/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221113.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, November 13, 2022, Vol. 26, No. 316 Headlines AMERICAN CREDIT 2022-4: S&P Assigns Prelim 'BB-' Rating on E Notes BANK 2022-BNK44: Fitch Assigns 'B(EXP)sf' Ratings on Two Tranches BBCMS 2019-BWAY: Fitch Affirms 'B+sf' Rating on Class HRR Certs BBCMS MORTGAGE 2018-C2: Fitch Affirms Two Class Certs at 'B-sf' BENCHMARK 2022-B37: Fitch Assigns 'B-sf' Rating on Class H-RR Certs BENEFIT STREET XXVIII: S&P Assigns BB- (sf) Rating on Cl. E Notes BNPP IP 2014-II: S&P Affirms BB+ (sf) Rating on Class D-R Notes CAPITALSOURCE REAL 2006-A: S&P Affirms 'CCC-' Rating on E Notes CITIGROUP MORTGAGE 2022-RP5: Fitch Gives 'Bsf' Rating on B-2 Notes COMM MORTGAGE 2016-DC2: Fitch Affirms CCC Ratings on 2 Tranches CSMC TRUST 2017-PFHP: S&P Affirms B (sf) Rating on Class E Certs DIAMOND ISSUER 2021-1: Fitch Affirms 'BB-sf' Rating on Cl. C Notes FIRST INVESTORS 2021-2: S&P Affirms BB-(sf) Rating on Cl. E Notes FLAGSHIP CREDIT 2022-4: S&P Assigns BB- (sf) Rating on Cl. E Notes FORTRESS CREDIT XVI: Moody's Assigns (P)B3 Rating to Class F Notes GOODLEAP SUSTAINABLE 2022-4: S&P Assigns 'BB+' Rating on C Notes JP MORGAN 2013-C10: Fitch Lowers Class F Cert. Rating to 'CCsf' LAKE SHORE V: S&P Assigns Prelim BB- (sf) Rating on Cl. C Notes MAD COMMERCIAL 2019-650M: Fitch Affirms 'B-sf' Rating on Cl. B Debt METAL 2017-1: Fitch Lowers Rating on 3 Tranches to CCsf METRONET INFRASTRUCTURE 2022-1: Fitch Gives BB Rating on Cl. C Debt MOUNTAIN VIEW XVI: S&P Assigns BB- (sf) Rating on Class E Notes MVC LLC 2022-2: Fitch Gives 'BBsf' Rating on Cl. D Notes MVW LLC 2022-2: Moody's Assigns Ba2 Rating to Class D Notes NYMT LOAN 2022-INV1: S&P Assigns B (sf) Rating on Class B-2 Notes OSD CLO 2021-23: Fitch Affirms Cl. E Notes at 'BB+sf', Outlook Pos. PALMER SQUARE 2022-4: S&P Assigns Prelim BB-(sf) Rating on E Notes SCF EQUIPMENT 2022-2: Moody's Assigns (P)B2 Rating to F-1 Notes SLM STUDENT 2008-4: S&P Raises Class B Notes Rating to 'BB (sf)' SLM STUDENT 2008-6: Fitch Affirms 'CCsf' Rating on 2 Tranches STANIFORD STREET: S&P Lowers Class E Notes Rating to 'CCC-(sf)' VALLEY STREAM: S&P Assigns Prelim BB- (sf) Rating on Cl. E-2 Notes VERUS SECURITIZATION 2022-INV2: S&P Assigns B- (sf) on B-2 Notes VOYA CLO 2022-3: Fitch Assigns 'BB-sf' Rating on Class E Notes VOYA CLO 2022-4: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes [*] S&P Takes Actions on 365 Bonds from 21 Tobacco Trust Deals [*] S&P Takes Various Actions in 136 Classes From 29 US RMBS Deals ********* AMERICAN CREDIT 2022-4: S&P Assigns Prelim 'BB-' Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2022-4's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Nov. 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 65.5%, 60.4%, 47.6%, 38.8%, and 33.7% 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 2.35x, 2.10x, 1.70x, 1.37x, and 1.20x coverage of S&P's expected cumulative net loss of 27.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.37x 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 its stressed cash flow modeling scenarios, which S&P 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 Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of American Credit Acceptance 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 credit factors, that are in line with our sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned American Credit Acceptance Receivables Trust 2022-4 Class A, $105.75 million: AAA (sf) Class B, $14.70 million: AA (sf) Class C, $59.70 million: A (sf) Class D, $39.60 million: BBB (sf) Class E, $30.45 million: BB- (sf) BANK 2022-BNK44: Fitch Assigns 'B(EXP)sf' Ratings on Two Tranches ----------------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2022-BNK44, commercial mortgage pass-through certificates, series 2022-BNK44. Fitch has assigned the following expected ratings: - $14,500,000 class A-1 'AAAsf'; Outlook Stable; - $82,100,000 class A-2 'AAAsf'; Outlook Stable; - $23,200,000 class A-SB 'AAAsf'; Outlook Stable; - $125,000,000a class A-4 'AAAsf'; Outlook Stable; - $0b class A-4-1 'AAAsf'; Outlook Stable; - $0b class A-4-2 'AAAsf'; Outlook Stable; - $0bc class A-4-X1 'AAAsf'; Outlook Stable; - $0bc class A-4-X2 'AAAsf'; Outlook Stable; - $437,650,000a class A-5 'AAAsf'; Outlook Stable; - $0b class A-5-1 'AAAsf'; Outlook Stable; - $0b class A-5-2 'AAAsf'; Outlook Stable; - $0bc class A-5-X1 'AAAsf'; Outlook Stable; - $0bc class A-5-X2 'AAAsf'; Outlook Stable; - $682,450,000c class X-A 'AAAsf'; Outlook Stable; - $141,365,000c class X-B 'AA-sf'; Outlook Stable; - $97,493,000 class A-S 'AAAsf'; Outlook Stable; - $0b class A-S-1 'AAAsf'; Outlook Stable; - $0bclass A-S-2 'AAAsf'; Outlook Stable; - $0bc class A-S-X1 'AAAsf'; Outlook Stable; - $0bc class A-S-X2 'AAAsf'; Outlook Stable; - $43,872,000 class B 'AA-sf'; Outlook Stable; - $0b class B-1 'AA-sf'; Outlook Stable; - $0b class B-2 'AA-sf'; Outlook Stable; - $0bc class B-X1 'AA-sf'; Outlook Stable; - $0bc class B-X2 'AA-sf'; Outlook Stable; - $42,653,000 class C 'A-sf'; Outlook Stable; - $0b class C-1 'A-sf'; Outlook Stable; - $0b class C-2 'A-sf'; Outlook Stable; - $0bc class C-X1 'A-sf'; Outlook Stable; - $0bc class C-X2 'A-sf'; Outlook Stable; - $25,592,000d class D 'BBBsf'; Outlook Stable; - $17,061,000d class E 'BBB-sf'; Outlook Stable; - $42,653,000cd class X-D 'BBB-sf'; Outlook Stable; - $21,936,000d class F 'BBsf'; Outlook Stable; - $21,936,000cd class X-F 'BBsf'; Outlook Stable; - $9,750,000d class G 'Bsf'; Outlook Stable. - $9,750,000cd class X-G 'Bsf'; Outlook Stable; Fitch is not expected to rate the following classes: - $34,122,756d class H; - $34,122,756cd class X-H; - $51,312,092e class RR Interest. a. The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $562,650,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0-$250,000,000, and the expected class A-5 balance range is $312,650,000-$562,650,000. The balances of classes A-4 and A-5 above represent the hypothetical balance for class A-4 if class A-5 were sized at the midpoint of its range. In the event that the class A-5 certificates are issued with an initial certificate balance of $562,650,000, the class A-4 certificates will not be issued. b. Exchangeable Certificates. Class A-4, A-5, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-1 and A-5-X1. Class A-5 may be surrendered (or received) for the received (or surrendered) classes A-5-2 and A-5-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. c. Notional amount and interest only. d. Privately placed and pursuant to Rule 144A. e. Represents the "eligible vertical interest" comprising 5.0% of the pool. The expected ratings are based on information provided by the issuer as of Oct. 27, 2022. Entity/Debt Rating ----------- ------ BANK 2022-BNK44 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-1 LT AAA(EXP)sf Expected Rating A-4-2 LT AAA(EXP)sf Expected Rating A-4-X1 LT AAA(EXP)sf Expected Rating A-4-X2 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-1 LT AAA(EXP)sf Expected Rating A-5-2 LT AAA(EXP)sf Expected Rating A-5-X1 LT AAA(EXP)sf Expected Rating A-5-X2 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-S-1 LT AAA(EXP)sf Expected Rating A-S-2 LT AAA(EXP)sf Expected Rating A-S-X1 LT AAA(EXP)sf Expected Rating A-S-X2 LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-2 LT AA-(EXP)sf Expected Rating B-X1 LT AA-(EXP)sf Expected Rating B-X2 LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating C-1 LT A-(EXP)sf Expected Rating C-2 LT A-(EXP)sf Expected Rating C-X1 LT A-(EXP)sf Expected Rating C-X2 LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BBB-(EXP)sf Expected Rating F LT BB(EXP)sf Expected Rating G LT B(EXP)sf Expected Rating H LT NR(EXP)sf Expected Rating RR Interest LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT AA-(EXP)sf Expected Rating X-D LT BBB-(EXP)sf Expected Rating X-F LT BB(EXP)sf Expected Rating X-G LT B(EXP)sf Expected Rating X-H LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 56 loans secured by 75 commercial properties having an aggregate principal balance of $1,026,241,849 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, National Cooperative Bank, N.A., Morgan Stanley Mortgage Capital Holdings LLC, and Bank of America, National Association. The Master Servicers are expected to be Wells Fargo Bank, National Association, and National Cooperative Bank, N.A., and the Special Servicers are expected to be KeyBank National Association and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 40.3% of the properties by balance, cash flow analyses of 83.7% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch Ratings. The pool's Fitch loan-to-value ratio (LTV) of 95.7% is lower than both the YTD 2022 and 2021 averages of 100.3% and 103.3%, respectively. Additionally, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.39x