/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221023.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 23, 2022, Vol. 26, No. 295 Headlines ATLAS SENIOR XX: S&P Assigns BB-(sf) Rating on $13MM Class E Notes BALLYROCK CLO 21: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes BANK 2017-BNK9: Fitch Affirms 'CCCsf' Rating on 2 Tranches BARINGS CLO 2022-III: Fitch Assigns 'BB-sf' Rating on Class E Notes BATTERY PARK II: S&P Assigns BB-(sf) Rating on $15MM Class E Notes BBCMS MORTGAGE 2017-C1: Fitch Affirms 'CCCsf' Rating on 2 Tranches BENCHMARK 2018-B2: Fitch Affirms 'Bsf' Rating on Class G-RR Certs BENCHMARK MORTGAGE 2018-B8: Fitch Lowers G Notes Rating to 'CCCsf' BMO MORTGAGE 2022-C3: Fitch Assigns 'B-sf' Rating on Class J Certs CARVAL CLO VIII-C: S&P Assigns Prelim BB- (sf) Rating on E Notes CATAMARAN CLO 2014-2: S&P Affirms B- (sf) Rating on Class D Notes CFCRE MORTGAGE 2016-C6: Fitch Affirms 'CCC' Rating on 2 Tranches DIAMOND CLO 2018-1: S&P Affirms BB- (sf) Rating on Class E Notes ELARA HGV 2021-A: Fitch Affirms 'BBsf' Rating on Class D Notes ELMWOOD CLO 20: S&P Assigns Prelim B- (sf) Rating on Class F Notes EXETER AUTOMOBILE 2022-5: S&P Assigns BB(sf) Rating on Cl. E Notes FIRST INVESTORS 2022-2: S&P Assigns Prelim 'BB-' Rating on E Notes FORTRESS CREDIT XV: Moody's Assigns Ba3 Rating to Class E Notes GCAT 2022-NQM5: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs GLS AUTO 2021-3: S&P Raises Class E Notes Rating to BB (sf) GOAL CAPITAL 2015-1: Fitch Lowers Rating on Class B Notes to 'BBsf' GS MORTGAGE 2022-PJ6: Fitch Assigns 'B+sf' Rating on Cl. B5 Certs JOL AIR 2019-1: S&P Affirms BB+ (sf) Rating on Class B Notes MARINER FINANCE 2022-A: S&P Assigns BB- (sf) Rating on Cl. D Notes MORGAN STANLEY 2011-C2: Fitch Affirms 'Csf' Rating on 3 Tranches MORGAN STANLEY 2012-C5: Moody's Cuts Cl. X-C Certs Rating to Caa1 MORGAN STANLEY 2016-C28: Fitch Lowers Rating on 2 Tranches to 'CC' MORGAN STANLEY 2016-UBS9: Fitch Affirms 'B-sf' Rating on F Certs MORGAN STANLEY 2018-H4: Fitch Cuts Rating on Class E Certs to BBsf MORGAN STANLEY 2022-18: Fitch Assigns 'BB-sf' Rating on Cl. E Notes NEW RESIDENTIAL 2022-NQM5: Fitch Gives B- Rating on Cl. B2 Notes PARALLEL LTD 2017-1: Moody's Lowers Rating on $18MM E Notes to B1 PRPM TRUST 2022-NQM1: Fitch Assigns 'Bsf' Rating on Class B-2 Certs SLM STUDENT 2008-5: Moody's Lowers Rating on Cl. A-4 Notes to B1 VERUS SECURITIZATION 2022-8: S&P Assigns 'B-' Rating on B-2 Notes VOYA CLO 2022-3: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes WELLS FARGO 2016-C34: Fitch Affirms 'CCsf' Rating on 3 Tranches WESTLAKE AUTOMOBILE 2022-3: S&P Assigns 'BB' Rating on Cl. E Notes [*] S&P Takes Various Actions on 128 Classes from 21 US RMBS Deals [*] S&P Takes Various Actions on 79 Classes from 27 U.S. RMBS Deals [*] S&P Takes Various Actions on 89 Classes from 23 US RMBS Deals ********* ATLAS SENIOR XX: S&P Assigns BB-(sf) Rating on $13MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Atlas Senior Loan Fund XX Ltd./Atlas Senior Loan Fund XX LLC's floating- and fixed-rate notes. The transaction is managed by Crescent Capital Group L.P. 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 Atlas Senior Loan Fund XX Ltd./Atlas Senior Loan Fund XX LLC Class A, $244.00 million: AAA (sf) Class B-1, $40.00 million: AA (sf) Class B-2, $20.00 million: AA (sf) Class C (deferrable), $20.75 million: A (sf) Class D-1 (deferrable), $15.00 million: BBB+ (sf) Class D-2 (deferrable), $6.75 million: BBB- (sf) Class E (deferrable), $13.00 million: BB- (sf) Subordinated notes, $34.90 million: Not rated BALLYROCK CLO 21: S&P Assigns Prelim BB-(sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Ballyrock CLO 21 Ltd./Ballyrock CLO 21 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 Ballyrock Investment Advisors LLC. The preliminary ratings are based on information as of Oct. 19, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ballyrock CLO 21 Ltd./Ballyrock CLO 21 LLC Class A-1, $256.00 million: AAA (sf) Class A-2A, $33.00 million: AA (sf) Class A-2B, $15.00 million: AA (sf) Class B (deferrable), $22.00 million: A+ (sf) Class C (deferrable), $22.00 million: BBB+ (sf) Class D (deferrable), $16.00 million: BB- (sf) Subordinated notes, $32.50 million: Not rated BANK 2017-BNK9: Fitch Affirms 'CCCsf' Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed 14 classes of BANK 2017-BNK9 commercial mortgage pass-through certificates, series 2017-BNK9. In addition, the Rating Outlooks on four classes were revised to Stable from Negative. Debt Rating Prior ---- ------ ----- BANK 2017-BNK9 A-3 06540RAD6 LT AAAsf Affirmed AAAsf A-4 06540RAE4 LT AAAsf Affirmed AAAsf A-S 06540RAH7 LT AAAsf Affirmed AAAsf A-SB 06540RAC8 LT AAAsf Affirmed AAAsf B 06540RAJ3 LT AA-sf Affirmed AA-sf C 06540RAK0 LT A-sf Affirmed A-sf D 06540RAU8 LT BBB-sf Affirmed BBB-sf E 06540RAW4 LT Bsf Affirmed Bsf F 06540RAY0 LT CCCsf Affirmed CCCsf X-A 06540RAF1 LT AAAsf Affirmed AAAsf X-B 06540RAG9 LT AA-sf Affirmed AA-sf X-D 06540RAL8 LT BBB-sf Affirmed BBB-sf X-E 06540RAN4 LT Bsf Affirmed Bsf X-F 06540RAQ7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Improved Loss Expectations: The Rating Outlook revisions to Stable from Negative on classes D, E, X-D and X-E reflect improved loss expectations for the overall pool since Fitch's last rating action due to the performance stabilization of several loans that were negatively affected by the pandemic. Fitch's current ratings incorporate a base case loss of 5.90%. Twelve loans are designated as Fitch Loans of Concern (FLOCs; 42.5% of pool), which include three specially serviced loans (7.0%). One specially serviced hotel loan, Holiday Inn Camp Springs (1%), is expected to return to the master servicer. The largest increase in loss since the last rating action is the Park Square loan (6.6%), which is secured by a 503,000-sf office building in Boston, MA. The current largest tenants include Bay State College (6.7% NRA expiring in 2029 and 2030) and HTNB (5.2% NRA expiring June 2023). This FLOC was flagged due to a significant decline in occupancy as a result of WeWork (26.8% NRA) vacating in June 2022, which was prior to its July 2032 lease expiration. WeWork paid a lease termination fee of $2.7 million. Property occupancy fell to 56.8% as of June 2022 from 86.1% at YE 2021, 89% at YE 2020, 90.4% at YE 2019 and 95% around the time of issuance. Fitch's base case loss of 14% reflects an 8.75% cap rate and a 15% stress to the YE 2021 NOI to account for the lower occupancy and cash flow. The next largest increase in loss since the last rating action is the Warwick Mall loan (3.3%), which is secured by an approximately 588,000-sf regional mall located in Warwick, RI. The loan sponsorship consists of Bliss Properties, Lane Family Trust and Mark T. Brennan. This FLOC was flagged for its secondary market regional mall location, continued performance recovery from the pandemic and refinance concerns. The mall reopened in June 2020 after being closed in March due to the pandemic. Non-collateral anchors include Macy's and Target. Major collateral tenants include JCPenney (23.4% NRA expiring March 2030), Jordan's Furniture (19.3%, extending for five years through December 2026), Nordstrom Rack (6.4%, November 2022) and Old Navy (3.8%, January 2026). Showcase Cinema (9.7%) vacated when its lease expired in April 2021); however, the borrower has since re-leased the space to Apple Cinemas on a 15-year term which began in November 2021, with the theater opened in March 2022. Occupancy was 91% as of March 2022, compared with 94% occupied in June 2021. Recent tenant sales were requested from the master servicer, but not provided; the latest available inline sales were $499 psf as of TTM June 2017. Fitch's base case loss has increased to 31%, reflecting a 20% cap rate and 5% stress to the YE 2021 NOI, and factors a higher loss recognition due to anticipated refinance concerns at maturity. Increased Credit Enhancement (CE) and Defeasance: As of the September 2022 remittance, the pool's aggregate principal balance has been paid down by 14.3% to $903.1 million from $1.05 billion at issuance. Since Fitch's last rating action, four loans totaling $125.1 million have paid off, including the previous second largest loan, Griffin Portfolio, which prepaid with yield maintenance. Additionally, four loans (6.3%) are fully defeased, three (6.1%) of which occurred since the last rating action. Of the current pool, 53.8% is full term, interest-only (IO) and 26% had a partial-term, IO component. 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' rated classes 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 the 'BBB-sf' and 'A-sf' rated classes may occur should pool loss expectations increase significantly and should all of the FLOCs suffer losses, which would erode CE. Downgrades to 'Bsf' and 'CCCsf' rated classes would occur with a greater certainty of loss or should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing and/or higher losses are incurred on the specially serviced loans than expected. 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 'BBB-sf', 'A-sf' and 'AA-sf' rated classes would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs and other properties affected by the pandemic. Upgrades to 'Bsf' and 'CCCsf' rated classes 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, the number of FLOCs is reduced and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. 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. BARINGS CLO 2022-III: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Barings CLO Ltd. 2022-III. Entity/Debt Rating Prior ----------- ------ ----- Barings CLO Ltd. 2022-III A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Barings CLO Ltd. 2022-III (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Barings LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.8 versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans. The weighted average recovery assumption of the indicative portfolio is 76.29% versus a minimum covenant interpolated from the Fitch Test Matrix of 74.10%. Portfolio Composition (Positive): The largest three industries may comprise up to 38.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'A+sf' for class C, between less than'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BBsf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AAsf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. 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. BATTERY PARK II: S&P Assigns BB-(sf) Rating on $15MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Battery Park CLO II Ltd./Battery Park CLO II LLC'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 Goldman Sachs Asset 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 Battery Park CLO II Ltd./Battery Park CLO II LLC Class A-1, $244.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B-1, $40.00 million: AA (sf) Class B-2, $10.00 million: AA (sf) Class C (deferrable), $22.00 million: A (sf) Class D (deferrable), $20.00 million: BBB- (sf) Class E (deferrable), $15.00 million: BB- (sf) Subordinated notes, $40.66 million: Not rated BBCMS MORTGAGE 2017-C1: Fitch Affirms 'CCCsf' Rating on 2 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of BBCMS Mortgage Trust 2017-C1 commercial mortgage pass-through certificates. The Rating Outlooks on classes D and X-D have been revised to Stable from Negative. The Rating Outlooks for classes E and X-E remain Negative. Debt Rating Prior ---- ------ ----- BBCMS 2017-C1 A-2 07332VBA2 LT AAAsf Affirmed AAAsf A-3 07332VBC8 LT AAAsf Affirmed AAAsf A-4 07332VBD6 LT AAAsf Affirmed AAAsf A-S 07332VBE4 LT AAAsf Affirmed AAAsf A-SB 07332VBB0 LT AAAsf Affirmed AAAsf B 07332VBF1 LT AA-sf Affirmed AA-sf C 07332VBG9 LT A-sf Affirmed A-sf D 07332VAA3 LT BBB-sf Affirmed BBB-sf E 07332VAC9 LT B-sf Affirmed B-sf F 07332VAE5 LT CCCsf Affirmed CCCsf X-A 07332VBJ3 LT AAAsf Affirmed AAAsf X-B 07332VBH7 LT AA-sf Affirmed AA-sf X-D 07332VAL9 LT BBB-sf Affirmed BBB-sf X-E 07332VAN5 LT B-sf Affirmed B-sf X-F 07332VAQ8 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectations; Office Performance Concerns: Overall loss expectations have remained relatively stable since Fitch's prior rating action. Fitch's current ratings reflect a base case loss of 6.0%. Fitch has identified 12 loans (35.1% of the pool balance) as Fitch Loans of Concern (FLOCs), which includes three loans (4.8%) in special servicing. The Outlook revisions to Stable from Negative for classes D and X-D reflect lower loss expectations since the prior rating action on several hotel and retail loans as performance has improved or continues to stabilize from their pandemic lows and due to a higher appraised value for the specially serviced Anaheim Marriot Suites loan. The Negative Outlooks on classes E and X-E are maintained and reflect performance concerns and higher loss expectations for loans secured by office properties. Office loans account for the largest concentration in the pool (10 loans; 43.7% of the pool balance), five of which were identified as FLOCs (23%). In addition, the Negative Outlook incorporates sustained performance declines and an elevated loss for the regional mall Wolfchase Galleria (1.2% of pool; 38% expected loss). Fitch Loans of Concern: The largest FLOC and largest contributor to overall loss expectations is the largest loan, Alhambra Towers (7.7% of the pool), which is secured by a 164,250-sf office property located in Coral Gables, FL. The property has experienced occupancy declines after the previous largest tenant, AerSale,Inc (15.7% of the NRA), vacated its space in November 2021 in addition to other smaller tenants. Occupancy fell to 76% by YE 2021 from 94% at YE 2020. The property also faces near-term rollover risks with leases for two tenants (14.6% of the NRA) scheduled to expire by YE 2022, including the current largest tenant, Becker & Penioff (12.8%), in December 2022. The occupancy declines and upcoming rollover are mitigated by lower market and submarket vacancy rates. Per Costar, the Coral Gables submarket and Miami MSA have office vacancy rates of about 2.0% and 3.1%, respectively. In addition, per servicer updates, the borrower is finalizing a 10-year lease with a co-working tenant for 12.6% of the NRA. The loan has remained current, with a NOI debt service coverage ratio (DSCR) at 1.41x as of YE 2021 compared to 1.72x at issuance. Fitch's base case loss of 10% is based off the YE 2021 NOI and a 9.0% cap rate. Fitch's analysis gives credit for the property quality, low submarket vacancy and recent leasing momentum. The second largest FLOC and largest increase in loss since Fitch's prior rating action is the 1000 Denny Way loan (7.0%), which is secured by a 265,080-sf CBD office building located in Seattle, WA. In February 2021, the largest tenant, Seattle Times, downsized its space from 59% of the NRA to 18%. Occupancy was reported at 62.5% as of YE 2021, compared to 93% at YE 2020. The occupancy declines were mitigated by the base rent for Seattle Times more than doubling, as well as Best Buy Stores commencing a new lease in February 2021 for 12.3% of the NRA. The remaining tenants include Level 3 Communications (18.4%; lease expiry in July 2031), Verizon (8.0%; extended to September 2032 from 2022) and Seattle Master (5.9%; December 2028). While lower than issuance, NOI DSCR is considered stable at 1.76x as of 1Q22 and 1.70x as of YE 2021, compared to 1.97x at issuance. Fitch's analysis reflects a 10% cap rate and a 5% stress to the YE 2021 NOI, for a base case loss of 8%. The largest specially serviced loan is Anaheim Marriott Suites (3.7% of the pool). The 351-key full-service hotel is located in Garden Grove, CA and is within three-miles of Disneyland and 1.5-miles of the Anaheim Convention Center. The hotel transferred to special servicing in June 2020 due to hardships related to the pandemic. Per the latest servicer updates, the borrower has signed a pre-negotiation letter and the special servicer is tracking enforcement of lender's rights. Performance has been slowly improving since the pandemic lows. Occupancy has improved to 65.4% as of TTM June 2022 from 49% at YE 2021 and 34.7% at YE 2020, but remains well below pre-pandemic levels of 89.6% at YE 2019. NOI DSCR was reported at 0.41x for YE 2021 compared to -0.39x for YE 2020, and 2.20x at YE 2019. The most recent servicer provided as-is appraised value (approximately $173,000/key) exceeds the current total exposure for the subject loan. Fitch's current analysis reflects a minimum loss of 2.5% to account for potential special servicing fees and/or advances. Changes in Credit Enhancement (CE): CE for the senior 'AAAsf' rated classes has improved while the mezzanine and subordinate classes have had minimal changes in CE. As of the September 2022 remittance, the pool's aggregate balance has been reduced by 7.2% to $795.5 million from $857.5 million. There are 14 loans (51.2% of the pool) that are full-term, interest-only (IO); 24 loans (26%) that are currently amortizing; and 16 loans (22.8%) that are partial IO. Three loans (1.4% of the pool) have fully defeased. 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 considered likely due to position in the capital structure and expected continued paydown, but may occur if interest shortfalls affect these classes. Downgrades to classes rated 'A-sf' and 'BBB-sf' may occur should expected losses for the pool increase significantly, performance of the FLOCs deteriorate further and/or one or more larger FLOCs experience an outsized loss, which would erode CE. Downgrades to classes rated 'B-sf' would occur if loans in special servicing remain unresolved, the office FLOCs sustain further performance declines, or if performance of the FLOCs fails to stabilize. Downgrades to classes F and X-F may occur with a greater certainty of loss and/or as losses are incurred, and/or FLOCs experience losses greater than expected. Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade to classes B, C, and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades of classes D and X-D would only occur with significant improvement in performance of the FLOCs and/or there is sufficient CE to these classes. An upgrade to classes E, X-E, F and X-F are not likely are not likely until later years of the transaction and only if performance of the remaining pool is stable and there is sufficient CE to these 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. BENCHMARK 2018-B2: Fitch Affirms 'Bsf' Rating on Class G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed the ratings on 14 classes of Benchmark 2018-B2 Mortgage Trust commercial mortgage pass-through certificates, series 2018-B2 (BMARK 2018-B2). In addition, the Rating Outlooks on classes F-RR and G-RR have been revised to Stable from Negative. Debt Rating Prior ---- ------ ----- Benchmark 2018-B2 A-2 08161CAB7 LT AAAsf Affirmed AAAsf A-3 08161CAC5 LT AAAsf Affirmed AAAsf A-4 08161CAD3 LT AAAsf Affirmed AAAsf A-5 08161CAE1 LT AAAsf Affirmed AAAsf A-S 08161CAJ0 LT AAAsf Affirmed AAAsf A-SB 08161CAF8 LT AAAsf Affirmed AAAsf B 08161CAK7 LT AA-sf Affirmed AA-sf C 08161CAL5 LT A-sf Affirmed A-sf D 08161CAP6 LT BBB+sf Affirmed BBB+sf E-RR 08161CAR2 LT BBB-sf Affirmed BBB-sf F-RR 08161CAT8 LT BBsf Affirmed BBsf G-RR 08161CAV3 LT Bsf Affirmed Bsf X-A 08161CAG6 LT AAAsf Affirmed AAAsf X-D 08161CAM3 LT BBB+sf Affirmed BBB+sf KEY RATING DRIVERS Stable Loss Expectations: Overall pool loss expectations have remained relatively stable since Fitch's prior rating action. The Rating Outlook revisions to Stable from Negative on classes F-RR and G-RR reflect the performance stabilization of properties previously impacted by the pandemic. Seven loans are considered Fitch Loans of Concern (FLOCs; 21.6% of the pool), including one specially serviced loan (5.7%) and three performing hotel loans within the top 15 that continue to stabilize. Fitch's current ratings reflect a base case loss of 3.70%. Specially Serviced Loan: The largest increase in loss since the prior rating action is the Central Park of Lisle loan (5.7%), which is secured by a 693,606-sf suburban office building located in Lisle, IL. The property consists of two connected buildings, which were built in 1991 and 2001, and renovated in 2015. The loan transferred to special servicing in September 2022 due to an imminent maturity default. The loan has an upcoming maturity in January 2023. The property's largest tenants include CA, Inc. (6.3% of the NRA; lease expiry in April 2025), EMC Corporation (6.3%; December 2023), Kantar LLC (6.3%; January 2025), Lifestart Chicago Northwest (5.4%; April 2027) and Armour-Eckrich Meats LLC (5.4%; November 2027). The property was 78.6% occupied as of the June 2022 rent roll, compared to 77.7% at YE 2021, 83.5% at YE 2020, and 86.5% at YE 2019. The previous largest tenant, Armour-Eckrich Meats LLC, exercised an early termination option in February 2022 for a significant portion of its space, Suite 155 and Suite 600 (combined, 8.4% of the NRA). The lease termination in February 2022 was one year prior to the actual lease termination in February 2023. The tenant paid 50% of the termination fee, approximately $1.5 million, and is expected to remit the remainder, 30 days prior to the lease termination date in February 2023. Near-term rollover includes 2.1% of the NRA in 2022, 11.9% in 2023, 5.6% in 2024 and 16.2% in 2025. Per CoStar as of 2Q22, the Western East Corridor office submarket reported an average market rents of $22.01 psf, a vacancy rate of 13.9%, and an availability rate of 14.7%. Fitch's base case loss of 6% is based on a 10% cap rate and 25% haircut to the YE 2021 NOI to account for the largest tenant downsizing and upcoming rollover risk. Increased Credit Enhancement (CE): As of the September 2022 distribution date, the pool's aggregate principal balance has paid down by 7.9% to $1.39 billion from $1.51 billion at issuance. Since issuance, two loans have been defeased (5.3% of the pool). The majority of the pool (23 loans; 53.3% of pool) are full-term IO, and five loans (8.3%) still have a partial IO component during their remaining loan term, compared with 17 loans (25.3%) at issuance. To date, the pool has not experienced any realized losses since issuance. 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 considered likely due to increasing CE and expected continued paydown, but may occur if interest shortfalls affect these classes. Downgrades to classes rated 'A-sf', 'BBB+sf' and 'BBB-sf' may occur should expected losses for the pool increase significantly, performance of the FLOCs deteriorate further and/or one or more larger FLOCs experience an outsized loss, which would erode CE. Downgrades to classes rated 'BBsf' and 'Bsf' would occur if losses on the specially serviced loan is greater than expected, additional loans default or transfer to special servicing and/or with a greater certainty of losses. 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 to classes B and C include additional paydowns and/or defeasance, as well as performance stabilization of the FLOCs. Upgrades to classes rated 'AA-sf' and 'A-sf' would only occur with significant improvement in CE, defeasance, and/or performance stabilization of the FLOCs. Upgrades to classes rated 'BBB+sf' and 'BBB-sf' would also consider these factors, but be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades to classes rated 'BBsf' and 'Bsf' are not likely are not likely until later years of the transaction and only if performance of the remaining pool is stable and there is sufficient CE to these 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. BENCHMARK MORTGAGE 2018-B8: Fitch Lowers G Notes Rating to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded two classes and affirmed 13 classes of Benchmark 2018-B8 Mortgage Trust. The Rating Outlook on class F-RR is Negative. Debt Rating Prior ---- ------ ----- BMARK 2018-B8 A-2 08162UAT7 LT AAAsf Affirmed AAAsf A-3 08162UAU4 LT AAAsf Affirmed AAAsf A-4 08162UAV2 LT AAAsf Affirmed AAAsf A-5 08162UAW0 LT AAAsf Affirmed AAAsf A-S 08162UBA7 LT AAAsf Affirmed AAAsf A-SB 08162UAX8 LT AAAsf Affirmed AAAsf B 08162UBB5 LT AA-sf Affirmed AA-sf C 08162UBC3 LT A-sf Affirmed A-sf D 08162UAC4 LT BBBsf Affirmed BBBsf E-RR 08162UAE0 LT BBB-sf Affirmed BBB-sf F-RR 08162UAG5 LT B-sf Downgrade BB-sf G-RR 08162UAJ9 LT CCCsf Downgrade B-sf X-A 08162UAY6 LT AAAsf Affirmed AAAsf X-B 08162UAZ3 LT AA-sf Affirmed AA-sf X-D 08162UAA8 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Increased Loss Expectations; Office Performance Declines: The downgrades to classes F-RR and G-RR reflect increased loss expectations since Fitch's prior rating action, primarily due to the performance deterioration of the 3 Huntington Quadrangle loan (4.6% of the pool). Fitch's current ratings incorporate a base case loss of 5.40%. Fitch has identified seven loans as Fitch Loans of Concern (FLOCs; 26.7% of pool). No loans are currently in special servicing. The Negative Outlook on class F-RR reflects the potential for downgrade should the performance of the FLOC's further deteriorate, loss expectations increase, and/or loans transfer to special servicing. Largest Contributors to Loss: The largest contributor to loss, and largest increase in loss expectations since Fitch's prior rating action, is the 3 Huntington Quadrangle loan (4.6%), which is secured by a 409,000-sf suburban office property located in Melville, NY. The loan has been identified as a FLOC due to significant occupancy declines, falling to 73% per the June 2022 rent roll, from 94% at YE 2019. The decline in occupancy is attributed to Travelers Indemnity, previously 29% of the NRA, vacating at its July 2020 lease expiration. A cash flow sweep has been in place since Travelers renewal notice period expired in May 2019. The largest remaining tenant is Northwell Health (30% NRA; lease expiring September 2028). The loan has remained current since issuance, however NOI DSCR is low at 0.98x as of YTD June 2022 and 1.03x as of YE 2021, compared with 1.67x at YE 2020. Fitch's modelled loss of approximately 35% reflects a 10% cap rate off the YE 2021 NOI, with credit applied for the loan remaining current. The Fitch stressed value is approximately $61 psf. The next largest contributor to loss is the Saint Louis Galleria loan (5.4%) which is secured by a 466,000sf portion of a 1.18 million sf regional mall located in Saint Louis, MO. The non-collateral anchors are Dillard's, Macy's and Nordstrom. The largest collateral tenants are Galleria-6 Cinemas (4.2% NRA) and H&M (2.8% NRA). Per servicer reporting, occupancy has recently improved to 100% as of YE 2021, after temporarily falling to 87% as of September 2021 from 95.7% at YE 2020. Fitch has an outstanding request to the servicer for an updated recent roll, but has not received one to date. Property NOI has declined since issuance, with YE 2021 NOI approximately 29% below the issuers underwritten NOI and 12% below YE 2020. The NOI declines are mainly attributed to lower revenues since the pandemic, with YE 2021 revenue 19.5% below YE 2019. The partial interest-only loan (60-months) NOI DSCR reported at 1.68x as of YE 2021. Based on fully amortizing payments and YE 2021 NOI, DSCR equates to 1.22x compared to 1.72x per the issuers underwritten NOI. According to Green Street, in-line tenant sales reported at $728psf/$615psf (excluding Apple) as of July 2022, exceeding pre-pandemic levels. This is an improvement from the most recent servicer provided tenant sales reported for TTM ended September 2021 at $523psf/$401psf (excluding Apple) and $364psf/$294psf (excluding Apple) at YE 2020. Fitch has an outstanding request to the servicer for a more recent tenant sales report. Fitch's base case loss of 17% reflects an 11.50% cap rate and a 5% stress to the YE 2021 NOI. The third largest contributor to loss is the 590 East Middlefield (4.8%) loan, which is secured by a 100,000sf suburban office located in Mountain View, CA, 15 miles NW of San Jose. The loan has been flagged as a FLOC due to the single-tenant Omnicell intentions to vacate at its upcoming October 2022 lease expiration. A cash flow sweep has been activated, and exceeds $2.6 million (approx. $26psf) as of June 2022. Per servicer updates, the borrower is in discussion with several potential tenants. Fitch base case loss of 8.9% reflects an 8.75% cap rate and a 15% stress to the YE 2021 NOI, which equates to approximately a value of $400 psf. Minimal Change to Credit Enhancement (CE): As of the September 2022 distribution date, the pool's aggregate principal balance was reduced by 3.1% to $1.01 billion from $1.05 billion at issuance. There have been no realized losses to date. Interest shortfalls of $32,629 are currently affecting the non-rated class NR-RR. Twenty-three loans (57.5%) are full-term interest-only (IO), and six loans (10.5%) remain in their partial IO periods. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans. Downgrades to the senior classes, along with class B, are not expected given the overall stable performance of the pool, their position in the capital structure and sufficient CE, but may occur if interest shortfalls occur or losses increase considerably. A downgrade to classes C, D, and E-RR would occur should several loans transfer to special servicing and/or as expected pool losses significantly increase. Further downgrades to class F-RR would occur should the performance of the FLOCs continue to deteriorate, and/or loans transfer to special servicing. Further downgrades to the distressed class G-RR would occur as losses are realized or become more certain and/or as losses materialize and CE becomes eroded. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war, whereby growth is sharply lower amid higher inflation and interest rates. Even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades to classes B and C would likely occur with significant improvement in CE and/or defeasance. However, adverse selection, increased concentrations or the underperformance of a particular loan(s) may limit the potential for future upgrades. An upgrade to classes D and E-RR are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. Upgrades to classes F-RR and G-RR are not likely until the later years of the transaction, and only if the performance of the FLOCs improve significantly, and/or if there is sufficient CE, which would likely occur if the non-rated class is not eroded and the senior classes pay off. 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. BMO MORTGAGE 2022-C3: Fitch Assigns 'B-sf' Rating on Class J Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BMO 2022-C3, commercial mortgage pass-through certificates series 2022-C3. Debt Rating Prior ---- ------ ----- BMO 2022-C3 Mortgage Trust A-1 05602QAU7 LT AAAsf New Rating AAA(EXP)sf A-2 05602QAV5 LT AAAsf New Rating AAA(EXP)sf A-3 05602QAW3 LT AAAsf New Rating AAA(EXP)sf A-4 05602QAX1 LT AAAsf New Rating AAA(EXP)sf A-5 05602QAY9 LT AAAsf New Rating AAA(EXP)sf A-S 05602QBC6 LT AAAsf New Rating AAA(EXP)sf A-SB 05602QAZ6 LT AAAsf New Rating AAA(EXP)sf B 05602QBD4 LT AA-sf New Rating AA-(EXP)sf C 05602QBE2 LT A-sf New Rating A-(EXP)sf D 05602QAE3 LT BBBsf New Rating BBB(EXP)sf E 05602QAG8 LT BBB-sf New Rating BBB-(EXP)sf F-RR 05602QAJ2 LT BB+sf New Rating BB+(EXP)sf G-RR 05602QAL7 LT BB-sf New Rating BB-(EXP)sf J-RR 05602QAN3 LT B-sf New Rating B-(EXP)sf K-RR 05602QAQ6 LT NRsf New Rating NR(EXP)sf VRR LT NRsf New Rating NR(EXP)sf X-A 05602QBA0 LT AAAsf New Rating AAA(EXP)sf X-B 05602QBB8 LT WDsf Withdrawn A-(EXP)sf X-D 05602QAA1 LT BBBsf New Rating BBB(EXP)sf X-E 05602QAC7 LT BBB-sf New Rating BBB-(EXP)sf Fitch rated the transaction and assign Rating Outlooks as follows: - $7,733,000 class A-1 'AAAsf'; Outlook Stable; - $98,048,000 class A-2 'AAAsf'; Outlook Stable; - $13,327,000 class A-3 'AAAsf'; Outlook Stable; - $151,000,000a class A-4 'AAAsf'; Outlook Stable; - $216,694,000a class A-5 'AAAsf'; Outlook Stable; - $11,207,000 class A-SB 'AAAsf'; Outlook Stable; - $498,009,000bc class X-A 'AAAsf'; Outlook Stable; - $65,808,000 class A-S 'AAAsf'; Outlook Stable; - $32,905,000 class B 'AA-sf'; Outlook Stable; - $31,125,000 class C 'A-sf'; Outlook Stable; - $19,565,000c class D 'BBBsf'; Outlook Stable; - $19,565,000bc class X-D 'BBBsf'; Outlook Stable; - $15,118,000c class E 'BBB-sf'; Outlook Stable; - $15,118,000bc class X-E 'BBB-sf'; Outlook Stable; - $8,893,000cd class F-RR 'BB+sf'; Outlook Stable; - $7,114,000cd class G-RR 'BB-sf'; Outlook Stable; - $7,115,000cd class J-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $25,790,184cd class K-RR; - $15,260,762ce VRR Interest. a) Since Fitch published its expected ratings, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $397,694,000 in aggregate, subject to a 5% variance. b) Notional amount and IO. c) Privately placed and pursuant to Rule 144A. d) Horizontal risk retention interest estimated to be 2.93% of the certificates. e) Vertical risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 48 loans secured by 89 commercial properties having an aggregate principal balance of $726.7 million as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Citigroup Global Markets Realty Corp., 3650 REIT, LMF Commercial, LLC, UBS Real Estate Securities Inc., Sabal Capital II, LLC, ReadyCap Commercial, LLC and Starwood Mortgage Capital LLC. The Master Servicer is expected to be Midland Loan Services LLC and the Special Servicer is expected to be Midland Loan Services LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 31.5% of the loans by balance, cash flow analysis of 88.1% of the pool and asset summary reviews on 100% of the pool. Fitch has withdrawn the expected rating of 'A-(EXP)sf' for class X-B because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Higher Leverage Compared to Recent Transactions: The pool has higher leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch debt service coverage ratio (DSCR) of 1.10x is lower than the YTD 2022 and 2021 averages of 1.33x and 1.38x, respectively. The pool's Fitch loan-to value ratio (LTV) of 102.2% is slightly higher than the YTD 2022 average of 100.3%, but lower than the 2021 average of 103.3%. Excluding credit opinion loans (11.6% of the pool), the pool's Fitch LTV and DSCR are 105.4% and 1.10x, respectively, compared to the equivalent conduit YTD 2022 LTV and DSCR averages of 107.9% and 1.24x, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 11.6% of the pool received an investment-grade credit opinion. Park West Village (5.2%), Yorkshire & Lexington (5.1%), and 111 River Street (1.4%), each received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 11.6% is lower the YTD 2022 and 2021 averages of 15.4% and 13.3%, respectively. Property Type Concentrations: Multifamily properties represent the largest concentration at 30.8%, which is higher than the YTD 2022 and 2021 averages of 13.7% and 17.4%, respectively. Office properties represent 22%, which is significantly lower than the YTD 2022 and 2021 averages of 40.2% and 36.5%, respectively. Industrial properties represent 18.0%, which is higher than the YTD 2022 and 2021 averages of 9.5% and 12.5%, respectively. The pool also features a hotel concentration of 6.8%, which is slightly higher than YTD 2022 and 2021 averages of 5.8% and 3.0%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The results below 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. 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' / 'BBB-sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; 10% NCF Decline: 'Asf' / 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; 30% NCF Decline: 'BBB-sf' / 'BB+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA-sf' / 'Asf' / 'BBB+sf' / 'BBB+sf' / 'BBB-sf'. CARVAL CLO VIII-C: S&P Assigns Prelim BB- (sf) Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to CarVal CLO VIII-C Ltd./CarVal CLO VIII-C 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 CarVal CLO Management LLC. The preliminary ratings are based on information as of Oct. 18, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned CarVal CLO VIII-C Ltd./CarVal CLO VIII-C LLC Class A, $248.00 million: AAA (sf) Class B-1, $42.00 million: AA (sf) Class B-2, $14.00 million: AA (sf) Class C, $22.00 million: A (sf) Class D, $22.00 million: BBB- (sf) Class E, $11.20 million: BB- (sf) Subordinated notes, $248.00 million: Not rated CATAMARAN CLO 2014-2: S&P Affirms B- (sf) Rating on Class D Notes ----------------------------------------------------------------- S&P Global Ratings took various rating action on the class C, D, and E notes issued by Catamaran CLO 2014-2 Ltd./Catamaran CLO 2014-2 LLC. At the same time, S&P removed the ratings on classes C and E from CreditWatch, where S&P placed them with positive and negative implications, respectively, on Aug. 16, 2022. The rating actions follow our review of the transaction's performance using data from the August 2022 trustee report and the trades reflected in the recent September 2022 trustee report. Although the same portfolio backs all of the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it faced both principal paydowns (which increased the senior credit support) and principal losses (which decreased the junior credit support). S&P said, "The upgrade and affirmation reflect the transaction's $85.07 million in collective paydowns to the class A-2-R, B-R, and C notes since our July 2021 rating actions. We discontinued the ratings on the class A-2-R and B-R notes after their respective outstanding balances were paid in full." These paydowns resulted in the following improved reported overcollateralization (O/C) ratios since the May 2021 trustee report (which we used for our July 2021 rating actions): -- The class C O/C ratio improved to 246.59% from 126.70%, and -- The class D O/C ratio improved to 121.66% from 106.89%. S&P said, "On a standalone basis, the results of our cash flow analysis indicated a higher rating on both the class C and D notes. However, as the transaction amortizes, there are fewer assets left in the portfolio, leading to increased concentration. Our rating actions on the class C and D notes considered the transaction's concentration risk and exposure to 'CCC' rated collateral and stressed market value collateral obligations. The affirmation on the class D notes also considered a failure of the class D interest coverage ratio and the continued deferment of a portion of the class's note interest. "The class E tranche did not receive its current interest, and it continues to defer interest because the class D interest coverage ratio continues to fail and there were inadequate proceeds to cure that failure. This increased the class E outstanding balance (including deferred interest). The transaction has also incurred some trading loss, which (since it's an amortizing CLO) have had a more pronounced negative impact on the junior notes of the capital structure. Although our cash flow results indicated a lower rating on the class E notes, the class does not meet the definition of a 'CC (sf)' rated tranche, based on our criteria, since default is not yet a virtual certainty. However, since the class E notes are vulnerable to nonpayment and are dependent on favorable market and economic conditions, we lowered the rating to 'CCC- (sf)'. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to the rated tranches. The results of our cash flow analysis and other qualitative factors, as applicable, demonstrated, in our view, that the outstanding rated classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." Rating Raised And Removed From CreditWatch Catamaran CLO 2014-2 Ltd./Catamaran CLO 2014-2 LLC Class C to 'AA+ (sf)' from 'BBB (sf)/Watch Pos' Rating Lowered And Removed From CreditWatch Catamaran CLO 2014-2 Ltd./Catamaran CLO 2014-2 LLC Class E to 'CCC- (sf)' from 'CCC (sf)/Watch Neg' Rating Affirmed Catamaran CLO 2014-2 Ltd./Catamaran CLO 2014-2 LLC Class D: B- (sf) CFCRE MORTGAGE 2016-C6: Fitch Affirms 'CCC' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of CFCRE 2016-C6 Mortgage Trust. Fitch has also revised the Rating Outlook on class D to Stable from Negative. The Rating Outlooks on classes E and X-E remain Negative. Debt Rating Prior ---- ------ ----- CFCRE 2016-C6 A-2 12532AAY5 LT AAAsf Affirmed AAAsf A-3 12532AAZ2 LT AAAsf Affirmed AAAsf A-M 12532ABA6 LT AAAsf Affirmed AAAsf A-SB 12532AAX7 LT AAAsf Affirmed AAAsf B 12532ABB4 LT AA-sf Affirmed AA-sf C 12532ABC2 LT A-sf Affirmed A-sf D 12532AAA7 LT BBB-sf Affirmed BBB-sf E 12532AAC3 LT B-sf Affirmed B-sf F 12532AAE9 LT CCCsf Affirmed CCCsf X-A 12532ABD0 LT AAAsf Affirmed AAAsf X-B 12532ABE8 LT AA-sf Affirmed AA-sf X-E 12532AAL3 LT B-sf Affirmed B-sf X-F 12532AAN9 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revision to Stable from Negative on class D reflects performance stabilization of properties that were affected by the pandemic, including the return of two previously specially serviced loans to the master servicer (Inn at the Colonnade and Holiday Inn Express Nashville - Downtown; combined 5.7%). Fitch's ratings incorporate a base case loss of 4.7%. The Outlooks on classes E and X-E remain Negative to reflect concerns with loans remaining in special servicing and the continued underperformance of 7th & Pine Seattle Retail & Parking (8.2%). Seven loans (17.5%) have been flagged as Fitch Loans of Concern (FLOCs); including specially serviced loans (6.8%). Three loans (15.1%) have been flagged for high vacancy, low NOI debt service coverage ratio (DSCR) and/or pandemic-related underperformance. The largest FLOC and largest contributor to expected losses is 7th & Pine Seattle Retail & Parking (8.2%), retail/parking garage located within the downtown Seattle CBD. Subject YE 2021 NOI DSCR has fallen to 0.58x compared to NOI DSCR of 1.71x. The decline in performance is largely due to the decline in rent from relief granted in response to the coronavirus pandemic. In particular, the subject's largest tenant, Standard Parking (NRA 93%), has been paying abated rent since 2020. At issuance, Standard Parking accounted for approximately 74% of underwritten rents. This loan had previously transferred to special servicing in May 2020 for pandemic related underperformance, but returned to master servicing in July 2020 after property performance improved. The loan is currently cash managed with excess funds being swept into the excess cash flow reserve. According to the master servicer, the guarantor failed the liquidity covenant on the December 2020 balance sheet, and counsel has sent a ROR letter to the borrower. Fitch's expected loss of 15.2% reflects a 9.5% cap rate on YE 2019 NOI. The second largest contributor to expected losses is the Fresno Fashion Fair Mall (5.5%), which is secured by the 561,989 sf portion of an 835,416 sf regional mall located in Fresno, CA. Non-collateral tenants include Macy's (Women's & Home, and Men's & Children's Stores), BJ's Restaurant and Brewhouse, Chick-fil-A and Fleming's. The largest collateral tenants include JCPenney (27.4% of NRA, lease expiry in November 2022), H&M (3.4%, January 2027), Victoria's Secret (2.6%, January 2027), Cheesecake Factory (1.8%, January 2026) and ULTA Beauty (1.8%, August 2027). The mall is demonstrating a strong recovery from the effects of the pandemic. As of YE 2021, occupancy improved to 93% compared to 85% at YE 2020 and 92.5% at YE 2019. In addition, sales are approaching pre-pandemic levels. As of the TTM ended June 2022, comparable inline sales for tenants under 10,000 sf were $973 psf (including Apple) and $794 psf (excluding Apple), up from $590 psf ($472 psf) at the TTM ended September 2020. Inline sales were $765 psf ($617 psf) as of the TTM ended March 2019. Macy's and JCPenney reported sales of $212 psf and $184 psf, respectively, compared to $87 psf and $75 psf as of the TTM ended September 2020 and $241 psf and $230 psf as of the TTM ended March 2019. Fitch's base case loss expectation of approximately 14% reflects an 11% cap rate on the YE 2021 NOI. The third largest contributor to expected losses is Tek Park (FLOC, 2.2%), office and technology park located in Breinigsville, Pennsylvania. This loan transferred to special servicing in January 2022 after the third largest tenant, Buckeye Partners (15.5% of the NRA) did not renew their lease, triggering cash management. Occupancy declined to 61% as of YE 2021 from 79.2% at YE 2020. Fitch's base case loss of approximately 21.9% uses a 12% cap rate to reflect Fitch's concerns of secular changes in the demand for office properties and a 10% haircut to the YE 2021 NOI to account for recent departure of the third largest tenant. Minimal Change in Credit Enhancement: As of the September 2022 distribution date, the pool's aggregate balance has been reduced by 6.8% to $734.1 million from $787.5 million at issuance. There are eight loans comprising 10.9% of the pool have been fully defeased. Eight loans (51.5%) are classified as interest only. No loans are scheduled to mature until 2025. The specially serviced loan, Mandeville Marketplace, disposed in December 2019 resulting in a $3.7 million loss to class G. ADDITIONAL LOSS CONSIDERATIONS Retail and Regional Mall Concentration: In this transaction, there are 17 loans comprising 47.2% of the pool which are secured by retail properties. At issuance, Fitch classified two mixed-use properties (7th & Pine Seattle Retail & Parking and 1000 K Street) as retail in its analysis due to their primary uses. The pool also includes two super-regional malls Potomac Mills (9.5%) and Fresno Fashion Fair (5.5%). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades could be triggered by an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to position in the capital structure but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C and D may occur if overall pool performance declines and/or loss expectations increase and/or 7th & Pine Seattle Retail & Parking transfer to special servicing. Downgrades to classes E and 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 could be triggered by significantly improved performance coupled with paydown and/or defeasance. An upgrade to classes B and C could occur with stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades of class D would only occur with significant improvement in credit enhancement and stabilization of the FLOCs. An upgrade to classes E and F is not likely unless performance of the FLOCs improves, and if performance of the remaining pool is stable. 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. DIAMOND CLO 2018-1: S&P Affirms BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings raised its ratings on the class C and D notes from Diamond CLO 2018-1 Ltd. S&P also removed these ratings from CreditWatch, where it placed them with positive implications on Aug. 16, 2022. At the same time, S&P affirmed its rating on the class E notes from the same transaction. The rating actions follow its review of the transaction's performance using data from the September 2022 trustee report. Since S&P's last rating actions, the portfolio has concentrated to 24 unique obligors. The weighted average life has decreased to 2.44 years as reported within the September 2022 trustee report, compared with 2.93 years as reported within the September 2021 trustee report. The upgrades reflect the transaction's $349.59 million in collective paydowns to the class A-1, A-2, B and C notes since S&P's November 2021 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the September 2021 trustee report, which it used for our previous rating actions: -- The class C O/C ratio improved to 372.98% from 160.26%. -- The class D O/C ratio improved to 201.93% from 135.16%. -- The class E O/C ratio improved to 134.22% from 115.29%. The upgrades reflect the improved credit support at the prior rating levels; the affirmation reflects our view that the credit support available is commensurate with the current rating level. S&P raised its rating on the class C note as they pass its cash flow stresses at the 'AAA (sf)' rating level. S&P said, "Our ratings on the class D and E notes were affected by the application of the largest obligor default test from our corporate collateralized debt obligation criteria. The test is intended to address event and model risks that might be present in rated transactions. "We held back our upgrade on the rating of the class D note to 'A+ (sf)'and affirmed the class E note at 'BB- (sf)' due to the concentration issues of the remaining portfolio. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D and E notes. The top five largest obligors in the transaction currently make up to 43.33% of the portfolio's performing collateral balance while the exposure to 'CCC' category issuers makes up 25% of the portfolio. We limited our upgrade on the class D note and affirmed our rating on the class E note to offset potential future credit migration of the underlying collateral." Conclusions S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From Creditwatch Positive Diamond CLO 2018-1 Ltd. Class C to AAA (sf) from AA+ (sf)/Watch Pos Class D to A+ (sf) from BBB+ (sf)/Watch Pos Rating Affirmed Diamond CLO 2018-1 Ltd. Class E: BB- (sf) ELARA HGV 2021-A: Fitch Affirms 'BBsf' Rating on Class D Notes -------------------------------------------------------------- Fitch Ratings has affirmed Elara HGV Timeshare Issuer (Elara) 2016-A, 2017-A, 2019-A and 2021-A. The Rating Outlooks for the notes remain Stable. Debt Rating Prior ---- ------ ----- Elara HGV Timeshare Issuer 2016-A, LLC A 28415PAA2 LT Asf Affirmed Asf B 28415PAB0 LT BBBsf Affirmed BBBsf Elara HGV Timeshare Issuer, 2017-A LLC A 28416DAA8 LT AAAsf Affirmed AAAsf B 28416DAB6 LT Asf Affirmed Asf C 28416DAC4 LT BBBsf Affirmed BBBsf Elara HGV Timeshare Issuer, 2019-A LLC A 28416TAA3 LT AAAsf Affirmed AAAsf B 28416TAB1 LT Asf Affirmed Asf C 28416TAC9 LT BBBsf Affirmed BBBsf Elara HGV Timeshare Issuer, 2021-A LLC Class A 28416LAA0 LT AAAsf Affirmed AAAsf Class B 28416LAB8 LT Asf Affirmed Asf Class C 28416LAC6 LT BBBsf Affirmed BBBsf Class D 28416LAD4 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmation of the notes reflects loss coverage levels consistent with their current ratings. The Stable Outlook for all classes of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. To date, Elara 2016-A, 2017-A and 2019-A have performed weaker than Fitch's initial expectations, with higher delinquencies and default rates, but all transactions have seen stable to improving performance over the past year. As of the August 2022 collection period, the 61+ day delinquency rates for Elara 2016-A, 2017-A, 2019-A and 2021-A are 0.67%, 1.12%, 1.40% and 1.52%, respectively. Cumulative gross defaults (CGDs) are currently 20.19%, 21.64%, 14.34% and 3.27% for Elara 2016-A, 2017-A, 2019-A and 2021-A, respectively. When adjusting for cumulative substitutions (for defaults, upgrades and ineligible loans), CGDs are 16.27%, 17.75%, 12.36% and 2.78%. All transactions, with the exception of the least seasoned, Elara 2021-A, are tracking above their initial base cases of 13.50% (2016-A and 2017-A) and 14.40% (2019-A). Due to optional repurchases and substitutions by the seller, none of the transactions have experienced a net loss to date. Hard credit enhancement (CE) for each transaction has built to its target from close. To account for recent performance, Fitch maintained the lifetime CGD proxy at 17.50%, 20.50% and 17.50% for Elara 2016-A, 2017-A and 2021-A, respectively and revised to 18.50% down from 19.00% for 2019-A. The updated base case default proxy for 2019-A utilizes conservative extrapolations (pool factor extrapolation and prior base case CGD proxy). Under Fitch's stressed cash flow assumptions, loss coverage for the 2016-A class A and B notes are able to support multiples in excess of 2.50x and 1.75x for 'Asf' and 'BBBsf', respectively. Loss coverage for the 2017-A and 2019-A class A, B and C notes are slightly below the 3.50x, 2.50x and 1.75x for 'AAAsf', 'Asf, and 'BBBsf'. Loss coverage for the 2021-A class A and B are slightly below the 3.50x and 2.50x for 'AAAsf' and 'Asf', while the class C and D are in excess of the 1.75x and 1.25x for 'BBBsf' and 'BBsf'. The shortfalls are considered nominal and are within the range of the multiples for the current ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels; Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch utilizes the break-even loss coverage to solve for the CGD level required to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf'. Fitch ran a down sensitivity for each transaction that would raise the CGD proxy by 2.0x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to four categories. Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased, and Fitch has published an assessment of the potential rating and asset performance impact of a plausible, but worse-than-expected, adverse stagflation scenario on Fitch's major SF and CVB sub-sectors. Fitch expects the Timeshare ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations, and a 25% chance of sector outlook revision by end-2023. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch applied an up sensitivity, by reducing the base case proxy by 20%. The impact of reducing the proxies by 20% from the recommended proxies could result in one category upgrades or affirmations of ratings with stronger multiples. 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. ELMWOOD CLO 20: S&P Assigns Prelim B- (sf) Rating on Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Elmwood CLO 20 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 Elmwood Asset Management LLC. The preliminary ratings are based on information as of Oct. 18, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Elmwood CLO 20 Ltd./Elmwood CLO 20 LLC Class A, $283.50 million: AAA (sf) Class B-1, $47.25 million: AA (sf) Class B-2, $11.25 million: AA (sf) Class C (deferrable), $27.00 million: A (sf) Class D (deferrable), $24.30 million: BBB- (sf) Class E (deferrable), $14.85 million: BB- (sf) Class F (deferrable), $5.85 million: B- (sf) Subordinated notes, $36.00 million: Not rated EXETER AUTOMOBILE 2022-5: S&P Assigns BB(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2022-5's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 58.30%, 49.53%, 39.97%, 30.26%, and 24.69% credit support--hard credit enhancement and haircut to excess spread--for the class A (collectively, classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.05x, 2.60x, 2.10x, 1.60x, and 1.30x coverage of S&P's expected net loss of 18.75%. These break-even scenarios withstand cumulative gross losses of approximately 89.69%, 76.83%, 65.07%, 49.94%, and 41.77% respectively. -- The transaction's credit enhancement in the form of subordinated notes; a nonamortizing reserve account, which increased to 1.57% of the initial receivables balance at closing from 1.00% pre-pricing; overcollateralization, which builds to a target level of 18.00% of the current receivables balance; and excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.60x its expected loss level), all else being equal, S&P's ratings will be within the credit stability limits specified by section A.4 of the Appendix in "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in S&P's view, are appropriate for the assigned ratings. -- The collateral characteristics of the subprime automobile loans securitized in this transaction together with S&P's view of the credit risk of the collateral, our updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A. (Citibank), which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with our sector benchmark. -- The transaction's payment and legal structures. S&P said, "Our ECNL of 18.75% for EART 2022-5, down from series 2022-4's 19.00% (18.50%-19.50%), incorporates our view that the series 2022-5 collateral characteristics are slightly stronger than those of series 2022-4, our observation of better-than-expected performance of outstanding EART series relative to our initial expectations, and our forward-looking view of the auto finance sector. The reduction in initial hard credit enhancement reflects our lower ECNL for this transaction compared with the same for series 2022-4 and is captured in our stressed cash flow analysis, which shows the notes are credit enhanced to the degree appropriate for the assigned ratings." Ratings Assigned Exeter Automobile Receivables Trust 2022-5 Class A-1, $72.00 million: A-1+ (sf) Class A-2, $127.53 million: AAA (sf) Class A-3, $89.23 million: AAA (sf) Class B, $89.07 million: AA (sf) Class C, $79.43 million: A (sf) Class D, $78.46 million: BBB (sf) Class E, $63.99 million: BB (sf) FIRST INVESTORS 2022-2: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to First Investors Auto Owner Trust 2022-2'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 Oct. 19, 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 34.88%, 30.03%, 22.98%, 17.30%, and 13.45% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.65x, 3.15x, 2.40x, 1.80x, and 1.40x coverage of S&P's expected cumulative net loss of 9.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.80x 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 its 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 series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wilmington Trust N. A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of First Investors Servicing Corporation as servicer, and its view of the company's underwriting. -- 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 structures. Preliminary Ratings Assigned First Investors Auto Owner Trust 2022-2 Class A, $211.53 million: AAA (sf) Class B, $14.43 million: AA (sf) Class C, $24.64 million: A (sf) Class D, $19.68 million: BBB (sf) Class E, $17.43 million: BB- (sf) FORTRESS CREDIT XV: Moody's Assigns Ba3 Rating to Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loans incurred by Fortress Credit BSL XV Limited (the "Issuer" or "Fortress Credit BSL XV"). Moody's rating action is as follows: US$40,000,000 Class A-L Senior Secured Floating Rate Loans maturing 2033, Definitive Rating Assigned Aaa (sf) US$200,000,000 Class A-T Senior Secured Floating Rate Notes due 2033, Definitive Rating Assigned Aaa (sf) US$8,000,000 Class A-F Senior Secured Fixed Rate Notes due 2033, Definitive Rating Assigned Aaa (sf) US$12,800,000 Class E Deferrable Mezzanine Floating Rate Notes due 2033, Definitive Rating Assigned Ba3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." On the closing date, the Class A-T Notes and Class A-L Loans have a principal balance of $200,000,000 and $40,000,000, respectively. At any time, the Class A-L Loans may be converted in whole or in part to Class A-T Notes, thereby decreasing the principal balance of the Class A-L Loans and increasing, by the corresponding amount, the principal balance of the Class A-T Notes. The aggregate principal balance of the Class A-L Loans and Class A-T Notes will not exceed $240,000,000, less the amount of any principal repayments. Neither Class A-T Notes nor any other Notes may be converted into Class A-L Loans. 