P's analysis of more than eight years of origination static pool and securitization performance data on Global Lending Services LLC's (GLS) 18 Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representation in the transaction documents that all contracts in the pool have made a least one payment. -- The timely interest and principal payments made to the notes under S&P's stressed cash flow modeling scenarios, which it believes as appropriate for the assigned preliminary ratings. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2022-3 Class A-1, $34.75 million: A-1+ (sf) Class A-2, $130.05 million: AAA (sf) Class B, $41.58 million: AA (sf) Class C, $41.41 million: A (sf) Class D, $45.52 million: BBB- (sf) Class E, $27.04 million: BB- (sf) GS MORTGAGE 2018-3PCK: S&P Affirms B(sf) Rating on Class X-E Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on 10 classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2018-3PCK, a U.S. commercial mortgage-backed securities (CMBS) transaction. This U.S. CMBS transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by three enclosed class B and class C regional malls--Riverchase Galleria in Hoover, Ala.; Columbiana Centre in Columbia, S.C.; and Apache Mall in Rochester, Minn.--totaling approximately 3.1 million sq. ft., of which approximately 1.97 million sq. ft. is collateral. Rating Actions S&P said, "The affirmations on the principal- and interest-paying certificate classes reflect our reevaluation of the three regional malls that secures the sole loan in the transaction, based on our review of the year-to-date (YTD) period ended March 31, 2022, and years ended Dec. 31, 2021, 2020, and 2019 financial performance data provided by the servicer, and our assessment of the decline in reported operating performance at the property since the onset of the COVID-19 pandemic. Our analysis also considers that the trust balance was reduced by 23.5% since our last review in December 2020 and at issuance due to various outparcel releases as well as principal paydowns in connection with the loan modification agreement that was effectuated in September 2021." While the servicer reported stable occupancy rates in the past three-plus years for the three-mall portfolio: 91.2% in 2019, 88.5% in 2020, and 88.6% in 2021 and March 31, 2022, the servicer-reported net cash flow (NCF) declined 18.1% to $35.0 million in 2020 from $42.8 million in 2019. It declined a further 5.1% to $33.2 million in 2021, which is 20.1% below S&P's assumed NCF of $41.6 million that it derived in its last review in December 2020 and at issuance. The reported NCF was $10.1 million as of the three months ended March 31, 2022. S&P attributed the decreasing NCF mainly to lower base rent, reflecting the continued challenges that the retail mall sector faces. S&P said, "Therefore, we revised and lowered our long-term sustainable NCF by 21.4% to $32.7 million, which aligns to the 2021 servicer-reported figures. Using a 9.76% S&P Global Ratings' capitalization rate and deducting $36.0 million for the portfolio's mark-to-market adjustment), we arrived at an expected-case valuation of $299.1 million, or $152 per sq. ft.--a decline of 23.3% from our last review value of $389.9 million and 54.9% from the 2018 appraisal values of $663.5 million. This yielded an S&P Global Ratings' loan-to-value ratio of 95.9% on the current reduced loan balance versus 96.2% at last review in December 2020 (based on a $375.0 million loan balance)." Although the model-indicated ratings on classes A, B, C, and D were higher than their current rating levels, S&P affirmed its ratings on these classes because we weighed certain qualitative considerations, including: -- The certificates' exposure to three underperforming class B and class C regional malls in secondary and tertiary markets; -- The potential for the portfolio's performance and valuation to deteriorate further due to the challenging retail mall landscape; and -- The loan, which was modified and extended in 2021 because the borrowers were unable to exercise their extension option or pay off the loan, is currently with the special servicer. The loan, which matures in September 2022, was transferred to the special servicer, Rialto Capital Advisors LLC, on July 28, 2022, due to imminent maturity default. According to the August 2022 trustee remittance report, the loan had a reported late but less than one-month delinquent payment status, which resulted in the servicer advancing $1.6 million debt service amount. In addition, class HRR experienced interest shortfalls totaling $35,838 due to special servicing fees. In total, the class has accumulated interest shortfalls outstanding of $39,420. The remaining shortfalls are generally due to expenses associated with LIBOR transition. S&P said, "While we affirmed our 'B- (sf)' rating on class HRR, if the interest shortfalls associated with the special