is slightly higher than the YTD 2022 and 2021 averages of 1.31x and 1.38x, respectively. The pool's conduit-specific leverage is also lower than other multiborrower transactions recently rated by Fitch. Excluding co-operative (co-op) and credit opinion loans, the pool's DSCR and LTV are 1.14x and 102.3%, respectively. This is lower leverage compared to the equivalent conduit YTD 2022 LTV and DSCR averages of 107.4% and 1.23x, respectively. Investment Grade Credit Opinion and Co-Op Loans: One loan representing 5.9% of the pool received an investment-grade credit opinion. Constitution Center (5.9%) received a standalone credit opinion of 'A-sf'. The pool's total credit opinion percentage is above the YTD 2022 and 2021 averages of 14.9% and 13.3%, respectively. Additionally, the pool contains a total of 22 loans, representing 5.4% of the cutoff balance, that are secured by residential co-ops and exhibit leverage characteristics that are significantly lower than those of typical conduit loans. The weighted average (WA) Fitch DSCR and LTV for the co-op loans are 5.32x and 25.1%, respectively. Retail Exposure: Retail properties represent the largest concentration at 42.7%, which is higher than the 2022 YTD and 2021 averages of 21.8%. The pool's retail collateral consists of two regional malls, Concord Mills (9.7% of total pool balance), Pacific View (4.1% of total pool balance) and an outlet center, Tanger Outlets Columbus (3.8% of total pool balance). Additionally, there are four other retail properties (18.5% of total pool balance) in the top ten largest loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'; - 10% NCF Decline: 'A+sf'/'BBB+sf'/'BBB-sf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf'; - 20% NCF Decline: 'BBB+sf'/'BBB-sf'/'BB-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'; - 30% NCF Decline: 'BBB-sf'/'BBsf'/'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 Rating Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The list below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'; - 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'A+sf'/'A-sf'/'BBB-sf'/'BBB-sf'. 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. BBCMS 2019-BWAY: Fitch Affirms 'B+sf' Rating on Class HRR Certs --------------------------------------------------------------- Fitch Ratings has affirmed all seven classes of BBCMS 2019-BWAY Mortgage Trust (BBCMS 2019-BWAY) commercial mortgage pass-through certificates. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2019-BWAY A 05492NAA1 LT AAAsf Affirmed AAAsf B 05492NAC7 LT AA-sf Affirmed AA-sf C 05492NAE3 LT A-sf Affirmed A-sf D 05492NAG8 LT BBB-sf Affirmed BBB-sf E 05492NAJ2 LT BB-sf Affirmed BB-sf HRR 05492NAL7 LT B+sf Affirmed B+sf X-NCP 05492NAQ6 LT AAAsf Affirmed AAAsf Class X-NCP is an interest-only class. KEY RATING DRIVERS Strong Collateral Quality and Recovery Expectations: The affirmations primarily reflect the loan's low leverage, the property's high-quality and strong infill Manhattan location, and the experienced sponsorship. The collateral consists of a leasehold interest in 1407 Broadway, a 49-story (1.1. million-sf) office building located in the Garment District in Midtown Manhattan. The property is well situated in proximity to Manhattan's public transportation hubs including Times Square, Grand Central Terminal, New York Penn Station and the Port Authority Bus Terminal. The sponsor acquired the property in 2015 and subsequently invested approximately $61 million in renovations through 2018, including upgrading the common areas, retail storefronts and HVAC. Decline in Reported Occupancy and Cash Flow, Coronavirus Impact: Per the September 2022 rent roll, occupancy declined to 83.9% from a market level of 93.8% at issuance in 2019. The sponsor is working to stabilize the tenancy at the property as several tenants have vacated or downsized due to the coronavirus pandemic. Co-working operator Knotel (2.5%) filed bankruptcy and vacated its space. The sponsor previously brought occupancy up to market levels, after acquiring the property in 2015, when it was 75.3% occupied; the sponsor achieved this by investing significantly in renovations as well as an estimated $40 million in leasing costs. The property tenant roster is granular, with rollover of approximately 16% through YE 2023 and 12% in 2024. Most of the larger office tenants have leases that expire after the loan's fully extended loan maturity in 2024. Fitch expects performance to continue to improve to market levels during the loan term. Fitch Leverage: The loan, which represents a low total debt of $313 psf, has a Fitch stressed debt service coverage ratio and loan-to-value of 0.98x and 90.4%, respectively, compared with 1.03x and 85.9% at issuance. The decline in Fitch's credit metrics is primarily driven by the decline in occupancy and cash flow. Experienced Sponsorship: Shorenstein has sponsored 12 closed-end investment funds with total equity commitments of approximately $8.7 billion, of which Shorenstein committed $723.5 million. Those funds have invested in properties totaling about 65 million sf. The company currently owns over 25 million sf in 20 markets. Since acquiring the property for $330 million in 2015, the sponsor invested an additional $102 million in capital improvements and leasing costs, for a total cost basis of $432 million. Nonrecourse carve-outs, including fraud, waste and misappropriation, are limited to the SPE borrower, Shorenstein Company LLC. Short-Term Leasehold Interest: The property is subject to a 76-year ground lease through December 2030, with one 18-year renewal option remaining, which would extend the ground lease through December 2048. Based on the fully extended loan term of five years, there will be 24 years remaining on the ground lease at loan maturity. Full-Term, Interest-Only Loan: The loan is interest only for the entire five-year, fully extended loan term. It is expected that the sponsor is will exercise its option to extend the loan for another year to November 2023. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The Rating Outlooks for all classes remain Stable. Downgrades or Negative Outlooks could be assigned should property occupancy and/or cash flow fail to recover as the pandemic continues. Fitch will continue to closely monitor leasing activity at the property. Factors that could lead to downgrades include a decline in performance of the underlying asset or loan default. A downgrade to the senior 'AAAsf' or 'AA-sf' rated classes is not considered likely due to the position in the capital structure, but may occur should interest shortfalls occur. A downgrade to classes C, D, E and HRR is possible should the loan experience material and sustained performance decline, including a substantial decline in occupancy and/or cash flow. Factors that could, individually or collectively, lead to positive rating action/upgrade: An upgrade to class B, C, D, E and HRR would occur with significant improvement in performance of the underlying asset. Paydown would not likely play a role in contemplating an upgrade, given the single-asset and non-amortizing nature of the securitized loan. 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. BBCMS MORTGAGE 2018-C2: Fitch Affirms Two Class Certs at 'B-sf' --------------------------------------------------------------- Fitch Ratings has affirmed 18 classes of BBCMS Mortgage Trust 2018-C2, commercial mortgage pass-through certificates, series 2018-C2 (BBCMS 2018-C2). The Rating Outlook on classes G and X-G have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2018-C2 A-1 05491UAY4 LT AAAsf Affirmed AAAsf A-2 05491UAZ1 LT AAAsf Affirmed AAAsf A-3 05491UBB3 LT AAAsf Affirmed AAAsf A-4 05491UBC1 LT AAAsf Affirmed AAAsf A-5 05491UBD9 LT AAAsf Affirmed AAAsf A-S 05491UBG2 LT AAAsf Affirmed AAAsf A-SB 05491UBA5 LT AAAsf Affirmed AAAsf B 05491UBH0 LT AA-sf Affirmed AA-sf C 05491UBJ6 LT A-sf Affirmed A-sf D 05491UAG3 LT BBBsf Affirmed BBBsf E 05491UAJ7 LT BBB-sf Affirmed BBB-sf F 05491UAL2 LT BB-sf Affirmed BB-sf G 05491UAN8 LT B-sf Affirmed B-sf X-A 05491UBE7 LT AAAsf Affirmed AAAsf X-B 05491UBF4 LT AA-sf Affirmed AA-sf X-D 05491UAA6 LT BBB-sf Affirmed BBB-sf X-F 05491UAC2 LT BB-sf Affirmed BB-sf X-G 05491UAE8 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Loss Expectations: Fitch's base case loss expectations have remained relatively stable since Fitch's prior rating action. The Outlook revisions to Stable from Negative on classes G and X-G reflect performance stabilization and better than expected performance of properties affected by the pandemic. Four loans (12.3% of pool) have been designated as Fitch Loans of Concern (FLOCs) including one (4.1%) specially serviced loan. Fitch's current ratings incorporate a base case loss of 4.00%, which is in line with issuance. Fitch