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. Fortress Credit BSL XV is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of first lien last out loans, second lien loans, senior unsecured loans, senior secured bonds and senior secured notes, provided that no more than 5.0% of the portfolio may consist of senior secured bonds and senior secured notes. The portfolio is 100% ramped as of the closing date. FC BSL CLO Manager LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the debt in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2920 Weighted Average Spread (WAS): SOFR + 4.00% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 6.21 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 Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. GCAT 2022-NQM5: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2022-NQM5 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed-, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, cooperatives, and two- to four-family residential properties. The pool has 849 loans, which are either non-QM (non-QM/ATR compliant), ATR-exempt mortgage loans, QM/HPML, or QM/safe harbor. The preliminary ratings are based on information as of Oct. 14, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage III LLC, and the mortgage originators; 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 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 GCAT 2022-NQM5 Trust(i) Class A-1, $329,504,000: AAA (sf) Class A-2, $31,710,000: AA (sf) Class A-3, $44,577,000: A (sf) Class M-1, $17,463,000: BBB (sf) Class B-1, $13,557,000: BB+ (sf) Class B-2, $12,868,000: B (sf) Class B-3, $9,881,154: Not rated Class A-IO-S, Notional(ii): Not rated Class X, Notional(ii): Not rated Class R, N/A: Not rated (i)The preliminary ratings address our expectation for the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of the loans. N/A--Not applicable. GLS AUTO 2021-3: S&P Raises Class E Notes Rating to BB (sf) ----------------------------------------------------------- S&P Global Ratings raised its ratings on 25 classes of notes and affirmed its ratings on 11 classes from GLS Auto Receivables Issuer Trust 2018-2, 2018-3, 2019-1, 2019-2, 2019-3, 2019-4, 2020-1, 2020-2, 2020-3, 2020-4, 2021-2, and 2021-3. S&P said, "The rating actions reflect the transactions' collateral performance to date and our expectations regarding future collateral performance. The rating actions also account for our view of each transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Based on these factors, we believe the notes' creditworthiness is consistent with the raised and affirmed ratings. "In our view, all the transactions are performing better than our initial or prior revised expectations. As a result, we lowered our lifetime loss expectations on all series." Table 1 Collateral Performance (%) As of the September 2022 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 2018-2 51 12.70 12.50 11.43 2018-3 47 15.70 11.40 11.69 2019-1 43 18.42 11.53 10.97 2019-2 40 21.56 9.91 10.26 2019-3 37 25.85 8.50 9.27 2019-4 34 28.64 7.35 8.54 2020-1 31 31.79 6.61 8.65 2020-2 27 36.89 5.68 8.32 2020-3 25 39.10 4.52 6.81 2020-4 21 46.23 3.57 5.95 2021-2 15 60.69 3.39 6.56 2021-3 12 68.79 2.99 5.75 Mo.--Month. CNL--Cumulative net loss. Delinq.--Delinquencies. Table 2 CNL Expectations (%) Original Prior revised lifetime lifetime Revised Series CNL exp. CNL exp. CNL exp.(i) 2018-2 19.50-20.50 13.00-13.50 up to 13.00 2018-3 19.50-20.50 12.75-13.25 up to 12.50 2019-1 19.25-20.25 13.00-13.50 up to 13.00 2019-2 19.25-20.25 12.75-13.25 12.50 2019-3 19.25-20.25 12.50-13.00 12.00 2019-4 18.50-19.50 12.00-13.00 11.75 2020-1 18.50-19.50 12.00-13.00 11.75 2020-2 21.50-22.50 12.00-13.00 11.75 2020-3 21.50-22.50 12.00-13.00 11.75 2020-4 21.25-22.25 12.00-13.00 11.75 2021-2 19.00-20.00 N/A 13.50 2021-3 16.75-17.75 N/A 14.50 (i)As of September 2022. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The credit enhancement for each transaction is at the specified target or floor, and each class's credit support continues to increase as a percentage of the amortizing collateral balance. The rating actions reflect S&P's view that the total credit support as a percentage of the amortizing pool balance, compared with our expected remaining losses, is commensurate with each raised and affirmed rating. Table 3 Hard Credit Support(i) As of the September 2022 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2018-2 C 18.75 100.72 2018-2 D 9.50 27.87 2018-3 C 19.10 87.49 2018-3 D 9.50 26.37 2019-1 C 18.25 76.24 2019-1 D 8.75 24.68 2019-2 C 17.60 64.92 2019-2 D 8.75 23.89 2019-3 C 16.95 58.43 2019-3 D 7.50 21.87 2019-4 B 27.95 94.50 2019-4 C 16.15 53.31 2019-4 D 6.85 20.84 2020-1 B 27.50 89.37 2020-1 C 15.70 52.26 2020-1 D 5.50 20.16 2020-2 B 30.40 74.33 2020-2 C 21.95 51.43 2020-2 D 13.10 27.44 2020-3 C 28.15 73.17 2020-3 D 18.55 48.62 2020-3 E 9.95 26.62 2020-4 B 41.50 97.35 2020-4 C 25.95 63.72 2020-4 D 16.30 42.84 2020-4 E 7.50 23.81 2021-2 A 52.85 96.54 2021-2 B 38.55 72.98 2021-2 C 24.70 50.16 2021-2 D 11.70 28.74 2021-2 E 4.10 16.22 2021-3 A 52.05 82.40 2021-3 B 38.40 62.55 2021-3 C 24.20 41.91 2021-3 D 11.60 23.59 2021-3 E 4.75 13.63 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We considered the current hard credit enhancement compared with the expected remaining cumulative net loss for those classes for which hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our opinion, to raise or affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the raised and affirmed rating levels. We will continue to monitor the performance of all outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." RATINGS RAISED GLS Auto Receivables Issuer Trust Rating Series Class To From 2018-2 D AAA (sf) AA- (sf) 2018-3 D AAA (sf) A (sf) 2019-1 D AA+ (sf) A+ (sf) 2019-2 D A (sf) BBB (sf) 2019-3 C AAA (sf) AA+ (sf) 2019-3 D A- (sf) BBB- (sf) 2019-4 C AAA (sf) AA- (sf) 2019-4 D BBB (sf) BB (sf) 2020-1 C AAA (sf) AA- (sf) 2020-1 D BBB (sf) BBB- (sf) 2020-2 C AA+ (sf) AA (sf) 2020-2 D BBB+ (sf) BBB (sf) 2020-3 D AA (sf) A+ (sf) 2020-3 E BBB+ (sf) BBB- (sf) 2020-4 C AAA (sf) AA+ (sf) 2020-4 D AA- (sf) A+ (sf) 2020-4 E BBB+ (sf) BBB (sf) 2021-2 B AAA (sf) AA (sf) 2021-2 C AA+ (sf) A (sf) 2021-2 D A (sf) BBB- (sf) 2021-2 E BB+ (sf) BB- (sf) 2021-3 B AAA (sf) AA (sf) 2021-3 C AA- (sf) A (sf) 2021-3 D BBB+ (sf) BBB- (sf) 2021-3 E BB (sf) BB- (sf) RATINGS AFFIRMED GLS Auto Receivables Issuer Trust Series Class Rating 2018-2 C AAA (sf) 2018-3 C AAA (sf) 2019-1 C AAA (sf) 2019-2 C AAA (sf) 2019-4 B AAA (sf) 2020-1 B AAA (sf) 2020-2 B AAA (sf) 2020-3 C AAA (sf) 2020-4 B AAA (sf) 2021-2 A AAA (sf) 2021-3 A AAA (sf) GOAL CAPITAL 2015-1: Fitch Lowers Rating on Class B Notes to 'BBsf' ------------------------------------------------------------------- Fitch Ratings has taken various rating actions on the notes issued by three Goal Capital Funding FFELP Student Loan trusts following a periodic annual review. Debt Rating Prior ---- ------ ----- Goal Structured Solutions Trust 2015-1 A 38021FAA9 LT AAAsf Affirmed AAAsf B 38021FAB7 LT BBsf Downgrade BBBsf Goal Capital Funding Trust 2007-1 A-4 38021DAD8 LT AAAsf Affirmed AAAsf A-5 38021DAF3 LT AAAsf Upgrade AAsf B-1 38021DAJ5 LT BBBsf Affirmed BBBsf Goal Capital Funding Trust 2006-1 A-5 38021BAE0 LT AAAsf Affirmed AAAsf A-6 38021BAF7 LT AAAsf Affirmed AAAsf B 38021BAG5 LT A+sf Affirmed A+sf TRANSACTION SUMMARY Goal Capital Funding Trust 2006-1 (Goal 2006-1): Both the class A and class B notes pass the credit and maturity stresses with sufficient credit enhancement (CE). Fitch has affirmed the class A-5, A-6 and B notes. Goal Capital Funding Trust 2007-1 (Goal 2007-1): Fitch has affirmed the class A-4 and class B notes and upgraded the class A-5 notes to 'AAAsf' from 'AAsf'/Outlook Positive. The Rating Outlook for class A-5 is Stable following the upgrade. Goal Structured Solutions Trust 2015-1 (Goal 2015-1): Fitch has affirmed the class A notes, which passed both credit and maturity stresses with sufficient CE. Fitch downgraded class B to 'BBsf' from 'BBBsf' as the 'BBBsf' cash flow results for its credit stresses indicate a principal and interest shortfall for the notes. The current rating is within one rating category of the lowest rating implied by Fitch's FFELP cashflow model, in line with the rating criteria. The Rating Outlook for class B is Negative following the downgrade. KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, and for Goal 2015-1, 100% loans FFELP loans are rehabilitated loans. FFELP loans are guaranteed by eligible guarantors and reinsurance is provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance Goal 2006-1: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 33.75% and a 100.0% default rate under the 'AAA' credit stress scenario. Fitch maintained the sCDR of 5.2% and sCPR (voluntary and involuntary) of 9.5%. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM average level of deferment, forbearance, and IBR (prior to adjustment) are 2.9%, 9.4%, and 30.4%, respectively. These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.29% based on information provided by the sponsor. Goal 2007-1: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 36.0% and a 100.0% default rate under the 'AAA' credit stress scenario. Fitch maintained the sCDR of 5.8% and sCPR (voluntary and involuntary) of 10.5%. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM average level of deferment, forbearance, and IBR (prior to adjustment) are 3.7%, 8.8%, and approximately 25.9%, respectively. These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.31% based on information provided by the sponsor. Goal 2015-1: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 70.0% and a 100.0% default rate under the 'AAA' credit stress scenario. Fitch has lowered the sCDR to 10.0% from 15.00% and maintained sCPR (voluntary and involuntary) of 18.0%. Fitch applied the standard default timing curve. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM average level of deferment, forbearance, and IBR (prior to adjustment) are 6.1%, 12.5%, and approximately 24.2%, respectively. These levels are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.04% based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. For transactions that were modeled for this review, Fitch applies its standard basis and interest rate stresses as per criteria. Payment Structure Goal 2006-1: CE is provided by OC, excess spread and, for the class A notes, subordination. As of the September 2022 distribution, reported senior and total parity ratios are 108.37% and 103.36%, respectively. Liquidity support is provided by a reserve account sized at its floor of $2,949,961. The transaction will continue to release cash as long as the target parity ratio of 100.25% is maintained. Goal 2007-1: CE is provided by OC, excess spread and, for the class A notes, subordination. As of the September 2022 distribution, reported senior and total parity ratios are 109.02% and 102.46%, respectively. Liquidity support is provided by a reserve account sized at its floor of $1,648,140. The transaction will continue to release cash as long as the target parity ratio of 100% is maintained. Goal 2015-1: CE is provided by OC, excess spread, and for the class A notes, subordination. As of the September 2022 distribution, reported senior and total parity ratios are 110.32% and 102.58%, respectively. Liquidity support is provided by a reserve account sized at its floor of $150,000. The transaction will continue to release excess cash as long as the target overcollateralization amount of $1,000,000 and 2.15% is maintained. Operational Capabilities: Day-to-day servicing is provided by the Pennsylvania Higher Education Assistance Agency (PHEAA). Fitch believes PHEAA to be an acceptable servicer due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased highlighted in the special report, "What a Stagflation Scenario Would Mean for Global Structured Finance," an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario. Fitch expects the FFELP student loan ABS sector, under this scenario, to experience mild to modest asset performance deterioration, indicating some Outlook changes (between 5% and 20% of outstanding ratings). Asset performance under this adverse scenario is expected to be more modest than the most severe sensitivity scenario below. The severity and duration of the macroeconomic disruption is uncertain, but is balanced by a strong labor market and the build-up of household savings during the pandemic, which will provide support in the near term to households faced with falling real incomes. Goal 2006-1 Credit Stress Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'BBBsf'; - Default increase 50%: class A 'AAAsf'; class B 'BBBsf'; - Basis spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf'; - Basis spread increase 0.50%: class A 'AAAsf'; class B 'BBBsf. Maturity Stress Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 50%: class A 'AAAsf'; class B 'AAAsf'; - Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining term increase 50%: class A 'BBsf'; class B 'BBsf'. Goal 2007-1 Credit Stress Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'BBsf'; - Default increase 50%: class A 'AAAsf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AAAsf'; class B 'BBsf'; - Basis Spread increase 0.50%: class A 'AAAsf'; class B 'BBsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf'; - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf'; - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAf'; - IBR usage increase 50%: class A 'AAAsf'; class B: 'AAAsf'; - Remaining term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining term increase 50%: class A 'Asf'; class B CCCsf'. Goal 2015-1 Credit Stress Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'CCCsf'; - Default increase 50%: class A 'AAAsf'; class B 'Bsf'; - Basis Spread increase 0.25%: class A 'AAAsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'AAAsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAsf'; class B 'Bsf'; - CPR decrease 50%: class A 'AAsf'; class B 'Bsf'; - IBR usage increase 25%: class A 'AAsf'; class B Bsf'; - IBR usage increase 50%: class A 'AAsf'; class B: 'Bsf'; - Remaining term increase 25%: class A 'AAsf'; class B 'Bsf'; - Remaining term increase 50%: class A 'AAsf'; class B 'Bsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Goal 2006-1 No upgrade credit or maturity stress sensitivity is provided for the notes, as the class A notes are at their highest achievable ratings. The ratings below are for class B. Goal 2006-1 Credit Stress Rating Sensitivity - Default decrease 25%: class B 'AAAsf'; - Basis spread decrease 0.25%: class B 'AAAsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'AAAsf'; - IBR usage decrease 25%: class B 'AAAsf'; - Remaining term decrease 25%: class B 'AAAsf'. Goal 2007-1 No upgrade credit or maturity stress sensitivity is provided for the notes, as the class A notes are at their highest achievable ratings of 'AAAsf'. The ratings below are for class B. Credit Stress Rating Sensitivity - Default decrease 25%: class B 'BBBsf'; - Basis spread decrease 0.25%: class B 'BBBsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class B 'BBBsf'; - IBR usage decrease 25%: class B 'BBBsf'; - Remaining term decrease 25%: class B 'BBBsf'. Goal 2015-1 No upgrade credit or maturity stress sensitivity is provided for the notes, as the class A notes are at their highest achievable ratings of 'AAAsf'. The results below are for class B. Credit Stress Rating Sensitivity - Default decrease 25%: class A 'AAAsf'; class B 'Bsf'; - Basis spread decrease 0.25%: class A 'AAAsf'; class B 'Bsf'. Maturity Stress Rating Sensitivity - CPR increase 25%: class A 'AAAsf'; class B 'BBBsf'; - IBR usage decrease 25%: class A 'AAAsf'; class B 'BBBsf'; - Remaining term decrease 25%: class A AAAsf'; class B 'BBBsf'. 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 Assigns 'B+sf' Rating on Cl. B5 Certs ----------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-PJ6 (GSMBS 2022-PJ6). Debt Rating Prior ---- ------ ----- GSMBS 2022-PJ6 A1 LT AA+sf New Rating AA+(EXP)sf A10 LT AAAsf New Rating AAA(EXP)sf A11 LT AAAsf New Rating AAA(EXP)sf A11X LT AAAsf New Rating AAA(EXP)sf A12 LT AAAsf New Rating AAA(EXP)sf A13 LT AAAsf New Rating AAA(EXP)sf A13X LT AAAsf New Rating AAA(EXP)sf A14 LT AAAsf New Rating AAA(EXP)sf A15 LT AAAsf New Rating AAA(EXP)sf A15X LT AAAsf New Rating AAA(EXP)sf A16 LT AAAsf New Rating AAA(EXP)sf A17 LT AAAsf New Rating AAA(EXP)sf A17X LT AAAsf New Rating AAA(EXP)sf A18 LT AAAsf New Rating AAA(EXP)sf A19 LT AAAsf New Rating AAA(EXP)sf A19X LT AAAsf New Rating AAA(EXP)sf A1X LT AA+sf New Rating AA+(EXP)sf A2 LT AA+sf New Rating AA+(EXP)sf A20 LT AAAsf New Rating AAA(EXP)sf A21 LT AAAsf New Rating AAA(EXP)sf A21X LT AAAsf New Rating AAA(EXP)sf A22 LT AAAsf New Rating AAA(EXP)sf A23 LT AA+sf New Rating AA+(EXP)sf A23X LT AA+sf New Rating AA+(EXP)sf A24 LT AA+sf New Rating AA+(EXP)sf A3 LT AAAsf New Rating AAA(EXP)sf A3x LT AAAsf New Rating AAA(EXP)sf A4 LT AAAsf New Rating AAA(EXP)sf A4A LT AAAsf New Rating AAA(EXP)sf A5 LT AAAsf New Rating AAA(EXP)sf A5x LT AAAsf New Rating AAA(EXP)sf A6 LT AAAsf New Rating AAA(EXP)sf A7 LT AAAsf New Rating AAA(EXP)sf A7X LT AAAsf New Rating AAA(EXP)sf A8 LT AAAsf New Rating AAA(EXP)sf A9 LT AAAsf New Rating AAA(EXP)sf A9x LT AAAsf New Rating AAA(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf AR LT NRsf New Rating NR(EXP)sf AX LT AA+sf New Rating AA+(EXP)sf B1 LT AAsf New Rating AA(EXP)sf B2 LT Asf New Rating A(EXP)sf B3 LT BBBsf New Rating BBB(EXP)sf B4 LT BB+sf New Rating BB+(EXP)sf B5 LT B+sf New Rating B+(EXP)sf B6 LT NRsf New Rating NR(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. 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 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 combined LTV 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 1.55% 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. 