/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221002.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, October 2, 2022, Vol. 26, No. 274 Headlines ANGEL OAK 2022-6: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Debt APIDOS CLO XLI: Fitch Assigns 'BBsf' Rating on Class E Notes APIDOS CLO XLI: Moody's Assigns B3 Rating to $500,000 Cl. F Notes BAMLL COMMERCIAL 2019-BPR: S&P Affirms B (sf) Rating on F-MP Certs BANK 2018-BNK14: Fitch Affirms 'B-sf' Rating on 2 Tranches CARLYLE US 2022-5: Fitch Gives 'BB-sf' Rating on Class E Notes CIM TRUST 2020-INV1: Moody's Ups Rating on Cl. B-5 Bonds to Ba2 CIM TRUST 2022-R3: Fitch Assigns B(EXP)sf on Class B2 Notes CITIGROUP 2016-C3: Fitch Lowers Rating on 2 Tranches to CC CITIGROUP 2016-P6: Fitch Affirms 'CCC' Rating on Class F Certs COMM 2012-CCRE2: Moody's Lowers Rating on Class F Certs to B2 COMM 2012-LC4: Moody's Lowers Rating on Class C Certs to B1 COMM 2013-CCRE6: Moody's Lowers Rating on Cl. E Certs to B1 COMM 2014-CCE21: Fitch Affirms 'B-sf' Rating on Class E Certs COMM 2016-CCRE28: Fitch Affirms 'CCCsf' Rating on Class G Certs CQS US 2022-2: Fitch Assigns B+sf on Class E-2 Notes CROWN CITY IV: S&P Affirms BB- (sf) Rating on Class D Notes DBUBS 2011-LC2: Moody's Lowers Rating on Cl. X-B Certs to Ca DT AUTO 2022-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes FREDDIE 2022-DNA7: S&P Assigns Prelim 'BB-' Rating on M-2UB Notes GS MORTGAGE 2013-GC10: Fitch Affirms CCC Rating on Class F Certs GS MORTGAGE 2022-PJ6: Fitch Gives 'B+(EXP)' Rating on Cl. B5 Certs HALSEYPOINT CLO 6: Fitch Assigns 'BB-sf' Rating on Class E Debt ILPT COMMERCIAL 2022-LPF2: Moody's Assigns B2 Rating to HRR Certs INVESCO CLO 2022-3: Moody's Assigns B3 Rating to $1MM Cl. F Notes JPMBB COMMERCIAL 2016-C1: Fitch Affirms CCCsf on Class F Certs MFA 2022-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs MORGAN STANLEY 2016-UBS12: Fitch Affirms CCC Rating on 4 Tranches OBX TRUST 2022-NQM8: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Debt PALMER SQUARE 2022-5: S&P Assigns BB- (sf) Rating on Cl. E Notes PFP 2022-9: Fitch Assigns 'B-(EXP)sf' on Class G Certs STORM KING: S&P Assigns BB- (sf) Rating on $16MM Class E Notes SYMPHONY CLO 36: S&P Assigns BB- (sf) Rating on Class E Notes TRIMARAN CAVU 2022-1: S&P Assigns Prelim BB-(sf) Rating on E Notes TRYSAIL CLO 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes UBS COMMERCIAL 2017-C6: Fitch Affirms 'B-sf' Rating on 2 Tranches UPSTART STRUCTURED 2022-4A: Moody's Gives (P)Ba3 Rating to C Notes WELLFLEET CLO 2022-2: S&P Assigns Prelim BB-(sf) Rating on E Notes WELLS FARGO 2018-C48: Fitch Affirms B- Rating on Class G-RR Certs WESTLAKE 2022-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes WP GLIMCHER 2015-WPG: S&P Affirms CCC(sf) Rating on Cl. SQ-3 Notes [*] S&P Takes Various Actions on 175 Classes from 18 US RMBS Deals ********* ANGEL OAK 2022-6: Fitch Assigns 'B(EXP)sf' Rating on Cl. B-2 Debt ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2022-6 (AOMT 2022-6). Debt Rating ---- ------ AOMT 2022-6 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the RMBS to be issued by Angel Oak Mortgage Trust 2022-6 Series 2022-6 (AOMT 2022-6) as indicated above. The certificates are supported by 795 loans with a balance of $389.30 million as of the cut-off date. This represents the 26th Fitch-rated AOMT transaction and the sixth Fitch-rated AOMT transaction in 2022. The certificates are secured by mortgage loans mainly originated by Angel Oak Mortgage Solutions LLC (AOMS), Greenbox Loans, Inc. and Angel Oak Home Loans LLC (AOHL). All other originators make up less than 10% of the loan pool. Of the loans, 64.3% are designated as nonqualified mortgage (non-QM) loans, and 35.7% are investment properties not subject to the Ability to Repay (ATR) Rule. There is LIBOR exposure in this transaction, as there are two ARM loans that reference LIBOR, although the bonds do not have LIBOR exposure. Class A-1, A-2 and A-3 certificates are fixed rate, capped at the net weighted average coupon (WAC), and have a step-up feature. Class M-1, B-1 and B-3 certificates are based on the net WAC; class B-2 certificates are based on the net WAC but have a stepdown feature whereby the class becomes a principal-only bond at the point the class A-1, A-2 and A-3 step-up coupons take place. 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 10.7% above a long-term sustainable level (versus 11% on a national level as of August 2022, up 1.8% since the prior quarter). Underlying fundamentals are not keeping pace with growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.8% yoy nationally as of May 2022. Non-QM Credit Quality (Mixed): The collateral consists of 795 loans totaling $389.30 million and seasoned at approximately nine months in aggregate, according to Fitch, and seven months, per the transaction documents. The borrowers have a strong credit profile (737 FICO and 41.3% debt-to-income [DTI] ratio, as determined by Fitch), along with relatively moderate leverage, with an original combined loan to value (CLTV) ratio of 71.5%, as determined by Fitch, which translates to a Fitch-calculated sustainable LTV (sLTV) of 76.7%. Of the pool, 62.0% represents loans whereby the borrower maintains a primary or secondary residence, while the remaining 38.0% comprises investor properties based on Fitch's analysis and the transaction documents. Fitch determined that 12.5% of the loans were originated through a retail channel. Additionally, 64.3% are designated as non-QM, while the remaining 35.7% are exempt from QM status since they are investor loans. The pool contains 78 loans over $1.0 million, with the largest amounting to $3.0 million. Loans on investor properties (10.3% underwritten to the borrower's credit profile and 27.7% comprising investor cash flow and no ratio loans) represent 38.0% of the pool, as determined by Fitch. There are no second lien loans, and 1.1% of the borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, three of the loans have subordinate financing. In Fitch's analysis, Fitch also considered loans with deferred balances to have subordinate financing. In this transaction, there were six loans with deferred balances; therefore, Fitch performed its analysis considering nine of the loans to have subordinate financing. Fitch determined that 32 of the loans in the pool are to foreign nationals. Fitch treats loans to foreign nationals as investor occupied, coded as ASF1 (no documentation) for employment and income documentation and removed the liquid reserves. If a credit score is not available, Fitch uses a credit score of 650 for these borrowers. Although the borrowers' credit quality is higher than that of AOMT transactions securitized in 2021 and 2020, the pool's characteristics resemble those of nonprime collateral and, therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): The largest concentration of loans is in California (37.7%), followed by Florida (18.5%) and Texas (5.8%). The largest MSA is Los Angeles (20.4%), followed by Miami (9.1%) and New York City (5.7%). The top three MSAs account for 35.1% of the pool. As a result, there was a 1.01x penalty for geographic concentration, which increased the 'AAAsf' loss expectation by 14 basis points (bps). Loan Documentation (Negative): Fitch determined that 93.0% of the loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 91.0% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which may explain any discrepancy between Fitch's percentage and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, 55.0% were underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.5x on bank statement loans. In addition to loans underwritten to a bank statement program, 27.6% comprise a debt service coverage ratio (DSCR) product, 0.1% comprise a no ratio product, 1.1% are an asset depletion product and 6.8% are third party-prepared 12 month-24 month P&L statements, with many of these loans having two months of bank statements for additional documentation. One loan in the pool is a no ratio DSCR loan; for this loan, employment and income were considered to be no documentation in Fitch's analysis; as such, Fitch assumed a DTI ratio of 100%. This is in addition to the loan being treated as investor occupied. This resulted in a 75% PD and an expected loss of 37.75% for this loan. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. The ultimate advancing party in the transaction is the master servicer, Computershare. Computershare does not hold a rating from Fitch of at least 'A' or 'F1' and, as a result, does not meet Fitch's counterparty criteria for advancing delinquent P&I payments. Fitch ran additional analysis to determine if there was any impact to the structure if it assumed no advancing of delinquent P&I for the losses and cash flows. This is in addition to running the loss and cashflow analysis assuming six months of delinquent P&I servicer advancing per the transaction documents. Assuming six months of delinquent P&I advancing was the most conservative, Fitch is proposing losses and CE off of this analysis. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A certificates while excluding the subordinate bonds from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or a delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 bonds until they are reduced to zero. There is excess spread in the transaction available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced on and after October 2026, since class A certificates have a step-up coupon feature whereby the coupon rate will be the lesser of (i) the applicable fixed rate plus 1.000% and (ii) the net WAC rate. To offset the impact of the class A certificates' step-up coupon feature, class B-2 has a stepdown coupon feature that will become effective in October 2026, which will change the B-2 coupon to 0.0%. In addition, the transaction was structured so that, on and after October 2026, classes A-1, A-2 and A-3 would receive unpaid cap carryover amounts prior to class B-3 being paid interest or principal payments. Both of these features are supportive of classes A-1 and A-2 being paid timely interest at the step-up coupon rate and class A-3 being paid ultimate interest at the step-up coupon rate. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 41.9% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged SitusAMC, Canopy, Consolidated Analytics, Covius, Evolve, Infinity, Inglet Blair, Recovco, and Selene to perform the review. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2022-6 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to strong due diligence results on 100% of the pool and a 'RPS1-' Fitch-rated servicer, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. APIDOS CLO XLI: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Apidos CLO XLI Ltd. Debt Rating Prior ---- ------ ----- Apidos CLO XLI Ltd A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 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 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Apidos CLO XLI Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 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 95.4% first-lien senior secured loans and has a weighted average recovery assumption of 76.2%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios the A-1, A-2, B-1/B-2, C, D and E notes can withstand default rates of up to 61.2%, 57.5%, 53.2%, 49,0%, 39,1% and 35.9%, respectively, assuming portfolio recovery rates of 39.1%, 39.1%, 48.3%, 67.5% and 72.8% in Fitch's 'AAAsf', 'AAAsf', 'AAsf', 'BBB-sf' and 'BBsf' scenarios respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBBsf' 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 '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'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-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. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. APIDOS CLO XLI: Moody's Assigns B3 Rating to $500,000 Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Apidos CLO XLI Ltd (the "Issuer" or "Apidos XLI"). Moody's rating action is as follows: US$307,500,000 Class A-1 Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$500,000 Class F Mezzanine Deferrable Floating Rate Notes due 2034, 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. Apidos XLI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans, first lien last out loans and permitted non-loan assets, provided that not more than 5.0% of the portfolio may consist of permitted non-loan assets. The portfolio is approximately 84% ramped as of the closing date. CVC Credit Partners, LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2967 Weighted Average Spread (WAS): 3mS + 3.50% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. BAMLL COMMERCIAL 2019-BPR: S&P Affirms B (sf) Rating on F-MP Certs ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from BAMLL Commercial Mortgage Securities Trust 2019-BPR, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on nine other classes from the same transaction. This U.S. CMBS transaction consists of the nonpooled NM and MP certificate classes. The NM nonpooled certificate classes are backed by a $505-million five-year, fixed-rate, interest-only (IO) mortgage loan that is secured by Natick Mall, a 1.49 million-sq.-ft. super-regional mall (1.04 million sq. ft. serves as collateral) in Natick, Mass. The MP nonpooled certificate classes are backed by a $390-million, five-year, fixed-rate, IO mortgage loan that is secured by the Shops at Merrick Park, a three-story upscale, open-air regional shopping center and a separate five-story office building totaling 856,902 sq. ft. in Coral Gables, Fla. Rating Actions S&P said, "The downgrades of the ratings on classes C-NM, D-NM, E-NM, and F-NM and affirmations on the ratings on classes A-NM and B-NM reflect our reevaluation of the Natick Mall property that secures the Natick Mall loan in the transaction, based on our review of the servicer-provided financial performance data for the year-to-date (YTD) period ended March 31, 2022, and years ended Dec. 31, 2021, 2020, and 2019, our assessment of the year-over-year decline in reported operating performance at the property since the onset of the COVID-19 pandemic, and the still vacant anchor space formerly occupied by Neiman Marcus. "The servicer-reported occupancy rate fell to 88.1% in 2020 and 89.3% in 2021 from 94.9% in 2019. In addition, the servicer-reported net cash flow (NCF) decreased 14.2% to $34.2 million in 2020 from $39.9 million in 2019. It declined a further 14.5% to $29.2 million in 2021, which is 26.3% below our assumed NCF of $39.7 million that we derived in our last review in December 2020 and at issuance. The reported NCF was $7.1 million as of the three months ended March 31, 2022. We attributed the decreasing NCF mainly to lower occupancy and base rent, reflecting the continued challenges that the retail mall sector faces. "Therefore, we revised and lowered our long-term sustainable NCF by 14.6% to $33.9 million, which is 15.9% higher than the 2021 servicer-reported figures. Using a 7.5% S&P Global Ratings' capitalization rate (unchanged from last review), we arrived at an expected-case valuation of $452.1 million--a decline of 7.7% from our last review value of $489.9 million and 49.8% from the 2019 appraisal value of $900.0 million. This yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 111.7% on the loan balance." Although the model-indicated ratings on classes A-NM and B-NM were lower than their current rating levels, S&P affirmed its ratings on these classes because it weighed certain qualitative considerations, including: -- The potential that the property's operating performance could increase above our revised expectations, in particular, since the anchor spaces formerly occupied by Lord & Taylor and Neiman Marcus are expected to be redeveloped and repositioned to attract non-retail tenants; -- The significant market value decline that would be needed before these classes experience principal losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of the classes in the payment waterfall. S&P said, "In addition, the downgrades on classes E-NM and F-NM to 'CCC (sf)' and 'CCC- (sf)', respectively, reflect our view that the risk of default and loss on these classes are elevated due to current market conditions. "The affirmations on classes A-MP, B-MP, C-MP, D-MP, E-MP, and F-MP reflect our reevaluation of the Shops at Merrick Park property that secure the Merrick Park loan in the transaction, based on our review of the servicer-provided financial performance data for the YTD period ended March 31, 2022, and years ended Dec. 31, 2021, 2020, and 2019 and our assessment of the relatively stable reported operating performance at the property." The servicer-reported occupancy fell slightly to 96.2% in 2020 and 94.6% in 2021 from 98.6% in 2019. In addition, while the servicer-reported NCF decreased slightly by 8.0% to $25.0 million in 2020 from $27.2 million in 2019, it increased marginally by 1.3% to $25.4 million in 2021. The reported NCF was $7.1 million as of the three months ended March 31, 2022. S&P said, "Therefore, we maintained our long-term sustainable NCF of $28.5 million that we derived in our last review in December 2020 and at issuance, which is 12.50% higher than the 2021 servicer-reported figures. Using a 6.56% S&P Global Ratings' capitalization rate (the same as at issuance and last review) and adding $10.0 million of value adjustments, we arrived at an expected-case valuation of $436.1 million, unchanged from issuance and last review and 29.66% lower than the 2019 appraisal value of $620.0 million. This yielded an S&P Global Ratings' LTV ratio of 89.40% on the loan balance. "We lowered our rating on the class X-NM IO certificates and affirmed our rating on the class X-MP IO certificates based on our 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-NM references classes A-NM, B-NM, C-NM, and D-NM, while class X-MP's notional amount references classes A-MP, B-MP, C-MP, and D-MP." Property-Level Analysis S&P said, "Our property-level analysis included a reevaluation of the two malls backing the two uncrossed mortgage loans in the transaction using servicer-provided operating statements from 2019 through the three months ended March 31, 2022, and the March 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. Natick Mall ($505.0 million) Natick Mall is a two-story, enclosed, 1.5 million-sq.-ft. (of which 1.04 million sq. ft. is collateral) super regional mall, built in 1966 and renovated in 2017, in Natick, Mass., about 20 miles west of downtown Boston. The mall is anchored by Macy's (208,376 sq. ft., noncollateral), Wegmans Food Markets (194,558 sq. ft.), Nordstrom (138,980 sq. ft.; noncollateral), and Shopper's Find (113,564 sq. ft.; formerly occupied by Lord & Taylor). There is also a vacant 97,450-sq.-ft., noncollateral anchor box formerly occupied by Neiman Marcus. Based on various news articles, the former Lord & Taylor and Neiman Marcus spaces are expected to be redeveloped and repositioned to attract life science and research and development tenants. S&P's property-level analysis considered the mall's declining performance since the COVID-19 pandemic. According to the March 31, 2022, rent roll, the collateral property was 89.8% occupied. The five largest tenants made up 37.9% of the collateral net rentable area (NRA) and include: -- Wegmans Food Markets (18.7% of NRA, 6.9% of in place gross rent as calculated by S&P Global Ratings, July 2037 lease expiration); -- Shopper's Find (10.9%, 0.1%, December 2092); -- Forever 21 (3.2%, not applicable because tenant is paying percentage in lieu of fixed rent, December 2022); -- Crate & Barrel (3.2%, 2.1%, June 2024); and -- Zara (1.9%, 2.7%, October 2025). The mall faces elevated tenant rollover risk in 2022 (15.5% of in place gross rent, as calculated by S&P Global Ratings), 2023 (18.9%), 2024 (17.9%), and 2025 (14.7%). S&P said, "As previously discussed, we derived a long-term sustainable NCF of $33.9 million, which is 14.6% lower than our assumed NCF from last review and at issuance of $39.7 million and is between the servicer reported 2020 and 2021 figures. Using a 7.5% S&P Global Ratings' capitalization rate (unchanged from the last review), we arrived at an expected-case value of $452.1 million. We will continue to monitor the collateral property's performance and its redevelopment efforts and adjust our analysis as future developments may warrant." Shops at Merrick Park ($390.0 million) Shops at Merrick Park consists of a three-story, 755,639-sq.