Loans of Concern: The largest contributor to Fitch's loss expectations is the specially serviced West Covina Village (4.1%), which is secured by a 220,000-sf mixed use retail/office property in West Covina, CA. The loan transferred to the special servicer in July 2022 due to payment default. The property is anchored by Stater Bro's grocery chain (16.0% of NRA), which has anchored the property since it opened in 1982 and has a lease expiration in December 2026. LA Fitness (12.9% of NRA) vacated the property and the borrower is attempting through litigation to collect delinquent rent and CAM reimbursements incurred during the pandemic, which are approximately $1.7 million. The borrower is working to bring the loan current as discussions and negotiations are ongoing. Fitch's base case loss of 13% incorporates a stress on a recent servicer provided valuation of the property. The second largest contributor to Fitch's loss expectations is GNL Portfolio (5.7%), which is secured by seven properties located across six states, with the three largest concentrations in San Jose, CA (25.4% of NRA), Allen, TX (22.4% of NRA), and St. Louis, MO (13.9% of NRA). The portfolio consists of three office buildings, two industrial buildings, one office/lab building, and one warehouse building. Occupancy has declined to 74.7% as of March 2022 after Nimble Storage vacated the San Jose property in October 2021. There is no additional tenant rollover expected until 2024 when 25% of the NRA has lease expirations. TTM June 2022 NOI DSCR declined to 1.50x from 2.14x at YE 2021, and 2.10x at YE 2020. Fitch applied a 20% stress and 10% cap rate to the YE 2021 NOI resulting in an 8% loss. Minimal Changes to Credit Enhancement: As of the October 2022 remittance, the pool's aggregate principal balance has been paid down by 1.2% to $881.6 million from $891.9 million at issuance. All 44 loans remain in the pool. The pool is scheduled to amortize by 5.8% of the initial pool balance prior to maturity. Seventeen loans (51.5% of the pool) are interest-only for the full loan term. Nineteen loans (36.2%) have a partial interest-only component, 12 of these loans (18.1%) have begun to amortize. Two loans (2.4%) are fully defeased. Investment-Grade Credit Opinion Loans: Four loans representing 12.7% of the pool were assigned investment- grade credit opinions at issuance: The Christiana Mall (6.2%), Moffett Towers - Buildings E, F, G (2.8%), Moffett Towers II - Building 1 (2.5%), and Fair Oaks Mall (1.2%). Fitch no longer considers the performance of Fair Oaks Mall to be consistent with 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/assets. Downgrades to the 'AA-sf' and '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', 'BBBsf', and 'A-sf' categories would likely occur if a high proportion of the pool defaults and/or transfers to special servicing and expected losses increase significantly. Downgrades to the 'B-sf', and 'BB-sf' categories would occur should loss expectations increase due to an increase in specially serviced loans and/or the loans vulnerable to the pandemic do not stabilize Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and/or further underperformance of the FLOCs or loans that have been negatively affected by the pandemic could cause this trend to reverse. Upgrades to the 'BBB-sf' and 'BBBsf' category would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were 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/or properties vulnerable to the pandemic return to pre-pandemic levels, and there is sufficient CE to the classes. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BENCHMARK 2022-B37: Fitch Assigns 'B-sf' Rating on Class H-RR Certs ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Benchmark 2022-B37 Mortgage Trust commercial mortgage pass-through certificates series 2022-B37 as follows: Entity/Debt Rating Prior ----------- ------ ----- BMARK 2022-B37 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)s E-RR LT BBB-sf New Rating BBB-(EXP)sf F-RR LT BB+sf New Rating BB+(EXP)sf G-RR LT BB-sf New Rating BB-(EXP)sf H-RR LT B-sf New Rating B-(EXP)sf J-RR LT NRsf New Rating NR(EXP)sf X-A LT AAAsf New Rating AAA(EXP)sf X-B LT WDsf Withdrawn A-(EXP)sf X-D LT BBBsf New Rating BBB(EXP) - 13,214,000 class A-1 'AAAsf'; Outlook Stable; - 120,920,000 class A-2 'AAAsf'; Outlook Stable; - 190,000,000 class A-4 'AAAsf'; Outlook Stable; - 243,284,000 class A-5 'AAAsf'; Outlook Stable; - $15,349,000 class A-SB 'AAAsf'; Outlook Stable; - $661,857,000 (a) class X-A 'AAAsf'; Outlook Stable; - $79,090,000 class A-S 'AAAsf'; Outlook Stable; - $41,626,000 class B 'AA-sf'; Outlook Stable; - $35,383,000 class C 'A-sf'; Outlook Stable; - $17,899,000 (a) class X-D 'BBBsf'; Outlook Stable; - $17,899,000 class D 'BBBsf'; Outlook Stable; - $19,564,000 (b) class E-RR 'BBB-sf'; Outlook Stable; - $11,448,000 (b) class F-RR 'BB+sf'; Outlook Stable; - $8,325,000 (b) class G-RR 'BB-sf'; Outlook Stable; - $7,284,000 (b) class H-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $29,139,276 (b) class J-RR. (a) Notional amount and IO. (b) Represents the "eligible horizontal interest". Since Fitch published its expected ratings on Oct. 17, 2022, the following changes have occurred: The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of classes A-4 and A-5 was expected to be approximately $433,284,000, subject to a variance of plus or minus 5%. The final class balances for classes A-4 and A-5 are $190,000,000 and $243,284,000, respectively. The classes above reflect the final ratings and deal structure. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. The ratings are based on information provided by the issuer as of Nov. 3, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 39 loans secured by 90 commercial properties having an aggregate principal balance of $832,525,276 as of the cutoff date. The loans were contributed to the trust by Citi Real Estate Funding Inc., German American Capital Corporation, Goldman Sachs Mortgage Company and JPMorgan Chase Bank, N.A. Midland Loan Services, a Division of PNC Bank, National Association, is expected to serve as the master servicer while Rialto Capital Advisors, LLC is expected to serve as special servicer. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 31.5% of the properties by balance, cash flow analyses of 85.6% of the pool and asset summary reviews on 100% of the pool. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 93.5% is lower than both the 2022 YTD and 2021 averages of 100.9% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.24x is below the 2022 YTD and 2021 averages of 1.34x and 1.38x, respectively, driven in large part by a higher average mortgage rate. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 98.3% and 1.21x, respectively. Below-Average Pool Diversification: The pool's 10 largest loans represent 56.4% of its cutoff balance, which is greater than the 2022 YTD and 2021 averages of 55.5% and 51.2%, respectively. This results in a Loan Concentration Index (LCI) score of 416, which is lower than the 2022 YTD averages of 423 and higher than the 2021 average of 381. Investment-Grade Credit Opinion Loans: The pool includes two loans, representing 14.71% of the cutoff balance, that received an investment-grade credit opinion. This is below both the 2022 YTD and 2021 averages of 16.5% and 13.3%, respectively. Minimal Amortization: Based on scheduled balances at maturity, the pool will pay down by only 0.5%, which is below the 2022 YTD and 2021 averages of 3.4% and 4.8%, respectively. Twenty-three loans representing 70.0% of the pool are full-term interest-only (IO) loans, and four loans (10.5% of the pool) are partial IO. There are twelve amortizing balloon loans (20.0% of the pool). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / 'CCCsf' / 'CCCsf'; - 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'Bsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; - 30% NCF Decline: 'BBB-sf' / 'BBsf' / '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 in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAsf' / 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'. 