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. JOL AIR 2019-1: S&P Affirms BB+ (sf) Rating on Class B Notes ------------------------------------------------------------ S&P Global Ratings completed its review of 11 classes from four aircraft ABS transactions. The review yielded four downgrades and seven affirmations. The downgrades primarily reflect the respective notes' insufficient credit enhancement at their previous rating levels, based on S&P's assumptions and the continued pressure on aircraft lease collections in the aftermath of the COVID-19 pandemic. The affirmations reflect the respective notes' stable performance and sufficient credit enhancement at their current rating levels. The COVID-19 pandemic and resulting collapse in world travel negatively affected the liquidity and long-term credit of airlines whose lease payments partially secure the transactions. We believe the credit quality of the four reviewed aircraft ABS transactions has declined due to health and safety fears related to the COVID-19 virus, despite the current strong recovery in the airline industry. S&P also believes this will continue to negatively impact the cash flows available to the issuers. S&P also considered the following general trends in its rating analyses (deal-specific details described later in the report): -- Improvements in air travel and the resurgence in values of some aircraft types from the pandemic lows. However, the pandemic's prolonged negative impact on global travel and the resulting stress continue to constrain some airlines' liquidity and ability to make timely lease payments; -- The transactions' declining debt service coverage ratios (DSCRs) due to lower collections because of lease restructurings and power-by-the-hour (PBH) arrangements, and the resulting delay in repayment of scheduled principal payment amounts; -- The large number of off-lease aircraft in the transactions, and the pricing achieved for the lease transactions (lease rates for renewals and extensions are generally lower than existing leases) and sales and part-out aircraft (the proceeds are generally lower than the depreciated base values); -- The minimal principal repayments on some of the notes since our September 2021 review, and the resulting accumulation of unpaid scheduled principal payment amounts on the notes; and -- The diversion of some collections toward topping-up the maintenance reserve account. Although these amounts could be used to complete aircraft shop visits, they are delaying repayment of some transactions' class A scheduled principal, given the notes' priority in the payment waterfall. Assumptions For The Review Collateral value S&P said, "We typically use the lower of the mean and median value (LMM value) of the half-life base and market values from three appraisers as the starting point in our analysis. Using this LMM value, we applied our aircraft-specific depreciation assumptions from the date of the appraisal to the first payment date. To the extent half-life market values were not available, we applied 50.0% of our 'B' (base-case) lease rate decline stress--in addition to our aircraft-specific depreciation assumptions from the appraisal date to the first payment date--to adjust the starting portfolio value for our analysis. "The application of our 'B' lease rate decline stress to values is intended to address downward pressure on market values since the onset of the pandemic." Deal-Specific Details DCAL Aviation Finance Ltd. S&P lowered its rating on DCAL Aviation Finance Ltd.'s series 2015 class A-1 notes and affirmed its ratings on the class B-1 and C-1 notes. The downgrade primarily reflects the transaction's minimal principal payments since S&P's review in 2021, the aircraft that are off-lease or have lease expirations within the next 12 months, and the insufficient credit enhancement to support the class A-1 notes at the previous rating level. The transaction paid down the class A-1 notes by $10.6 million since S&P's September 2021 review, while the class B-1 and C-1 notes have not received any principal payments. The class C-1 notes continue to defer interest, and the unpaid interest was $1.726 million as of September 2022. Seven of the 15 aircraft in the portfolio are currently off-lease (two of which have not been redelivered and the airline is making lease payments), including three that are over 20 years old. While the servicer has a plan for each aircraft, the timing and economics of the execution are uncertain, given the aircraft age and the current market environment. The portfolio includes three Airbus 330 (A330) widebody aircraft, which have come under increased pressure since the pandemic. Although all three aircraft are relatively young (one 2014 vintage and two 2012 vintage), they are a potential risk to the transaction due to surplus capacity for this model and the shift to newer technology aircraft such as the A330-900. S&P said, "Under our cash flow runs, none of the classes passed our 'B-' rating stress. The class A-1 notes are significantly behind on their scheduled payments, primarily due to the large number of off-lease aircraft reducing collections. Although class A-1 is not passing the rating runs, we considered its priority in the payment structure and the fact that the loan-to-value (LTV) ratio is under 100% despite our adjustment to the values due to the unavailability of half-life market values. "The affirmations reflect our view that there has been no significant change in performance for the class B-1 and C-1 notes since our last review. The ratings also reflect the application of our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Although interest is deferrable on the class B-1 notes while class A-1 is outstanding, the calculated LTV ratio for class B-1 is above 100% (after our value adjustments) and the class A-1 scheduled principal is significantly behind schedule. As a result, we believe that although the class B-1 notes are vulnerable, a default is unlikely in the near term." ECAF I Ltd. S&P lowered its ratings on ECAF I Ltd.'s class A-1, A-2, and B-1 notes. The downgrades reflect the deterioration in transaction's performance, with 50% of the portfolio currently off-lease and the LTV ratio (based on the LMM of the half-life appraisal values) at more than 100% for all three classes. The ratings also reflect our "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012. Generally, issuers and issues that face at least a one-in-two likelihood of default are rated in the 'CCC' category. The transaction has repaid $41 million to the class A notes (classes A-1 and A-2, collectively) and $5 million to the class B-1 notes since our December 2021 review. This represents an amortization of 8.1% of the aggregate class A-1 and A-2 notes and 5.9% of the class B-1 notes. The portfolio is backed by 24 aircraft, including three with leases scheduled to expire in 2023. The lease collections have generally been low because 12 aircraft are off-lease as of the September 2022 report. These include two aircraft that have been stranded in Russia since February 2022 due to the Russia-Ukraine conflict and three A330-300 widebody aircraft that have been off-lease since mid-2021. Although all three A330-300 aircraft are relatively young (one 2013 vintage and two 2015 vintage), they are a potential risk to the transaction due to surplus capacity for this model, the increased pressure since the pandemic, and the shift to newer technology aircraft such as the A330-900 aircraft. S&P said, "In our cash flow runs, we considered the servicer's estimate of potential disposition proceeds for some of the currently off-lease aircraft. We also considered the potential insurance payouts for the two aircraft previously on lease to a Russian operator. Specifically, we assumed that the transaction would receive insurance claims in three years and the payout amount will be the value of the aircraft at the end of year three after applying our depreciation and value haircut assumptions, based on our methodology. "Since June 2022, the class A-1 and A-2 notes are paid pro rata. The class B-1 notes are subordinated to the class A notes, and interest on the class B-1 notes is deferrable while the class A notes are outstanding. As shown in table 3, our calculated LTV ratio using half-life appraisals was 111% and 130% for the class A and B-1 notes, respectively. The monthly noteholder report shows an LTV ratio of 88% and 103% for the class A and B-1 notes, respectively. These LTVs are calculated using only the maintenance-adjusted base values. "None of the classes passed our cash flow runs at the 'B-' rating stress. We believe that although the class A notes are vulnerable, a default is unlikely in the near term. The transaction has an interest coverage ratio of 2.2x, a liquidity facility that covers nine months of interest on the class A and B-1 notes, and a less than 100% reported LTV ratio for the class A notes. Therefore, we lowered our ratings on the class A-1 and A-2 notes one notch to 'CCC+ (sf)'. "The class B-1 notes are even more vulnerable to a default, given their subordinated position. The calculated and reported LTV ratios for the class B notes are both greater than 100%. Therefore, we lowered our rating to the class B-1 notes two notches to 'CCC- (sf)'." Falcon Aerospace Ltd. S&P affirmed its ratings on Falcon Aerospace Ltd.'s series 2017 class A, B, and C loans. The affirmations reflect the transaction's stable performance since S&P's last review in September 2021, with amortization of $8.8 million of the class A loans and relatively stable LTV ratios across the capital structure. The portfolio is backed by 11 narrow-body aircraft, with two aircraft still on a consignment for sale. The transaction has received some cash flows from these phased dispositions, and S&P considered the consignment's future receivables in its cash flow runs. The portfolio remains very concentrated, with nine aircraft on lease to six airlines. Further, five aircraft are on lease with two airlines, one of which has recently emerged from a restructuring and had previously been deferring lease payments. Although the aircraft are all currently on lease, four leases are scheduled to expire by May 2023. The class B and C loans have not received any principal payments since S&P's last review. The class C loans have a reserve account to make interest payments, and the available amount can cover approximately five months of class C interest payments, which is deferrable. For the past 12 months, the interest payments on the class C loans were paid using the amounts in the reserve account. Although S&P's cash flow results pointed to a higher rating for all classes, it considered the concentrated portfolio, which has a short remaining lease term and exposure to lessees with historical payment delays, when we affirmed the ratings. JOL Air 2019-1 Ltd. S&P affirmed its ratings on JOL Air 2019-1 Ltd.'s class A and B notes. The affirmations reflect the transaction's generally stable performance since S&P's last review in September 2020, with some improvements in collateral performance, primarily a steady increase in monthly collections and rising DSCRs. The portfolio also has exposure to lessees with a history of delayed payments, and two lessees representing 25% of the portfolio recently finalized restructuring agreements with the servicer. The transaction is backed by 15 aircraft, which are currently on lease to 12 lessees. The class A notes have amortized by $39.5 million since May 2021, though the class A and B notes are both behind on their scheduled principal amounts. The class B notes have not received any principal payments in the past 12 months. S&P said, "Our cash flow results with a 25-year useful life assumption for all aircraft pointed to a higher rating for the class A and B notes. We generally assume a 25-year useful life for portfolios younger than eight years. Since the weighted average age of the portfolio is approximately 7.5 years (close to the eight-year threshold), we also ran an additional scenario assuming a 22-year useful life." The results of this run indicated a lower rating than the 25-year runs. Therefore, despite the transaction's recent improvements, the affirmations also reflect the fact that the notes are still behind on their scheduled principal amounts, 25% of the pool with recently restructured lease terms, and the results of the additional scenario. S&P will continue to monitor the transactions' performance to determine if the ratings assigned remain consistent with the credit enhancement available to support the notes, and it will take rating actions it deems appropriate. Environmental, social, and governance (ESG) factor relevant to the rating action: -- Health and safety Ratings Lowered DCAL Aviation Finance Ltd. (Series 2015) Class A-1 to 'B- (sf)' from 'B (sf)' ECAF I Ltd. Class A-1 to 'CCC+ (sf)' from 'B- (sf') Class A-2 to 'CCC+ (sf)' from 'B- (sf)' Class B-1 to 'CCC- (sf)' from 'CCC+ (sf)' Ratings Affirmed DCAL Aviation Finance Ltd. (Series 2015) Class B-1: CCC+ (sf) Class C-1: CCC (sf) Falcon Aerospace Ltd. Class A: A- (sf) Class B: BBB- (sf) Class C: BB (sf) JOL Air 2019-1 Ltd. Class A: BBB+ (sf) Class B: BB+ (sf) MARINER FINANCE 2022-A: S&P Assigns BB- (sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Mariner Finance Issuance Trust 2022-A's asset-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 60.34%, 52.26%, 47.22%, 41.42%, and 34.89% credit support for the class A, B, C, D, and E notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the ratings assigned to the notes based on S&P's stressed cash flow scenarios. -- S&P's worst-case, weighted average, base-case loss assumption for this transaction of 20.82%. Its loss assumption is a function of the transaction-specific reinvestment criteria and historical Mariner Finance LLC (Mariner) portfolio loan performance. Its loss assumption also reflects year-over-year performance volatility observed in Mariner annual loan vintages over time. -- Mariner's long performance history as originator and servicer. Mariner has been profitable every year since 2002. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be consisted with the credit stability section of "S&P Global Ratings Definitions" (published Nov. 10, 2021). -- The timely interest and full principal payments expected to be made by the final maturity date under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the two-year revolving period, which considers the worst-case pool according to the transaction's concentration limits. -- The transaction's payment and legal structures. Ratings Assigned Mariner Finance Issuance Trust 2022-A Class A, $187.277 million: AAA (sf) Class B, $35.671 million: AA- (sf) Class C, $20.333 million: A- (sf) Class D, $22.652 million: BBB- (sf) Class D, $34.067 million: BB- (sf) MORGAN STANLEY 2011-C2: Fitch Affirms 'Csf' Rating on 3 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 10 classes from two multiborrower transactions from the 2011 vintage: Morgan Stanley Capital I Trust 2011-C2 (MSCI 2011-C2) and Wells Fargo Bank, N.A. commercial mortgage pass-through certificates series 2011-C4 (WFRBS 2011-C4). The Rating Outlooks for three classes have been revised to Stable from Negative. Debt Rating Prior ---- ------ ----- WFRBS Commercial Mortgage Trust 2011-C4 C 92936CAU3 LT Asf Affirmed Asf D 92936CAW9 LT BBsf Affirmed BBsf E 92936CAY5 LT CCCsf Affirmed CCCsf F 92936CBA6 LT CCCsf Affirmed CCCsf G 92936CBC2 LT CCsf Affirmed CCsf Morgan Stanley Capital I Trust 2011-C2 D 617459AJ1 LT B-sf Affirmed B-sf E 617459AK8 LT CCsf Affirmed CCsf F 617459AL6 LT Csf Affirmed Csf G 617459AM4 LT Csf Affirmed Csf H 617459AN2 LT Csf Affirmed Csf KEY RATING DRIVERS Concentrated Pools/High Expected Losses: Due to the concentrated nature of the pools, Fitch's analysis consisted of repayment and recovery expectations on the remaining assets. All remaining assets are Fitch Loans of Concern (FLOCs), some of which are specially serviced, and all have expected losses. The affirmation of Class D in MSCI 2011-C2 reflects the limited recovery expectations and reliance on remaining REO asset to pay in full. Based on the current balance of the class, recovery required on the REO is approximately $57 psf. The junior classes are expected to incur losses. The sole asset is the REO Ingram Park Mall. The loan had transferred to special servicing in April 2021 for imminent default ahead of its June 2021 maturity date and became REO in July 2021. The former sponsor was Simon Property Group. The property is currently managed by The Woodmont Company. The asset is a 374,859-sf portion of a 1.1 million-sf regional mall located in San Antonio, TX. The property was originally constructed in 1979 and last renovated in 2018. Non-collateral anchors include Dillard's, JCPenney, Macy's/Macy's Backstage, a dark former Sears (166,600 sf) and a dark former Dillard's Home Center (81,865 sf). The largest asset tenants include H&M (5.5% of NRA, opened in 2019; lease expires in 2030), Victoria's Secret (2.7%; expires 2030) and TX7 (6.6%; March 2023). The reported occupancy as of August 2022 is approximately 90%; approximately 37% of the NRA has lease expirations by YE 2023. The subject competes with several other malls in the San Antonio market including two strong performing class A centers and other class B/C properties. Fitch's loss expectations of approximately 45% are based on a stress to the most recent reported NOI and a 20% cap rate, which equates to an approximate value of $175 psf. The affirmations and revision to Stable Outlook for Class C and D of WFRBS 2011-C4 reflect the updated recovery expectations on the three remaining assets. Two of the remaining three assets are in special servicing. The largest loan is Fox River Mall (81.8% of the pool), which is performing under a modification and is sponsored by Brookfield. The loan is secured by an approximately 645,000-sf portion of a 1.2 million-sf enclosed regional mall located in Appleton, WI, which is about 30 miles southwest of Green Bay. The loan was modified and returned to the master servicer in 2021. Terms of the modification included a three-year maturity extension to June 2024, conversion of payments to interest-only and implementation of cash management and an excess cash trap. Non-collateral anchors include JCPenney, Target and Macy's. Two additional non-collateral anchor boxes, previously occupied by Sears and Younkers, remain dark. Scheel's All Sports (18.8% of NRA, through January 2024) is the only collateral anchor. The collateral occupancy as of the June 2022 rent roll is approximately 85%. Both cash flow and occupancy remain below pre-pandemic levels; however, tenant reported sales have improved from its pandemic low in 2020. Fitch's loss expectations of approximately 50% are based on a stress to the YE 2021 NOI and an 18.5% cap rate, which equates to an approximate value of $109 psf. The two smaller assets are both specially serviced and Fitch's loss expectations are based discounts to updated appraisal values. The REO Eastgate Mall (13.0%) had a reported occupancy of approximately 70% as of March 2022, with some tenants temporary or month to month. Non-collateral anchors include JCPenney, Macy's, Dillard's and Kohl's; additionally, the non-collateral Sears is closed. The other loan (5.1%) is in foreclosure and is secured by a 252-bed student housing property located in Fredonia, NY. The property performance struggled pre-pandemic and the occupancy as of August 2022 rent roll remained below 40%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Classes could be downgraded should loans return to special servicing and/or performance deteriorates. Further downgrades to junior classes are possible should additional losses be realized 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 are unlikely due to the high loss expectations on the remaining loans in each pool, but could occur if performance of the malls improves substantially and ultimate recoveries on the loans are better than expected. ESG CONSIDERATIONS Morgan Stanley Capital I Trust 2011-C2 and WFRBS Commercial Mortgage Trust 2011-C4 have an ESG Relevance Score of '4' for Exposure to Social Impacts due to the transactions' retail exposure, including regional mall loans that are underperforming as a result of changing consumer preferences in shopping, which has a negative impact on the credit profile, and is relevant to the rating[s] 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. MORGAN STANLEY 2012-C5: Moody's Cuts Cl. X-C Certs Rating to Caa1 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and downgraded the ratings on two classes in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 ("MSBAM 2012-C5"), Commercial Mortgage Pass-Through Certificates, Series 2012-C5 as follows: Cl. C, Affirmed A1 (sf); previously on Dec 8, 2020 Affirmed A1 (sf) Cl. D, Affirmed A3 (sf); previously on Dec 8, 2020 Affirmed A3 (sf) Cl. E, Affirmed Baa3 (sf); previously on Dec 8, 2020 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Dec 8, 2020 Affirmed Ba2 (sf) Cl. G, Affirmed B1 (sf); previously on Dec 8, 2020 Downgraded to B1 (sf) Cl. H, Affirmed B3 (sf); previously on Dec 8, 2020 Downgraded to B3 (sf) Cl. PST, Downgraded to A1 (sf); previously on Dec 8, 2020 Affirmed Aa2 (sf) Cl. X-C*, Downgraded to Caa1 (sf); previously on Dec 8, 2020 Affirmed B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings on six P&I classes, Cl. C through Cl. H 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). The rating on one IO class, Cl. X-C, 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 Cl. J, which is not rated by Moody's. The rating on the exchangeable class (Cl. PST) was downgraded due to principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 17.8% of the current pooled balance, compared to 6.0% at Moody's last review. Moody's base expected loss plus realized losses is now 2.8% of the original pooled balance, compared to 4.2% 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. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The 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 16, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 85% to $206 million from $1.35 billion at securitization. The certificates are collateralized by five mortgage loans. As of the September 2022 remittance report, loans representing 69% were current or within their grace period on their debt service payments, and 31% were in special servicing and classified as in foreclosure. 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 two, compared to 13 at Moody's last review. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $1.5 million (for an average loss severity of 19%). Three loans, constituting 31% of the pool, are currently in special servicing. The largest specially serviced loan is the Distrikt Loan ($33.0 million -- 16.0% of the pooled balance), which is secured by the leasehold interest in a 32 story, full-service hotel located in the Times Square neighborhood of New York, New York. The property operates under a Hilton flag as part of their "Tapestry Collection." The collateral is subject to a ground lease with an expiration in April 2111 with a current ground lease payment of $825,000, increasing to 907,500 in years 11 through 15 with subsequent increases thereafter. Property performance has generally declined since 2013, due to lower room revenue. The August 2022 trailing twelve month (TTM) occupancy, ADR and RevPAR were 66.1%, $180.10 and $119.00, respectively, compared to 93.9%, $192.85 and $181.03 in March 2020. The loan transferred to special servicing in April 2020 due to imminent monetary default in relation to the coronavirus outbreak and is last paid through the September 2020 payment date. The special servicer commentary indicates a receiver is in-place and they are currently pursuing legal remedies. The most recently reported appraisal value in March 2022 was 33% above the outstanding loan balance, however, the loan has accrued over $7 million in outstanding loan advances. As of the September 2022 remittance statement, the loan has been deemed non-recoverable by the master servicer. The second largest specially serviced loan is the Chatham Village Loan ($22.3 million -- 10.8% of the pool), which is secured by a retail property on the south side of Chicago, Illinois. The loan transferred to special servicing in June 2021 due to payment default and is last paid through August 2021. The property had faced declining net operating income (NOI) since 2014 and the property was 77% leased as of September 2021, compared to 79% in March 2020 and 92% at securitization. Approximately 24% of the property's NRA expires through 2023. Special servicer commentary indicates that foreclosure was initiated, however, the borrower filed bankruptcy. As of the September 2022 remittance statement, the loan has been deemed non-recoverable by the master servicer. The third largest specially serviced loan is the Ocean East Mall Loan ($9.0 million -- 4.4% of the pooled balance), which is secured by a 112,260 SF grocery anchored strip retail property located in Stuart, Florida, approximately 12 miles southeast of Port St. Lucie. The property was 43% leased as of December 2021, compared to 44% in February 2020, 80% in September 2019 and 91% at securitization. The former largest tenant (37% of NRA) vacated the subject property at lease expiration in November 2019. The loan has been cash managed since November 2018. The loan transferred to special servicing in February 2020 due to imminent default and is last paid through its June 2022 payment date. The loan is passed its original maturity date in April 2022 and the special servicer is pursuing legal remedies. Moody's estimates an aggregate $36.8 million loss for the specially serviced loans (57% expected loss on average). As of the September 2022 remittance statement cumulative interest shortfalls were $1.9 million and impact up to Cl. H. 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 two performing loans represent 69% of the pool balance. The largest loan is the Legg Mason Tower Loan ($138.9 million -- 67.4% of the pool), which is secured by a 24-story, 612,613 SF, Class A multi-tenant office building located in the Harbor East waterfront of Baltimore, Maryland. The property is part of a three unit condominium structure that includes office space, 18,988 SF of ground and second floor retail space, and a 1,145 space subterranean parking garage shared with the adjacent Four Seasons Hotel Baltimore. The property was 99% leased as of June 2022 compared to 100% in September 2020 and 85% at securitization. The largest tenant, Legg Mason, has downsized its space from 374,598 SF to 269,2756 SF (currently 44% of NRA expiring in August 2024). Legg Mason also subleases at least an additional 46,981 SF to another tenant. Legg Mason began subletting their space in 2009 to various tenants such as Johns Hopkins University (still subleasing) and One Main Financial (signed a direct lease for 18% of NRA). Franklin Templeton, which acquired Legg Mason during 2020, announced that it will lease office space at the Wills Wharf development along the Baltimore waterfront. The loan benefits from amortization and has amortized nearly 23% since securitization. The loan has passed its anticipated repayment date (ARD) date of July 2022 and is now in its hyper-amortization period with a final maturity in July 2027. The property faces significant rollover risk stemming from the largest tenant, however, the loan reported a 1.77X DSCR in June 2022 (based on its 25-year amortization period prior to the ARD) and is expected to amortize further based on the property's current net cash flow. Moody's LTV and stressed DSCR are 97% and 1.03X, respectively. The other performing loan is the CVS - Charlotte, NC Loan ($2.9 million -- 1.4% of the pool), which is secured by a single tenant retail building 100% occupied by CVS (expiring January 2030) and located in Charlotte, North Carolina. The loan has amortized 15% since securitization and Moody's LTV and stressed DSCR are 84% and 1.19X, respectively, compared to 101% and 0.99X at the last review. MORGAN STANLEY 2016-C28: Fitch Lowers Rating on 2 Tranches to 'CC' ------------------------------------------------------------------ Fitch Ratings has downgraded seven and affirmed eight classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C28 commercial mortgage pass-through certificates. Debt Rating Prior ---- ------ ----- MSBAM 2016-C28 A-3 61766LBR9 LT AAAsf Affirmed AAAsf A-4 61766LBS7 LT AAAsf Affirmed AAAsf A-S 61766LBV0 LT AAAsf Affirmed AAAsf A-SB 61766LBQ1 LT AAAsf Affirmed AAAsf B 61766LBW8 LT AA-sf Affirmed AA-sf C 61766LBX6 LT A-sf Affirmed A-sf D 61766LAC3 LT BBsf Downgrade BBB-sf E 61766LAJ8 LT CCCsf Downgrade B-sf E-1 61766LAE9 LT B-sf Downgrade BBsf E-2 61766LAG4 LT CCCsf Downgrade B-sf EF 61766LAS8 LT CCsf Downgrade CCCsf F 61766LAQ2 LT CCsf Downgrade CCCsf X-A 61766LBT5 LT AAAsf Affirmed AAAsf X-B 61766LBU2 LT AAAsf Affirmed AAAsf X-D 61766LAA7 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased pool loss expectations since Fitch's prior rating action, driven primarily by the specially serviced Princeton South Corporate Center and Greenville Mall loans. The Negative Rating Outlooks on classes D and E-1 reflect possible future downgrades should performance of these two loans, as well as other office and retail FLOCs in the pool, further decline. Fitch's current ratings incorporate a base case loss of 10.50%. Fitch has identified nine Fitch Loans of Concern (FLOCs; 41.4% of the pool balance), including two (9.2%) specially serviced loans. Eight loans (22.3%) are currently on the master servicer's watchlist for declines in occupancy, performance declines due to the pandemic, upcoming rollover and/or deferred maintenance. The largest contributor to overall loss expectations and largest increase in loss since the prior rating action is the specially serviced Princeton South Corporate Center loan (5.9% of the pool), which is secured by a 267,426-sf suburban office property located in Trenton, NJ. The loan was transferred back to special servicing for a second time in February 2022 due to imminent monetary default. According to the servicer, efforts to negotiate a stipulated foreclosure judgment have been unproductive to date. A receiver was put in place and is pursuing new and renewal leases and addressing deferred maintenance. The most recent servicer-reported occupancy was 76% as of September 2021, down from 81% at YE 2020 and 86% at YE 2019. Fitch's base case loss of 47% incorporates a discount to a recent appraisal, reflecting a stressed value of $98 psf. The next largest contributor to overall loss expectations and second-largest increase in loss since the prior rating action is the Greenville Mall loan (5.1% of the pool), which is secured by a Brookfield-sponsored regional mall in Greenville, NC. Anchors include Belk Ladies (22.3%; lease expiry in January 2025), JCPenney (22.1% of NRA; February 2024), Dunham's Sports (13.4%; January 2024) and Belk Men's & Home (non-collateral). Collateral occupancy, which has remained stable, was 93% as of June 2022, compared with 92.2% in June 2021, 94.3% in June 2020 and 93.9% in June 2019. Near-term rollover includes 4.1% of the collateral NRA in 2022, 5.8% in 2023 and 42.3% in 2024. Comparable inline sales for tenants less than 10,000sf as of TTM June 2020 were $346psf, down from $414psf at YE 2019. Updated sales have been requested, but not received as the borrower is not required to report. Fitch's base case loss of 48% reflects a 20% cap rate and 10% stress to the YE 2021 NOI to address continued performance concerns with the tertiary location, exposure to weak anchors, declining sales trends and expected challenges to refinancing at maturity in November 2025. The third largest contributor to overall loss expectations is the specially serviced DoubleTree by Hilton - Cleveland, OH loan (3.3%), which is secured by a 379-room full-service hotel in downtown Cleveland, OH. The loan was transferred to special servicing in October 2019 for imminent monetary default. Property performance had already been declining pre-pandemic due to increased competition and several non-recurring local events that resulted in higher revenues during 2016. TTM September 2019 NOI dropped 15% from YE 2018. The borrower has not provided updated financials since TTM September 2019. The foreclosure moratorium was lifted in October 2020; however, the special servicer needs to resolve union pension plan issues prior to finalizing foreclosure. Fitch's base case loss of 57% incorporates a discount to a recent appraisal, reflecting a stressed value of approximately $53,000 per key. Increased Credit Enhancement (CE): As of the September 2022 distribution date, the pool's aggregate balance has been paid down by 17.5% to $788.3 million from $955.6 million at issuance. Since the last rating action, two loans (combined, $35 million) were repaid. Three loans (6.8% of current pool) are fully defeased. Six full-term interest-only loans comprise 30.2% of the pool. Twenty loans representing 51.9% of the pool had a partial interest-only component, and 11 loans (17.9%) are balloon loans. 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-SB, A-S, X-A and X-B are not expected due to increasing CE and expected continued paydown, but may occur should interest shortfalls affect these classes. Downgrades to classes B and C may occur should interest shortfalls affect the 'AA-sf' rated classes, expected pool losses increase significantly and/or outsized losses are incurred on one or more larger FLOCs, which would erode CE. Further downgrades to classes D, E, E-1, E-2 and X-D are possible should loss expectations increase from continued performance decline of the FLOCs or additional loans default and/or transfer to special servicing. Further downgrades to classes F and EF 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. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, E, E-1, E-2, X-D, F and EF are not expected but may occur if performance of the FLOCs improves significantly and/or with better than expected recoveries on specially serviced loans. 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. MORGAN STANLEY 2016-UBS9: Fitch Affirms 'B-sf' Rating on F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Capital I Trust (MSCI) Commercial Mortgage Pass-Through Certificates, series 2016-UBS9. The Negative Rating Outlook is maintained on class F. Debt Rating Prior ---- ------ ----- MSCI 2016-UBS9 A-3 61766CAD1 LT AAAsf Affirmed AAAsf A-4 61766CAE9 LT AAAsf Affirmed AAAsf A-S 61766CAG4 LT AAAsf Affirmed AAAsf A-SB 61766CAF6 LT AAAsf Affirmed AAAsf B 61766CAK5 LT AA-sf Affirmed AA-sf C 61766CAL3 LT A-sf Affirmed A-sf D 61766CAV1 LT BBB-sf Affirmed BBB-sf E 61766CAX7 LT BB-sf Affirmed BB-sf F 61766CAZ2 LT B-sf Affirmed B-sf X-A 61766CAH2 LT AAAsf Affirmed AAAsf X-B 61766CAJ8 LT AA-sf Affirmed AA-sf X-D 61766CAM1 LT BBB-sf Affirmed BBB-sf X-E 61766CAP4 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Increased Loss Expectations: Fitch's expected losses have increased since the prior rating action driven by continued declining performance of the outlet malls in the pool. The pool has exposure to three outlet malls which in total represent 12.4% of the pool. While imminent losses are not expected as there are no specially serviced loans, the Negative Outlook reflects the potential for downgrade should occupancy and cashflow of outlet malls and underperforming office properties in the top 15 deteriorate further, elevating the risk for term default. Fitch's ratings reflect a base case loss of 5.2% Fitch has identified seven loans (27.7%) as Fitch loans of concern (FLOCs), including five (25.0%) loans among the top 15 loans. No loans are in special servicing. Fitch Loans of Concern - Outlet Malls: The pool has exposure to three Simon-owned outlet malls (Ellenton Premium Outlets - 7.1%, Grove City Premium Outlets - 3.6%, Gulfport Premium Outlets - 1.7%) which in total represent 12.4% of the pool. All of the Simon outlet mall loans are 10-year IO loans. Grove City Premium Outlets (3.6%) is secured by a 531,200-sf outlet center located in Grove City, PA, approximately 50 miles north of Pittsburgh. Performance of the center continues to decline with occupancy falling to 70% as of March 2022 from 77% at YE 2020 and 82% at YE 2019. As of the first quarter of 2022, servicer-reported NOI DSCR was 2.06x as compared to 2.29x at YE 2021, 2.23x at YE 2020 and 2.71x prior to the pandemic in 2019. The mall reported in-line sales of $381 psf as of YE 2021 as compared to TTM November 2018 sales of $363 and YE 2017 sales of $367. Sales reported at Issuance were $333 psf. Although sales on PSF basis have improved, total sales for 2021 are down 14% from YE 2017. Approximately 37% of leases expire by the end of 2023. A substantial portion of tenants with prior lease expirations did not renew and the tenants that have remained extended for abbreviated lease terms and reduced rates. Fitch's base case loss of 37% reflects a 15% cap rate and a 5% stress to YE 2021 NOI to reflect downward-trending occupancy and cash flow. Ellenton Premium Outlets loan (7.1%), which is secured by a 476,481-sf outlet center in Ellenton, FL. Occupancy declined to 82% as of June 2022, down from 88% at YE 2021 and 97% in 2018. As of the June 2022 rent roll, upcoming lease rollover includes 15% of the NRA in 2022, 21% in 2023 and 13% in 2024. VF Factory Outlet (4.9%) executed a one-year lease extension through January 2023. Most recently reported in-line sales were $442 psf as of YE 2021 an improvement from $426 psf at YE 2019, but below sales of $502 psf at issuance. Fitch's base case loss of 7% reflects a cap rate of 10% applying a 15% stress to the YE 2021 NOI to reflect near-term lease rollover concerns and declining occupancy. Gulfport Premium Outlets (1.7%) is secured by a 300,238-sf outlet center located in Gulfport, MS. Occupancy for the center continues to decline, falling to 74% as of June 2022 from 76% at YE 2021, 80% at YE 2020 and 85% at YE 2019. The servicer reported a YE 2021 NOI DSCR of 2.87x. The largest tenants include H&M (6.5%; January 2029), VF Factory Outlet (5.8%; January 2023), Nike Factory Store (4.5%; January 2022) and Polo Ralph Lauren Factory Store (3.5%; January 2026). Leases totaling approximately 49% of NRA expire by 204, including 17% in 2022 and 14% in 2023. Most recently reported in-line sales as of YE 2021 were $433 psf as compared to $318 in 2019, $326 in 2018, and $347 psf in 2016. Fitch's base case loss of 16% reflects a 15% cap rate and 10% stress to the YE 2021 NOI to address near-term rollover concerns and declining occupancy. Office Loans of Concern: Two office properties identified as FLOC include 2100 Ross (9.7% of pool balance) and the Princeton Pike Corporate Center (8.1%). Occupancy for the 2100 Ross building declined to 60% as of the 2nd quarter of 2022 due to CBRE (15% of NRA, 20% base rent) vacating at lease expiration in March 2022 and relocating to an office tower in the uptown area of Dallas. As of June 2022, NOI DSCR was 1.54x in-line with YE 2021. Per Costar, the Dallas CBD submarket had a vacancy rate of 24.4% with an elevated availability rate of 30.9% as of Q3-2022. The Princeton Pike Corporate Center loan returned to master servicing after the close of a modification in September 2021. Terms of the modification included the conversion of monthly payments to interest-only for the remaining loan term and an ongoing cash trap. The loan has remained current since returning to the master servicer. The property was 76% occupied as of June 2022 in line with YE 2021, but a decline from 82% as of YE 2020. Change in Credit Enhancement: As of the September 2022 distribution date, the pool's aggregate principal balance has been paid down by 17.6% to $549.4 million from $666.6 million at issuance. Six loans (14.8% of current pool) are fully defeased. Two loans (11.0% of original pool balance) have paid off since issuance. There have been no realized losses since issuance. Loan maturities are concentrated in 2025 and 2026 when 45.6% and 49.3% of the pool mature, respectively. 