-ft. upscale open-air regional shopping center and a separate five-story, 101,263-sq.-ft. office building (totaling 856,902 sq. ft.) built in 2002 and renovated in 2013 in Coral Gables, Fla., about five miles southwest of downtown Miami. The property is less than two miles from the University of Miami, with over 15,000 students. The property is subject to a ground lease with the City of Coral Gables that currently expires on April 1, 2030, with two additional terms of 30 years each and a third additional term of nine years. The final expiration date is April 1, 2099. The ground rent is $550,000 plus additional rent based on a formula specified in the ground lease agreement. The mall is anchored by Nordstrom (200,000 sq. ft.) and Neiman Marcus (130,000 sq. ft.). S&P's property-level analysis considered the mall's relatively stable servicer-reported occupancy and NCF. According to the March 31, 2022, rent roll, the collateral property was 93.6% occupied. The five largest tenants made up 55.7% of the collateral NRA and include: -- Nordstrom (23.6% of NRA, 0.0% of in place gross rent as calculated by S&P Global Ratings, February 2033 lease expiration); -- Neiman Marcus (15.3%, 4.6%, July 2023); -- Bayview Asset Management (10.4%, 9.9%, August 2028); -- Equinox (3.5%, 4.2%, December 2031); and -- Crate and Barrel (2.9%, 1.3%, January 2025). The mall has concentrated tenant rollover risk in 2022 (13.5% of in place gross rent, as calculated by S&P Global Ratings), 2023 (21.9%), 2024 (12.1%), and 2028 (14.8%). S&P said, "As previously discussed, we derived a sustainable NCF of $28.5 million, the same as our assumed NCF from last review and issuance. Using a 6.56% S&P Global Ratings' capitalization rate (unchanged from issuance and last review) and adding approximately $10.0 million for the present value of the difference between the actual and our assumed ground rent amounts and other adjustments, we arrived at an expected-case value of $436.1 million, the same as at our last review and the new issuance value." Transaction Summary This is a U.S. stand-alone (single-borrower) CMBS transaction backed by two uncrossed, five-year, fixed rate, IO mortgage loans. As of the Sept. 8, 2022, trustee remittance report, the trust consists of the nonpooled NM and MP certificate classes totaling $895.0 million (unchanged from issuance and the last review in December 2020). To date, the trust has not incurred any principal losses. The Natick Mall loan is secured by the borrower's fee simple interest in a portion (1.04 million sq. ft.) of Natick Mall, a 1.5 million-sq.-ft. enclosed regional mall in Natick. The loan has a $505 million balance that supports the nonpooled NM certificate classes. The loan is IO, pays interest at a fixed per annum rate of 3.724%, and matures on Nov. 1, 2024. According to the master servicer, Midland Loan Services, the borrower had requested COVID-19-related relief in 2020, but the request was subsequently cancelled. The loan is currently on the master servicer's watchlist because Lord & Taylor filed for bankruptcy. Midland reported a debt service coverage (DSC) of 1.50x for the three months ended March 31, 2022, and 1.53x in 2021. The Merrick Park loan is secured by the borrower's leasehold and subleasehold interests in the Shops at Merrick Park, consisting of a regional mall and office building totaling 856,902 sq. ft. in Coral Gables. The loan has a $390 million balance that supports the nonpooled MP certificate classes. The loan is IO, pays interest at a fixed per annum rate of 3.90%, and matures on Nov. 1, 2024. According to Midland, the borrower also requested COVID-19-related relief in 2020, but the request was subsequently withdrawn. The loan was on the master servicer's watchlist in August 2022 because the loan is in a cash trap period, and the flood insurance renewal policy effective April 2022 was force-placed. Midland reported a DSC of 1.84x for the three months ended March 31, 2022, and 1.64x in 2021. 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. Consequently, S&P does not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, it continues to assess how well individual issuers adapt to new waves in their geography or industry. Ratings Lowered BAMLL Commercial Mortgage Securities Trust 2019-BPR Class C-NM to 'BB+ (sf)' from 'BBB (sf)' Class D-NM to 'B+ (sf)' from 'BB (sf)' Class E-NM to 'CCC (sf)' from 'B- (sf)' Class F-NM to 'CCC- (sf)' from 'CCC (sf)' Class X-NM to 'B+ (sf)' from 'BB (sf)' Ratings Affirmed BAMLL Commercial Mortgage Securities Trust 2019-BPR Class A-NM: AAA (sf) Class B-NM: A (sf) Class A-MP: AAA (sf) Class B-MP: AA- (sf) Class C-MP: A- (sf) Class D-MP: BBB- (sf) Class E-MP: BB- (sf) Class F-MP: B (sf) Class X-MP: BBB- (sf) BANK 2018-BNK14: Fitch Affirms 'B-sf' Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed 16 classes of BANK 2018-BNK14 commercial mortgage pass-through certificates. Fitch has also revised the Rating Outlook on Classes E, F, X-D and X-F to Stable from Negative. The Rating Outlook on class G remains Negative. Debt Rating Prior ---- ------ ----- BANK 2018-BNK14 A-2 06035RAP1 LT AAAsf Affirmed AAAsf A-3 06035RAR7 LT AAAsf Affirmed AAAsf A-4 06035RAS5 LT AAAsf Affirmed AAAsf A-S 06035RAU0 LT AAAsf Affirmed AAAsf A-SB 06035RAQ9 LT AAAsf Affirmed AAAsf B 06035RAV8 LT AA-sf Affirmed AA-sf C 06035RAW6 LT A-sf Affirmed A-sf D 06035RAX4 LT BBBsf Affirmed BBBsf E 06035RAZ9 LT BBB-sf Affirmed BBB-sf F 06035RBB1 LT BB-sf Affirmed BB-sf G 06035RBD7 LT B-sf Affirmed B-sf X-A 06035RBH8 LT AAAsf Affirmed AAAsf X-B 06035RAT3 LT AA-sf Affirmed AA-sf X-D 06035RAA4 LT BBB-sf Affirmed BBB-sf X-F 06035RAC0 LT BB-sf Affirmed BB-sf X-G 06035RAE6 LT B-sf Affirmed B-sf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions to Stable from Negative on classes E and F reflect lower loss expectations since Fitch's prior rating action due to performance stabilization of properties that were affected by the pandemic. Fitch's base case loss is 3.8%. The Negative Outlooks on class G, which was previously assigned for additional coronavirus-related stresses applied to the pool, reflects the underperformance and sustained pandemic declines for the larger Fitch Loans of Concern (FLOCs), including Doubletree Grand Naniloa Hotel (3.7%), Shoppes at Chino Hills (2.8%), Navika Six Portfolio (2.6%) and CoolSprings Galleria (2.2%). Eight loans (21.5%) have been flagged as FLOCs, including two specially serviced loans (6.3%). Six loans (15.1%) have been flagged for high vacancy, low NOI debt service coverage ratio (DSCR) and/or pandemic-related underperformance. The largest contributor to loss expectations is Doubletree Grand Naniloa (FLOC, 3.7%). The loan transferred for imminent monetary default in June 2020 at the borrowers request as a result of the pandemic. As of March 2021, occupancy, ADR and RevPAR rates were 30.7%, $133.69 and $41, respectively. Lava flowed steady at the National Park for 35 years and came to a stop around July/August of 2018. The resulting fog from the lava flow greatly diminished booking in the last half of 2018 and all of 2019. Per the most recent updates from the special servicer, a receiver was appointed in June 2022 and foreclosure litigation is still ongoing. Fitch's expected loss of 16.3% reflects a 10% cap rate on YE 2021 NOI. The second largest contributor to expected losses is Shoppes at Chino Hills (FLOC, 2.8%), which is secured by a lifestyle center located in Chino Hills, CA, approximately 35 miles east of LA. The property was 77.4% occupied in December 2021, down from 85.9% in December 2020 and 95.9% in December 2019. Previously, the loan was transferred to special servicing in July 2020 for payment monetary default and was modified in October 2020 with terms including bringing the loan current with funds from reserves as well as new equity. The loan was returned to the master servicer as a corrected mortgage loan in late February 2021 and has since remained current. Fitch's expected loss of 18.4% assumes an 8.75% cap rate and a 10% haircut on YE 2021 to reflect upcoming lease expirations. The third largest contributor to loss expectations is CoolSprings Galleria loan (FLOC, 2.2%), which is secured by a 640,176-sf portion of a 1.2 million-sf super-regional mall located in Franklin, TN. Macy's, JCPenney and Dillard's are non-collateral anchors, and Belk is a collateral anchor. The loan is sponsored by a joint venture between TIAA and CBL. The loan was returned to the master servicer in January 2022 following the execution of a modification agreement and CBL's reorganization and emergence from Chapter 11 bankruptcy. Under the terms of the modification, the lender would waive bankruptcy defaults in exchange for the borrower covering the costs of the modification, and CBL's ownership interest in the property is being assumed by one of its newly formed subsidiaries. The loan had initially transferred to special servicing in October 2021 in response to CBL entering Chapter 11 bankruptcy in November 2020. The pandemic continues to affect property performance. YE 2021 NOI fell 5.1% from YE 2020 and was 21% below the issuer's underwritten NOI. Collateral occupancy was 96.3% in December 2021, compared with 95.9% in December 2020, 98.1% at YE 2019 and 98.9% at YE 2018. Leases totaling 3.6% of collateral NRA expire in 2022, 13.3% in 2023 and 6.5% in 2024. Fitch's base case loss of 16% reflects a 15% cap rate and 10% haircut to the YE 2021 NOI to factor in a weak sponsorship, declining sales since issuance and significant competition with overlapping anchors. Minimal Change to Credit Enhancement: As of the August 2022 distribution date, the pool's aggregate principal balance has paid down by 6.8% to $1.3 billion from $1.4 billion at issuance. Since Fitch's prior rating action in 2021, one loans comprising $70.0 million in outstanding principal balance prepaid with a yield maintenance fee. One loan comprising 0.7% of outstanding pool balance has been fully defeased. Of the remaining pool balance, 21 loans comprising 58.4% of the pool are full interest-only through the term of the loan. Credit Opinion Loans: Five loans, representing 23.9% of the pool, were assigned investment-grade credit opinions at issuance. Aventura Mall (7.4% of the pool), 685 Fifth Avenue Retail (7.4%), 1745 Broadway (3.7%), Millennium Partners Portfolio (3.7%), and Pfizer Building (1.2%). Co-op Housing Concentration: Seventeen loans comprising 13.3% of outstanding loan balance are securitized by co-op housing properties. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-S, B, X-A, B and X-B are not considered likely due to their position in the capital structure but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and X-D may occur should expected losses for the pool increase substantially. Downgrades to classes E, F, G, X-D, X-F and X-G would be downgraded further if loss expectations increase, additional loans transfer to special servicing or losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades to classes B, C, D and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the pandemic. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to classes E, F, G, X-D, X-F and X-G are not likely unless resolution of the specially serviced loans is better than expected and performance of the remaining pool is stable, and/or properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. 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. CARLYLE US 2022-5: Fitch Gives 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-5, Ltd. Debt Rating ---- ------ Carlyle US CLO 2022-5, Ltd. A-1 LT AAAsf New Rating A-L LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Carlyle US CLO 2022-5, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated debt 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 24.6 versus a maximum covenant, in accordance with the initial expected matrix point of 26.8. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the debt benefits from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.0% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.0% versus a minimum covenant, in accordance with the initial expected matrix point of 73.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated debt can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated debt at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are between 'BBBsf' and 'AAAsf' for class A debt, between 'BB+sf' and 'AAsf' for class B notes, between 'B-sf' and 'Asf' for class C notes, between less than 'B-sf' and 'BBB-sf' for class D 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: Upgrade scenarios are not applicable to the class A-1 and A-L loans, as the debt is in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AAsf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. CIM TRUST 2020-INV1: Moody's Ups Rating on Cl. B-5 Bonds to Ba2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 20 classes of CIM Trust issued from 2018 to 2020. CIM 2018 Trust-INV1, CIM Trust 2019-INV1, CIM Trust 2019-INV2, CIM Trust 2019-INV3 and CIM Trust 2020-INV1 are securitizations of fixed-rate investment property mortgage loans secured by first liens on agency-eligible non-owner occupied residential properties. CIM Trust 2018-J1, CIM Trust 2019-J2 and CIM Trust 2020-J1 are securitizations of fixed rate, prime jumbo and agency-eligible mortgage loans. Wells Fargo Bank, N.A. is the master servicer. A List of Affected Credit Ratings is available at https://bit.ly/3DSg2GJ Complete rating actions are as follows: Issuer: CIM Trust 2018-INV1 Cl. B-3, Upgraded to Aa1 (sf); previously on Nov 29, 2021 Upgraded to Aa2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 29, 2021 Upgraded to Ba3 (sf) Issuer: CIM Trust 2018-J1 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Nov 29, 2021 Upgraded to A2 (sf) Issuer: CIM Trust 2019-INV1 Cl. B-5, Upgraded to Ba2 (sf); previously on Dec 3, 2021 Upgraded to Ba3 (sf) Issuer: CIM Trust 2019-INV2 Cl. B-3, Upgraded to Aa2 (sf); previously on Dec 3, 2021 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Dec 3, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Dec 3, 2021 Upgraded to Ba3 (sf) Issuer: CIM Trust 2019-INV3 Cl. B-3, Upgraded to Aa3 (sf); previously on Dec 3, 2021 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Dec 3, 2021 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Dec 3, 2021 Upgraded to Ba3 (sf) Issuer: CIM Trust 2019-J2 Cl. B-2, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aaa (sf); previously on Nov 29, 2021 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Nov 29, 2021 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 29, 2021 Upgraded to Baa3 (sf) Issuer: CIM Trust 2020-INV1 Cl. B-3, Upgraded to Aa3 (sf); previously on Jan 13, 2022 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jan 13, 2022 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jan 13, 2022 Upgraded to Ba3 (sf) Issuer: CIM Trust 2020-J1 Cl. B-3, Upgraded to Aa3 (sf); previously on Nov 29, 2021 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Nov 29, 2021 Upgraded to Baa2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. In these transactions, prepayment rates, averaging 15%-33% over the last six months, have benefited the bonds by increasing the paydown and building credit enhancement. In Moody's analysis, Moody's considered the additional risk posed by borrowers enrolled in payment relief programs. Moody's increased our MILAN model-derived median expected losses by 15% and Moody's Aaa losses by 5% to reflect the performance deterioration observed following the COVID-19 outbreak. Moody's also considered higher adjustments for transactions where more than 10% of the pool is either currently enrolled or was previously enrolled in a payment relief program. Specifically, we account for the marginally increased probability of default for borrowers that have either been enrolled in a payment relief program for more than 3 months or have already received a loan modification, including a deferral, since the start of the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In our analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on our analysis, the proportion of borrowers that are enrolled in payment relief plans in the underlying pools ranged between 0% and 3% over the last six months. Given the elevated levels of non-cash-flowing loans, servicers have been making advances on increased number of loans, sometimes resulting in interest shortfalls due to insufficient funds in subsequent periods when such advances are recouped. Moody's expect such interest shortfalls to be reimbursed over the next several months. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicer. Principal Methodology The principal methodology used in rating all classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CIM TRUST 2022-R3: Fitch Assigns B(EXP)sf on Class B2 Notes ----------------------------------------------------------- Fitch Ratings has assigned expected ratings to CIM Trust 2022-R3 (CIM 2022-R3). Debt Rating ---- ------ CIM 2022-R3 A1 LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating M1 LT A(EXP)sf Expected Rating M2 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating C0 LT NR(EXP)sf Expected Rating PRA 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 CIM Trust 2022-R3 (CIM 2022-R3) as indicated above. The transaction is expected to close on Sept. 23, 2022. The notes are supported by one collateral group that consists of 1,839 loans with a total balance of approximately $370 million, which includes $23.1 million, or 6.27%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. The pool generally consists of seasoned performing loans (SPLs) and reperforming loans (RPLs), and approximately 18.6% of the pool is seasoned at less than 24 months and was therefore considered to be a new origination by Fitch. Distributions of P&I and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not be advancing delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.6% 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 growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.9% yoy nationally as of December 2021. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage loans, SPLs and RPLs. Of the pool, 2.1% was 30 days delinquent as of the cutoff date and 31.3% are current but have had recent delinquencies or incomplete pay strings. Approximately 66.6% of the loans have been paying on time for at least the past 24 months. Roughly 46.0% have been modified. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan-to-value ratio (CLTV) of 77.9%. All seasoned loans received an updated broker price opinion (BPO) valuation that translates to a WA sustainable LTV (sLTV) of 63.9% in the base case. This indicates low leverage borrowers and added strength compared to recently rated RPL transactions. No Servicer P&I Advancing (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. 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. 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% 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'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton Services and Opus Capital Market Consultants. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for RPL collateral and also included a property valuation review in addition to the regulatory compliance and pay history review. All loans also received an updated tax and title search and review of servicing comments. Fitch considered this information in its analysis and, as a result, made the following adjustments to its analysis: increased the LS due to HUD-1 issues and increased the LS due to outstanding delinquent property taxes or liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 25bs. CITIGROUP 2016-C3: Fitch Lowers Rating on 2 Tranches to CC ---------------------------------------------------------- Fitch Ratings has downgraded six and affirmed nine classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2016-C3 (CGCMT 2016-C3). The Rating Outlooks on classes D and X-D are Negative following the downgrades. The Outlooks on classes A-S and X-A were revised to Stable from Negative. The Outlooks remain Negative on classes B, X-B and C. Debt Rating Prior ---- ------ ----- CGCMT 2016-C3 A-2 17325GAB2 LT AAAsf Affirmed AAAsf A-3 17325GAC0 LT AAAsf Affirmed AAAsf A-4 17325GAD8 LT AAAsf Affirmed AAAsf A-AB 17325GAE6 LT AAAsf Affirmed AAAsf A-S 17325GAF3 LT AAAsf Affirmed AAAsf B 17325GAG1 LT AA-sf Affirmed AA-sf C 17325GAH9 LT A-sf Affirmed A-sf D 17325GAL0 LT BBsf Downgrade BBB-sf E 17325GAN6 LT CCCsf Downgrade B-sf F 17325GAQ9 LT CCsf Downgrade CCCsf X-A 17325GAJ5 LT AAAsf Affirmed AAAsf X-B 17325GAK2 LT AA-sf Affirmed AA-sf X-D 17325GAU0 LT BBsf Downgrade BBB-sf X-E 17325GAW6 LT CCCsf Downgrade B-sf X-F 17325GAY2 LT CCsf Downgrade CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks on classes B, X-B, C, D and X-D reflect increased loss expectations since Fitch's prior rating action, primarily due to continued performance deterioration of Briarwood Mall (10.0% of pool). Fitch increased the loss recognition in the base case scenario for this loan to account for the increasing likelihood of a transfer to special servicing and maturity default. Fitch's current ratings incorporate a base case loss of 7.50%. Five loans (16.8%), including two (2.0%) in special servicing, were designated as Fitch Loans of Concern (FLOCs). The Outlook revisions to Stable from Negative on classes A-S and X-A reflect increasing credit enhancement (CE) and stable to improving performance of the overall pool since the pandemic. Regional Mall FLOC: The largest contributor to loss expectations, Briarwood Mall (10.0%), is secured by a 369,916-sf portion of a 978,034-sf super regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The loan, which is sponsored in a 50/50 joint venture between Simon Property Group and General Motors Pension Trust, was designated a FLOC due to continued occupancy declines and increasing refinance risk. Fitch's base case loss expectation of 42% is based on a 15% cap rate and 5% haircut to YE 2021 NOI. Net operating income (NOI) has continued to decline, with YE 2021 NOI falling 19% below YE 2020, 32% below YE 2019 and 41% below the issuer's underwritten NOI. Servicer-reported NOI debt service coverage ratio (DSCR) for this interest-only (IO) loan was 2.06x at YE 2021, down from 2.54x at YE 2020, 3.03x at YE 2019 and 3.51x at issuance. The NOI declines are primarily due to tenant departures, with collateral occupancy at 67% per the December 2021 rent roll, down from 76% at YE 2020, 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur after Sears closed in the fourth quarter of 2018. In-line sales have also declined, reporting at $482 psf ($387 psf excluding Apple) for the TTM ended March 2022 compared with $543 psf ($358) for TTM ended July 2020. Increasing Credit Enhancement (CE): As of the September 2022 distribution date, the pool's aggregate balance has been paid down by 14.2% to $649.4 million from $756.5 million at issuance. Two loans totaling $56.1 million paid in full since Fitch's prior rating action. Four loans (4.0%) are fully defeased. Ten loans (43.3%) are full-term, IO. Seven loans (18.0%) have a partial-term, IO component; all have begun to amortize. Interest shortfalls of $216,618 are currently affecting the non-rated class G. Pool Concentration: The top 10 loans comprise 62.9% of the pool. Loan maturities are concentrated in 2026 (98%). Based on property type, the largest concentrations are office at 34.4%, retail at 25.7% and hotel at 17.8%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of the 'AAAsf' rated classes are not likely due to increasing CE and expected continued amortization, but could occur if interest shortfalls affect these classes. Downgrades of classes B, X-B and C could occur if interest shortfalls affect the 'AA-sf' rated classes, pool loss expectations increase significantly, additional loans become FLOCs or performance of the FLOCs, primarily Briarwood Mall, decline further. Classes D, X-D, E, X-E, F and X-F would be downgraded if loss expectations increase from additional loans transferring to special servicing and/or performance of the Briarwood Mall deteriorates further. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, X-B and C may occur with significant improvement in CE and/or defeasance, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. Upgrades of classes D, X-D, E, X-E, F and X-F are unlikely due to performance and refinance concerns with the regional mall FLOC but could occur if performance of the regional mall FLOC improves significantly, and/or if there is sufficient CE, which would likely occur if the non-rated classes are not eroded and the senior classes pay-off. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CITIGROUP 2016-P6: Fitch Affirms 'CCC' Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2016-P6 (CGCMT 2016-P6). In addition, Fitch has revised the Rating Outlooks on two classes to Positive from Stable and one class to Stable from Negative. Debt Rating Prior ---- ------ ----- CGCMT 2016-P6 A-4 17291EAV3 LT AAAsf Affirmed AAAsf A-5 17291EAW1 LT AAAsf Affirmed AAAsf A-AB 17291EAX9 LT AAAsf Affirmed AAAsf A-S 17291EAY7 LT AAAsf Affirmed AAAsf B 17291EAZ4 LT AA-sf Affirmed AA-sf C 17291EBA8 LT A-sf Affirmed A-sf D 17291EAA9 LT BBB-sf Affirmed BBB-sf E 17291EAC5 LT BB-sf Affirmed BB-sf F 17291EAE1 LT CCCsf Affirmed CCCsf X-A 17291EBB6 LT AAAsf Affirmed AAAsf X-B 17291EBC4 LT AA-sf Affirmed AA-sf X-D 17291EAL5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Improved Loss Expectations: Overall pool performance is stable from last review with loss expectations lower than the prior rating action, primarily due to stabilizing performance of loans affected by the pandemic and better than expected outcomes of disposed loans with realized losses less than expected. The revised Outlook to Stable from Negative on class F reflects overall stabilization of the pool while the Positive Outlooks on classes B and X-B reflect the potential for upgrade with further paydown of the pool and continued stable performance. Fitch's ratings incorporate a base case loss of 4.9%. Seven loans (34% of the pool) were identified as Fitch Loans of Concern (FLOCs). No loans are in special servicing. Fitch Loans of Concern: The largest FLOC, 8 Times Square & 1460 Broadway (8.4%), is secured by a 214,341-sf mixed-use retail/office property in Times Square, Manhattan. The collateral is fully occupied by two tenants: WeWork (83.1% of NRA, 53.1% of GPR; August 2034 lease expiration), which occupies the entire office portion of the property at below market rents; and Foot Locker (16.9% of NRA, 46.9% of GPR; August 2032 lease expiration), which occupies the first-floor retail space. WeWork continues to face challenges in the current environment, closing offices in numerous locations and grappling with operating losses since going public in October 2021. As of September 2022, both WeWork and Foot Locker remain open for business. The servicer-reported NOI debt service coverage ratio (DSCR) increased to 1.97x at YE 2021 from 1.85x at YE 2020. The second-largest FLOC, 681 Fifth Avenue (6.5%), is secured by a 17-story, 82,573-sf mixed-use building located on the southeast corner of 54th Street and 5th Avenue in Midtown Manhattan. The largest tenants include Metropole Realty Advisors (9.2% of NRA; through March 2029), Vera Bradley (7.1%; March 2026) and Apex Bulk Carriers (7.1%; March 2023). Physical occupancy remains at 58.6% as of the June 2022 rent roll after Tommy Hilfiger (27.3%) went dark in March 2019. Tommy Hilfiger is obligated to continue paying its rent through its May 2023 lease expiration. Additionally, Tommy Hilfiger's lease included a letter of credit security deposit for $6.66 million ($296 psf). The servicer-reported NOI DSCR has increased to 1.73x as of YE 2021 from 1.64x at YE 2020 primarily due to annual rental escalations. The largest improvement in expected losses is the 925 La Brea Avenue loan, which is secured by a 63,331-sf mixed-use property in West Hollywood, CA. The building was built in 2016 and originally occupied by two tenants, WeWork (75% of NRA) and Burke Williams (25%) Spa. WeWork vacated their space in early 2021. A new lease for approximately 31,000 sf has been executed which would bring occupancy to 74%. Terms of the lease were unavailable. Fitch's loss estimate of 11% assumes a cap rate of 9.0% and a 10% stress to the 2020 NOI to account for the new lease backfilling a portion of the vacant space. Increasing Credit Enhancement: As of the August 2022 distribution date, the pool's aggregate principal balance has been paid down by 22.6% to $706.8 million from $913.4 million at issuance. Three loans (2.4% of current pool) are fully defeased. Since the prior rating action, the Fairfield Inn & Suites Milwaukee Downtown loan, which was secured by 103-key limited service hotel in Milwaukee WI, was disposed. The loan was liquidated with $5.5 million in losses representing a 52% loss severity. The recovery was in excess of Fitch's estimated value, which reflected staffing and operational issues in conjunction with declining performance prior to the pandemic. Eight additional loans (18.1% of the original deal balance) have paid prior to or at maturity in the second half of 2021. Loan maturities are concentrated in 2026 (95%) with an additional 2.4% maturing in 2023 and 2.7% in 2027. Cumulative interest shortfalls totaling $416,435 are currently impacting the non-rated class H. Undercollateralization: The transaction is undercollateralized by approximately $530,607 due to a WODRA on the Sheraton Portland Airport loan, which was reflected in the August 2021 remittance report. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; Downgrades to the 'BBB-sf' and A-sf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'BB-sf' and 'CCCsf' categories would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or loans default and/or transfer to the special servicer and as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades to the 'BBB-sf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to 'BB-sf' and 'CCCsf' 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. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2012-CCRE2: Moody's Lowers Rating on Class F Certs to B2 ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on four classes in COMM 2012-CCRE2 Mortgage Trust, Commercial Pass-Through Certificates, Series 2012-CCRE2 as follows: Cl. B, Affirmed Aa2 (sf); previously on Jun 29, 2020 Affirmed Aa2 (sf) Cl. B-PEZ, Affirmed Aa2 (sf); previously on Jun 29, 2020 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jun 29, 2020 Affirmed A2 (sf) Cl. C-PEZ, Affirmed A2 (sf); previously on Jun 29, 2020 Affirmed A2 (sf) Cl. D, Downgraded to Baa2 (sf); previously on Jun 29, 2020 Affirmed Baa1 (sf) Cl. E, Downgraded to Ba2 (sf); previously on Jun 29, 2020 Downgraded to Ba1 (sf) Cl. F, Downgraded to B2 (sf); previously on Jun 29, 2020 Downgraded to B1 (sf) Cl. G, Affirmed Caa1 (sf); previously on Jun 29, 2020 Downgraded to Caa1 (sf) Cl. PEZ, Downgraded to A2 (sf); previously on Jun 29, 2020 Affirmed A1 (sf) Cl. X-B*, Affirmed B1 (sf); previously on Jun 29, 2020 Downgraded to B1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), are within acceptable ranges. The rating on one P&I class was affirmed because the ratings are consistent with Moody's expected loss. The ratings on the P&I classes were downgraded due to the increased risk of potential interest shortfalls driven primarily by the significant exposure to loans in special servicing and previously modified loans. As of the September 2022 remittance data, two loans (35% of the pool) were in special servicing. The largest loan in the pool, 260 and 261 Madison Avenue (41% of the pool) failed to pay off at its scheduled maturity date and has already been granted two 60-day maturity extensions. Furthermore, the Crossgates Mall loan (23% of the pool) has been previously modified and may face elevated refinance risks at its maturity date in May 2023. The rating on the IO class was affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class was downgraded based on the credit quality of the exchangeable classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 6.5% of the current pooled balance, compared to 4.2% at Moody's last review. Moody's base expected loss plus realized losses is now 1.3% of the original pooled balance, compared to 3.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the September 16, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 81% to $253 million from $1.32 billion at securitization. The certificates are collateralized by five mortgage loans ranging in size from 4% to 41% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to a Herf of 13 at Moody's last review. The largest loan in the pool is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans, constituting 35% of the pool, are currently in special servicing. Both of the specially serviced loans have transferred to special servicing since March 2020. The largest specially serviced loan is the Chicago Ridge Mall Loan ($79.0 million – 31.2% of the pool), which is secured by a 569,000 square foot (SF) portion of an 868,000 SF super-regional mall located approximately 15 miles southwest of the Chicago central business district (CBD). At securitization, the mall was anchored by a Sears, Kohl's, Carson Pirie Scott and an AMC Theatres. The Sears and Kohl's are non-collateral and Sears has since vacated. The Carson Pirie Scott has also vacated but its first floor has been replaced with a Dick's Sporting Goods. The collateral was 82% leased as of December 2021, compared to 72% as of December 2019 and 95% at securitization. The loan has amortized by 1.2% since securitization and the 2021 NOI has declined by 25% since 2018. This loan was modified, and the agreement closed July 6, 2022, and the special servicer indicates they are monitoring for return to the master servicer. The other specially serviced loan is secured by a retail property located in Houston, Texas that has passed its maturity and was 80% leased as of March 2022. Moody's has also assumed a high default probability for one poorly performing loan, Crossgates Mall ($59.4 million – 23.5% of the pool), which represents a pari-passu portion of a $247.7 million first mortgage. The loan is secured by a two-story, 1.3 million square foot (SF) super regional mall located in Albany, New York. The mall is anchored by Macy's (non-collateral), J.C. Penney, Dick's Sporting Goods, Burlington Coat Factory, Best Buy, and Regal Crossgates 18. A non-collateral anchor, Lord & Taylor, has closed its store at the property due to its recent filing for Chapter 11 bankruptcy reorganization. The property performance had been stable through year-end 2021 and the 2021 net operating income (NOI) was 2% higher than securitization levels. The mall represents a dominant super-regional mall with over 10 anchors and junior anchors and benefits from its location at the junction of Interstate 87 and Interstate 90. An updated appraisal in August 2020 valued the property at $281.0 million compared to $470.0 million at securitization. The loan has been extended through May 2023. Moody's has estimated an aggregate loss of $9.8 million from these specially serviced and troubled loans. The largest loan not in special servicing is the 260 and 261 Madison Avenue Loan ($105.0 million – 41.5% of the pool), which represents a pari passu portion of a $231.0 million first mortgage. The loan is secured by two Class-B office towers located in midtown Manhattan on Madison Avenue between East 36th and East 37th Street. The properties total approximately 840,000 SF of office space, 37,000 SF of retail space, and a 46,000 SF parking garage. As of March 2022, the properties had a combined occupancy of 81%, compared to 92% as of December 2020, 87% as of December 2018 and 90% at securitization. The loan failed to refinance by its scheduled maturity in June 2022 and has received two 60 day maturity extensions through August 2022 and now October 2022. The loan is interest only throughout its entire term and Moody's LTV and stressed DSCR are 120% and 0.81X, respectively, the same as at the last review. COMM 2012-LC4: Moody's Lowers Rating on Class C Certs to B1 ----------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on three classes in COMM 2012-LC4 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-LC4 ("COMM 2012-LC4") as follows: Cl. B, Downgraded to Baa1 (sf); previously on Apr 23, 2021 Downgraded to A2 (sf) Cl. C, Downgraded to B1 (sf); previously on Apr 23, 2021 Downgraded to Ba2 (sf) Cl. D, Affirmed Caa3 (sf); previously on Apr 23, 2021 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Apr 23, 2021 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Jun 9, 2020 Downgraded to C (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Apr 23, 2021 Downgraded to Caa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on three P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The ratings on two P&I classes were downgraded due to higher anticipated losses and the increased risk of potential interest shortfalls from the pool's exposure to specially serviced and troubled loans. The largest loan, Square One Mall Loan (48.4% of the pool), has been previously modified and is secured by a regional mall with recent declines in performance. The remaining four loans (51.6%) are all in special servicing and are either classified as REO or undergoing a foreclosure process. The rating on the IO class was downgraded due to a decline in the credit quality of its referenced classes. The IO Class references all P&I classes including Class G, which is not rated by Moody's. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 76.2% of the current pooled balance, compared to 14.5% at Moody's last review. Moody's base expected loss plus realized losses is now 13.4% of the original pooled balance, compared to 10.2% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 52% of the pool is in special servicing and Moody's has identified additional troubled loans representing 48% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the September 12, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 82% to $166 million from $941 million at securitization. The certificates are collateralized by five mortgage loans ranging in size from 4.5% to 48.4% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to a Herf of 11 at Moody's last review. The largest loan in the pool, Square One Mall, is the only loan not in special servicing and is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Four loans, constituting 52% of the pool, are currently in special servicing. Two of the specially serviced loans, representing 30% of the pool, have transferred to special servicing since March 2020. The largest specially serviced loan is the Alamance Crossing Loan ($42.1 million – 25.3% of the pool), which is secured by the fee interest in a 457,000 square foot (SF) regional mall/lifestyle center located in Burlington, North Carolina. The collateral consists of a portion of the Alamance Crossing East shopping center and the Alamance Crossing Central shopping center. Alamance Crossing East is a 649,989 SF open-air lifestyle center anchored by Dillard's, JC Penney, and Belk, along with a 16-screen Carousel Cinemas theater. Dillard's (124,683 SF) and JC Penney (102,826 SF) own their own stores and underlying land and are non-collateral for the loan. Alamance Crossing Central is a strip retail shopping center located across an access road and west of Alamance Crossing East. It contains 32,600 SF of NRA, all of which are part of the collateral. The loan has amortized 17% since securitization and is past its 2021 maturity date. The loan transferred to special servicing in November 2020 due to the sponsor's bankruptcy filing. The second largest specially serviced loan is the Susquehanna Valley Mall loan ($22.6 million – 13.6% of the pool), which is secured by a 628,063 SF component of a 745,000 SF regional mall located in Selinsgrove, Pennsylvania. The property is located in a tertiary market 50 miles north of Harrisburg, Pennsylvania and 40 miles east of State College, Pennsylvania. The loan transferred to the special servicer in March 2018 due to imminent monetary default. A receiver was appointed in October 2018 and the property has become REO. At securitization, the property was anchored by a Sears, JCPenney, Bon-Ton, Boscov's and Carmike Cinemas. The Sears, JCPenney, and Bon-Ton have closed at the property leaving Boscov's and Carmike Cinemas as the only two remaining anchors. The property also had an outparcel grocery-anchor, Weis Market, which closed its doors in October 2018. The former Sears box has been leased to Family Practice, a medical clinic, through 2049. The mall has faced competition from a local power center which also offers a robust mix of national tenants. The third largest specially serviced loan is the Johnstown Galleria – Ground Lease loan ($13.6 million – 8.2% of the pool), which was secured by the fee interest in a 46-acre site in Johnstown, Pennsylvania, improved with a 712,000 SF two-story regional mall. At securitization, the mall was anchored by a Sears, JCPenney, Bon-Ton and Boscov's. The Sears and Bon-Ton have both since closed. Additionally, the mall had been further developed with other major national tenants including Staples, Dunham's, Gander Mountain, Toys R' Us and Tractor Supply. Staples, Gander Mountain and Toys R' Us have since closed at the location as well. The trust's collateral consisted of a 99-year ground lease encumbering a 355,000 SF component of the Johnstown Galleria, with a final maturity date of June 2108. In September 2019 the loan transferred to special servicing due to imminent payment default. The lessee under the ground lease had defaulted on its lease payments and in October 2019, the borrower under the subject loan had also entered into payment default. A receiver was appointed in January 2020 and subsequently terminated the ground lease. The mall has since become REO. The remaining specially serviced loan is secured by a senior living property in Springfield, Illinois that has seen a decline in occupancy to 56% in September 2021 from 81% in December 2019, and a receiver has been appointed. Moody's has also assumed a high default probability on the Square One Mall Loan and estimates an aggregate $87.1 million loss for the specially serviced and troubled loans (52% expected loss on average). As of the September 12, 2022 remittance statement, cumulative interest shortfalls were $3.5 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The only loan not in special servicing is the Square One Mall Loan ($80.3 million – 48.4% of the pool), which is secured by the fee interest in a 541,000 SF component of a 929,000 SF super-regional mall located in Saugus, Massachusetts, approximately 10 miles northeast of Boston. The sponsor is Mayflower Realty LLC, a joint-venture between Simon Properties, TIAA, and the Canada Pension Plan Investment Board. The property is anchored by a Sears, Macy's, Dick's Sporting Goods, Best Buy, BD's Furniture, and TJMaxx. Macy's and Sears own their own boxes and are non-collateral for the loan. The Sears has vacated the property and has signed a lease with Apex Entertainment for more than 100,000 SF to run a family entertainment center on the first floor of the building. This loan failed to pay off at its maturity and was modified with a loan extension through January 2027, switched to interest-only payments, and will be cash managed with hyper amortization of all excess cash flow. Moody's has identified this as a troubled loan. COMM 2013-CCRE6: Moody's Lowers Rating on Cl. E Certs to B1 ----------------------------------------------------------- Moody's Investors Service has affirmed the ratings on ten classes and downgraded the ratings on three classes in COMM 2013-CCRE6 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE6, as follows: Cl. A-3FL, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Jul 10, 2020 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Jul 10, 2020 Affirmed A2 (sf) Cl. D, Downgraded to Ba1 (sf); previously on Jul 10, 2020 Confirmed at Baa3 (sf) Cl. E, Downgraded to B1 (sf); previously on Jul 10, 2020 Downgraded to Ba3 (sf) Cl. F, Downgraded to Caa1 (sf); previously on Jul 10, 2020 Downgraded to B3 (sf) Cl. PEZ, Affirmed Aa3 (sf); previously on Jul 10, 2020 Affirmed Aa3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jul 10, 2020 Affirmed Aaa (sf) Cl. X-B*, Affirmed A1 (sf); previously on Jul 10, 2020 Affirmed A1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on the seven P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. These classes will also benefit from principal paydowns as the remaining loans approach their maturity dates and defeased loans now represent 13% of the pool. The ratings on the three P&I classes were downgraded due to the potential refinance challenges for certain poorly performing loans with upcoming maturity days in the next three to six months. One specially serviced loan (2.0% of the pool) and three troubled loans (18.2% of the pool) that Moody's has identified may have heightened refinance risk due to their recent declines in performance. The largest troubled loan is secured by a regional mall, The Avenues, representing 12.7% of the pool. Furthermore, all the remaining loans mature by March 2023 and if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The ratings on the IO classes were affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class was affirmed based on the credit quality of its referenced exchangeable classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 5.7% of the current pooled balance, compared to 4.8% at Moody's last review. Moody's base expected loss plus realized losses is now 3.4% of the original pooled balance, compared to 2.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the September 12, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 42% to $869.3 million from $1.49 billion at securitization. The certificates are collateralized by 39 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans (excluding defeasance) constituting 72% of the pool. Fourteen loans, constituting 13% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 11, compared to 12 at Moody's last review. As of the September remittance report, except the specially serviced loan, all loans were current on their debt service payments. Eight loans, constituting 60% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $431,433 (for an average loss severity of 17%). There is currently one loan in special servicing, the Embassy Suites Lubbock Loan ($17.7 million – 2.0% of the pool), which is secured by a 156-room full-service hotel property located in Lubbock, Texas. The loan was transferred to special servicing in June 2020 due to imminent monetary default and is 90+ days delinquent. Moody's has also assumed a high default probability for three poorly performing loans, constituting 18% of the pool. The largest troubled loan is The Avenues Loan ($110.0 million -- 12.7% of the pool), which is secured by an approximately 599,000 square foot(SF) retail component of a 1.1 million SF super-regional mall in Jacksonville, Florida. At securitization, the mall contained five anchors: Dillard's, Belk, J.C. Penney, Sears and Forever 21. However, the boxes occupied by Dillard's, Belk and J.C. Penney are owned by their respective tenants and are not included as collateral for the loan. Sears closed its store in December 2019. As a result of Sears' closure of its store in December 2019, the collateral's occupancy decreased to 58% in December 2020 from 80% in December 2019. As of March 2022, the collateral's occupancy was 63% and inline occupancy was 69%, compared to the inline occupancy of 70% as of June 2019 and 81% as of March 2018. Property performance has deteriorated since 2015 and the reported 2019 NOI has declined 20% since 2015. The performance of the mall was further negatively impacted by the coronavirus pandemic. The reported 2020 and 2021 NOIs saw a decrease of 11% and 16%, respectively, from the 2019 NOI. Due to the decline in property performance in recent years the loan faces heightened refinance risk at the loan's February 2023 maturity date. The other two troubled loans making up a combined 5.5% of the pool, are secured by a multifamily property located in Midtown Manhattan, New York, which has been negatively impacted by coronavirus-related disruptions to its corporate tenants, and a grocery-anchored shopping center in Yorba Linda, California, which saw a significant decline in its occupancy due to a major tenant(40% of NRA) terminating their lease and vacating the property. Moody's has estimated an aggregate loss of $41 million (a 23% expected loss) from the specially serviced loan and troubled loans. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2021 operating results for 79% of the pool, and partial year 2022 operating results for 97% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 92%, compared to 99% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12.9% to the most recently available net operating income (NOI), excluding properties that had significantly depressed NOI in 2021. Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.90X and 1.20X, respectively, compared to 1.94X and 1.13X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 33% of the pool balance. The largest loan is the Federal Center Plaza Loan ($130.0 million -- 15.0% of the pool), which is secured by two adjacent office buildings totaling 725,000 SF in Washington, DC. The property is well-located between the US Capitol and Washington Monument, two blocks from two separate metro stations (Federal Center SW and L'Enfant Plaza). At securitization the property was 100% leased and federal government agencies Department of State (DOS) and Federal Emergency Management Agency(FEMA) leased 54% and 42% of the property NRA. While DOS vacated the property at its lease expiration in 2021, FEMA extended its lease at the property to 2027. As of June 2022, the property was 75% leased. Federal government agencies FEMA and United States Agency for International Development (USAID) leased approximately 71% of the total NRA. Due to the significant tenant concentration at the property, Moody's value incorporated a partial Lit/Dark analysis. The loan is the interest only for the entire 10-year term. Moody's LTV and stressed DSCR are 85% and 1.21X, respectively. The second largest loan is the Paramount Plaza Loan ($78.2 million -- 9.0% of the pool), which is secured by two 21-story, Class B office buildings connected by a shared parking garage. The property is located within the Mid-Wilshire submarket of Los Angeles, California, approximately ten miles from LAX airport. While the property's occupancy has dropped to 54% as of March 2022 due to a significant number of tenants leaving in the past year or so, there are several leasing updates with commencement dates in August 2022. The loan has amortized 18% since securitization and Moody's LTV and stressed DSCR are 114% and 0.9X, respectively, compared to 99% and 1.04X at the last review. The third largest loan is the Avenue Forsyth Loan ($75.8 million – 8.7% of the pool), which is a 523,535 SF lifestyle center located in Cumming, Georgia. The property's retail component represents approximately 81.7% of the NRA with the three largest tenants in occupancy being Academy Sports, AMC Theater and Barnes & Noble. As of March 2022, the property was 88% leased, compared to 91% as of December 2021, 83% as of December 2020, and 90% as of December 2019. The loan has amortized 9% since securitization and Moody's LTV and stressed DSCR are 105% and 0.98X, respectively, compared to 110% and 0.93X at the last review. COMM 2014-CCE21: Fitch Affirms 'B-sf' Rating on Class E Certs ------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE21 Mortgage Trust pass-through certificates (COMM 2014-CCRE21). The Rating Outlooks on three classes remain Negative. Debt Rating Prior ---- ------ ----- COMM 2014-CCRE21 A-3 12592RBF5 LT AAAsf Affirmed AAAsf A-M 12592RBJ7 LT AAAsf Affirmed AAAsf A-SB 12592RBE8 LT AAAsf Affirmed AAAsf B 12592RBK4 LT AA-sf Affirmed AA-sf C 12592RBM0 LT A-sf Affirmed A-sf D 12592RAL3 LT BBsf Affirmed BBsf E 12592RAN9 LT B-sf Affirmed B-sf PEZ 12592RBL2 LT A-sf Affirmed A-sf X-A 12592RBH1 LT AAAsf Affirmed AAAsf X-B 12592RAA7 LT AA-sf Affirmed AA-sf X-C 12592RAC3 LT BBsf Affirmed BBsf KEY RATING DRIVERS Stable Performance: The affirmations reflect overall stable performance of the pool and slightly improved loss expectations since Fitch's prior rating action due to stabilizing performance for the majority of properties affected by the pandemic. This includes two previously specially serviced loans, Santa Fe Arcade (1.8% of the pool) and Culver City Theatre (1.7%), which have returned to the master servicer. Fitch's current ratings reflect a base case loss of 8.30%. Fitch has identified 10 Fitch Loans of Concern (FLOCs; 27% of the pool balance), including four specially serviced loans (17.5%). Three of the specially serviced loans (15.9%) are in the top 15, with the majority of overall pool loss expectations from the Kings Shops (7.5%; retail; Waikoloa, HI) and Hilton College Station (4.8%; hotel; College Station, TX). Non-specially serviced top-15 FLOCs include Springdale Beltway Commons (2.7%; retail; Springdale, OH) and 12650 Ingenuity Drive (2.5%; office; Orlando, FL), both of which have increasing maturity default risk due to major tenant vacancies and declining cash flow. The Negative Outlooks for classes D, E, and X-C reflect concerns with the larger FLOCs, including uncertainty regarding the ultimate resolution of the specially serviced loans, and these classes' dependency on these loans for repayment. Specially Serviced Loans: The largest specially serviced loan is the $48.0 million Kings Shops (7.5% of the pool), secured by a 69,023-sf retail center within the 1,150-acre master-planned Waikoloa Beach Resort community in Waikoloa, HI. Current retailers include Michael Kors, Tommy Bahama, Tiffany & Co., and Na Hoku, and restaurants include Roy's Waikoloa Bar & Grill, Fosters Kitchen, and A-Bay's Cantina. Property performance has been declining since issuance, and was further affected by the impact of the pandemic, with YE 2021 NOI falling 20% below YE 2019 and 40% below the issuer's underwritten NOI. Occupancy has fallen to 61% per the March 2022 rent roll, from 76% at YE 2020 and 91% at YE 2019. The recent occupancy declines can be attributed to 2021/2020 store closures as a result of pandemic-imposed limitations. The 10,008-sf anchor space (14.5% NRA) remains vacant since Macy's departure in January 2020. Near-term rollover includes 24% of the NRA through July 2023 and an additional 14% through July 2024. The most recently reported sales have shown an increase after limited operations in 2020. The majority of reported sales are from the jeweler tenants (24% of TTM March 2022 total sales) and the restaurants (37% of total sales). Excluding the jeweler tenants, restaurant, and Macy's sales, TTM March 2022 and YE 2021 inline sales were $650psf and $565psf, respectively, compared to $545psf for pre-pandemic TTM June 2019 and $470psf for TTM July 2018. The loan transferred to special servicing in September 2020 for payment default. The servicer had filed for foreclosure and a receiver is in control of the property. Motion for summary judgment was granted by the court, and a foreclosure sale was scheduled for the end of August 2022. No further updates on the foreclosure is currently available. Fitch's base case loss of 30% reflects a discount to the most recent servicer reported appraised value. The Fitch-stressed value equates to an approximately 6.5% cap rate to the YE 2021 NOI or 8.2% cap rate to the YE 2019 NOI. The second largest specially serviced loan and largest contributor to expected losses is the $32.0 million Hilton College Station (4.8%), which is secured by a 303-room full-service Hilton in College Station, TX, less than one-mile from Texas A&M University. The loan transferred to special servicing in August 2019 for imminent default and became REO in June 2020. Per servicer updates, the property was scheduled for a May 2022 auction; however, the asset was pulled from that auction after a change in the controlling class representative. Per the July 2022 STR reporting, hotel occupancy was 49%, ADR was $140.80, and RevPAR was $68.33. Occupancy had increased approximately 33.5% over the past 12 months. The property is performing above its competitive set, with a penetration index of 106% for occupancy, 142% for ADR, and 150.8% for RevPar. The hotel remains under the existing Hilton Franchise Agreement with an expiration date of Oct. 29, 2029. Fitch's base case loss expectation of 70% is based off a stress to the most recent servicer provided (as-is) appraisal value, and reflects a stressed value of $55,000 per key. Increased Credit Enhancement (CE) from Paydown and Defeasance: As of the August 2022 distribution date, the pool's aggregate principal balance has paid down by 22.6% to $638.4 million from $824.8 million at issuance. Twelve loans (27.2%) have been defeased, including six loans (4.0%) since Fitch's prior rating action. Interest shortfalls are currently affecting classes F through J. All of the remaining non-specially serviced loans are scheduled to mature in 2024. 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 classes A-3, A-SB, A-M, B, X-A and X-B are not likely due to the increasing CE and expected continued paydowns, but may occur should interest shortfalls affect these classes. Downgrades to class C are possible should expected losses for the pool increase significantly. Downgrades to classes D, E and X-C would occur should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing and/or higher than expected losses are incurred on the specially serviced loans/assets, particularly the Kings Shops and Hilton College Station loans. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or additional defeasance. Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, E and X-C are not likely unless the performance of the remaining pool is stable and/or recovery prospects for the specially serviced loans significantly improve, and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2016-CCRE28: Fitch Affirms 'CCCsf' Rating on Class G Certs --------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of COMM 2016-CCRE28 Mortgage Trust, commercial mortgage pass-through certificates. The Rating Outlooks for two classes have been revised to Stable from Negative and for one class to Positive from Stable. Debt Rating Prior ---- ------ ----- COMM 2016-CCRE28 A-3 12593YBD4 LT AAAsf Affirmed AAAsf A-4 12593YBE2 LT AAAsf Affirmed AAAsf A-HR 12593YBF9 LT AAAsf Affirmed AAAsf A-M 12593YBK8 LT AAAsf Affirmed AAAsf A-SB 12593YBC6 LT AAAsf Affirmed AAAsf B 12593YBL6 LT AA-sf Affirmed AA-sf C 12593YBM4 LT A-sf Affirmed A-sf D 12593YBN2 LT BBBsf Affirmed BBBsf E 12593YAL7 LT BBB-sf Affirmed BBB-sf F 12593YAN3 LT Bsf Affirmed Bsf G 12593YAQ6 LT CCCsf Affirmed CCCsf X-A 12593YBH5 LT AAAsf Affirmed AAAsf X-C 12593YAC7 LT BBB-sf Affirmed BBB-sf X-D 12593YAE3 LT Bsf Affirmed Bsf X-HR 12593YBJ1 LT AAAsf Affirmed AAAsf XP-A 12593YBG7 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions to Stable from Negative on classes F and X-D reflect improved loss expectations for the pool since the prior rating action due to stabilizing performance of loans affected by the pandemic and better than expected recoveries from the liquidation of three REO assets. Fitch's current ratings incorporate a base case loss of 4.10%. There are six Fitch Loans of Concern (FLOCs; 25.7% of pool). The largest increase in loss since the prior rating action is the Hall Office Park - A2 loan (2.7%), which is secured by a 147,868-sf suburban office property located in Frisco, TX. This FLOC was flagged due to the property's largest tenant going dark, the expected downsizing of the second largest tenant and significant upcoming lease rollover. The property was 96.3% leased as of the July 2022 rent roll; however, current physical occupancy is estimated to be approximately 79%; per the servicer, the largest tenant, ThyssenKrupp Elevator (17.1% of NRA; 15% of total base rents), went dark and vacated ahead of its scheduled June 2022 lease expiration. Previously, the property was 94.5% occupied in July 2021 and 91.6% in January 2020. As of the July 2022 rent roll, upcoming lease rollover includes 21.4% of the NRA in 2022, 27.7% in 2023 and 7.4% in 2024. The 2022 rollover is mostly concentrated in the October 2022 expiration of the second largest tenant, Premier Business Centers (17.1% of NRA; 20% of total base rents); per the servicer, the tenant will be renewing its lease but is expected to downsize its space. The 2023 rollover includes Greenhills Software (7.6%) in September 2023 and The Haskell Group (11.5%) in December 2023. Fitch's base case loss of 12% reflects a 10% cap rate and a 30% haircut applied to the YE 2021 NOI to reflect the significant upcoming lease rollover risk and the dark largest tenant. Increasing Credit Enhancement (CE): The Positive Outlook on class B reflects increasing CE and the potential for upgrade over the next one to two years with continued paydown and/or additional defeasance, as well as stable to improving pool performance. As of the August 2022 distribution date, the pool's principal balance has been reduced by 14.7% to $876 million from $1.03 billion at issuance. Since the prior rating action, the REO Holiday Inn Fort Worth North Fossil Creek ($11.5 million), Holiday Inn Corpus Christi Airport ($8.7 million) and 6000 Uptown ($5.4 million) assets were liquidated with better than expected recoveries. Additionally, the Equity Inns Portfolio FLOC ($40 million) was repaid in full at maturity in July 2022. Defeasance has increased to 9.8% of the pool (six loans) from 7.8% (five loans) at the prior rating action. Ten loans (43%) are full-term interest-only and the remainder of the pool is now amortizing. One loan (Hyatt Regency St. Louis at The Arch; 5.7%) is scheduled to mature in November 2024, 40 loans (87.1%) in 2025 and two loans (7.3%) in 2026. Alternative Loss Considerations: While CE and loss expectations have improved, prior to any upgrades, Fitch would incorporate an additional pool-level sensitivity scenario to test for the resiliency of the current ratings by applying higher cap rates and NOI stresses. This additional scenario supported the affirmations and the Rating Outlook revisions. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-3, A-4, A-HR, A-SB, A-M, X-A, X-HR and XP-A are not likely due to the increasing CE, expected continued paydown and overall stable to improving performance, but may occur should interest shortfalls affect these classes. Downgrades to classes B and C may occur should pool loss expectations increase significantly and should all of the FLOCs suffer losses, which would erode CE. Downgrades to classes D, E, X-C, F and X-D may occur with further performance deterioration of the FLOCs and/or should additional loans (particularly Hall Office Park or Equitable City Center) default or transfer to special servicing. Downgrades to class G would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs and other properties affected by the pandemic. Upgrades to classes D, E, X-C, F and X-D may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to class G are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CQS US 2022-2: Fitch Assigns B+sf on Class E-2 Notes ---------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CQS US CLO 2022-2, Ltd. Debt Rating ---- ------ CQS US CLO 2022-2, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B-1 LT AA+sf New Rating B-F LT AA+sf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E-1 LT BB+sf New Rating E-2 LT B+sf New Rating Subordinate Notes LT NRsf New Rating TRANSACTION SUMMARY CQS US CLO 2022-2, Ltd. (the issuer) is a static arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CQS (US), LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.9% first-lien senior secured loans and has a weighted average recovery assumption of 76.47%. Portfolio Composition (Positive): The largest three industries comprise 35.1% of the portfolio balance in aggregate while the top five obligors represent 4.8% 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 incorporating potential maturity amendments on the underlying loans as well as 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. In Fitch's stress scenarios, the notes were able to withstand respective default rates and recovery assumptions appropriate for their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'Asf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and 'BB+sf' for class E-1, and between less than 'B-sf' and 'B+sf' for class E-2. 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, 'A+sf' for class D notes, 'BBB+sf' for class E-1 notes, and 'BBB+sf' for class E-2 notes. CROWN CITY IV: S&P Affirms BB- (sf) Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Crown City CLO IV's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Western Asset Management Co. LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Crown City CLO IV/Crown City CLO IV LLC Class A-1, $216.00 million: AAA (sf) Class A-2, $57.50 million: AA (sf) Class B (deferrable), $19.00 million: A (sf) Class C (deferrable), $20.50 million: BBB- (sf) Class D (deferrable), $14.00 million: BB- (sf) Subordinated notes, $32.30 million: Not rated DBUBS 2011-LC2: Moody's Lowers Rating on Cl. X-B Certs to Ca ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes and downgraded the rating on one class in DBUBS 2011-LC2 Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2011-LC2, as follows: Cl. F, Affirmed Caa1 (sf); previously on Oct 12, 2021 Affirmed Caa1 (sf) Cl. FX*, Affirmed Caa1 (sf); previously on Oct 12, 2021 Affirmed Caa1 (sf) Cl. X-B*, Downgraded to Ca (sf); previously on Oct 12, 2021 Downgraded to Caa2 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on one P&I class was affirmed because the rating is consistent with expected recovery of principal and interest from the remaining loan in the pool. The remaining loan is the Magnolia Hotel Houston, which has been previously modified. The rating on one IO class was affirmed based on the credit quality of the referenced class. The rating on the IO class, Class X-B, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. The IO class references all P&I classes including Class G, which is not rated by Moody's. Class G has already realized a 33% loss as of the September 2022 remittance report. Moody's rating action reflects a base expected loss of 25.0% of the current pooled balance, compared to 24.2% at Moody's last review. Moody's base expected loss plus realized losses is now 1.1% of the original pooled balance, same as at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant improvement in loan performance or a loan being defeased. Factors that could lead to a downgrade of the ratings include a decline in the performance of the remaining loan, an increase in realized and expected losses or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the September 12, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $33.7 million from $2.14 billion at securitization. The certificates are collateralized by one mortgage loan. Three loans have been liquidated from the pool, resulting in an aggregate realized loss of $15.8 million (for an average loss severity of 43%). The only remaining loan is the Magnolia Hotel Houston Loan ($33.9 million – 100% of the pool), which is secured by a full service hotel located in downtown Houston, Texas. The borrower had requested relief in June 2020 as a result of the disruptions in relation to the coronavirus pandemic. The loan transferred to special servicing in July 2020 due to imminent monetary default. The loan has been modified and returned to the master servicer in February 2022 and will remain in a Cash Sweep Event Period through loan maturity. The loan's maturity date has been extended from June 2021 to June 2023, and the borrower has one further option to extend the maturity date at a cost of 1% of the then principal balance. All default interest and late fees have been waived, and the loan is now current. As of year-end 2021, the trailing twelve months (TTM) occupancy was 34% with ADR of $148.69 and RevPAR of $50.56. The most recent financial data as of March 2022 shows TTM NOI DSCR at 0.58X, compared to 0.18X as of December 2021 and 1.02X as of December 2019. The most recent appraisal in September 2020 was $46.6 million, down from $63.7 million at securitization. The loan has amortized 19.3% since securitization and Moody's LTV and stressed DSCR are 144% and 0.92X. DT AUTO 2022-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to DT Auto Owner Trust 2022-3's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 23, 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 60.57%, 54.17%, 43.98%, 34.80%, and 31.34% credit support--hard credit enhancement and a haircut to excess spread--for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide approximately 2.40x, 2.15x, 1.75x, 1.40x, and 1.25x coverage of S&P's expected net loss range of 24.75% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.40x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)'ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans securitized in this transaction together with our view of the credit risk of the collateral, S&P's updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Wells Fargo Bank N.A., which does not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors which are in line with its sector benchmark. -- The transaction's payment and legal structure. Preliminary Ratings Assigned DT Auto Owner Trust 2022-3 Class A, $186.12 million: AAA (sf) Class B, $39.40 million: AA (sf) Class C, $44.22 million: A (sf) Class D, $56.08 million: BBB (sf) Class E, $24.32 million: BB (sf) FREDDIE 2022-DNA7: S&P Assigns Prelim 'BB-' Rating on M-2UB Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR REMIC Trust 2022-DNA7's notes. The note issuance is an RMBS securitization backed by residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Freddie Mac. The preliminary ratings are based on information as of Sept. 22, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The REMIC structure that reduces the counterparty exposure to Freddie Mac for periodic principal and interest payments, but, at the same time, pledges the support of Freddie Mac (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which, in our view, enhances the notes' strength; -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying R&W framework; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While COVID-19 pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Preliminary Ratings Assigned Freddie Mac STACR REMIC Trust 2022-DNA7 Class A-H(i), $19,040,346,431: Not rated Class M-1A, $237,000,000: BBB+ (sf) Class M-1AH(i), $12,873,312: Not rated Class M-1B, $180,000,000: BBB- (sf) Class M-1BH(i), $9,903,717: Not rated Class M-2, $199,000,000: BB- (sf) Class M-2A, $99,500,000: BB+ (sf) Class M-2AH(i), $5,446,791: Not rated Class M-2B, $99,500,000: BB- (sf) Class M-2BH(i), $5,446,791: Not rated Class M-2R, $199,000,000: BB- (sf) Class M-2S, $199,000,000: BB- (sf) Class M-2T, $199,000,000: BB- (sf) Class M-2U, $199,000,000: BB- (sf) Class M-2I, $199,000,000: BB- (sf) Class M-2AR, $99,500,000: BB+ (sf) Class M-2AS, $99,500,000: BB+ (sf) Class M-2AT, $99,500,000: BB+ (sf) Class M-2AU, $99,500,000: BB+ (sf) Class M-2AI, $99,500,000: BB+ (sf) Class M-2BR, $99,500,000: BB- (sf) Class M-2BS, $99,500,000: BB- (sf) Class M-2BT, $99,500,000: BB- (sf) Class M-2BU, $99,500,000: BB- (sf) Class M-2BI, $99,500,000: BB- (sf) Class M-2RB, $99,500,000: BB- (sf) Class M-2SB, $99,500,000: BB- (sf) Class M-2TB, $99,500,000: BB- (sf) Class M-2UB, $99,500,000: BB- (sf) Class B-1H(i), $149,923,989: Not rated Class B-2H(i), $99,949,325: Not rated Class B-3H(i), $49,974,663: Not rated (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of these tranches. GS MORTGAGE 2013-GC10: Fitch Affirms CCC Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Goldman Sachs Mortgage Company's GS Mortgage Securities Trust (GSMS) commercial mortgage pass-through certificates series 2013-GC10. In addition, the Rating Outlooks for three classes have been revised to Stable from Negative. Debt Rating Prior ---- ------ ----- GS Mortgage Securities Trust 2013-GC10 A-4 36192CAD7 LT AAAsf Affirmed AAAsf A-5 36192CAE5 LT AAAsf Affirmed AAAsf A-AB 36192CAF2 LT AAAsf Affirmed AAAsf A-S 36192CAH8 LT AAAsf Affirmed AAAsf B 36192CAL9 LT AAsf Affirmed AAsf C 36192CAN5 LT Asf Affirmed Asf D 36192CAQ8 LT BBB-sf Affirmed BBB-sf E 36192CAS4 LT Bsf Affirmed Bsf F 36192CAU9 LT CCCsf Affirmed CCCsf X-A 36192CAG0 LT AAAsf Affirmed AAAsf X-B 36192CAJ4 LT Asf Affirmed Asf KEY RATING DRIVERS Generally Stable Loss Expectations/Expected Paydown: The affirmations reflect continued stable performance of the majority of the loans in the pool. Loss expectations are generally in line with the prior rating action. There are eight (20.4%) Fitch Loans of Concern (FLOCs), including two (16.6%) in special servicing. Fitch's current ratings incorporate a base case loss of 8.4%. The Outlook revision for classes B, C and interest-only class X-B to Stable from Negative reflect the recent resolution of the Empire Hotel & Retail loan (18.6%) as well as the expected paydown from maturing loans in the pool (25.5% by YE 2022 and the remainder of pool in January and February 2023). The Negative Outlooks for classes D and E reflect the potential for downgrades should the Empire Hotel & Retail loan fail to stabilize and/or any of the loans in the pool fail to repay at their respective maturities and experience prolonged workout periods. Empire Hotel & Retail (15.9%), the largest loan in the pool, transferred to special servicing in June 2021 for payment default. The collateral is a mixed-use hotel/retail property on the Upper West Side of Manhattan. Prior to the coronavirus pandemic, the property experienced declining cash flow due to renovations that took one-half of the hotel rooms off line through YE 2016. The property suffered additional performance declines as a result of the pandemic. The servicer and borrower have recently agreed upon a loan modification and the loan is expected to return to the master servicer. Terms of the modification include: one, two-year maturity extension option (loan is currently scheduled to mature in January 2023), 5% principal paydown, continued interest-only payments, payment of 50% of past due interest, all excess cash flow swept and held by lender in a reserve account and waiver of FF&E deposits. Fitch's loss expectations of 24% reflects a value of approximately $310,000/key. The second loan in special servicing is the One Technology Plaza loan (2.2%), which is secured by two of the three condo units within a seven-story, 155,739 sf office building and street-level retail space in Peoria, IL. The loan transferred to special servicing in December 2021 for imminent monetary default. Occupancy has declined to 59% as of YE 2021 primarily due to tenants vacating upon lease expiration. The special servicer is proceeding with foreclosure while continuing discussions with the borrower on workout alternatives. A receiver was appointed in July 2022 and is commencing discussions with tenants for lease renewals. Fitch's loss expectations of 60% reflects a value of $40/sf and is driven by significant occupancy decline and lack of leasing prospects. Defeasance/Improved Credit Enhancement (CE): CE has improved since issuance from paydown and defeasance. Six loans (6.8% of the original pool balance) were paid in full since the prior rating action. Sixteen loans (28.7%) are fully defeased, including five loans in the top 15 (20.6%). As of the September 2022 distribution date, the pool's aggregate balance has been reduced by 34.1% to $556.6 million from $859.4 million at issuance. Interest shortfalls are currently affecting class D. Two loans (23.5% of the pool) are full-term interest-only, and the remaining 39 loans (76.5%) are amortizing. Alternative Loss Considerations: Due to upcoming maturities (100% of the pool matures by February 2023), Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the affirmations, outlook revisions for classes B, C and the interest only class X-B and continued Negative Outlooks for classes D and E. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-4 through A-AB and interest-only X-A and are not likely due to the continued expected amortization, position in the capital structure and repayment from loans expected to refinance at maturity, but may occur should interest shortfalls affect these classes. A downgrade to class A-S is possible if performing loans fail to repay at their respective maturities and experience losses. Downgrades to classes B, C and X-B would occur should overall pool losses increase significantly from continued underperformance of the FLOCs. Downgrades to classes D and E would occur if additional loans default and/or transfer to special servicing and/or higher losses than expected are incurred on the specially serviced loans/assets. Downgrades to the distressed class F would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance coupled with additional paydown and/or defeasance. Upgrades to classes B, C, D and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the coronavirus pandemic; however, adverse selection and increased concentrations, or the underperformance of the FLOCs could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to classes E and F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable, and if there is sufficient CE, which would occur if the non-rated class G is not eroded, the senior classes payoff, and if the FLOCs are paid off or resolved with minimal losses. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2022-PJ6: Fitch Gives 'B+(EXP)' Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-PJ6 (GSMBS 2022-PJ6). Debt Rating ---- ------ GSMBS 2022-PJ6 A1 LT AA+(EXP)sf Expected Rating WDsf A1 LT WDsf Withdrawn AA+(EXP)sf A10 LT AAA(EXP)sf Expected Rating WDsf A10 LT WDsf Withdrawn AAA(EXP)sf A10X LT WDsf Withdrawn AAA(EXP)sf A11 LT AAA(EXP)sf Expected Rating WDsf A11 LT WDsf Withdrawn AAA(EXP)sf A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating WDsf A12 LT WDsf Withdrawn AAA(EXP)sf A13 LT AAA(EXP)sf Expected Rating WDsf A13 LT WDsf Withdrawn AAA(EXP)sf A13X LT AAA(EXP)sf Expected Rating WDsf A13X LT WDsf Withdrawn AAA(EXP)sf A14 LT AAA(EXP)sf Expected Rating WDsf A14 LT WDsf Withdrawn AAA(EXP)sf A15 LT AAA(EXP)sf Expected Rating WDsf A15 LT WDsf Withdrawn AAA(EXP)sf A15X LT AA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating WDsf A16 LT WDsf Withdrawn AAA(EXP)sf A16X LT WDsf Withdrawn AAA(EXP)sf A17 LT AAA(EXP)sf Expected Rating WDsf A17 LT WDsf Withdrawn AAA(EXP)sf A17X LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating WDsf A18 LT WDsf Withdrawn AAA(EXP)sf A19 LT AAA(EXP)sf Expected Rating WDsf A19 LT WDsf Withdrawn AAA(EXP)sf A19X LT AAA(EXP)sf Expected Rating WDsf A19X LT WDsf Withdrawn AAA(EXP)sf A1X LT AA+(EXP)sf Expected Rating WDsf A1X LT WDsf Withdrawn AA+(EXP)sf A2 LT AA+(EXP)sf Expected Rating WDsf A2 LT WDsf Withdrawn AA+(EXP)sf A20 LT AAA(EXP)sf Expected Rating WDsf A20 LT WDsf Withdrawn AAA(EXP)sf A21 LT AAA(EXP)sf Expected Rating WDsf A21 LT WDsf Withdrawn AAA(EXP)sf A21X LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating WDsf A22 LT WDsf Withdrawn AAA(EXP)sf A22X LT WDsf Withdrawn AAA(EXP)sf A23 LT AA+(EXP)sf Expected Rating WDsf A23 LT WDsf Withdrawn AAA(EXP)sf A23X LT AA+(EXP)sf Expected Rating A24 LT AA+(EXP)sf Expected Rating WDsf A24 LT WDsf Withdrawn AAA(EXP)sf A25 LT WDsf Withdrawn AAA(EXP)sf A25X LT WDsf Withdrawn AAA(EXP)sf A26 LT WDsf Withdrawn AAA(EXP)sf A27 LT WDsf Withdrawn AAA(EXP)sf A28 LT WDsf Withdrawn AAA(EXP)sf A28X LT WDsf Withdrawn AAA(EXP)sf A29 LT WDsf Withdrawn AAA(EXP)sf A3 LT AAA(EXP)sf Expected Rating WDsf A3 LT WDsf Withdrawn AA+(EXP)sf A30 LT WDsf Withdrawn AAA(EXP)sf A31 LT WDsf Withdrawn AAA(EXP)sf A31X LT WDsf Withdrawn AAA(EXP)sf A32 LT WDsf Withdrawn AAA(EXP)sf A33 LT WDsf Withdrawn AAA(EXP)sf A34 LT WDsf Withdrawn AA+(EXP)sf A34X LT WDsf Withdrawn AA+(EXP)sf A35 LT WDsf Withdrawn AA+(EXP)sf A36 LT WDsf Withdrawn AA+(EXP)sf A3x LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating WDsf A4 LT WDsf Withdrawn AAA(EXP)sf A4A LT AAA(EXP)sf Expected Rating WDsf A4A LT WDsf Withdrawn AAA(EXP)sf A4X LT Dsf Withdrawn AAA(EXP)sf A5 LT AAA(EXP)sf Expected Rating WDsf A5 LT WDsf Withdrawn AAA(EXP)sf A5x LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating WDsf A6 LT WDsf Withdrawn AAA(EXP)sf A6A LT WDsf Withdrawn AAA(EXP)sf A7 LT AAA(EXP)sf Expected Rating WDsf A7 LT WDsf Withdrawn AAA(EXP)sf A7X LT AAA(EXP)sf Expected Rating WDsf A7X LT WDsf Withdrawn AAA(EXP)sf A8 LT AAA(EXP)sf Expected Rating WDsf A8 LT WDsf Withdrawn AAA(EXP)sf A9 LT AAA(EXP)sf Expected Rating WDsf A9 LT WDsf Withdrawn AAA(EXP)sf A9x LT AAA(EXP)sf Expected Rating AX LT AA+(EXP)sf Expected Rating WDsf AX LT WDsf Withdrawn AA+(EXP)sf B1 LT AA(EXP)sf Expected Rating WDsf B1 LT WDsf Withdrawn AA(EXP)sf B2 LT A(EXP)sf Expected Rating WDsf B2 LT WDsf Withdrawn A(EXP)sf B3 LT BBB(EXP)sf Expected Rating WDsf B3 LT WDsf Withdrawn BBB(EXP)sf B4 LT BB+(EXP)sf Expected Rating WDsf B4 LT WDsf Withdrawn BB(EXP)sf B5 LT B+(EXP)sf Expected Rating WDsf B5 LT WDsf Withdrawn B+(EXP)sf PT LT WDsf Withdrawn AA+(EXP)sf TRANSACTION SUMMARY The certificates are supported by 380 prime-jumbo and agency conforming loans with a total balance of approximately $432 million, as of the cut-off date. The transaction is expected to close on Sept. 30, 2022. Expected ratings were published in June for GSMBS 2022-PJ6. Since then the issuer has re-structured the transaction leading to the withdrawal of prior ratings and assigning new expected ratings. 