servicing transfer remain outstanding for a prolonged period, we may take further rating action on the class. Further, we will continue to monitor the resolution outcome of the loan, and if there are any reported negative changes in the portfolio's performance beyond what we have already considered, we may revisit our analysis and adjust our ratings as necessary." The affirmations on the class X-A, X-C, X-D, and X-E IO certificates are based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references class A, while class X-C references class C, class X-D references class D, and class X-E references class E. Property-Level Analysis S&P said, "Our property-level analysis included a reevaluation of the three regional malls backing the sole loan in the pool using servicer-provided operating statements from 2019 through three months ended March 31, 2022, and the available 2022 rent rolls. In addition, we considered the increasing trend of retail tenant bankruptcies and store closures and, where applicable, increased our lost rent assumptions and excluded income from those tenants no longer listed on the respective mall directory websites, or those that have filed for bankruptcy protection or announced store closures." The properties are owned and managed by Brookfield Properties Retail Group. Details on the three regional malls are as follows. -- Riverchase Galleria ($125.5 million current allocated loan amount [ALA]) -- Riverchase Galleria is a 1.5 million-sq.-ft. (of which 890,182 sq. ft. is collateral) regional mall in Hoover, Ala., built in 1986 and renovated in 2014. The mall is anchored by Von Maur (184,913 sq. ft.), Belk (112,108 sq. ft.; noncollateral), Belk (76,000 sq. ft.), JCPenney (135,213 sq. ft.; noncollateral), Macy's (216,038 sq. ft.; noncollateral), a vacant 146,667-sq.-ft. noncollateral anchor box formerly occupied by Sears, and a 69,119-sq.-ft. anchor box formerly occupied by Belk Home that S&P has considered vacant. According to the master servicer, five outparcels totaling 33,715 sq. ft. were released between September 2021 and March 2022 for $11.6 million. These outparcels contributed $659,250 in base rent and have been excluded from its analysis. -- While the servicer reported relatively stable occupancy rates: 93.2% in 2019, 88.2% in 2020, 84.6% in 2021, and 87.9% as of March 31, 2022, the servicer reported NCF sharply declined due to the pandemic by 20.6% in 2020 to $16.3 million from $20.5 million in 2019. It fell another 16.3% in 2021 to $13.6 million. The reported NCF was $5.0 million for the three months ended March 31, 2022. According to the June 30, 2022, rent roll, the collateral property was 80.3% occupied (after considering the dark Belk Home space as vacant). The five largest tenants (excluding the dark Belk Home space) made up 39.5% of the collateral net rentable area (NRA) and include: -- Von Maur (21.0% of NRA, 1.6% of in place gross rent as calculated by S&P Global Ratings, January 2029 lease expiration); -- Belk (8.6%, 3.5%, January 2030); -- Dave & Buster's (3.8%, 5.3%, January 2034); -- Forever 21 (3.2%, 1.6%, December 2022); and -- Aveda Institute (2.9%, 2.9%, September 2024). The mall faces elevated tenant rollover risk in 2022 (11.5% of in place gross rent, as calculated by S&P Global Ratings), 2023 (23.3%), 2024 (14.7%), and 2025 (10.3%). S&P said, "Our current analysis considered tenant movements after the June 2022 rent roll, which resulted in our assumed collateral occupancy rate of 79.4%. We derived a sustainable NCF of $14.1 million, which is 25.8% lower than our assumed NCF from last review of $19.0 million and on par with the servicer reported 2021 figures. Using a 10.0% S&P Global Ratings' capitalization rate (unchanged from last review) and deducting $17.4 million for marked-to-market adjustment, we arrived at an expected-case value of $123.6 million, which is 28.4% and 57.4% below our last review value of $172.7 million and 2018 appraised value of $290.5 million, respectively." Columbiana Center ($105.0 million current ALA) Columbiana Center is an 812,705-sq.-ft. (of which 452,062 sq. ft. is collateral) regional mall in Columbia, S.C., built in 1990 and 1992 and renovated in 2005. It is anchored by Belk (180,643 sq. ft.; noncollateral), Belk Men's (50,387 sq. ft.), Dillard's (180,000 sq. ft.; noncollateral), and J.C. Penney (95,000 sq. ft.). While the mall's performance was negatively affected at the onset of the pandemic with servicer-reported NCF dropping 16.4% in 2020 to $12.1 million from $14.5 million in 2019; 2021 increased modestly by 2.5% to $12.4 million. The reported NCF for the three months ended March 31, 2022, was $3.4 million. The servicer-reported occupancy rates were relatively stable at 97.8% in 2019, 95.7% in 2020, 87.7% in 2021, and 95.3% as of March 31, 2022. According to the March 31, 2022, rent roll, the collateral property was 95.3% occupied. The five