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 of the 'AA-sf' and 'AAAsf' categories are not considered likely due to the position in the capital structure and the relatively stable performance of the pool, but may occur should interest shortfalls affect these classes. Downgrades of the 'A-sf' and 'BBB-sf' categories could occur if expected losses increase significantly or the performance of the FLOCs continue to decline further and/or fail to stabilize. Downgrades to the 'B-sf' and 'BB-sf' categories would occur should overall pool performance decline and/or loans of concern, in particular outlet malls and underperforming office loans, continue to deteriorate. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in credit enhancement (CE) and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs and/or loans considered to be negatively impacted by the coronavirus pandemic could cause this trend to reverse. An upgrade to the 'BBB-sf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'B-sf' and 'BB-sf' 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. MORGAN STANLEY 2018-H4: Fitch Cuts Rating on Class E Certs to BBsf ------------------------------------------------------------------ Fitch Ratings has downgraded one class and affirmed 13 classes of Morgan Stanley Capital I Trust (MSC) commercial mortgage pass-through certificates series 2018-H4. Fitch has also downgraded the 2018-H4 III Trust horizontal risk retention pass-through certificate (MOA 2020-H4 E). Debt Rating Prior ---- ------ ----- MSC 2018-H4 A-2 61691RAB2 LT AAAsf Affirmed AAAsf A-S 61691RAH9 LT AAAsf Affirmed AAAsf A-SB 61691RAC0 LT AAAsf Affirmed AAAsf A3 61691RAD8 LT AAAsf Affirmed AAAsf A4 61691RAE6 LT AAAsf Affirmed AAAsf B 61691RAJ5 LT AA-sf Affirmed AA-sf C 61691RAK2 LT A-sf Affirmed A-sf D 61691RAL0 LT BBB-sf Affirmed BBB-sf E-RR 61691RAN6 LT BBsf Downgrade BBB-sf F-RR 61691RAQ9 LT B-sf Affirmed B-sf G-RR 61691RAS5 LT CCCsf Affirmed CCCsf X-D 61691RBA3 LT BBB-sf Affirmed BBB-sf XA 61691RAF3 LT AAAsf Affirmed AAAsf XB 61691RAG1 LT AA-sf Affirmed AA-sf MOA 2020-H4 E E-RR 90216VAA0 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations for the pool since Fitch's prior rating action, driven primarily by higher expected losses on the specially serviced 300 North Greene asset. The Negative Outlooks reflect the elevated risk associated with the uncertainty of loss on the asset, and possible downgrade should performance further deteriorate and/or with a prolonged workout. Fitch's current ratings incorporate a base case loss of 6.4%. There are nine Fitch Loans of Concern (FLOCs, 19.1% of the pool), including one loan (3.9%) in special servicing. Fitch Loans of Concern: The largest contributor and largest increase to loss since the prior rating action is the 300 North Greene asset (3.9%), which is a 325,771-sf office property in downtown Greensboro, NC. The loan transferred to special servicing in July 2020 when the borrower failed to satisfy a tenant improvement obligation. The trust took title to the property in December 2021, and the asset subsequently became REO. The special servicer is considering various workout options, which include a possible near-term sale if current negotiations with prospective tenants are successful, or planning additional capital expenditures to build out amenity and speculative space for a future sale in late 2023 or 2024. As of the June 2022 rent roll, occupancy was 69.4%, compared with 70% at YE2021, 56.5% at YE2020 and 75.3% at issuance. The NOI debt service coverage ratio (DSCR) was 0.84x as of June 2022, compared with 0.40x at YE2021, 0.95x at YE2020 and 1.41x at issuance. The decline in performance was caused by the largest tenant vacating the building. After being at the property since 1990, Fox Rothschild LLP (20.1% of the NRA), chose not to renew its lease in June 2020, contributing to a 36% decline in NOI between 2019 and 2020. Since then, the space has been backfilled by The Fresh Market, Inc. (21.6%) in February 2021 on a lease through November 2033. The new Fresh Market space serves as a corporate office for the regional grocer. Other major tenants include Wells Fargo Bank (10.5% of the NRA leased through December 2024), Bell Partners, Inc; (8.5%; May 2025) and Womble Bond Dickinson US LLP (4.1%; December 2022). Womble Bond Dickinson US LLP has previously downsized its space from 6.2% of NRA when it renewed for two years. Fitch's loss expectation of 66% reflects a stressed value of $61 psf. 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 had previously 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 a servicer-reported NOI DSCR of 1.06x as of TTM September 2021, compared with 92% and 1.12x at YE2019. Fitch's modeled loss of 36% is based on a cap rate of 9.5% and a 5% stress applied to the TTM September 2021 NOI. Minimal Change to Credit Enhancement: As of the September 2022 distribution date, the pool's aggregate principal balance has paid down by 2.6% to $776 million from $797 million at issuance. Fifteen loans (47.1% of the pool) are full-term interest-only. Four loans (4.3%) are scheduled to mature in 2023, 46 loans (94.0%) in 2028 and one loan (1.7%) in 2029. Credit Opinion Loan: One loan, Aventura Mall (7.7%), received a standalone investment-grade credit opinion of 'Asf*' at issuance. Although performance has been affected by the pandemic, Fitch expects performance to recover and the loan remains consistent with the characteristics of an investment-grade credit opinion. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-S, B, X-A and X-B are not likely due to their position in the capital structure and expected continued paydown, but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and X-D are possible should expected losses for the FLOCs increase significantly. Further downgrades to class E-RR, pass-through MOA 2020-H4 E certificate, F-RR and G-RR would occur with a greater certainty of losses, should additional loans default or transfer to special servicing and/or higher-than-expected losses are incurred on the specially serviced loan. 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 defeasance. Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs and other properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D and X-D may occur as the number of FLOCs are reduced, properties impacted by the pandemic return to pre-pandemic levels and/or there is sufficient CE to the classes. Upgrades to classes E-RR, pass-through MOA 2020-H4 E certificate, F-RR and G-RR 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. 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. MORGAN STANLEY 2022-18: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Morgan Stanley Eaton Vance CLO 2022-18, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Morgan Stanley Eaton Vance CLO 2022-18, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Morgan Stanley Eaton Vance CLO 2022-18, Ltd., is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Morgan Stanley Eaton Vance CLO Manager 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 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 23.27 versus a maximum covenant, in accordance with the initial expected matrix point of 24.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.7% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.31% versus a minimum covenant, in accordance with the initial expected matrix point of 72.00%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, and all other matrix points, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AAsf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA-sf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. 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, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. NEW RESIDENTIAL 2022-NQM5: Fitch Gives B- Rating on Cl. B2 Notes ---------------------------------------------------------------- Fitch Ratings rates the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2022-NQM5 (NRMLT 2022-NQM5). Debt Rating Prior ---- ------ ----- NRMLT 2022-NQM5 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A3 LT A-sf New Rating A-(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf R LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The notes are supported by 529 newly originated loans that have a balance of $262.3 million as of the Sept. 1, 2022 cutoff date. The pool consists of loans originated by NewRez LLC, which was formerly known as New Penn Financial, LLC, and Caliber Home Loans, a Rithm Capital subsidiary. The notes are secured mainly by non-qualified mortgage (QM) loans as defined by the Ability-to-Repay (ATR) Rule. Of the loans in the pool, 71.0% are designated as non-QM while the remainder are not subject to the 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 12.5% above a long-term sustainable level (relative to 12.2% on a national level as of 3Q22). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 15.8% yoy nationally as of July 2022. Non-Prime Credit Quality (Negative): The collateral consists of 529 loans, totaling $262 million and seasoned approximately three months in aggregate, according to Fitch (as calculated from origination date). The borrowers have a stronger credit profile when compared with other non-QM transactions, with a 751 Fitch model FICO score and 40% debt/income ratios (DTI), as determined by Fitch after converting the debt service coverage ratio (DSCR) values. However, leverage (81.2% sustainable loan/value [sLTV]) within this pool is relatively high compared to previous NRMLT transactions this year. The pool consists of 63.9% of loans where the borrower maintains a primary residence, while 36.1% are considered an investor property or second home. Additionally, only 36% of the loans were originated through a retail channel. Moreover, 71% are considered non-QM, and the remainder are not subject to QM. NewRez and Caliber originated 100% of the loans, which have been serviced since origination by Shellpoint Mortgage Servicing (SMS). Modified Sequential-Payment Structure (Mixed): The structure pays principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be paid sequentially to class A-1, A-2 and A-3 notes until they are reduced to zero. After the 48th payment date, the A-1 through A-3 classes will be contractually due the lower of the fixed rate for the class plus 1.0% or the Net WAC rate. This increases the principal and interest (P&I) allocation for the A-1 through A-3 and decreases the amount of excess spread available in the transaction. Furthermore, at this time, amounts otherwise distributable to the class B-3 will be redirected to pay Cap Carryover amounts to classes A-1 through A-3 sequentially. Loan Documentation (Negative): 89% of the pool was underwritten to less than full documentation, according to Fitch. Approximately 61% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 19% are DSCR product and 4% are Asset Depletion product. High Investor Property Concentrations (Negative): Approximately 29% of the pool comprises investment property loans, including 19% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher probability of defaults (PDs) and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans, relative to a traditional income documentation investor loan, to account for the increased risk. 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 43.1% 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. 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." Recovco, Infinity, and Clayton 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. PARALLEL LTD 2017-1: Moody's Lowers Rating on $18MM E Notes to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following note issued by Parallel 2017-1 Ltd.: US$26,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2029, Upgraded to A1 (sf); previously on Feb 12, 2020 Assigned A2 (sf) Moody's has also downgraded the ratings on the following notes: US$18,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2029, Downgraded to B1 (sf); previously on Jun 8, 2017 Assigned Ba3 (sf) US$5,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2029, Downgraded to Caa1 (sf); previously on Nov 6, 2020 Downgraded to B3 (sf) Parallel 2017-1 Ltd., originally issued in June 2017 and partially refinanced in February 2020 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2021. RATINGS RATIONALE The upgrade rating action on the Class C-R Notes is primarily a result of deleveraging of the senior notes and an increase in the Class C-R over-collateralization (OC) ratio since September 2021. The Class A-1-R notes have been paid down by approximately 18% or $44.8 million since September 2021. Based on Moody's calculation, the OC ratio for the Class C notes is currently at 119.53%, versus September 2021 trustee reported level of 118.19% [1]. The downgrade rating actions on the Class E notes and Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculation, the OC ratios for the Class E notes and Class F notes are currently at 104.73% and 103.14%, respectively, versus September 2021 trustee reported levels of 105.34% and 103.93%, respectively [2]. Furthermore, the transaction's weighted average spread (WAS) has been deteriorating and is currently at 3.23% compared to 3.45% in September 2021. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $337,759,941 Defaulted par: $3,499,000 Diversity Score: 73 Weighted Average Rating Factor (WARF): 2771 Weighted Average Spread (WAS) (before accounting for reference rate floors): 3.23% Weighted Average Recovery Rate (WARR): 48.05% Weighted Average Life (WAL): 3.50 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in 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. PRPM TRUST 2022-NQM1: Fitch Assigns 'Bsf' Rating on Class B-2 Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to PRPM 2022-NQM1 Trust. Debt Rating Prior ---- ------ ----- PRPM 2022-NQM1 Trust A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf P LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by PRPM 2022-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2022-NQM1 (PRPM 2022-NQM1 Trust), as indicated above. The certificates are supported by 668 loans with a balance of $319.43 million as of the cut-off date. This will be the first PRPM transaction rated by Fitch and the sixth PRPM transaction in 2022. The certificates are secured by a pool of fixed and adjustable rate mortgage loans (some of which have an initial interest-only period) that are primarily fully amortizing with original terms to maturity of primarily 30 to 40 years and are secured by first liens primarily on one- to four-family residential properties, units in planned unit developments, condominiums, mixed use properties, townhouses and 5-20 unit multi-family properties. 30.6% of the loans are nonqualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the rule), and the remaining 69.4% are exempt from QM rule as they are investment properties. Sprout Mortgage, LLC originated 43.2% of the loans, Nexera Holding LLC d/b/a Newfi Lending (Newfi) originated 27.2% of the loans, and the remaining 29.6% of the loans were originated by various other third-party originators. Fitch assesses both Sprout Mortgage and Newfi Lending as 'Average' originators. Servis One, Inc. d/b/a BSI Financial Services (BSI) will service 61.6% of the loans in the pool, NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) servicing 31.1% of the loans, and the remaining 7.3% of the loans will be serviced by Fay Servicing, LLC (Fay Servicing). Fitch rates all of these servicers as follows: 'RPS3', 'RPS2' and 'RSS2-'. There is limited Libor exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 4.4% of the pool is comprised of adjustable rate loans. 4.0% of the pool consists of ARM loans based on SOFR, and 0.4% of the pool consists of loans based on one-year LIBOR. The offered certificates do not have LIBOR exposure as the coupons are fixed rate and capped at the net weighted average coupon (WAC) or based off of the net WAC. Similar to other NQM transactions, classes A-1, A-2, and A-3 have a step-up coupon feature at year four that is capped at the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.8% above a long-term sustainable level (vs. 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): Collateral consists of fixed and adjustable rate loans with maturities of up to 40 years. Specifically, the pool is comprised of 64.1% 30-year fully amortizing loans, 34.7% 30-year and 40-year loans with a five-year or 10-year interest-only (IO) period and 0.8% 30-year balloon loans. The pool is seasoned at about five months in aggregate, as determined by Fitch. The borrowers in this pool have relatively strong credit profiles with a 743 weighted average (WA) FICO score (745 WA FICO per the transaction documents) and a 53.9% debt-to-income ratio (DTI), both as determined by Fitch, as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) of 70.5%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 78.3%. Fitch considered 30.2% of the pool to consist of loans where the borrower maintains a primary residence, while 69.4% comprises investor property and 0.4% represents second homes. The majority of the loans (67.3% according to Fitch's analysis) are to single family homes, townhomes, and PUDs, 7.1% are to condos, and 25.6% are to multi-family, mixed use and other. Fitch treated mixed use properties and other occupancy types as multi-family in its analysis, and the PD was increased for these loans as a result. There are also cross-collateralized loans (one loan to multiple properties) that were underwritten to DSCR/Investor guidelines in the pool, these loans account for less than 5% of the pool. Fitch used the most conservative collateral attributes of the properties associated with the loan in its analysis, and all properties are in the same MSA. There were 24 loans made to foreign nationals in the pool. If the co-borrower is a U.S. citizen or permanent resident, Fitch does not count these loans as loans to foreign nationals. Fitch does not make adjustments for loans to non-permanent residents since historical performance has shown they perform the same or better than those to U.S. citizens. For foreign nationals, Fitch treated them as investor occupied, and having no documentation for income, employment and assets. Since assets were not always confirmed as located in U.S. banks or GSIBS, no credit was given to liquid reserves for the loans to foreign nationals in the analysis. If a FICO was not provided for the foreign national, a FICO of 650 was assumed. In total, 81% of the loans were originated through a non-retail channel. Additionally, 31% of the loans are designated as non-QM, while the remaining 69% are exempt from QM status. The pool contains 51 loans over $1.0 million, with the largest loan at $2.89 million. The largest loan in the pool is a purchase loan for an owner-occupied planned unit development home in Austin, TX and has the following collateral attributes: 730 borrower FICO and 80% LTV. Fitch determined that self-employed, non-debt service coverage ratio (non-DSCR) borrowers make up 21.8% of the pool; salaried non-DSCR borrowers make up 10.8%; and 67.4% comprises investor cash flow DSCR loans. About 69.4% of the pool comprises loans for investor properties (2.0% underwritten to borrowers' credit profiles and 67.4% comprising investor cash flow loans). There are no second liens in the pool and no loans have subordinate financing. 