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 12.2% above a long-term sustainable level (versus 11.0% on a national level as of 1Q22, up 1.8% since last quarter). Underlying fundamentals are not keeping pace with growth in prices, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 18.0% yoy nationally as of June 2022. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned at approximately nine months in aggregate. The collateral comprises primarily prime-jumbo loans and less than 1% agency conforming loans. The borrowers in this pool have strong credit profiles (a 761 model FICO), but lower than what Fitch has observed for other prime-jumbo securitizations. The sustainable loan-to-value ratio (sLTV) is 75.5% and the mark-to-market (MTM) combined loan-to-value ratio (CLTV) is 65.9%. Fitch treated 100% of the loans as full documentation collateral and all of the loans are qualified mortgages (QMs). Of the pool, 92.5% are loans for which the borrower maintains a primary residence, while 7.5% are for second homes. Additionally, 48.1% of the loans were originated through a retail channel or a correspondent's retail channel. Shifting-Interest Deal Structure (Mixed): The mortgage cash flow and loss allocation are based on a senior subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.90% of the original balance will be maintained for the senior notes, and a subordination floor of 1.25% of the original balance will be maintained for the subordinate notes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 42.9% 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. SUMMARY OF FINANCIAL ADJUSTMENTS International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence LLC, Opus Capital Market Consultants, Infinity, Covius, Clayton, and Consolidated Analytics Inc. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction to each loan's probability of default. This adjustment resulted in a 24bps reduction to the 'AAAsf' expected loss. DATA ADEQUACY Fitch relied in its analysis on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." AMC Diligence LLC, Opus Capital Market Consultants, Infinity, Covius, Clayton and Consolidated Analytics Inc. were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. 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. HALSEYPOINT CLO 6: Fitch Assigns 'BB-sf' Rating on Class E Debt --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to HalseyPoint CLO 6, Ltd. Debt Rating ---- ------ HalseyPoint CLO 6, Ltd. A-1 LT NRsf New Rating A-2 LT NRsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT NRsf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY HalseyPoint CLO 6, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by HalseyPoint Asset Management, 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 loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.2 versus a maximum covenant, in accordance with the initial expected matrix point of 25.25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.9% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.5% versus a minimum covenant, in accordance with the initial expected matrix point, of 75.14%. Portfolio Composition (Positive): The largest three industries may constitute up to 40.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios 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 metrics. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B notes, between less than 'B-sf' and 'BBBsf' for class D notes, and between less than 'B-sf' and 'BB-sf' for class D notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. Results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ILPT COMMERCIAL 2022-LPF2: Moody's Assigns B2 Rating to HRR Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of CMBS securities, issued by ILPT Commercial Mortgage Trust 2022-LPF2, Commercial Mortgage Pass-Through Certificates, Series 2022-LPF2: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aaa (sf) Cl. C, Definitive Rating Assigned A2 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. HRR, Definitive Rating Assigned 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. INVESCO CLO 2022-3: Moody's Assigns B3 Rating to $1MM Cl. F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Invesco CLO 2022-3, Ltd. (the "Issuer" or "Invesco 2022-3"). Moody's rating action is as follows: US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$1,000,000 Class F Deferrable Junior Secured Floating Rate Notes due 2035, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Invesco 2022-3 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of senior unsecured loans, second lien loans, first lien last out loans and permitted debt securities, provided that not more than 5% of the portfolio may consist of permitted debt securities and not more than 2.5% of the portfolio may consist of high yield bonds. The portfolio is approximately 97% ramped as of the closing date. Invesco CLO Equity Fund 3 L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued five other classes of secured notes, one class of Y notes, and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2898 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. JPMBB COMMERCIAL 2016-C1: Fitch Affirms CCCsf on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed the ratings of 14 classes of JPMBB Commercial Mortgage Securities Trust 2016-C1 commercial mortgage pass-through certificates. The Rating Outlook on class E has been revised to Stable from Negative. Debt Rating Prior ---- ------ ----- JPMBB 2016-C1 A-3 46645LAW7 LT AAAsf Affirmed AAAsf A-4 46645LAX5 LT AAAsf Affirmed AAAsf A-5 46645LAY3 LT AAAsf Affirmed AAAsf A-S 46645LBD8 LT AAAsf Affirmed AAAsf A-SB 46645LAZ0 LT AAAsf Affirmed AAAsf B 46645LBE6 LT AA-sf Affirmed AA-sf C 46645LBF3 LT A-sf Affirmed A-sf D 46645LAG2 LT BBB-sf Affirmed BBB-sf D-1 46645LAC1 LT BBBsf Affirmed BBBsf D-2 46645LAE7 LT BBB-sf Affirmed BBB-sf E 46645LAJ6 LT BB-sf Affirmed BB-sf F 46645LAL1 LT CCCsf Affirmed CCCsf X-A 46645LBA4 LTA AAsf Affirmed AAAsf X-D 46645LAA5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect generally stable base case loss expectations compared with Fitch's last rating action. The Stable Outlook revision for class E reflects performance improvement from loans that were affected by the pandemic, removal of pandemic-related stresses as well as two loans returning from special servicing since the last rating action. There are seven FLOCs (14.8% of pool), including three (11.7%) in the top 15. However, the majority of the pool continues to perform as expected. Fitch's current ratings incorporate a base case loss of 3.6%. The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action is The 9 (4.3%). The loan is secured by a mixed-use development that is comprised of three components: a hotel, apartments and a parking garage located in the Playhouse Square District of Cleveland, OH. Property operations were significantly affected as a result of the pandemic, with overall occupancy falling to 36% in 2020 per servicer commentary. Occupancy has improved to 79% as of the September 2021 servicer reporting, but the NOI debt service coverage ratio (DSCR) remains low at 0.83x, compared with pre-pandemic YE 2019 ratios of 90% and 1.85x, respectively. The Fitch base case loss of 13% reflects a 15% stress to the pre-pandemic YE 2019 NOI. Fitch's analysis considered the slow recovery of the property from the pandemic lows, as well as increasing term default risks due to the low DSCR. The second largest contributor to losses is the Marriott - Troy, MI loan (5.2%), which is secured by a 350-room full service hotel located 20 miles north of the Detroit CBD. The hotel has experienced performance declines due to the pandemic. As of the TTM period ending June 2021, occupancy and DSCR were reported to be 0.16x and 30%, respectively. The loan transferred to the special servicer in December 2020 for payment default and was scheduled to mature in February 2021. The borrower and servicer have agreed upon modification terms including a maturity extension through April 2023. Terms also included a principal reduction and interest-only payments during the extension period. Fitch's loss expectations of 6% reflect a value of approximately $107,000/key and remain consistent with the last rating action. Increased Credit Enhancement: Credit enhancement (CE) to the senior classes has increased due to loan payoffs and amortization. As of the August 2022 distribution date, the pool's aggregate balance has been paid down by 19.7% to $821.1 million from $1 billion at issuance. Since Fitch's prior rating action, one loan ($27.7 million) pre-paid with yield maintenance. Seven loans (48.8%) are full-term interest-only loans, including Marriot -Troy, MI that was modified to include interest-only payments. The remaining loans in the pool are amortizing. Four loans (3.4%) are fully defeased. High Office and Hotel Exposure: Loans secured by office and hotel properties represent 40.5% of the pool (seven loans) and 22.9% of the pool (seven loans), respectively. Of the hotel exposure, two loans (Marriott - Troy, MI and The Nine; 9.1%) have recent DSCRs below 1.0x reflecting performance that is still recovering from the effects of the pandemic. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-3, A-4, A-5, A-SB, A-S and X-A are not likely due to the increasing credit enhancement (CE) and senior position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes B and C may occur should all of the FLOCs suffer losses. Downgrades to classes D, D-1, D-2, E and X-D are possible should expected pool losses increase significantly, all of the FLOCs suffer losses and/or loans default or transfer to special servicing. A downgrade to class F would occur as losses are realized and/or become more certain. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs, particularly the The Nine and Marriott - Troy, MI loans. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, D-1, D-2 and X-D may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. Upgrades to classes E and F are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MFA 2022-NQM3: S&P Assigns B (sf) Rating on Class B-2 Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to MFA 2022-NQM3 Trust's mortgage pass-through certificates series 2022-NQM3. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, five-to-10 unit multi-family properties, mix-use properties, and manufactured housing properties to both prime and nonprime borrowers. The pool has 597 loans, which are primarily non-qualified mortgage loans. S&P said, "Since we assigned preliminary ratings and published our presale report on Sept. 9, 2022, the issuer rolled the tape forward one month, dropped 10 loans, updated the current balances, updated the paystrings, and presented us with a structure with updated bond balances such that the credit enhancement to each bond remained the same as the one at the time of assigning our preliminary ratings. We analyzed the updated pool and increased our loss coverages (primarily due to an increase in our pool-level due diligence related loss coverage adjustment factor to 1.01x from 1.00x) which are listed below. We also analyzed the updated structure and concluded that the credit support remained sufficient on all classes for us to assign final ratings that are unchanged from preliminary ratings." Final Updated Loss Coverage Feedback (%) Rating Loss Foreclosure Loss category coverage frequency severity AAA 34.45 59.39 58.01 AA 27.40 52.95 51.75 A 17.85 43.21 41.31 BBB 11.90 33.83 35.18 BB 7.40 24.28 30.48 B 4.00 15.09 26.51 The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The pool's geographic concentration; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' FF for the archetypal pool at 3.25%." RATINGS ASSIGNED MFA 2022-NQM3 Trust(i) Class A-1, $208,020,000: AAA (sf) Class A-2, $28,740,000: AA (sf) Class A-3, $37,122,000: A (sf) Class M-1, $20,870,000: BBB (sf) Class B-1, $16,765,000: BB (sf) Class B-2, $13,173,000: B (sf) Class B-3, $17,449,244: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R: NR (i)The collateral and structural information in our presale report reflects the private placement memorandum received on Sept. 20, 2022. The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MORGAN STANLEY 2016-UBS12: Fitch Affirms CCC Rating on 4 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Capital I Trust 2016-UBS12. The Rating Outlooks on classes A-S, B, X-B, C, D and X-D have been revised to Stable from Negative. Debt Rating Prior ---- ------ ----- MSC 2016-UBS12 A-3 61691EAZ8 LT AAAsf Affirmed AAAsf A-4 61691EBA2 LT AAAsf Affirmed AAAsf A-S 61691EBD6 LT AAAsf Affirmed AAAsf A-SB 61691EAY1 LT AAAsf Affirmed AAAsf B 61691EBE4 LT AA-sf Affirmed AA-sf C 61691EBF1 LT A-sf Affirmed A-sf D 61691EAJ4 LT Bsf Affirmed Bsf E 61691EAL9 LT CCCsf Affirmed CCCsf F 61691EAN5 LT CCCsf Affirmed CCCsf X-A 61691EBB0 LT AAAsf Affirmed AAAsf X-B 61691EBC8 LT AA-sf Affirmed AA-sf X-D 61691EAA3 LT Bsf Affirmed Bsf X-E 61691EAC9 LT CCCsf Affirmed CCCsf X-F 61691EAE5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Credit Enhancement (CE): The affirmations and Outlook revisions to Stable reflect improving CE, primarily due to loan payoffs and amortization. As of the August 2022 distribution date, the pool's aggregate principal balance was reduced by 12.8% to $719.4 million from $824.4 million at issuance. There has been $1.4 million in realized losses to date and interest shortfalls are currently affecting the non-rated class G. The increase in CE is primarily due to two loans (6.4%) paying off at maturity since Fitch's prior rating action. Seven loans (46.3%) are full-term IO, and no loans remain in their partial IO periods. Continued High Loss Expectations: The high loss expectations are driven primarily by the continued underperformance of the Wolfchase Galleria (9.2%), and concerns about refinanceability. There are seven Fitch Loans of Concern (FLOCs). Four loans are in special servicing, which includes two loans (7.5%) that are still current. Largest Contributor to Loss: The largest contributor to loss is the Wolfchase Galleria loan (6.1%), which is secured by a 391,862-sf interest in a regional mall located in Memphis, TN. The subject is anchored by Macy's (non-collateral), Dillard's (non-collateral), J.C. Penney (non-collateral) and Malco Theatres. The loan transferred to special servicing in June 2020 due to a monetary default, but was subsequently returned to the master servicer in May 2021. Collateral occupancy has remained in the high 70s for several years after declining from 81% at YE 2019: 79% (March 2022), 78% (YE 2021) and 79% (YE 2020). Leases represented 22% of the NRA roll in 2022, followed by 13% in 2023 and 13% in 2024. The servicer reported NOI debt service coverage ratio (DSCR) was 1.24x at YE 2021 compared to 1.17x at YE 2020, 1.29x at YE 2019 and 1.35x at YE 2018. While the subject is the dominant mall in its trade area, it is also located in a secondary market with fewer demand drivers. Fitch requested a recent sales report from the servicer, but has not received one to date. Fitch's base case loss of 38% was based on a 15% cap rate applied to the YE 2021 NOI. The next largest contributor to loss is the 681 Fifth Avenue loan (11.1%), which is secured by a mixed-use property located in the Manhattan Plaza District in New York, NY. The property's largest tenant, Tommy Hilfiger (27.3% of NRA and 89% of base rent) vacated in 2019. The lease expires in May 2023. Fitch will continue to monitor the loan. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-3 through C are not expected given the position in the capital structure but may occur should interest shortfalls affect these classes. Downgrades to the classes rate B-sf', would occur if loss expectations increase significantly and/or the FLOCs decline and/or fail to stabilize or should losses from specially serviced loans/assets be larger than expected. Downgrades to the distressed classes rated 'CCCsf' would occur with a greater certainty of losses and/or as losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades of the 'AA-sf' and 'A-sf' category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The 'Bsf' and 'CCCsf' classes are unlikely to be upgraded absent significant performance improvement and substantially higher recoveries than expected on the specially serviced loans/assets. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OBX TRUST 2022-NQM8: Fitch Assigns 'B(EXP)' Rating on Cl. B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to OBX 2022-NQM8 Trust. Debt Rating ---- ------ OBX 2022-NQM8 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed notes issued by OBX 2022-NQM8 Trust (OBX 2022-NQM8) as indicated. The transaction is scheduled to close on Sept. 28, 2022. The notes are supported by 765 loans with a total unpaid principal balance of approximately $397.5 million as of the cutoff 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., with respect to the AmWest-serviced mortgage loans, will advance delinquent P&I for up to 120 days. Of the loans, approximately 59.4% are designated as nonqualified mortgages (non-QM) and 38.8% 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 10.2% 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-year and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate loans constitute 17.1% of the pool; 9.8% are interest-only (IO) loans and the remaining 73.1% 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 742, debt to income ratio (DTI) of 46.9% and moderate leverage of 79.0% 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 (38.8%) and non-QM loans (59.4%). 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 92.9% of the pool as less than full documentation, and alternative documentation was used to underwrite the loans. Of this, 25.8% 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, 29.6% are a DSCR product, 10.6% are a WVOE product, 22.9% are P&L loans and 2.2% constitute an asset depletion product. High California Concentration (Negative): Approximately 49.6% of the pool is located in California. Additionally, the top three metropolitan statistical areas (MSAs) — Los Angeles (25%), Riverside (9%) and Miami (6%) — account for 40% of the pool. As a result, a geographic concentration penalty of 1.05x was applied to the PD. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. The structure includes a step-up coupon feature where the classes A-1, A-2 and A-3 fixed interest rate will increase by 100 bps starting on the October 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 October 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 loans. AmWest will be responsible for making P&I advances with respect to the AmWest serviced mortgage loans. If AmWest or the P&I advancing party, as applicable, fails to remit any P&I advance required to be funded, the master servicer (Wells Fargo) will fund the advance. The stop-advance feature limits the external liquidity to the bonds in the event of large and extended delinquencies, but the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I for the life of the transaction, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 41.6% 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'. 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. PALMER SQUARE 2022-5: S&P Assigns BB- (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Palmer Square CLO 2022-5 Ltd./Palmer Square CLO 2022-5 LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Palmer Square Europe Capital Management LLC, a subsidiary of Palmer Square Capital Management LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Palmer Square CLO 2022-5 Ltd./Palmer Square CLO 2022-5 LLC Class A, $315.00 million: AAA (sf) Class B-1, $56.00 million: AA (sf) Class B-2, $9.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $40.50 million: Not rated PFP 2022-9: Fitch Assigns 'B-(EXP)sf' on Class G Certs ------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to PFP 2022-9 Commercial Mortgage Pass-Through Certificates, Series 2022-9. Debt Rating ---- ------ PFP 2022-9 A LT AAA(EXP)sf Expected Rating A-S 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 BBB-(EXP)sf Expected Rating F LT BB-(EXP)sf Expected Rating G LT B-(EXP)sf Expected Rating Preferred Shares LT NR(EXP)sf Expected Rating Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $509,597,000 class A 'AAAsf'; Outlook Stable; - $89,067,000 class A-S 'AAAsf'; Outlook Stable; - $59,754,000 class B 'AA-sf'; Outlook Stable; - $52,989,000 class C 'A-sf'; Outlook Stable; - $36,078,000 class D; 'BBBsf'; Outlook Stable; - $14,656,000 class E; 'BBB-sf'; Outlook Stable; - $32,696,000a class F; 'BB-sf'; Outlook Stable; - $20,293,000a class G; 'B-sf'; Outlook Stable; The following class is not expected to be rated by Fitch: - $86,812,881a class Preferred Shares; a. The horizontal credit risk retention interest is contained in these classes, which are not being offered. The approximate collateral interest balance as of the cutoff date is $901,942,881 and does not include future fundings. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 29 loans secured by 33 commercial properties with an aggregate principal balance of $901,942,881 as of the cut-off date. The loans were contributed to the trust by PFP 2022-9. The servicer and special servicer is expected to be Situs Holdings, LLC. KEY RATING DRIVERS Collateral Attributes: In general, the pool is secured by properties that have not yet completely stabilized or will undergo renovation. The associated risks, including cash flow interruption during renovation, lease-up and completion, are mitigated by experienced sponsorship, credible business plans and loan structural features that include guaranties, reserves, cash management and performance triggers, and additional funding mechanisms. See the individual loan discussions for specific details. Fitch Leverage: The pool's leverage statistics are higher than those of recent Fitch-rated 'conduit' transactions. The pool's Fitch DSCR is 0.65x; the pool's Fitch LTV is 175.6%; the transaction's Fitch debt yield is 5.62%. Year-to-date Fitch-rated 'conduit' metrics are as follows: Fitch DSCR 1.34x; Fitch LTV 100.9%; Fitch debt yield 9.66%. Given the high Fitch Leverage and pool concentration of 58.5% for the top 10 loans, Fitch's Deterministic Stress is influencing credit enhancement. Pool Concentration: The pool is more concentrated than recently rated 'conduit' transactions. The top 10 loans represent 58.5%. The 2022 year-to-date average concentration for the top 10 loans is 55.5% and for 2021 51.2%. Given the concentration and the high Fitch Leverage, Fitch's Deterministic Stress is influencing credit enhancement. Loan Structure: The loans in the pool are typically structured with two-year initial terms with three, one year extension options. Fitch historical loan performance analysis shows loans with terms less than 10 years have modestly lower default risk, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/ 'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/BBB+sf'/'BB+sf'/'BBsf'/ 'CCCsf'/'CCCsf'; - 20% NCF Decline: 'AAAsf'/'AA-sf'/BBB-sf'/'BB-sf'/'CCCsf'/ 'CCCsf'/'CCCsf'; - 30% NCF Decline: 'AAAsf'/'AA-sf'/BB+sf'/'CCCsf'/'CCCsf'/ 'CCCsf'/'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/ 'BB-sf'/'B-sf'; 20% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBB+sf'/ 'BBB-sf'/'BBsf'. STORM KING: S&P Assigns BB- (sf) Rating on $16MM Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 SYMPHONY CLO 36: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned ratings to Symphony CLO 36 Ltd./Symphony CLO 36 LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Symphony Alternative Asset Management LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Symphony CLO 36 Ltd./Symphony CLO 36 LLC Class A-1, $236.0 million: AAA (sf) Class A-2, $12.0 million: AAA (sf) Class B-1, $36.0 million: AA (sf) Class B-2, $20.0 million: AA (sf) Class C (deferrable), $22.0 million: A (sf) Class D (deferrable), $22.0 million: BBB- (sf) Class E (deferrable), $13.0 million: BB- (sf) Subordinated notes, $32.9 million: Not rated TRIMARAN CAVU 2022-1: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2022-1 Ltd.'s fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Trimaran Advisors LLC. The preliminary ratings are based on information as of Sept. 28, 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 Trimaran CAVU 2022-1 Ltd. /Trimaran CAVU 2022-1 LLC Class A, $246.00 million: AAA (sf) Class B-1, $43.00 million: AA (sf) Class B-2, $15.00 million: AA (sf) Class C (deferrable), $21.40 million: A (sf) Class D (deferrable), $22.00 million: BBB- (sf) Class E (deferrable), $12.20 million: BB- (sf) Subordinated notes, $38.00 million: Not rated TRYSAIL CLO 2022-1: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned ratings to Trysail CLO 2022-1 Ltd./Trysail CLO 2022-1 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sancus Credit Advisors L.P., a subsidiary of Sancus Capital Management L.P. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Trysail CLO 2022-1 Ltd./Trysail CLO 2022-1 LLC Class A, $82.50 million: AAA (sf) Class B, $19.95 million: AA (sf) Class C (deferrable), $6.875 million: A (sf) Class D (deferrable), $7.50 million: BBB- (sf) Class E (deferrable), $5.00 million: BB- (sf) Subordinated notes, $13.80 million: Not rated UBS COMMERCIAL 2017-C6: Fitch Affirms 'B-sf' Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 18 classes and revised two Rating Outlooks to Stable from Negative of UBS Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2017-C6 (UBSCM 2017-C6). Debt Rating Prior ---- ------ ----- UBS 2017-C6 A-2 90276UAT8 LT AAAsf Affirmed AAAsf A-3 90276UAV3 LT AAAsf Affirmed AAAsf A-4 90276UAW1 LT AAAsf Affirmed AAAsf A-5 90276UAX9 LT AAAsf Affirmed AAAsf A-BP 90276UAY7 LT AAAsf Affirmed AAAsf A-S 90276UBC4 LT AAAsf Affirmed AAAsf A-SB 90276UAU5 LT AAAsf Affirmed AAAsf B 90276UBD2 LT AA-sf Affirmed AA-sf C 90276UBE0 LT A-sf Affirmed A-sf D 90276UAJ0 LT BBB-sf Affirmed BBB-sf E 90276UAL5 LT BB-sf Affirmed BB-sf F 90276UAN1 LT B-sf Affirmed B-sf X-A 90276UAZ4 LT AAAsf Affirmed AAAsf X-B 90276UBB6 LT AA-sf Affirmed AA-sf X-BP 90276UBA8 LT AAAsf Affirmed AAAsf X-D 90276UAA9 LT BBB-sf Affirmed BBB-sf X-E 90276UAC5 LT BB-sf Affirmed BB-sf X-F 90276UAE1 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Loss Expectations: Fitch's overall loss expectations for the pool have been stable since the prior rating action. The Outlook revision of Class F and X-F reflect continued performance stabilization of Fitch Loans of Concern (FLOCs) affected by the pandemic. This includes three previously specially serviced loans returning to the master servicer. Fitch's current ratings reflect a base case loss of 3.60%. There are six FLOCs (10.1% of the pool), two of which are in special servicing (4.2%). Sine the prior rating action, two loans totaling $52 million have pre-paid in full. Largest Contributors to Loss: The largest contributor to overall loss expectations is the Chelsea Multifamily Portfolio (5.5% of the pool) loan, which is secured by portfolio of 13 mid-rise multifamily properties totaling 146 units and located in the Chelsea neighborhood of Manhattan. The entire portfolio was built between 1900 and 1930 and was subsequently renovated for $3.4 million ($23,287/unit) in 2017. As of March 2022, the collateral was 100% occupied. Servicer-reported NOI debt service coverage ratio (DSCR) for this loan was 1.13x as of YE 2021, 1.16x as of YE 2020 and 1.30x at issuance. Fitch's analysis applied an 8% cap rate to the YE 2021 NOI resulting in a 16% modeled loss; however, given the location of the assets and stable occupancy, losses may be minimal. The second largest contributor to loss expectations is the Dorian Apartments (1.7%) loan, secured by a mixed-use property located in Portland, OR. The property is a 40-unit midrise apartment complex with retail space and parking on the first level. The loan previously transferred to special servicing for monetary default as a result of the pandemic. The borrower indicated the challenge of collecting rents which, according to the master servicer, would have resulted in a decline in revenue in 2019 and after. The loan returned to master servicer in July 2022 after the borrower brought the loan current. Occupancy was 83.7% per the June 2022 rent roll, compared with 93% at YE 2021 and at YE 2019. NOI DSCR was 1.27x as of YTD March 2022, compared with 0.62x at YE 2021 and 1.0x at YE 2019. According to Costar, the subject Southeast Portland submarket is considered a lower tier submarket as compared to the other submarkets in the overall Portland MSA area. The average vacancy rate for the subject submarket is higher than that of the overall Portland market whereas the average rental rate is lower. Fitch's current base case loss of 21% reflects a stressed value of $194,000 per unit. The largest specially serviced loan is the 1001 Towne loan (2.5%), which is secured by a mixed-use property located in Los Angeles, CA. The loan transferred to special servicing in June 2020 for imminent default at the borrower's request as a result of the pandemic. The property has been REO since October 2021. The special servicer is expecting a disposition of the property by the end of Q3 2024. Occupancy was 84.7% as of March 2022, compared with 74.9% in September 2020 and 86.5% at YE 2019. Major tenants include Banjul (11.1% NRA), Hidden Jeans (10.5%) and Investment Consultants (6.9%). Upcoming rollover includes 4.5% in 2022 and 31% in 2023. Fitch's current base case loss of 12% reflects a stressed value of $313 psf, and is based on a stress to the servicer provided most recent appraised value. Improved Credit Enhancement: As of the September 2022 distribution date, the pool's aggregate principal balance has paid down by 10.6% to $611.8 million from $684.7 million at issuance. Four loans (6.1%) have fully defeased since issuance. Sine the prior rating action, the $40 million Yorkshire & Lexington Towers and the $12.3 million Park Lane Apartments both pre-paid in full. Twelve loans (38.9%) are full-term interest-only (IO) loans and nine loans (23.7%) have a partial IO component. One loans (3.7%) matures in the fourth quarter of 2022, one loan (6.5%) matures in October 2024, and the remaining 36 loans (89.8%) mature in 2027. Credit Opinion Loans: Two loans, Burbank Office Portfolio and 111 West Jackson (combined, 16.4% of pool), received standalone investment-grade credit opinions of 'BBB+sf*' and 'BBB+sf*', respectively, at issuance. Fitch no longer considers the performance of 111 West Jackson to be consistent with an investment-grade credit opinion loan due to declining occupancy and NOI since issuance. Under Collateralization: The transaction is undercollateralized by approximately $82,623 due to a WODRA, which was reflected in the August 2022 remittance report. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-1, A-2, A-3, A-4, A-5, A-BP, A-SB, A-S, X-A and X-BP are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C and X-B may occur should expected losses for the pool increase significantly and/or performance of the FLOCs deteriorate further and with additional transfers of loans to special servicing. Downgrades to classes D, X-D, E, X-E, F and X-F would occur should loss expectations increase from continued performance decline of the FLOCs, loans default or transfer to special servicing and/or higher losses than expected are incurred on the specially serviced loans. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to classes B, C and X-B would only occur with significant improvement in credit enhancement (CE), defeasance, and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, X-D, E and X-E may occur as the number of FLOCs are reduced, performance of properties impacted by the pandemic return to pre-pandemic levels and/or there is sufficient CE to the classes. Upgrades to classes F and X-F are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. UPSTART STRUCTURED 2022-4A: Moody's Gives (P)Ba3 Rating to C Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the notes to be issued by Upstart Structured Pass-Through Trust, Series 2022-4A ("USPTT 2022-4A"), the fourth personal loan securitization issued from Credit Suisse's sponsored USPTT shelf this year. The collateral backing USPTT 2022-4A consists of unsecured consumer installment loans originated by Cross River Bank, a New Jersey state-chartered commercial bank and FinWise Bank, a Utah state-chartered commercial bank, both utilizing the Upstart platform. Upstart Network, Inc. (Upstart) will act as the servicer of the loans. The complete rating actions are as follows: Issuer: Upstart Structured Pass-Through Trust, Series 2022-4A Class A Exchange Notes, Assigned (P)A2 (sf) Class B Exchange Notes, Assigned (P)Baa2 (sf) Class C Exchange Notes, Assigned (P)Ba3 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure and fast amortization of the assets, the experience and expertise of Upstart as servicer, and the back-up servicing arrangement with Systems & Services Technologies, Inc. (SST unrated). Moody's median cumulative net loss expectation for the 2022-4A pool is 17.3% and the stress loss is 59.0%. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Upstart to perform its servicing functions; the ability of SST to perform the backup servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A, Class B and Class C notes are expected to benefit from 40.5%, 28.5% and 18.5% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account and subordination for the Class A and Class B notes. The notes may also benefit from excess spread. The social risk for this transaction is high. Marketplace lenders have attracted elevated levels of regulatory attention at the state and federal level. As such, regulatory and borrower challenges to marketplace lenders and their third-party lending partners over "true lender" status and interest rate exportation could result in some of Upstart's loans being deemed void or unenforceable, in whole or in part. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Consumer Loan-Backed ABS" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Moody's expectation of pool losses could decline as a result of better than expected improvements in the economy, changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. In addition, greater certainty concerning the legal and regulatory risks facing this transaction could lead to lower loss volatility assumptions, and thus lead to an upgrade of the notes. Down Moody's could downgrade the ratings of the notes if pool losses exceed its expectations and levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses may increase, for example, due to performance deterioration stemming from a downturn in the US economy, deficient servicing, errors on the part of transaction parties, inadequate transaction governance or fraud. In addition, the legal and regulatory risks stemming from the bank partner used to originate the loans could expose the pool to increased losses. WELLFLEET CLO 2022-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Wellfleet CLO 2022-2 Ltd./Wellfleet CLO 2022-2 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Wellfleet Credit Partners LLC. The preliminary ratings are based on information as of Sept. 21, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Wellfleet CLO 2022-2 Ltd./Wellfleet CLO 2022-2 LLC Class A-1, $300.00 million: AAA (sf) Class A-2, $16.25 million: Not rated Class B, $46.25 million: AA (sf) Class C (deferrable), $36.25 million: A (sf) Class D (deferrable), $28.50 million: BBB-(sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $56.70 million: Not rated WELLS FARGO 2018-C48: Fitch Affirms B- Rating on Class G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings of Wells Fargo Commercial Mortgage (WFCM) Trust Commercial Mortgage Pass-Through Certificates, series 2018-C48. Fitch has revised the Rating Outlooks on two classes to Stable from Negative. Debt Rating Prior ---- ------ ----- WFCM 2018-C48 A-3 95001RAU3 LT AAAsf Affirmed AAAsf A-4 95001RAW9 LT AAAsf Affirmed AAAsf A-5 95001RAX7 LT AAAsf Affirmed AAAsf A-S 95001RBA6 LT AAAsf Affirmed AAAsf A-SB 95001RAV1 LT AAAsf Affirmed AAAsf B 95001RBB4 LT AA-sf Affirmed AA-sf C 95001RBC2 LT A-sf Affirmed A-sf D 95001RAC3 LT BBB-sf Affirmed BBB-sf E-RR 95001RAE9 LT BBB-sf Affirmed BBB-sf F-RR 95001RAG4 LT BB-sf Affirmed BB-sf G-RR 95001RAJ8 LT B-sf Affirmed B-sf X-A 95001RAY5 LT AAAsf Affirmed AAAsf X-B 95001RAZ2 LT AA-sf Affirmed AA-sf X-D 95001RAA7 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Improved Loss Expectations: Overall pool performance is stable and loss expectations have improved since Fitch's prior rating action. Fitch's current ratings incorporate a base case loss of 4.6%, which is in line with issuance expectations. Fitch has identified seven FLOCs (19.9% of the pool), including one loan (2.7%) remaining in special servicing. The Outlook revisions to Stable from Negative for classes F-RR and G-RR reflect the continued stabilization of most of the Fitch Loans of Concern (FLOCs) from pandemic performance declines, in addition to increased NOI for several top-15 loans. The largest contributor to losses is the specially serviced 35 Claver Place (2.7% of the pool). The subject is a four-story walk-up containing 44 units located in the Clinton Hill neighborhood of Brooklyn, NY, bordering Bedford-Stuyvesant and Prospect Heights. All units are rent stabilized. The loan transferred to special servicing in November 2020 due to payment default. The special servicer filed for foreclosure in April 2021 and a pending UCC foreclosure sale is scheduled for September 2023. Both the mezzanine lender and the borrower are working toward control of the asset through the judicial process. As of YE 2021, property occupancy was 100% with NOI DSCR of 1.03x as of YE2021, compared with 95% and 1.39x at YE2019. The servicer noted an 18% decline in average rental rates from prior to the pandemic in 2019 into 2021. Fitch's modeled loss of 28.4% is based on a discount to a February 2021 appraisal value. The second largest contributor to loss expectations is Lakeside Pointe & Fox Club Apartments (2.1%), which comprises two multifamily properties totaling 924 units, located in Indianapolis. The loan transferred to special servicing in June 2021 due to severe, unaddressed property condition issues resulting in municipal citations, life safety concerns and a forbearance and payment agreement with the utility provider for unpaid bills. In addition to the disrepair, numerous units were offline due to several incidences of fire. The loan was assumed in March 2022 resulting in the repayment of all past due amounts and the subsequent return of the loan to master servicer in June 2022. Property occupancy was 88% with NOI DSCR of 1.06x as of TTM September 2021, compared with 92% and 1.12x at YE2019. Fitch's modeled loss of 35.7% is based on a cap rate of 9.5% and a 5% stress applied to the TTM ended September 2021 NOI. Improved Credit Enhancement: As of the September 2022 distribution, the pool's aggregate principal balance has been paid down by 6.7% to $778 million from $834 million at issuance. The accelerated paydown is attributable to Prudential - Digital Realty Portfolio loan (9.1% of the original pool balance) prepaying with yield maintenance. Twenty-one loans representing 48.4% of the pool are interest only for the full term; 17 loans representing 25.2% of the pool were structured with partial interest-only periods. Three loans (4.5%) have fully defeased. Investment-Grade Credit Opinion Loans: At issuance, three loans (6.9% of the pool) received investment-grade credit opinions: Christiana Mall (3.4%) received a stand-alone credit opinion of 'AA-sf'; Aventura Mall (2.4%) received a stand-alone credit opinion of 'Asf'; and Fair Oaks Mall (1.1%) received a stand-alone credit opinion of 'BBB-sf'. Due to declining performance since issuance, Fair Oaks Mall has been identified as a FLOC and Fitch no longer considers the performance to be consistent with an investment-grade credit opinion. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the classes rated 'AAAsf' and 'AA-sf' are not likely due to the high credit enhancement relative to expected losses and amortization, but could occur if there are interest shortfalls. Classes C and D may be downgraded if additional loans transfer to special servicing or the loan currently in special servicing disposes at a lower-than-expected recovery. Class E-RR may be downgraded if performance of the FLOCs continues to decline. Classes F-RR and G-RR may be downgraded if loans in special servicing are not resolved in the near term, or performance of the FLOCs fail to stabilize. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B and C could occur with significant improvement in credit enhancement and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. Upgrades to classes D and E-RR would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to classes F-RR and G-RR are unlikely unless FLOCs stabilize and the specially serviced loan is resolved with lower-than-expected losses. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WESTLAKE 2022-3: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2022-3's automobile receivables-backed notes series 2022-3. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Sept. 28, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.41%, 38.22%, 29.70%, 22.73%, and 19.67% credit support for the class A (A-1, A-2-A/A-2-B, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss (ECNL) of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within our credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the securitized pool of subprime automobile loans, our view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer, and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to Environmental, Social, And Governance (ESG) credit factors, which are in line with its sector benchmark. -- Westlake Services LLC's long history in the subprime and specialty auto finance business. -- S&P's analysis of approximately 17 years (2006-2022) of static pool data on the company's lending programs. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2022-3 Class A-1, $265.90 million: A-1+ (sf) Class A-2-A/A-2-B, $275.78 million: AAA (sf) Class A-3, $230.05 million: AAA (sf) Class B, $82.54 million: AA (sf) Class C, $131.19 million: A (sf) Class D, $114.54 million: BBB (sf) Class E, $58.23 million: BB (sf) WP GLIMCHER 2015-WPG: S&P Affirms CCC(sf) Rating on Cl. SQ-3 Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on nine classes of commercial mortgage pass-through certificates from WP Glimcher Mall Trust 2015-WPG, a U.S. CMBS transaction. This U.S. CMBS transaction is backed by portions of two uncrossed, fixed-rate, interest-only (IO) mortgage whole loans: one is secured by Pearlridge Center, a regional mall in Aiea, Hawaii, and the second is secured by Scottsdale Quarter, a mixed-use (retail/office) property in Scottsdale, Ariz. Rating Actions The affirmations on the class A, B, and C certificates reflect our re-evaluation of Pearlridge Center (60.8% of the pooled trust balance) and Scottsdale Quarter (39.2%) that secure the two uncrossed mortgage loans in the transaction, based on our review of the servicer-provided year-to-date (YTD) period ended June 30, 2022, and years ended Dec. 31, 2021, 2020, 2019, and 2018 financial performance data, and the June 30, 2022, rent rolls. S&P said, "While the servicer reported operating performance declines on both properties at the onset of the COVID-19 pandemic, the properties are currently performing at our revised assumptions that we derived in our last review in October 2020. As a result, we currently maintained our aggregated long-term sustainable net cash flow (NCF) of $29.5 million and aggregated expected-case value of $411.0 million. "As part of our surveillance monitoring process, we identified an analytic modeling input error that occurred in our last review in October 2020. At that time, we miscalculated our inputs relative to the various loan components in our model. If we had utilized the correct inputs, the model indicated ratings on the class B and C certificates would have been two notches and one notch lower than the ratings assigned to the classes at that time, respectively. In our present review, we have corrected the erroneous inputs." Although the model-indicated ratings on the class B and C certificates in the current model run were lower than the classes' current rating levels, S&P affirmed its ratings on these classes because its weighed certain qualitative considerations, including: -- The potential for the two properties' performance to continue to improve over S&P's revised levels that were derived in our October 2020 review; -- The significant market value decline that would be needed before these classes experience principal losses; -- Liquidity support provided in the form of servicer advancing; and -- The relative position of the classes in the payment waterfall. S&P said, "The affirmations on the class PR-1 and PR-2 nonpooled certificates reflect our analysis of the Pearlridge Center whole loan. These certificates derive 100% of their cash flow from a subordinate nonpooled component of the whole loan. Based on our current analysis, we arrived at an S&P Global Ratings loan-to-value (LTV) ratio of 87.7% on the whole loan balance. "The affirmations on the class SQ-1, SQ-2, and SQ-3 nonpooled certificates reflect our analysis of the Scottsdale Quarter whole loan. These certificates derive 100% of their cash flow from a subordinate nonpooled component of the whole loan. Specifically, the 'CCC (sf)' rating on class SQ-3 reflects our view, that based on an S&P Global Ratings' LTV ratio of 106.8%, this class continues to be susceptible to reduced liquidity support, and the risk of default and loss remains elevated due to current market conditions. "The affirmation on the class X IO certificates is based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of class X references classes A, B and C." Property-Level Analysis S&P said, "Our property-level analysis included a re-evaluation of the Pearlridge Center and Scottsdale Quarter properties backing portions of the two uncrossed mortgage whole loans in the transaction using the servicer-provided YTD period ended June 30, 2022, and years ended Dec. 31, 2021, 2020, 2019, and 2018 operating performance data, and June 30, 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 both owned by a joint venture between Washington Prime Group Inc. (formerly WP Glimcher) and O'Connor Capital Partners." Details on the two properties are as follows. -- Pearlridge Center ($59.0 million pooled trust, 60.8% of pooled trust balance) Pearlridge Center is a 1.14 million-sq.-ft., enclosed regional mall (903,692 sq. ft. serves as collateral for the whole loan), built in 1972 and 1976, and renovated in 1996, located nine miles northwest of downtown Oahu, in Aiea, Hawaii. A majority of the collateral is subject to two ground leases that expire on Dec. 31, 2078 and Dec. 31, 2031, respectively. Trustees of the Estate of Bernice Pauahi Bishop is the ground lessor of the ground lease that expires in 2078 and has ground rent that escalates every five years. The current annual ground rent is approximately $4.2 million and will increase to $6.8 million on Jan. 1, 2039 through Dec. 31, 2043. On Jan. 1, 2044, the ground rent resets to an amount calculated according to the ground lease terms. Territorial Savings Bank is the ground lessor of the ground lease that expires in 2031 and the annual ground rent is $110,000 until expiration. The mall is anchored by Macy's (150,000 sq. ft.; BB/Positive/B), Bed Bath & Beyond (65,653 sq. ft.; CCC/Negative/--), and Pearlridge Mall Theatres (40,730 sq. ft.; not rated). There is also a dark, 185,000-sq.-ft., noncollateral anchor box formerly occupied by Sears (closed in early 2021), and a vacant 46,000-sq.-ft., noncollateral space formerly occupied by Toys 'R Us (left in mid-2018). S&P's property-level analysis considered the mall's relatively stable servicer-reported occupancy and NCF prior to the COVID-19 pandemic: 90.0% and $21.9 million, respectively, in 2018; 91.0% and $22.7 million in 2019. While reported occupancy was 91.5% in 2020, NCF dropped 13.2% due primarily to lower revenue to $19.7 million before rebounding to $22.7 million in 2021. The reported NCF was $12.5 million for the six months ended June 30, 2022. According to the June 30, 2022, rent roll, the collateral property was 96.6% occupied (including the vacant and dark noncollateral spaces, the mall was 77.3% occupied). The five largest collateral tenants made up 34.1% of the collateral net rentable area (NRA) and include: -- Macy's (16.7% of NRA; 1.5% of in-place base rent as calculated by S&P Global Ratings; February 2027 lease expiration); -- Bed Bath & Beyond (7.3%; 1.8%; January 2026); -- Pearlridge Mall Theatres (4.5%; 2.4%; December 2022); -- Longs Drug Store (2.9%; 2.0%; February 2036); and -- Pali Momi Medical Center (2.7%; 2.8%; May 2037). The mall faces elevated tenant rollover risk in 2022 (10.7% of NRA), 2023 (14.6%), 2024 (10.4%), 2026 (12.3%), and 2027 (21.8%). S&P said, "Our current analysis considered tenant movements after the June 2022 rent roll, which resulted in our assumed collateral occupancy rate of 94.7%. We derived a sustainable NCF of $18.3 million, unchanged from our last review in October 2020 and at issuance, and 19.1% below the servicer reported 2021 figures. Using a 7.50% S&P Global Ratings' capitalization rate (the same as in the last review) and adding the present value of the difference between our assumed and actual ground rent amounts and other adjustments of $12.0 million, we arrived at an expected-case value of $256.5 million, unchanged from our last review value and 40.0% lower than the 2015 appraised value of $427.5 million." -- Scottsdale Quarter ($38.0 million pooled trust, 39.2% of pooled trust balance) Scottsdale Quarter is an unenclosed, 541,971-sq.-ft., mixed-use (retail/office) property in Scottsdale, Ariz. The property, which comprises 176,000 sq. ft. (33.0% of NRA) of office space and 366,000 sq. ft. (67.0%) of retail space, was built in phases between 2009 and 2010 and is part of a larger development. S&P's property-level analysis considered that while the servicer reported slightly declining occupancies, the reported NCF was relatively stable prior to the COVID-19 pandemic: 88.0% and $15.7 million, respectively, in 2018, and 83.3% and $15.6 million, respectively, in 2019. Reported occupancy fell to 78.7% and NCF decreased by 22.3% to $12.1 million in 2020. However, reported occupancy and NCF increased in 2021 to 84.6% and $13.7 million, respectively. The reported NCF was $8.8 million for the six months ended June 30, 2022. Based on the June 30, 2022, rent roll, the property was 89.4% occupied with the retail space at a 91.9% occupancy rate and the office space at an 84.2% occupancy rate. The increase in occupancy is due mainly to the re-leasing of the 36,356-sq.-ft. (6.8% of total NRA) theater space vacated by IPIC in 2020 to Landmark Theater in 2021 (2.9% of in-place base rent as calculated by S&P Global Ratings, December 2031 lease expiration). In addition to the Landmark Theater tenant, the other larger retail tenants include: -- Restoration Hardware (22,405 sq. ft.; 4.2% NRA; 6.3% of in-place base rent as calculated by S&P Global Ratings; January 2028 lease expiration); -- Pottery Barn (15,624 sq. ft.; 2.9%; 4.1%; January 2027); -- West Elm (15,116 sq. ft.; 2.8%; 3.2%; January 2027); and -- Forever 21 (14,406 sq. ft.; 2.7%; 0.0%; January 2023). While the retail space consists of over 80 tenants, the office space exhibits tenant concentration, comprising only nine tenants. The three largest office tenants include: -- Starwood Hotels & Resorts (67,627 sq. ft.; 12.6%; 10.7%; February 2027); -- Spaces (co-working tenant; 47,301 sq. ft.; 8.8%; 9.7%; December 2033); and -- Buchalter (18,738 sq. ft.; 3.5%; 3.3%; January 2033). The property has concentrated rollover risk when 10.6% and 22.7% of total NRA expire in 2024 and 2027, respectively. S&P said, "In our last review in October 2020, we revised and lowered our long-term sustainable NCF to $11.2 million based on an assumed 78.1% occupancy rate. While the current reported occupancy and NCF have since improved, we maintained our last review's NCF assumptions (which is 18.4% lower than the servicer reported 2021 figures) due to continued challenges that the retail mall sector faces, concentrated office tenancy, and tenant rollover risk, among other factors. Using a 7.25% S&P Global Ratings' capitalization rate, unchanged from our last review, we arrived at an S&P Global Ratings' expected-case value of $154.5 million, unchanged from our last review value and 56.0% lower than the 2015 appraised value of $351.0 million." Transaction Summary This is a U.S. stand-alone (single-borrower) CMBS transaction backed by portions of two uncrossed, 10-year, fixed-rate, IO mortgage whole loans. As of the Sept. 8, 2022, trustee remittance report, the trust had a pooled trust balance of $97.0 million and a trust balance of $200.0 million (including the nonpooled loan components), the same as at issuance and the last review in October 2020. Details on the two loans are below. The Pearlridge Center whole loan is secured by the borrower's fee-simple and leasehold interests in a portion (903,692 sq. ft.) of Pearlridge Center, a 1.14 million-sq.-ft. enclosed mall in Aiea, Hawaii. The Pearlridge Center whole loan has a $225.0 million balance and is split into four senior A notes, two subordinate B notes, and two junior C notes. The $105.0 million trust balance comprises two senior A notes totaling $10.4 million, the subordinate B notes totaling $48.6 million, and the junior C notes totaling $46.0 million that support the nonpooled PR certificate classes. The remaining senior A notes, totaling $120.0 million, are in COMM 2015-CCRE25 Mortgage Trust and JPMBB Commercial Mortgage Securities Trust 2015-C30, both U.S. CMBS transactions. The A notes are pari passu to each other. The B notes are pari passu to each other, subordinate to the A notes, and senior to the C notes. The C notes are pari passu to each other, and subordinate to the A and B notes. The Scottsdale Quarter whole loan is secured by the borrower's fee-simple interest in Scottsdale Quarter, a 541,971-sq.-ft. mixed-use (retail/office) property in Scottsdale, Ariz. The Scottsdale Quarter whole loan has a $165.0 million balance and is split into four senior A notes, two subordinate B notes, and two junior C notes. The $95.0 million trust balance comprises two senior A notes totaling $25.0 million, the subordinate B notes totaling $13.0 million, and the junior C notes totaling $57.0 million that support the nonpooled SQ certificate classes. The remaining senior A notes, totaling $70.0 million, are also in COMM 2015-CCRE25 Mortgage Trust and JPMBB Commercial Mortgage Securities Trust 2015-C30. The A notes are pari passu to each other. The B notes are pari passu to each other, subordinate to the A notes, and senior to the C notes. The C notes are pari passu to each other, and subordinate to the A and B notes. The two whole loans are IO, pay interest at an annual fixed rate of 3.53%, and mature on June 1, 2025. The borrowers of the whole loans are permitted to incur mezzanine debt upon the satisfaction of certain performance hurdles. The master servicer, KeyBank Real Estate Capital (KeyBank), confirmed that no mezzanine debt has been incurred to date. KeyBank also indicated that the borrowers had requested COVID-19 relief, but the request was subsequently withdrawn. The whole loans have reported current payment statuses and the pooled trust has not incurred any principal losses to date. KeyBank reported a debt service coverage for the six months ended June 30, 2022, of 3.10x for the Pearlridge Center loan and 3.00x for the Scottsdale Quarter loan. The recent rapid spread of the Omicron variant highlights the inherent uncertainties of the pandemic but also the importance and benefits of vaccines. S&P said, "While the risk of new, more severe variants displacing Omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well individual issuers adapt to new waves in their geography or industry." Ratings Affirmed WP Glimcher Mall Trust 2015-WPG Class A: AA (sf) Class B: A+ (sf) Class C: BBB (sf) Class X: BBB (sf) Class PR-1: BB- (sf) Class PR-2: B+ (sf) Class SQ-1: BB- (sf) Class SQ-2: B- (sf) Class SQ-3: CCC (sf) [*] S&P Takes Various Actions on 175 Classes from 18 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 175 classes from 18 U.S. RMBS transactions issued between 2019 and 2022. The review yielded 23 upgrades and 152 affirmations. A list of Affected Ratings can be viewed at: https://bit.ly/3SrJoAd S&P said, "We performed a credit analysis for each transaction using updated loan-level information from which we determined foreclosure frequency, loss severity, and loss coverage amounts commensurate for each rating level. We also used the same mortgage operational assessment, representation and warranty, and due diligence factors that were applied at issuance. Our geographic concentration and prior-credit-event adjustment factors reflect the transactions' current pool composition. We did not apply additional adjustment factors relating to forbearance or repayment plan activity. "The upgrades primarily reflect deleveraging due to the respective transactions benefitting from low or zero accumulated losses to date and high observed prepayment speeds, which resulted in a greater percentage of credit support for the rated classes. In addition, improved loan-to-value ratios due to significant home price appreciation resulted in lower projected default expectations. Ultimately, we believe these classes have sufficient credit support to withstand projected losses at higher rating levels. "The affirmations reflect our view that the projected collateral performance relative to our projected credit support on the affected classes remains sufficient to cover our projected losses for those rating scenarios." Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by the application of our criteria. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. These considerations include: -- Collateral performance or delinquency trends, -- Priority of principal payments, -- Priority of loss allocation, and -- Available subordination and excess spread. ********* 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. 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