largest tenants comprised 44.6% of the collateral NRA and include: -- JCPenney (20.9% of NRA, 1.8% of in-place gross rent as calculated by S&P Global Ratings, February 2026 lease expiration); -- Belk Men's (11.1%, 2.4%, January 2030); -- Dave & Buster's (6.8%, 4.5%, January 2032); -- Forever 21 (3.3%, pays percentage rent in lieu of fixed base rent, January 2024); and -- Victoria's Secret (2.5%, 4.2%, January 2027). The mall has concentrated rollover risk in 2023 (16.0% of in place gross rent as calculated by S&P Global Ratings), 2025 (18.2%), and 2027 (20.4%). S&P said, "Our current analysis considered tenant movements after the March 2022 rent roll, which resulted in our assumed collateral occupancy rate of 94.8%. We revised and lowered our sustainable NCF by 16.5% to $11.9 million from our last review assumed NCF of $14.3 million, which is on par with the servicer reported 2021 figures. Using a 9.50% S&P Global Ratings' capitalization rate (unchanged from last review) and deducting $8.3 million for marked-to-market adjustment, we arrived at an expected-case value of $117.2 million, which is 17.4% and 51.8% below our last review value of $141.9 million and 2018 appraised value of $243.0 million, respectively." Apache Mall ($56.2 million current ALA) Apache Mall is a 787,314-sq.-ft. (of which 624,524 sq. ft. is collateral) regional mall in Rochester, Minn., built in 1969 and renovated in 1992, 2002, and 2015. It is anchored by J.C. Penney (128,196 sq. ft.), Macy's (162,790 sq. ft.; noncollateral), Scheels (144,000 sq. ft.), and a vacant 78,130-sq.-ft. anchor box formerly occupied by Herberger's. According to the master servicer, an outparcel was released in December 2021 for $1.8 million. The servicer-reported NCF declined sharply by 19.4% to $6.6 million in 2020 from $8.2 million in 2019 before rebounding somewhat by 8.5% in 2021 to $7.2 million. The reported NCF as of the three months ended March 31, 2022, was $1.6 million. The servicer-reported occupancy for the same period was 83.5% in 2019, 83.6% in 2020, 95.7% in 2021, and 84.8% as of March 31, 2022. According to the March 31, 2022, rent roll, the collateral property was 84.9% occupied. The five largest tenants made up 53.3% of the collateral NRA and include: -- Scheels (23.1% of NRA, 6.9% of in place gross rent as calculated by S&P Global Ratings, April 2025 lease expiration); -- JCPenney (20.6%, 1.5%, October 2024); -- Barnes and Noble Booksellers (4.0%, 4.3%, January 2026); -- H&M (3.5%, 8.4%, January 2027); and -- Forever 21 (2.0%, pays percentage rent in lieu of fixed base rent, January 2023). The property faces elevated tenant rollover risk in 2022 (13.8% of in place gross rent as calculated by S&P Global Ratings), 2024 (15.9%), 2025 (17.6%), 2026 (12.2%), and 2027 (16.2%). S&P said, "Our current analysis considered tenant movements after the March 2022 rent roll, which resulted in our assumed collateral occupancy rate of 84.1%. We revised and lowered our sustainable NCF by 19.7% to $6.7 million from our last review assumed NCF of $8.3 million, which is on par with the servicer reported 2021 figures. Using a 9.75% S&P Global Ratings capitalization rate (unchanged from last review) and deducting $10.4 million for marked-to-market adjustment, we arrived at an expected-case value of $58.3 million, which is 22.6% and 55.2% below our last review value of $75.2 million and 2018 appraised value of $130.0 million, respectively." Transaction Summary This is a U.S. stand-alone (single-borrower) CMBS transaction backed by a floating rate IO mortgage loan secured by the borrowers' fee simple interests in three regional malls in Alabama, South Carolina, and Minnesota. The IO loan had a $375.0 million trust and whole loan balance at issuance. According to the Aug. 15, 2022, trustee remittance report, the trust balance was reduced to $286.7 million. Proceeds from the following were used to paydown the loan balance: -- $13.4 million from various outparcel releases from the Riverchase Galleria and Apache malls in 2021 and 2022; -- $56.7 million in connection with the loan modification and extension agreement in 2021 (details below); and -- $14.1 million from the excess cash flow reserve account. The loan pays a per annum floating rate of one-month LIBOR plus a weighted average spread of 3.755%, and currently matures on Sept. 9, 2022. At issuance, the loan had an initial three-year term with two consecutive one-year extension options (fully extended maturity date in September 2023). However, the loan was modified in 2021, and the second extension option was eliminated. As previously discussed, the property's performance was negatively affected by the COVID-19 pandemic. As a result, the loan's debt yield based on the available 2021 operating performance was below the 14.0% condition for the borrowers to exercise their first extension option. The special servicer executed a loan