99% of the pool is current as of Sept. 1, 2022. Overall, the pool characteristics resemble non-prime collateral; therefore, the pool was analyzed using Fitch's non-prime model. Geographic Concentration (Negative) Around 39% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles MSA (20.2%), followed by the New York MSA (15.6%) and the Miami MSA (5.9%). The top three MSAs account for 41.7% of the pool. As a result, there was a 1.03x probability of default (PD) penalty for geographic concentration, which increased the 'AAAsf' loss by 0.39%. Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans (Negative): Approximately 90.7% of the pool was underwritten to less than full documentation, according to Fitch (per the transaction documents, 85.3% was underwritten to less than full documentation). Specifically, 16.5% was underwritten to a 12- 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. Additionally, 0.8% comprises an asset depletion product, 0.5% is a CPA or P&L product and 67.4% is a DSCR product. One loan in the pool is a no ratio loan, which Fitch assumed to have a 100% DTI in addition to treating the loan as a no documentation loan. Overall, Fitch increased the PD on the non-full documentation loans to reflect the additional risk. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the rule's mandates with respect to underwriting and documentation of the borrower's ATR. No Advancing (Mixed): The servicers will not be advancing delinquent monthly payments of principal and interest (P&I). P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, so the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure timely interest will be paid to the 'AAA' and 'AA' rated classes and ultimate interest on the remaining rated classes, principal will need to be used to pay for interest accrued on delinquent loans. This will result in stress on the structure and the need for additional credit enhancement compared to a pool with limited advancing. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 until they are reduced to zero. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after October 2026, since classes A-1, A-2 and A-3 have a step-up coupon feature that goes into effect on and after that date. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1, A-2 and A-3 classes on and after October 2026. Hurricane Ian made landfall on Sept. 28, 2022. There are 52 properties in the pool that are located in FEMA-declared individual assistance areas as of Oct. 5, 2022. The servicers are reaching out to borrowers to determine if their homes have been negatively impacted by the hurricane. One loan sustained damage and is going to be repurchased after the closing date. For any other loan impacted, the loan will be repurchased if the damage is greater than $5,000. Fitch does not consider damage of $5,000 material and is not increasing the loss expectations as a result. Fitch released a revised version of the US RMBS Loan Loss Model on Oct. 7, 2022. The updates to the model includes revised sMVD assumptions and ERF data. Fitch ran the final pool in the revised model and found that the losses decreased slightly, but the rating committee decided to maintain the losses that were disclosed in the presale report since the change in loss due to the model update was not material. 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 ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.0%, at 'AAA'. The analysis indicates there is some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Infinity, Opus and Evolve 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. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. 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 ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS PRPM 2022-NQM1 Trust has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originators, and servicing parties did not have an impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty along with ~20% of the loans in the pool being underwritten by originators who have not been assessed by Fitch resulted in an increase in the expected losses and are relevant to the ratings. This has a negative 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. SLM STUDENT 2008-5: Moody's Lowers Rating on Cl. A-4 Notes to B1 ---------------------------------------------------------------- Moody's Investors Service has downgraded five tranches issued by five FFELP student loan securitizations serviced by Navient Solutions, LLC. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. The complete rating actions are as follows: Issuer: SLC Student Loan Trust 2004-1 Cl. A-7, Downgraded to Ba1 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2008-5 Cl. A-4, Downgraded to B1 (sf); previously on Mar 7, 2022 Downgraded to Ba3 (sf) Issuer: SLM Student Loan Trust 2008-8 Cl. A-4, Downgraded to B1 (sf); previously on Mar 7, 2022 Downgraded to Ba3 (sf) Issuer: SLM Student Loan Trust 2008-9 Cl. A, Downgraded to B1 (sf); previously on Mar 7, 2022 Downgraded to Ba3 (sf) Issuer: SLM Student Loan Trust 2010-1 Class A Notes, Downgraded to Ba3 (sf); previously on Apr 19, 2022 Downgraded to Ba1 (sf) RATINGS RATIONALE The downgrade actions are primarily a result of the Class A notes' approaching their legal final maturities and the reliance on Navient's support to pay off the notes in full by their legal final maturity dates. The maturity dates for these notes are between April 2023 and November 2027. In the action, Moody's considered Navient's willingness and ability to support the notes by paying off the outstanding amount of the notes at their legal final maturity dates. The transactions include a 10% clean-up call provision by Navient. In addition, Navient had previously amended some SLM transactions to allow for 10% additional purchase of collateral or to establish a revolving credit facility that enables the trust to borrow money from Navient Corporation on a subordinated basis in order to pay off the notes. Specifically, for notes with maturities in 2023, Cl. A notes in SLM 2008-5, SLM 2008-8 and SLM 2008-9, Navient has utilized 10% additional purchase of collateral in the past and therefore has no other way to bring pool factor to 10% on legal final (when Navient can exercise the optional redemption) other than relying on a higher than historical prepayment rate or borrowing from a revolving credit facility. Earlier this year, for SLM 2007-2 and SLM 2007-3 Navient paid off the class A notes on its legal final maturity date by exercising the optional clean-up call and for SLM 2008-1 Navient paid off the class A notes on its legal final maturity date by using the revolving credit facility. However, for SLM 2007-7, SLM 2008-3 and SLM 2008-4 Navient's revolving credit facility was not used to pay off the class A notes at their legal final maturity dates. The actions also reflect the updated performance of the transactions and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cash flow scenarios with weights accorded to each scenario. Moody's ratings on the Class A notes of the affected transactions are lower than the ratings on the subordinated Class B notes. Although some transaction structures stipulate that Class B interest is diverted to pay Class A principal upon default on the Class A notes, Moody's analysis indicates that the cash flow available to make payments on the Class B notes will be sufficient to make all required payments, including accrued interest, to Class B noteholders by the Class B final maturity dates, which occur later than the final maturity dates of the downgraded Class A notes. The Class B maturities range between August 2031 and October 2083. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published in April 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. VERUS SECURITIZATION 2022-8: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2022-8's mortgage-backed notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans. After S&P assigned preliminary ratings on Oct. 4, 2022, the collateral pool was updated to reflect an Oct. 1, 2022, cut-off date with a November 2022 first payment date, and three loans were removed from the pool as a result of either paying off or a delay in the servicing transfer. Although its loss coverage estimates improved for the 'AAA (sf)' 'AA+ (sf)', 'AA (sf)', 'AA- (sf)', 'A+ (sf)', 'A (sf)', 'A- (sf)', 'BBB+ (sf)', 'BBB (sf)', 'BBB- (sf)', 'BB+ (sf)', and 'BB (sf)' ratings, the credit enhancement remained unchanged for each class when the bond sizes were subsequently reduced to reflect the lower pool balance. At the same time, the distribution waterfall was updated so that amounts may be used to pay any cap carryover amounts to the class A-1, A-2, and A-3 notes on any payment date prior to being paid to class B-3, rather than on or after the class-A step-up. After analyzing the updated collateral pool, bond structure, and final bond coupons, S&P assigned final ratings that are unchanged from the preliminary ratings we assigned for all classes. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners (Invictus); and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings(i) Assigned Verus Securitization Trust 2022-8 Class A-1, $267,681,000: AAA (sf) Class A-2, $52,362,000: AA (sf) Class A-3, $60,816,000: A (sf) Class M-1, $33,343,000: BBB- (sf) Class B-1, $21,602,000: BB- (sf) Class B-2, $16,671,000: B- (sf) Class B-3, $17,141,840: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class R, not applicable: Not rated (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. VOYA CLO 2022-3: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2022-3, Ltd. Debt Rating ---- ------ Voya CLO 2022-3, Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB-(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Voya CLO 2022-3, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.5 versus a maximum covenant, in accordance with the initial expected matrix point of 25.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 76.12% versus a minimum covenant, in accordance with the initial expected matrix point of 73.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'Asf' for class C, between lower than 'B-sf' and 'BBB-sf' for class D, and between lower than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA-sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. 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. WELLS FARGO 2016-C34: Fitch Affirms 'CCsf' Rating on 3 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2016-C34 (WFCM 2016-C34) commercial mortgage pass-through certificates issued by Wells Fargo Bank, N.A. In addition, the Rating Outlooks for five classes have been revised to Stable from Negative. Debt Rating Prior ---- ------ ----- WFCM 2016-C34 A-2 95000DBB6 LT AAAsf Affirmed AAAsf A-3 95000DBC4 LT AAAsf Affirmed AAAsf A-3FL 95000DAG6 LT AAAsf Affirmed AAAsf A-3FX 95000DAJ0 LT AAAsf Affirmed AAAsf A-4 95000DBD2 LT AAAsf Affirmed AAAsf A-S 95000DBF7 LT AAAsf Affirmed AAAsf A-SB 95000DBE0 LT AAAsf Affirmed AAAsf B 95000DBJ9 LT Asf Affirmed Asf C 95000DBK6 LT BBB-sf Affirmed BBB-sf D 95000DAL5 LT CCCsf Affirmed CCCsf E 95000DAN1 LT CCsf Affirmed CCsf F 95000DAQ4 LT CCsf Affirmed CCsf X-A 95000DBG5 LT AAAsf Affirmed AAAsf X-B 95000DBH3 LT Asf Affirmed Asf X-E 95000DAA9 LT CCsf Affirmed CCsf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions to Stable from Negative on classes A-S, B, C, X-A and X-B 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 a REO asset, 200 Precision & 425 Privet Portfolio (4.3% of the pool at prior review). There are 12 Fitch Loans of Concern (FLOCs; 29.8% of pool). Fitch's current ratings incorporate a base case loss of 8.6%. Upgrades to multiple classes are possible if updated information on the largest specially serviced loan, Regent Portfolio (11.1%), is received which indicates imminent payoff at better than expected recoveries according to the forbearance plan, or stable or higher property valuations. Specially Serviced Loan: The largest loan in the pool and largest contributor to expected loss, Regent Portfolio (11.1%), was originally secured by 13 medical office buildings mostly located throughout New Jersey with one in New York and one in Florida with a total of 352,001sf. The loan transferred to the special servicer in June 2019 for delinquent payments. Approximately 50% of the portfolio at issuance was leased directly to the sponsor or an affiliate of the sponsor. The borrower attempted to sell the individual assets but has only sold one of the properties to date with sale proceeds held by the special servicer. The borrower filed for chapter 11 bankruptcy in February 2020 with a consensual bankruptcy plan filed in February 2022. Under the plan, the borrower is required to pay off the loan by January 2023 with one three-month extension. The loan continues to perform under the forbearance agreement. Fitch's base case loss of 28% incorporates a conservative stress on 2019 valuations of the individual assets to address the expected increase in loan exposure, special servicing fees and decline in the economic environment since 2019. Increased Credit Enhancement: As of the September 2022 distribution date, the pool's aggregate principal balance has been paid down by 16.1% to $590 million from $703 million at issuance. The pool is scheduled to amortize by 12.3% of the initial pool balance through maturity. The pool has realized $5.5 million (.78% of original pool balance) in losses to date. Two loans (10.6% of pool) are full-term, interest-only and one loan (2.7%) is partial interest-only and has yet to begin amortizing, compared with 61% of the original pool at issuance. Six loans (4.5%) have been defeased compared to two loans (1.5%) at the prior review. The largest loan, Regent Portfolio, which remains with the special servicer was scheduled to mature in October 2021, while all other remaining loans mature in 2025 and 2026. Retail Concentration: There are 30 retail loans (43.2%), followed by five hotel loans (17.4%) and three multifamily loans (12.6%). 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 the 'AAAsf' categories are unlikely due to increasing CE and expected continued amortization, but may occur should interest shortfalls affect these classes. Downgrades to the 'BBB-sf' and 'Asf' categories would likely occur if a high proportion of the pool defaults and/or transfers to special servicing and expected losses for the pool increase sizably. Downgrades to classes D, E, F and X-E would occur with 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 coupled with paydown and/or defeasance. Upgrades to the 'BBB-sf' and 'Asf' categories could occur with large improvement in CE and/or defeasance, and with the stabilization of performance amongst the FLOCs particularly the Regent Portfolio. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes D, E and X-E are possible with better than expected recoveries or valuations on the Regent Portfolio. Upgrades to class F is 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 class. 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 AUTOMOBILE 2022-3: S&P Assigns 'BB' Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 ratings reflect: -- The availability of approximately 44.34%, 38.13%, 29.64%, 22.89%, and 19.74% credit support for the class A (classes A-1, A-2, 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 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 '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 ratings. -- The collateral characteristics of the securitized pool of subprime automobile loans, S&P's view of the credit risk of the collateral, and its 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 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 our 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. Ratings Assigned Westlake Automobile Receivables Trust 2022-3 Class A-1, $265.90 million: A-1+ (sf) Class A-2, $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) [*] S&P Takes Various Actions on 128 Classes from 21 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 128 ratings from 21 U.S. RMBS transactions issued between 2002 and 2007. The review yielded three upgrades, six downgrades, 96 affirmations, and 23 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3RXieQK Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Increase or decrease in available credit support; -- Small loan count; -- Payment priority; -- Historical missed interest payments or interest shortfalls -- Principal-only criteria; and -- Interest-only criteria. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on 23 classes from four transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our principal-only criteria, "Methodology For Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009 Originations," published Oct. 11, 2016, which resulted in withdrawing three ratings from three transactions." [*] S&P Takes Various Actions on 79 Classes from 27 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 79 classes from 27 U.S. RMBS transactions issued between 2002 and 2008. The review yielded 26 upgrades, 28 affirmations, and 25 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3VpEWnw Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Observed loss severities lower than projected; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; --Principal-only/Interest-only criteria; and -- Small loan count. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "We withdrew our rating on 25 classes due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." [*] S&P Takes Various Actions on 89 Classes from 23 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 89 ratings from 23 U.S. RMBS transactions issued between 2003 and 2006. All these transactions are backed by subprime and prime jumbo collateral. The review yielded 23 upgrades, three downgrades, 61 affirmations, and two withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3D4C5cH Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Increases in credit support; -- An expected short duration; -- Reduced interest payments due to loan modifications; -- Constant prepayment rate trends; -- Payment priority; and -- Historical and/or outstanding missed interest payments/interest shortfalls. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. "The upgrades are primarily due to increased credit support. These transactions have failed its cumulative loss trigger which provides a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the class' exposure to losses. As a result, the upgrades on these classes reflect their ability to withstand a higher level of projected losses than previously anticipated. Additionally, most of these classes are receiving all the principal payments or are next in payment priority when the more senior class pays down. "We withdrew our ratings on two classes due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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