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. BENEFIT STREET XXVIII: S&P Assigns BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Benefit Street Partners CLO XXVIII Ltd./Benefit Street Partners CLO XXVIII 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 BSP CLO Management LLC, a subsidiary of Franklin Templeton. The preliminary ratings are based on information as of Nov. 8, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Benefit Street Partners CLO XXVIII Ltd./ Benefit Street Partners CLO XXVIII LLC Class A, $320.00 million: Not rated Class B-1, $41.30 million: AA (sf) Class B-2, $16.20 million: AA (sf) Class C (deferrable), $31.25 million: A (sf) Class D-1 (deferrable), $22.50 million: BBB (sf) Class D-2 (deferrable), $5.75 million: BBB- (sf) Class E (deferrable), $15.50 million: BB- (sf) Subordinated notes, $35.60 million: Not rated BNPP IP 2014-II: S&P Affirms BB+ (sf) Rating on Class D-R Notes --------------------------------------------------------------- S&P Global Ratings took various rating actions on three classes of notes from BNPP IP CLO 2014-II Ltd., a U.S. cash flow CLO transaction. S&P lowered its rating on the class E notes and removed the rating from CreditWatch, where S&P placed it with negative implications in August 2022. At the same time, S&P discontinued its rating on the class C-R notes and affirmed its rating on the class D-R notes. The rating actions follow its review of the transaction's performance data from the October 2022 trustee report. On the October 2022 payment date, the class C-R notes received full payment of principal and interest due, and therefore, the rating has been discontinued. The class D-R notes are now the controlling class and have received a paydown of $0.74 million. The affirmed 'BB+ (sf)' rating on class D-R reflects S&P's view that credit support is commensurate with this rating level, as the delevering from senior note paydowns is currently outweighed by the growing concentration risk and declining overall credit quality of the remaining portfolio. The amount of 'CCC' assets held in the portfolio has decreased by par to $17.81 million (as of the October 2022 trustee report) from $32.23 million (as of the August 2021 trustee report that S&P used in its November 2021 analysis); however, the 'CCC' bucket now represents more than 45% of the remaining portfolio. The trustee also reported an increase in defaulted assets to $2.84 million from $2.11 million over the same period. The deteriorated credit quality among the underlying portfolio, combined with the delevering of the senior tranches, has led to the following changes in the trustee-reported overcollateralization (O/C) ratios compared with the August 2021 report: -- The class D O/C ratio increased to 149.27% from 139.77%. -- The class E O/C ratio declined to 82.47% from 96.70%. S&P said, "We lowered our rating on the class E notes to 'CC (sf)' in line with our 'CC (sf)' rating definition, as there is now a virtual certainty of default for this class. Based on our analysis, the class E notes have resumed deferring interest and both the O/C and interest coverage ratios are underwater. In addition, the remaining portfolio has large concentration risks from lower-rated collateral, has assets that are trading at distressed prices, and is no longer well diversified. The decline in diversity results in insufficient subordination for this class to pass our application of the largest-obligor default test, which is a supplemental stress test included as part of our corporate collateralized debt obligation criteria. "As this transaction has paid down significantly and is left with only approximately 20 performing obligors, the current portfolio is now highly concentrated. Given the lack of diversification, we did not generate cash flows. Instead, our analysis and rating decision examined other metrics such as the credit quality of the remaining assets that support the rated notes, the remaining life of the transaction, the paydown history, and, on a qualitative basis, the possibility of the collateral manager monetizing the existing equity positions that the transaction holds (that are not included in the principal balance). "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." Rating Lowered And Removed From CreditWatch BNPP IP CLO 2014-II Ltd. Class E to 'CC (sf)' from 'CCC+ (sf)/Watch Neg' Rating Withdrawn BNPP IP CLO 2014-II Ltd. Class C-R to NR from 'AA+ (sf)' Rating Affirmed BNPP IP CLO 2014-II Ltd. Class D-R: BB+ (sf) NR--Not rated. CAPITALSOURCE REAL 2006-A: S&P Affirms 'CCC-' Rating on E Notes --------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class F, G, H, and J notes from CapitalSource Real Estate Loan Trust 2006-A, a U.S. commercial real estate collateralized debt obligation (CRE-CDO) transaction, and removed the ratings on the class F, G, and H notes from CreditWatch with negative implications. At the same time, S&P affirmed its ratings on the class C, D, and E from the same transaction. The rating actions follow its review of the transaction's performance using data from the Oct. 14, 2022, trustee report. The deteriorated credit quality among the underlying portfolio combined with some par loss has led to the following declines in the trustee-reported overcollateralization (O/C) ratios compared with November 2016 trustee report: -- The class C, D, and E par value test declined to 109.04% (the minimum requirement is 111.55%) from 154.33%. -- The class F, G, and H par value test declined to 59.92% (the minimum requirement is 105.00%) from 106.25%. As of the Oct. 14, 2022, trustee report, the transaction is currently passing its class C, D, and E interest coverage test, but is failing its class C, D, and E par value test. Additionally, the transaction is failing its class F, G, and H interest coverage test and its class F, G, and H par value test. As this transaction has paid down significantly, the current portfolio is no longer well diversified and is now highly concentrated. Additionally, most of the assets require yearly modification to extend their maturities instead of the assets maturing and paying down. S&Ps aid, "Given the lack of diversification and the modifications to the assets, we did not generate cash flows. Instead, our analysis and rating decisions examined other metrics such as the credit quality of the remaining assets that support the rated notes, the remaining life in the transaction, and the paydown history." S&P said, "For tranches with ratings of 'B-' or lower, we rely primarily on our 'CCC' criteria and guidance. While the class D and E notes are currently vulnerable to non-payment and dependent on favorable conditions, there is not yet a virtual certainty of default. "For the class F, G, H, and J notes, the credit support has been determined to be insufficient for these classes. With the continued deferral of interest and deterioration in credit support for the class F, G, H, and J notes, we now believe the total value of the assets is not sufficient to cover the principal and deferred interest balance for this class. Therefore, we lowered the rating on class F, G, H, and J to 'D (sf)' as per our ratings definition because we believe there is a virtual certainty of nonpayment." The affirmed ratings reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could results in further ratings changes. S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. Ratings Lowered And Removed From CreditWatch Negative CapitalSource Real Estate Loan Trust 2006-A Class F: to 'D (sf)' from 'CCC- (sf)/Watch negative' Class G: to 'D (sf)' from 'CCC- (sf)/Watch negative' Class H: to 'D (sf)' from 'CCC- (sf)/Watch negative' Rating Lowered CapitalSource Real Estate Loan Trust 2006-A Class J: to 'D (sf)' from 'CC (sf)' Ratings Affirmed CapitalSource Real Estate Loan Trust 2006-A Class C: 'B- (sf)' Class D: 'CCC- (sf)' Class E: 'CCC- (sf)' CITIGROUP MORTGAGE 2022-RP5: Fitch Gives 'Bsf' Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to Citigroup Mortgage Loan Trust 2022-RP5 (CMLTI 2022-RP5). Entity/Debt Rating Prior ----------- ------ ----- CMLTI 2022-RP5 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT AAsf New Rating AA(EXP)sf A-4 LT Asf New Rating A(EXP)sf A-5 LT BBBsf New Rating BBB(EXP)sf M-1 LT Asf New Rating A(EXP)sf M-2 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 B-4 LT NRsf New Rating NR(EXP)sf B-5 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf SA LT NRsf New Rating NR(EXP)sf PT LT NRsf New Rating NR(EXP)sf PT-1 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has rated the residential mortgage-backed notes to be issued by Citigroup Mortgage Loan Trust 2022-RP5 (CMLTI 2022-RP5), as indicated above. The notes are supported by two collateral groups consisting of 1,705 seasoned performing loans (SPLs) and reperforming loans (RPLs), with a total balance of approximately $322 million, including $26.7 million, or 8.3%, of the aggregate pool balance in noninterest-bearing deferred principal amounts as of the cutoff date. Distributions of P&I and loss allocations are based on a traditional, senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicer will not advance delinquent monthly payments of P&I. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.7% above a long-term sustainable level versus 12.2% on a national level. Underlying fundamentals are not keeping pace with growth in home prices, which is the result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 15.8% yoy nationally as of July 2022. Distressed Performance History (Negative): The collateral pool consists primarily of peak-vintage SPLs and RPLs. Of the pool, 2.9% was 30 days delinquent as of the cutoff date, and 28.8% of the loans are current but have had delinquencies within the past 24 months. Additionally, 96.6% of the loans have a prior modification. Fitch increased its loss expectations to account for the delinquent loans and loans with prior delinquencies. See the Asset Analysis section for additional information. Low Leverage (Positive): The pool consists of loans with a weighted average (WA) original combined loan-to-value (CLTV) ratio of 86.7%. All loans received updated property values, translating to a WA current (MtM) CLTV ratio of 51.4% and sustainable LTV of 58.5% at the base case. This reflects low leverage borrowers and is stronger than in recently rated SPL/RPL transactions. Sequential-Pay Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to reallocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. No Servicer P&I Advances (Mixed): The servicer will not advance delinquent monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level loss severity (LS) is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AAsf' rated classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper 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 42.6% at 'AAA'. The analysis indicates there is some potential for rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10.0% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10.0% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential for positive rating migration for all of the rated classes. Specifically, a 10.0% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC. The third-party due diligence review was completed on 100% of the loans in this transaction. The scope of the due diligence review was consistent with Fitch criteria for seasoned collateral. All loans are seasoned at 24 months or more and are subject to a due diligence scope that primarily tests for compliance with lending regulations. However, 228 loans received a credit and property valuation review in additional to a regulatory compliance review. All loans received an updated tax and title search and review of servicing comments. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments: increased the LS due to HUD-1 issues, missing modification agreements, material TRID exceptions, as well as delinquent taxes and outstanding liens. These adjustments resulted in an increase in the 'AAAsf' expected loss of approximately 37bps. COMM MORTGAGE 2016-DC2: Fitch Affirms CCC Ratings on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of COMM Mortgage Trust, commercial mortgage pass-through certificates, series 2016-DC2 (COMM 2016-DC2). The Outlooks on classes D, E and X-C have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2016-DC2 Mortgage Trust A-4 12594CBE9 LT AAAsf Affirmed AAAsf A-5 12594CBF6 LT AAAsf Affirmed AAAsf A-M 12594CBH2 LT AAAsf Affirmed AAAsf A-SB 12594CBD1 LT AAAsf Affirmed AAAsf B 12594CBJ8 LT AA-sf Affirmed AA-sf C 12594CBK5 LT A-sf Affirmed A-sf D 12594CAL4 LT BBsf Affirmed BBsf E 12594CAN0 LT Bsf Affirmed Bsf F 12594CAQ3 LT CCCsf Affirmed CCCsf X-A 12594CBG4 LT AAAsf Affirmed AAAsf X-C 12594CAC4 LT BBsf Affirmed BBsf X-D 12594CAE0 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Improved Loss Expectations: Overall pool performance and loss expectations have improved since Fitch's last rating action. The Outlook revisions to Stable from Negative reflect performance stabilization of properties affected by the pandemic. Fitch has identified eleven Fitch Loans of Concern (FLOCs; 31.6% of pool), including two loans in special servicing (2.1%). Fitch's current ratings incorporate a base case loss of 6.4%. Largest Contributor to Loss: The largest contributor to loss is the Columbus Park Crossing loan (5.5%), which is secured by a 638,028-sf anchored retail center located in Columbus, GA, approximately 100 miles from Atlanta. This Fitch Loan of Concern was flagged due to a low occupancy, declining cash flow and low DSCR. Occupancy was 69% as of June 2022, compared with 68% in June 2021, 68% in March 2020 and 71.5% in September 2018. Property occupancy remains low after collateral tenants Sears (previously 22.2% of NRA) and Toys R Us (7.7%) closed in 2017 and 2018, respectively, after filing for bankruptcy. Per the servicer, no co-tenancy clauses were triggered by the closures. Two new leases were signed for the previously vacated Toys R Us space. Burlington Coat Factory's lease commenced in June 2022 for 4.4% of NRA that will run through May 2032 and Conn's lease commenced in June 2022 for 3.1% NRA and will run through May 2032. According to servicer updates, there are multiple tenants interested in the vacated Sears space. Major tenants include AMC Classic Columbus Park (13.2% NRA; September 2023 EXP), Haverty Furniture Company (5.2% NRA; December 2025 EXP) and Ross Dress for Less (4.7% NRA; January 2023 EXP). Upcoming rollover includes 11.8% (eight leases) in 2022 and 35.2% (14 leases) in 2023. The 2023 rollover is mostly concentrated in the lease expirations of major tenants AMC Classic Columbus Park and Ross Dress for Less. Fitch's base case loss of 39% is based on the YE 2021 NOI with credit for recently signed leases and a 15% cap rate. The next largest contributor to loss is the specially serviced Colony Square Atascadero asset (1.1%), which is a 47,543-sf retail property located in Atascadero, CA. The largest tenant at the property was Galaxy Theatre (73% NRA). The tenant was then replaced by a new movie theatre on a long-term lease. According to servicer updates, the borrower has submitted several workout proposals; however, none have been viable. Fitch modeled a loss of approximately 55%, which reflects a value of $106 psf. Slight Increase in Credit Enhancement: As of the October 2022 distribution date, the pool's aggregate principal balance was reduced by 19% to $651.1 million from $806.2 million at issuance. There have been no realized losses to date to and interest shortfalls are currently affecting only class H. The increase in credit enhancement is attributed to loan payoffs, amortization and defeasance. 18 loans (23% of the pool balance) have been defeased. Five loans (25%) are full-term interest-only, and no loans remain in their partial interest-only periods. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-4 through C are not likely due to their increasing CE, overall stable pool performance and expected continued paydown; however, downgrades to these classes may occur should interest shortfalls affect these classes. Further downgrades to class D, and E would occur if loss expectations increase significantly and/or if CE is eroded due to realized losses also if the performance of the FLOCs fail to stabilize. Further downgrades to the distressed class F would occur as losses are 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 minimal impact to ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to the 'AA-sf' and 'A-sf' category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loan(s) could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The 'BBsf', 'Bsf' and 'CCCsf' rated classes are unlikely to be upgraded absent significant performance improvement and/or higher recoveries than expected on the 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. CSMC TRUST 2017-PFHP: S&P Affirms B (sf) Rating on Class E Certs ---------------------------------------------------------------- S&P Global Ratings affirmed its ratings on seven classes of commercial mortgage pass-through certificates from CSMC Trust 2017-PFHP, a U.S. CMBS transaction. The transaction is backed by a floating-rate, interest-only (IO) mortgage loan secured by a portfolio of 20 limited service, select-service, full-service, and extended-stay hotels totaling 2,461 guestrooms in six U.S. states. Rationale The affirmations of the class A, B, C, D, E, and F principal- and interest-paying certificates reflect our re-evaluation of the lodging portfolio that secures the sole loan in the transaction. S&P's analysis included a review of the most recent available financial performance data provided by the servicer, particularly the improvement in the servicer's reported net cash flow (NCF) following the pandemic, when NCF dropped to $4.0 million in 2020. NCF was $12.2 million as of the six months ended June 30, 2022, $18.3 million as of the trailing 12 months (TTM) ended March 31, 2022, and $15.4 million in 2021. The servicer's most recent reported NCF of $18.3 million as of the TTM ended March 31, 2022, is 11.5% below the 2019 pre-pandemic NCF level of $20.7 million. It is also 4.2% below our NCF assumption of $19.1 million as of S&P's last review in August 2020 and at issuance in December 2017. In addition, the borrowers' 2022 budget projects that NCF will reach $21.4 million this year. As corporate transient demand strengthens, we expect that the portfolio's NCF will continue to steadily rebound. S&P said, "As a result, our expected-case value remains unchanged at $168.0 million ($68,273 per guestroom) since our last review, but it is down 11.3% since issuance. The strong financial performance as of the six months ended June 30, 2022, and the TTM ended March 31, 2022, support our rationale for maintaining our value at this time. In our last review, we increased our capitalization rate by 126 basis points to 11.25% from 9.99% at issuance to account for the COVID-19 pandemic's adverse effects on the portfolio's operating performance. This yielded an S&P Global Ratings loan-to-value (LTV) ratio of 142.8%, compared with 126.7% at issuance and unchanged from our last review." Although the model-indicated ratings on classes A, B, C, and D were lowered than the classes' current rating levels, S&P affirmed the ratings because it weighed certain qualitative considerations. These included: -- The potential that the operating performance of the lodging portfolio could improve above S&P's expectations, -- The significant market value decline that would be needed before these classes experience losses, -- The liquidity support provided in the form of servicer advancing, and -- The relative position of these classes in the payment waterfall. The loan had a reported current payment status through its October 2022 debt service payment date, but it was transferred back to the special servicer on July 21, 2022, due to imminent maturity default. The loan matures on Dec. 9, 2022, and the borrowers have no extension options remaining. However, the borrowers have requested a three-year extension of the loan's maturity date to Dec. 9, 2025, due to uncertain prevailing market conditions. The special servicer, Trimont Real Estate Advisors LLC, indicates that it is in discussion with the borrowers and expects a resolution prior to the loan's current maturity date. Trimont also informed S&P's that updated appraisal reports have been ordered but are still in progress. The portfolio was appraised at $298.1 million ($121,130 per guestroom) on an "as is" aggregate basis and at $326.0 million ($132,466 per guestroom) on a "as is" portfolio basis at issuance. S&P said, "We will continue to monitor the loan's resolution strategy and timing, as well as the release of the updated appraisal values. To the extent future developments differ meaningfully from our underlying assumptions, we may revisit our analysis and take rating actions as we deem necessary." S&P said, "Our affirmation on the class F certificates also reflects our view that, based on an S&P Global Ratings' LTV ratio greater than 100%, the class remains susceptible to reduced liquidity support, and the risk of default and losses remain elevated under the market conditions. "Our affirmation on the class X-EXT IO certificates reflects our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The class X-EXT notional amount references the A-2 portion of the class A certificates." Portfolio-Level Analysis The collateral portfolio consists of 20 limited service, select-service, full-service, and extended-stay hotels totaling 2,461 guestrooms. The properties are located in six U.S. states: Michigan (four hotels; 25.7% of the allocated loan amount [ALA]), Indiana (four; 17.9%), Florida (three; 16.0%), Illinois (three; 15.8%), Texas (four; 14.2%), and Colorado (two; 10.4%). The portfolio is located in various markets, as defined by S&P Global Ratings: -- Four hotels (20.7% of ALA) are located in primary markets (Chicago and Dallas); -- Twelve hotels (64.0%) are in secondary markets (Detroit, Mich.; Tampa, Fla.; Indianapolis, Ind.; Austin, Tex.; San Antonio, Tex.; and Gary, Ind.); and -- Four hotels (15.3%) are in tertiary markets (Grand Junction, Colo. and Grand Rapids, Mich.). The hotels all operate under franchise agreements with Hilton, Marriott, and Intercontinental that were extended in 2015 and expire between 2027 and 2035. The fees vary by brand, but they all consist of monthly royalty, franchise, or license fees equal to 5.0%-6.0% of gross room revenue and/or 3.0% of gross food and beverage sales; monthly reservation services fees determined by each franchisor; and monthly marketing service fees equal to 1.0%-4.0% of gross room revenue. The portfolio consists of eight brands: Residence Inn (27.1% of ALA), Courtyard (25.8%), Marriott (12.5%), Springhill Suites (10.7%), Fairfield Inn & Suites (9.2%), Homewood Suites (8.0%), Holiday Inn (4.7%), and Hampton Inn (2.0%). The hotel portfolio was managed by White Lodging Services Corp. at issuance. However, in 2018, White Lodging conveyed its management agreements to Interstate Hotels & Resorts, which merged with the current manager of the portfolio, Aimbridge Hospitality, in 2019. The manager receives a base management fee of 3.5% of gross revenues and an incentive management fee of 15.0% of any amount exceeding operating profit. The borrowers' sponsor is a joint venture between PIMCO Bravo Fund II L.P. and Fulcrum Hospitality Properties LLC. They acquired the portfolio in February 2015 from affiliates of RLJ Lodging Trust for approximately $230.3 million ($93,580 per guestroom) and invested approximately $42.2 million ($17,144 per guestroom) on property improvement plans and capital improvements between 2015 and September 2017. The sponsors did not provide additional information regarding ongoing or future capital expenditures during S&P's current review. S&P said, "Our property-level analysis included a reevaluation of the lodging portfolio that secures the sole loan in the transaction, using the servicer-provided operating statements from 2018 through June 30, 2022. We also utilized the July 2022 STR reports and the borrowers' 2022 budget to supplement our analysis." The portfolio's reported RevPAR was stable prior to the start of the COVID-19 pandemic in March 2020, at $82.29 in 2019, $82.93 in 2018, and $85.02 in 2017. However, it fell 50.9% to $40.41 at the onset of the pandemic in 2020 before rebounding to $64.43 in 2021 and then to $71.03 as of the TTM ended March 31, 2022. According to the borrowers' operating statements, RevPAR for the six months ended June 2022 was $76.96. The portfolio's reported NCF was $20.7 million in 2019, $19.6 million in 2018, and $22.5 million in 2017. However, it dropped 80.7% to $4.0 million in 2020 due to the severely depressed occupancy and average daily rate (ADR), which fell to 45.0% and $89.75, respectively, from 74.2% and $110.92 in 2019. However, occupancy, ADR, and NCF increased to 65.5%, $108.44, and $18.3 million, respectively, as of the TTM ended March 31, 2022, and 64.2%, $100.38, and $15.4 million in 2021 due to stronger leisure demand following the rollout of the COVID-19 vaccine and easing government-mandated restrictions. According to the July STR reports, eight properties (41.4% of ALA) have a RevPAR penetration rate (which measures the RevPAR of the hotel relative to its competitors, with 100% indicating parity with competitors) of over 100%. Six hotels (30.1% of ALA) have a RevPAR penetration rate of 90.5% to 99.2%, while the remaining six (28.5%) have a RevPAR penetration rate of 73.9% to 87.9%. S&P said, "Our sustainable NCF at issuance and currently is $19.1 million, which is based on a 72.5% occupancy rate, $106.00 ADR, and $76.85 RevPAR. Our NCF is about 7.7% below the 2019 servicer reported NCF and only 4.4% above the most recent reported NCF as of the TTM ended March 2022. The borrowers' 2022 budget projects 73.9% occupancy, $114.00 ADR, and $84.30 RevPAR, which result in a budgeted NCF of $21.4 million for the year. Favorably, the portfolio performance as of June 2022 appears to be in line with the budgeted performance. The NCFs as of the 2022 budget and six months ended June 2022 are generally in line with our expected case NCF. In addition, the servicer reported debt service coverage was 2.11x as of the TTM ended March 31, 2022, up from 1.78x in 2021." Transaction Summary This is a U.S. stand-alone (single borrower) CMBS transaction backed by a floating rate, IO mortgage loan, secured by the borrowers' fee simple interest and operating leasehold interests in a portfolio of 20 lodging properties totaling 2,461 guestrooms in six U.S. states. According to the Oct. 17, 2022, trustee remittance report, the loan has a trust and whole loan balance of $240.0 million, the same as at issuance and the last review. The loan had an initial term of two years, with three one-year extension options. The IO loan pays an annual floating interest rate of LIBOR plus 3.45% and is scheduled to mature on Dec. 9, 2022, with no extension options remaining. To date, the trust has not incurred any principal losses. The loan was transferred back to special servicing on