modification agreement effective Sept. 9, 2021. The modification terms, among other items, included: -- Extending the loan's maturity date to Sept. 9, 2022; -- Deleting the second extension option from the transaction documents; -- Borrowers paying down $56.7 million of the loan principal balance; -- The loan remaining in cash management through final maturity date; and -- Borrowers depositing funds on a monthly basis into an excess cash flow reserve account up to $3.0 million and the lender applying funds in said account to reduce the principal balance of the loan. According to the August 2022 servicer reserve report, there are $3.6 million in the other reserve account, $510,863 in the capital improvement reserve account, and $2.2 million in the tenant reserve account. The master servicer, Wells Fargo Bank N.A., reported a debt service coverage of 3.01x for the three months ended March 31, 2022, up from 2.40x in 2021 and 2.04x in 2020. To date, the trust has not incurred any principal losses. As noted above, the loan recently transferred to special servicing on July 28, 2022, due to imminent maturity default. The recent rapid spread of the Omicron variant highlights the inherent uncertainties of the pandemic but also the importance and benefits of vaccines. While the risk of new, more severe variants displacing Omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. S&P said, "Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well individual issuers adapt to new waves in their geography or industry." Ratings Affirmed GS Mortgage Securities Corp. Trust 2018-3PCK Class A: AA (sf) Class B: A- (sf) Class C: BBB- (sf) Class D: BB- (sf) Class E: B (sf) Class HRR: B- (sf) Class X-A: AA (sf) Class X-C: BBB- (sf) Class X-D: BB- (sf) Class X-E: B (sf) ILPT COMMERCIAL 2022-LPF2: Moody's Gives (P)B2 Rating to HRR Certs ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, to be issued by ILPT Commercial Mortgage Trust 2022-LPF2, Commercial Mortgage Pass-Through Certificates, Series 2022-LPF2: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aaa (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. HRR, Assigned (P)B2 (sf) RATINGS RATIONALE The certificates are collateralized by the borrower's fee, leased fee, and leasehold interests in 105 primarily industrial properties located across 31 states. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The portfolio offers 18,604,367 SF of aggregate area across the following four property subtypes — warehouse/distribution (66 properties; 58.7% of NRA), manufacturing (9 properties; 10.3% of NRA), light manufacturing (2 properties; 1.1% of NRA), and leased fee industrial (28 properties; 29.9% of NRA). The Portfolio facilities offer superior functionality with a weighted average year built of 2004 (average age of 18 years) based on development dates ranging between 1964 and 2021. Property sizes average 169,334 SF and range between 16,000 SF to 945,000 SF. Clear heights for properties have a weighted average maximum clear height of 29.1 feet and range between 16 feet and 60 feet. The portfolio is geographically diverse as the 105 properties are located across 54 markets in 31 states. Hawaii is the largest state concentration at 31.7% of NRA and 17.0% of base rent. The largest market concentration is Honolulu, HI, which represents the entirety of Hawaii's state concentration at 31.7% of NRA and 17.0% of base rent. The Portfolio's property-level Herfindahl score is 49.1 based on ALA. As of August 1, 2022, the portfolio was 96.8% leased to 77 individual tenants. The largest tenant in the portfolio, FedEx, accounts for approximately 3.3 million SF and represents 17.5% of NRA. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage DSCR is 1.16x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.72x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 119.2% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 103.5% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 0.97. Notable strengths of the transaction include: the asset quality, strong occupancy, geographic diversity, tenant rollover profile and experienced sponsorship. Notable concerns of the transaction include: the high Moody's loan-to value (MLTV) ratio, tenant concentration, locations, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. IMSCI 2015-6: Fitch Affirms Bsf Rating to Class G Certs ------------------------------------------------------- Fitch Ratings has upgraded two and affirmed six classes of Institutional Mortgage Securities Canada Inc.'s (IMSCI), commercial mortgage pass-through certificates, series 2015-6. Additionally, the Rating Outlook on the upgraded classes B and C is Stable, and the Rating Outlook on class D has been revised to Positive from Stable. All currencies are denominated in Canadian dollars (CAD). Rating Prior ------ ----- Institutional Mortgage Securities Canada Inc. 2015-6 A-1 45779BDF3 LT AAAsf Affirmed AAAsf A-2 45779BDG1 LT AAAsf Affirmed AAAsf B 45779BDB2 LT AAAsf Upgrade AAsf C 45779BDC0 LT AAsf Upgrade Asf D 45779BDD8 LT BBBsf Affirmed BBBsf E 45779BDE6 LT BBB-sf Affirmed BBB-sf F 45779BDJ5 LT BBsf Affirmed BBsf G 45779BDK2 LT Bsf Affirmed Bsf KEY RATING DRIVERS Improved Credit Enhancement (CE): The upgrades and Positive Outlook on class D reflect improving CE, primarily due to loan payoffs and continued scheduled amortization. As of the August 2022 distribution date, the pool's aggregate principal balance has been paid down by 61% to $127 million from $325 million at issuance. Since Fitch's prior rating action, 10 loans (including one crossed loan group; $67 million) were repaid at or around their scheduled 2021 and 2022 maturity dates. Three loans (28.6%) are defeased. All loans in the pool are amortizing, including 11 fully amortizing loans (13.7%). The pool has a weighted average amortization term of 25 years, which represents faster amortization than U.S. conduit loans. One loan (Comfort Inn & Suites Airdrie; 8.6%), which is a Fitch Loan od Concern (FLOC), has a modified maturity date in May 2023. Five loans (30.1%) mature in 2024, 10 loans (50.5%) in 2025 and one loan (10.8%) in 2035. 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 3.40%. There are no loans currently in special servicing. The single FLOC, Comfort Inn & Suites Airdrie (8.6%), is the primary contributor to overall loss expectations. With the exception of the FLOC, the pool has exhibited generally stable to improving performance since issuance. The Comfort Inn & Suites Airdrie loan is secured by a 103-room limited service hotel located in Airdrie, AB, that has experienced significant declines in occupancy and cash flow since issuance. The collateral hotel, which is located in Airdrie, AB, has been negatively affected by weakness in the overall energy sector and, previously, the impact of lower oil prices. Existing performance deterioration has been further exacerbated by the coronavirus pandemic and the hotel has yet to exhibit further stabilization after the height of the pandemic. The loan was modified for a fourth time in April 2022 with a maturity extension through May 2023, with the borrower resuming monthly P&I payments of $50,000 starting in March 2022. Per the servicer, the borrower has indicated they are beginning to see more sports bookings at the property and anticipate a busy 2022 summer. Corporate clients are also beginning to return as pandemic restrictions ease in the province. The borrower has remained current over the years and has subsidized the loan payments out of their own personal funds. Although updated financials more recent than YE 2020 have not been provided, servicer commentary indicates the loan reported a TTM September 2021 NOI debt service coverage ratio (DSCR) of 0.74x, up from 0.14x at YE 2020. Previously, the loan's third modification in August 2020 allowed for full payment deferral from April through November 2020, with IO payments resuming in December 2020 through the loan's scheduled maturity date in February 2022. This third modification was an extension of the prior round of relief that was granted in April 2020. The loan had also been modified in May 2018 with a 24-month IO period commencing in June 2018. The hotel's YE 2020 NOI, which remains the most recent year of reporting available for the loan, fell 68.4% from YE 2019, which had already shown significant declines from the issuer's underwritten NOI. As of the TTM June 2022 STR report, the hotel reported occupancy, ADR and RevPAR of 38.8%, $108.52 and $42.14, respectively, with slightly stronger metrics exhibited for the months of April, May and June 2022, at 51.6%, $108.25 and $55.86. Previously, the hotel reported respective occupancy, ADR and RevPAR of 48.3%, $123.50 and $59.61 reported via the weekly STR report for the week of July 11-17, 2021 that was provided at Fitch's prior rating action, 15.4%, $87.42 and $13.46 at YE 2020, 52.4%, $101.70 and $53.31 as of TTM July 2019 and 53.7%, $102.44 and $55.01 at YE 2018. The loan remains current and has full recourse to the borrower, Avonos Holdings Ltd. Fitch's base case loss of approximately 34% reflects a stressed value per key of approximately $70,156. Given continued refinance concerns ahead of the loan's extended May 2023 maturity date, Fitch also performed an additional sensitivity that applied a potential outsized loss of 50% to the loan's maturity balance and reflects a stressed value per key of $45,212. Alternative Loss Considerations: Fitch's analysis included an additional sensitivity scenario that factored an outsized loss on the Comfort Inn & Suites Airdrie loan, in addition to the expected paydown from defeasance and non-FLOCs with upcoming 2024 maturities. This sensitivity scenario supported the upgrade of classes B and C and the Stable Rating Outlooks on all classes. 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 August 2022, approximately 22% of the pool features full 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 CE 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 CE. 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 CE 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 CE to the classes. LCM 39 LTD: Moody's Assigns (P)B3 Rating to $500,000 Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to two classes of notes to be issued by LCM 39 Ltd. (the "Issuer" or "LCM 39"). Moody's rating action is as follows: US$307,500,000 Class A-1 Senior Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2034, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. LCM 39 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 fixed rate collateral debt obligations. Moody's expect the portfolio to be approximately 90.0% ramped as of the closing date. LCM EURO II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer will issue five other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.2 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. MARATHON STATIC 2022-18: Fitch Assigns BB+ Rating to Cl. E Debt --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Marathon Static CLO 2022-18 Ltd. Marathon Static CLO 2022-18 Ltd A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B-1 LT AA+sf New Rating B-2 LT AA+sf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E LT BB+sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Marathon Static CLO 2022-18 Ltd is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Marathon Asset Management, L.P. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 76.42%. Portfolio Composition (Positive): The largest three industries comprise 28.1% of the portfolio balance in aggregate while the top five obligors represent 4.0% 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 does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life (WAL) of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio a one-notch downgrade on the Fitch IDR 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 hurdle. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'A+sf' and 'AAAsf' for class A-1, between 'Asf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B-1, between 'BB+sf' and 'AA+sf' for class B-2, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, and between less than 'B-sf' and 'BB+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-1 notes, 'AAAsf' for class B-2 notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and between 'BBB+sf' and 'A+sf' for class E notes. NEUBERGER BERMAN 51: Moody's Assigns B3 Rating to $1MM Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued by Neuberger Berman Loan Advisers CLO 51, Ltd. (the "Issuer" or "NB CLO 51"). Moody's rating action is as follows: US$344,800,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$20,000,000 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. NB CLO 51 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash and eligible investments , and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Neuberger Berman Loan Advisers II 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: $570,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2982 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.125 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. OBX TRUST 2022-NQM7: Fitch Assigns Bsf Rating on Class B-2 Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings to OBX 2022-NQM7 Trust (OBX 2022-NQM7). OBX 2022-NQM7 A-1 LTAAAsf New Rating AAA(EXP)sf A-2 LTAAsf New Rating AA(EXP)sf A-3 LTAsf New Rating A(EXP)sf M-1 LTBBBsf New Rating BBB(EXP)sf B-1 LTBBsf New Rating BB(EXP)sf B-2 LTBsf New Rating B(EXP)sf B-3 LTNRsf New Rating NR(EXP)sf A-IO-S LTNRsf New Rating NR(EXP)sf XS LTNRsf New Rating NR(EXP)sf R LTNRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by OBX 2022-NQM7 Trust (OBX 2022-NQM7) as indicated above. 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 37.0% 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 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 (37.0%) and non-QM loans (57.5%). 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 debt service coverage ratio (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 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 or a delinquency 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 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'. PARK BLUE 2022-I: Moody's Assigns B3 Rating to $1MM Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Park Blue CLO 2022-I, Ltd. (the "Issuer" or "Park Blue CLO 2022-I "). Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Assigned Aaa (sf) US$1,000,000 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. Park Blue CLO 2022-I 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 (excluding first lien last out loans), cash and eligible investments, and up to 7.5% of the portfolio may consist of first lien last out loans, second lien loans, unsecured loans and bonds. The portfolio is approximately 85% ramped as of the closing date. Centerbridge Credit Funding Advisors, 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 will issue five other classes of floating rate notes, two classes of fixed rate notes, and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2784 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.5% 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. RADNOR RE 2021-2: Moody's Upgrades Rating on Cl. M-1B Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of nine tranches from two MI CRT transactions issued in 2021. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by ceding insurers on a portfolio of residential mortgage loans. A list of Affected Credit Ratings is available at https://bit.ly/3RkgxNT The complete rating actions are as follows: Issuer: Eagle Re 2021-2 Ltd. Cl. M-1A, Upgraded to A2 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Baa1 (sf) Cl. M-1B, Upgraded to Baa1 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-1C, Upgraded to Baa3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-1C-1, Upgraded to Baa2 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba1 (sf) Cl. M-1C-2, Upgraded to Baa3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba2 (sf) Cl. M-1C-3, Upgraded to Ba1 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba3 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned B2 (sf) Issuer: Radnor Re 2021-2 Ltd. Cl. M-1A, Upgraded to Baa1 (sf); previously on Nov 10, 2021 Definitive Rating Assigned Baa3 (sf) Cl. M-1B, Upgraded to Ba1 (sf); previously on Nov 10, 2021 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The upgrade actions are primarily driven by the increased levels of credit enhancement available to the bonds and the decreased level of expected losses. These transactions have experienced approximately 8% prepayment rates averaging over the last six months, with no loss on the insured balance under each of the reinsurance agreements. The prepayments and the sequential pay structure have benefited the bonds by increasing the paydown speed and building up credit enhancement. On the closing date, the issuer and the ceding insurer entered into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes were deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account are also available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account were used to purchase eligible investments and were subject to the terms of the reinsurance trust agreement. Following the instruction of the ceding insurer, the trustee liquidates assets in the reinsurance trust account to (1) make principal payments to the note holders as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims after the unfunded coverage levels are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels. Moody's updated loss expectation on the pool incorporates, 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 servicers. Principal Methodologies The principal methodology used in these ratings 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. STORM KING: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Storm King Park CLO Ltd./Storm King Park CLO LLC's floating-rate notes. The transaction is managed by Blackstone Liquid Credit Strategies LLC. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The preliminary ratings are based on information as of Sept. 1, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Storm King Park CLO Ltd./Storm King Park CLO LLC Class A-1, $283.50 million: Not rated Class A-2, $36.50 million: Not rated Class B, $54.75 million: AA (sf) Class C (deferrable), $31.35 million: A (sf) Class D (deferrable), $28.40 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $43.68 million: Not rated WESTLAKE AUTOMOBILE 2021-2: S&P Raises F Notes Rating to B+(sf) --------------------------------------------------------------- S&P Global Ratings raised its ratings on 22 classes and affirmed its ratings on 10 classes of notes from Westlake Automobile Receivables Trust 2019-1, 2019-2, 2019-3, 2020-1, 2020-2, 2021-1, and 2021-2. The rating actions reflect each series' collateral performance to date and our expectations regarding each transaction's future collateral performance, structure, and credit enhancement. Additionally, S&P incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. S&P's analyses incorporate our view of the latest developments, including its most recent macroeconomic outlook, which incorporates a baseline forecast for U.S. GDP growth and unemployment. All series are performing better than our prior cumulative net loss (CNL) expectations, and we have revised our loss expectations accordingly. Table 1 Collateral Performance (%) As of the August 2022 distribution date Pool Current 60-plus day Series Month factor CNL delinq. Extensions 2019-1 42 12.81 8.19 1.20 6.83 2019-2 38 18.30 7.54 1.29 7.38 2019-3 34 22.36 6.53 1.16 6.70 2020-1 29 29.25 5.28 1.26 6.56 2020-2 26 31.67 4.07 1.35 6.64 2021-1 17 51.00 3.22 1.32 6.71 2021-2 14 60.75 3.35 1.36 7.22 Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL Expectations (%) Original Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp. 2019-1 13.00-13.50 9.25-9.75 Up to 8.40 2019-2 13.00-13.50 9.00-9.50 8.00-8.50 2019-3 13.00-13.50 8.75-9.25 7.25-7.75 2020-1 13.00-13.50 8.75-9.25 7.00-7.50 2020-2 14.75-15.25 8.50-9.00 6.50-7.00 2021-1 13.50-14.00 N/A 8.75-9.25 2021-2 13.50-14.00 N/A 9.75-10.25 (i)Previously revised in October 2021. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each transaction also has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The credit enhancement is at the specified target or floor, and each class's credit support continues to increase as a percentage of the amortizing collateral balance. The raised and affirmed ratings reflect S&P's view that the total credit support, as a percentage of the amortizing pool balance and compared with its expected remaining losses, is commensurate with the respective ratings. Table 3 Hard Credit Support(i) As of August 2022 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2019-1 D 13.55 88.89 2019-1 E 9.25 57.54 2019-1 F 3.50 15.62 2019-2 D 13.05 60.08 2019-2 E 8.60 37.20 2019-2 F 3.50 10.96 2019-3 C 22.50 93.52 2019-3 D 12.30 50.40 2019-3 E 7.85 31.59 2019-3 F 2.50 8.97 2020-1 C 19.55 65.12 2020-1 D 10.05 34.28 2020-1 E 5.90 20.80 2020-1 F 1.60 6.84 2020-2 B 34.50 90.15 2020-2 C 24.25 59.43 2020-2 D 15.75 33.96 2020-2 E 9.50 15.24 2021-1 A-2-A 40.15 76.76 2021-1 A-2-B 40.15 76.76 2021-1 B 31.15 59.87 2021-1 C 19.55 38.09 2021-1 D 10.85 21.76 2021-1 E 7.20 14.91 2021-1 F 1.50 4.21 2021-2 A-2-A 40.15 64.97 2021-2 A-2-B 40.15 64.97 2021-2 B 31.15 50.75 2021-2 C 19.55 32.42 2021-2 D 10.85 18.67 2021-2 E 7.20 12.90 2021-2 F 1.50 3.90 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We compared the current hard credit enhancement with the remaining expected CNLs. There were certain classes for which hard credit enhancement alone, without giving credit to the excess spread, was sufficient to raise the ratings to or affirm them at 'AAA (sf)'. For the other classes, we incorporated cash flow analyses to assess the loss coverage level, giving credit to excess spread. Our cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's performance to date. "In addition to our break-even cash flow analyses, we also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectations. "We will continue to monitor the performance of the outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Westlake Automobile Receivables Trust Rating Series Class To From 2019-1 F AAA (sf) BBB (sf) 2019-2 E AAA (sf) AA (sf) 2019-2 F AA (sf) BBB (sf) 2019-3 D AAA (sf) AA+ (sf) 2019-3 E AA+ (sf) A+ (sf) 2019-3 F AA- (sf) BB+ (sf) 2020-1 D AAA (sf) AA- (sf) 2020-1 E AA+ (sf) A (sf) 2020-1 F BBB+ (sf) BB- (sf) 2020-2 C AAA (sf) AA+ (sf) 2020-2 D AA+ (sf) AA- (sf) 2020-2 E A (sf) BBB+ (sf) 2021-1 B AAA (sf) AA (sf) 2021-1 C AA+ (sf) A (sf) 2021-1 D A+ (sf) BBB (sf) 2021-1 E A- (sf) BB (sf) 2021-1 F B+ (sf) B (sf) 2021-2 B AAA (sf) AA (sf) 2021-2 C AA+ (sf) A (sf) 2021-2 D A+ (sf) BBB (sf) 2021-2 E A- (sf) BB (sf) 2021-2 F B+ (sf) B (sf) RATINGS AFFIRMED Westlake Automobile Receivables Trust Series Class Rating 2019-1 D AAA (sf) 2019-1 E AAA (sf) 2019-2 D AAA (sf) 2019-3 C AAA (sf) 2020-1 C AAA (sf) 2020-2 B AAA (sf) 2021-1 A-2-A AAA (sf) 2021-1 A-2-B AAA (sf) 2021-2 A-2-A AAA (sf) 2021-2 A-2-B AAA (sf) [*] S&P Takes Various Actions on 79 Classes from 23 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 79 ratings from 23 U.S. RMBS transactions issued between 1998 and 2007. The review yielded 10 upgrades, five downgrades, 24 affirmations, and 40 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3cRdUnH Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- An expected short duration; -- A small loan count; -- Historical and/or outstanding missed interest payments/interest shortfalls; -- The payment priority; -- S&P's principal-only criteria; and -- S&P's interest-only criteria. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria relevant to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 31 classes from 13 transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Consequently, we applied our interest-only criteria, "Global Methodology For Rating Interest-Only Securities," published April 15, 2010, and our principal-only criteria, "Methodology For Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009 Originations," published Oct. 11, 2016, which resulted in the withdrawal of nine ratings from seven transactions." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2022. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***