July 21, 2022, due to imminent maturity default. According to the October 2022 trustee remittance report, class HRR (which is not rated by S&P Global Ratings) incurred a monthly interest shortfall of $50,000 due to special servicing fees and has accumulated interest shortfalls outstanding totaling $196,582, mainly attributable to special servicing fees and other expenses. S&P expects the borrowers to repay the outstanding special servicing fees as part of the loan workout. In addition, the loan was previously transferred to special servicing on June 12, 2020, due to payment default. The borrowers were delinquent on their May, June, and July 2020 debt service payments and requested COVID-19 forbearance relief. The special servicer, Trimont, approved the borrowers' request for forbearance of the May 2020 through October 2020 debt service payments. Among other things, the forbearance agreement also required the borrowers to make an initial $1.0 million reserve deposit and ongoing deposits into the tax and insurance escrows. However, furniture, fixtures, and equipment deposits were waived through December 2020, and unpaid interest is due at loan maturity. The loan was returned to the master servicer on Oct. 8, 2021. Ratings Affirmed CSMC Trust 2017-PFHP Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: B (sf) Class F: CCC (sf) Class X-EXT: AAA (sf) DIAMOND ISSUER 2021-1: Fitch Affirms 'BB-sf' Rating on Cl. C Notes ------------------------------------------------------------------ Fitch Ratings has affirmed Diamond Issuer LLC Fixed Rate Cellular Site Revenue Notes, Series 2021-1. Entity/Debt Rating Prior ----------- ------ ----- Diamond Issuer LLC Fixed Rate Cellular Site Revenue Notes, Series 2021-1 Class A 25267TAN1 LT Asf Affirmed Asf Class B 25267TAQ4 LT BBB-sf Affirmed BBB-sf Class C 25267TAS0 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY The transaction is an issuance of notes backed by mortgages representing over 90% of the annualized run rate net cash flow (ARRNCF) on the tower sites, and guaranteed by the direct parent of the borrower issuer. This guarantee is secured by a pledge and first-priority-perfected security interest in 100% of the equity interest of the borrowers, which own or lease 1,084 wireless communication sites (towers and the tenant leases) and mortgages on applicable sites (no less than 90% of ARRNCF); and the capacity use and service agreements and any and all associated rights, remedies and proceeds, including the exclusive and perpetual relationship with FirstEnergy Corp.'s (FE) 10 utility subsidiaries to sublease FE transmission and communication towers, and FE controlled property. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in cellular sites, not an assessment of the corporate default risk of the ultimate parent, Diamond Communications LLC not rated (NR) by Fitch, which is also the transaction manager. This transaction is the fifth ABS transaction managed by Diamond. KEY RATING DRIVERS Net Cash Flow and Trust Leverage: The Fitch net cash flow (NCF) on the pool is $37.1 million, approximately 0.5% above the issuer net cash flow. The debt multiple relative to Fitch's NCF on the rated classes is 11.8x and increases to 12.3x including the non-offered risk retention class R notes. Credit Risk Factors: The major factors impacting Fitch's determination of cash flow and Maximum Potential Leverage (MPL) include: the large and diverse collateral pool, creditworthy customer base with limited historical churn, capability of the operator, strong and differentiated asset locations, limited operational requirements, high barriers to entry and transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for tower space, similar to most wireless tower transactions, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date over 25 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology — rendering obsolete the current transmission of wireless signals through cellular sites — will be developed. Wireless service providers (WSPs) currently depend on towers to transmit their signals and continue to invest in this technology. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow as a result of higher site expenses or lease churn, or the development of an alternative technology for the transmission of wireless signal could lead to downgrades. Factors that could, individually or collectively, lead to positive rating action/upgrade: Increasing cash flow without an increase in corresponding debt, from contractual lease escalators, new tenant leases, or lease amendments could lead to upgrades; Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. ESG CONSIDERATIONS Diamond Issuer LLC 2021-1 Secured Site Revenue Notes has an ESG Relevance Score of '4' for Transaction & Collateral Structure due to due to several factors, including the issuer's ability to issue additional notes, 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. FIRST INVESTORS 2021-2: S&P Affirms BB-(sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its ratings on 13 classes from five First Investors Auto Owner Trust transactions. At the same time, S&P affirmed its ratings on 13 classes from all six transactions under review. The transactions' collateral pools comprise auto loan receivables that were originated to mainly subprime borrowers. S&P said, "The rating actions reflect each transaction's collateral performance to date, our views regarding future collateral performance, and each transaction's structure, credit enhancement levels, and remaining cumulative net loss (CNL) expectations. Our analysis also incorporated secondary credit factors, such as credit stability and sector- and issuer-specific analyses. "Our analysis includes our view of the latest developments, including our most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. Considering all these factors, we believe the notes' creditworthiness is consistent with the raised and affirmed ratings." Table 1 Collateral Performance (%)(i) Pool Current 60+ days Series Month factor CNL delinq. 2018-2 47 12.24 6.58 6.73 2019-1 42 14.00 5.33 4.76 2019-2 36 20.56 4.54 5.42 2020-1 31 21.57 4.05 6.07 2021-1 21 38.66 2.72 5.70 2021-2 14 58.21 2.87 5.30 (i)As of the October 2022 distribution date. CNL--Cumulative net loss. Delinq.--Delinquencies. Table 2 CNL Expectations (%) Initial Prior Current lifetime lifetime lifetime Series CNL exp. CNL exp. CNL exp.(i) 2018-2 12.00 7.00 Up to 6.75 2019-1 10.00 6.50 Up to 6.00 2019-2 11.00 6.50 6.50 2020-1 11.00 6.50 6.50 2021-1 12.00 N/A 8.75 2021-2 10.00 N/A 10.00 (i)As of the October 2022 distribution date. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction has a sequential principal payment structure in which the notes are paid principal by seniority, as well as credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The hard credit enhancement for each transaction is at the specified target or floor. The credit enhancement levels have increased for all of the outstanding classes as a percentage of their current collateral balances and are a major consideration behind the upgrades and affirmations. Table 3 Hard Credit Support (%)(i) As of the October 2022 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%) (% of current) 2018-2 D 11.85 95.58 2018-2 E 6.80 54.31 2018-2 F 2.40 18.36 2019-1 C 15.08 107.76 2019-1 D 8.34 59.56 2019-1 E 4.34 30.99 2019-1 F 2.00 14.29 2019-2 C 14.30 71.99 2019-2 D 7.60 39.39 2019-2 E 4.15 22.60 2019-2 F 1.50 9.73 2020-1 C 14.85 71.37 2020-1 D 7.85 38.91 2020-1 E 4.35 22.68 2020-1 F 1.50 9.46 2021-1 A 27.75 74.28 2021-1 B 20.25 54.88 2021-1 C 11.50 32.25 2021-1 D 8.00 23.19 2021-1 E 4.25 13.49 2021-1 F 1.50 6.38 2021-2 A 24.75 45.52 2021-2 B 18.00 33.92 2021-2 C 9.75 19.75 2021-2 D 4.50 10.73 2021-2 E 1.50 5.58 (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 incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for those classes for which hard credit enhancement alone without credit to the expected excess spread was sufficient, in our view, to raise the ratings to, or affirm the ratings at, 'AAA (sf)'. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to 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. "In addition to 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 the classes all have adequate credit enhancement at the raised or affirmed rating levels. "We will continue to monitor the performance of the outstanding transactions to ensure the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." RATINGS RAISED First Investors Auto Owner Trust Rating Series Class To From 2018-2 E AAA (sf) AA+ (sf) 2018-2 F AA+ (sf) A+ (sf) 2019-1 D AAA (sf) AA+ (sf) 2019-1 E AA+ (sf) A (sf) 2019-1 F AA (sf) BBB- (sf) 2019-2 D AAA (sf) AA- (sf) 2019-2 E A+ (sf) BBB+ (sf) 2020-1 D AAA (sf) AA- (sf) 2020-1 E A- (sf) BBB+ (sf) 2021-1 B AAA (sf) AA (sf) 2021-1 C A+ (sf) A (sf) 2021-1 D BBB+ (sf) BBB (sf) 2021-1 E BB (sf) BB- (sf) RATINGS AFFIRMED First Investors Auto Owner Trust Series Class Rating 2018-2 D AAA (sf) 2019-1 C AAA (sf) 2019-2 C AAA (sf) 2019-2 F BB+ (sf) 2020-1 C AAA (sf) 2020-1 F BB (sf) 2021-1 A AAA (sf) 2021-1 F B (sf) 2021-2 A AAA (sf) 2021-2 B AA (sf) 2021-2 C A (sf) 2021-2 D BBB (sf) 2021-2 E BB- (sf) FLAGSHIP CREDIT 2022-4: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Flagship Credit Auto Trust 2022-4's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 42.84%, 37.38%, 28.60%, 23.06%, and 17.78% credit support--hard credit enhancement and haircut to excess spread--for the class A (collectively, 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 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x coverage of S&P's expected net loss of 11.50% 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 the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under its stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned ratings. -- The collateral characteristics of the subprime automobile loans in this transaction, 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 UMB Bank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Flagship Credit Acceptance LLC as servicer, along with its view of the company's underwriting and the backup servicing arrangement with UMB Bank. -- 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. Ratings Assigned Flagship Credit Auto Trust 2022-4 Class A-1, $48.20 million: A-1+ (sf) Class A-2, $165.00 million: AAA (sf) Class A-3, $52.66 million: AAA (sf) Class B, $28.14 million: AA (sf) Class C, $45.78 million: A (sf) Class D, $25.62 million: BBB (sf) Class E, $35.70 million: BB- (sf) FORTRESS CREDIT XVI: Moody's Assigns (P)B3 Rating to Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued and one class of loans to be incurred by Fortress Credit BSL XVI Limited (the "Issuer" or "Fortress Credit BSL XVI"). Moody's rating action is as follows: US$126,500,000 Class A-1 Loans maturing 2035, Assigned (P)Aaa (sf) US$94,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$27,500,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Assigned (P)Aaa (sf) US$500,000 Class F Deferrable Mezzanine Floating Rate Notes due 2035, Assigned (P)B3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." On the closing date, the Class A-1 Notes and Class A-1 Loans have a principal balance of $94,000,000 and $126,500,000, respectively. At any time, the Class A-1 Loans may be converted in whole or in part to Class A-1 Notes, thereby decreasing the principal balance of the Class A-1 Loans and increasing, by the corresponding amount, the principal balance of the Class A-1 Notes. The aggregate principal balance of the Class A-1 Loans and Class A-1 Notes will not exceed $220,500,000, less the amount of any principal repayments. Neither Class A-1 Notes nor any other Notes may be converted into Class A-1 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 XVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 7.5% of the portfolio may consist of first lien last out loans, second lien loans, senior unsecured loans, senior secured bonds and senior secured notes. Moody's expect the portfolio to be approximately 100% ramped as of the closing date. FC BSL CLO Manager II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's four year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer will issue five classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3150 Weighted Average Spread (WAS): SOFR+ 4.10% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated 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. GOODLEAP SUSTAINABLE 2022-4: S&P Assigns 'BB+' Rating on C Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to GoodLeap Sustainable Home Solutions Trust 2022-4's sustainable home improvement loan-backed series 2022-4 notes. The note issuance is an ABS securitization backed by an underlying trust certificate representing an ownership interest in the trust, whose assets consist of more than 99% residential solar loans and less than 1% other types of sustainable home improvement loans, totaling $390 million. The ratings reflect S&P's view of: -- The credit enhancement available in the form of overcollateralization, a yield supplement overcollateralization amount, subordination for classes A and B, and two fully funded cash reserve accounts; -- The servicer's operational, management, and servicing abilities; -- The obligor base's initial credit quality; -- The projected cash flows supporting the notes; and -- The transaction's structure. Ratings Assigned GoodLeap Sustainable Home Solutions Trust 2022-4 Class A, $239.778 million: A (sf) Class B, $14.828 million: BBB (sf) Class C, $16.780 million: BB+ (sf) JP MORGAN 2013-C10: Fitch Lowers Class F Cert. Rating to 'CCsf' --------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2013-C10. The Rating Outlooks for two classes have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2013-C10 A-5 46639JAE0 LT AAAsf Affirmed AAAsf A-S 46639JAH3 LT AAAsf Affirmed AAAsf A-SB 46639JAF7 LT AAAsf Affirmed AAAsf B 46639JAJ9 LT AA-sf Affirmed AA-sf C 46639JAK6 LT A-sf Affirmed A-sf D 46639JAL4 LT BBB-sf Affirmed BBB-sf E 46639JAP5 LT CCCsf Downgrade Bsf F 46639JAR1 LT CCsf Downgrade CCCsf X-A 46639JAG5 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades of classes E and F reflect Fitch's increased loss expectations since the last rating action due to underperformance of Fitch Loans of Concern (FLOC) and prolonged workouts for two assets/loans that remain in special servicing. The Negative Outlooks on classes C and D reflect the potential for further performance declines and concerns with refinanceability for the FLOCs. Fitch has designated 10 loans (42.4%) as Fitch Loans of Concern (FLOCs), including the two specially serviced loans (9.4%). Six of the top-15 loans are designated as FLOCs (36.8% of the pool). Fitch's ratings incorporate a base case loss of 10.4%. The largest increase in loss expectations since Fitch's prior rating action is Gateway Center (15.2%), the largest loan in the pool, which is secured by an urban office property comprised of four multi-tenant office buildings totaling 1,469,936 square feet located in Pittsburgh, PA. The buildings, which range in size from 20-stories to 25-stories, are interconnected to an underground parking garage with approximately 885 parking spaces. The loan is designated as a FLOC given declining performance and refinance risk associated with the loan's January 2023 maturity. Occupancy has declined to 67% as of March 2022 from 82% at YE 2019. As a result, the YE 2021 NOI reported 21% below YE 2020 and is 25% below the issuers underwritten NOI. A cash trap has been implemented due to low DSCR, reporting at 1.07x as of TTM ended March 2022. Fitch's loss expectations of 17% reflect a 10% cap rate and a 5% NOI haircut to the YE 2021 NOI. Specially Serviced Loans: The largest loan in special servicing and largest contributor to expected losses is West County Center (7.9%), which is a 1.2 million-sf regional mall located in St. Louis. Although the loan remains current, the loan transferred to special servicing in April 2020 due to imminent monetary default at the borrower's request due to pandemic-related hardship. Concerns of term default remain following the sponsor, CBL, filing for bankruptcy in November 2020; TIAA-CREFF is also a 50% sponsor. Performance metrics have improved slightly with the June 2022 debt service coverage ratio and occupancy reported to be 1.57x and 96%, respectively, compared with 1.23x and 95%, respectively, at YE 2020. Fitch considers the risk of maturity default high given the subject's declining sales trends and the volume of nearby competition with heavy tenant overlap. The loan is scheduled to mature in December 2022. The servicer reports that discussions with the borrower are ongoing regarding the upcoming maturity. Fitch's loss expectations of approximately 50% reflect a 17% cap rate on the YE 2021 NOI. Fashion Outlets of Santa Fe (1.5%), the second specially serviced loan, is a 124,504-sf outlet mall located 10 miles southwest of downtown Santa Fe, NM. The asset transferred to special servicing in April 2017, and a foreclosure sale was completed in May 2018. Occupancy at the property declined to 38% as of July 2022, and there has been minimal leasing activity. Exposure continues to grow and Fitch expects losses from the disposition of this asset to be significant with minimal recovery. The remaining FLOCs consist of office, retail and one hotel loan that have experienced performance declines ahead of their respective maturities. Defeasance/Improved Credit Enhancement Since Issuance: Credit enhancement has improved since issuance from paydown and defeasance. Five loans (15.9%) are fully defeased, including three loans in the top 15 (13.2%). As of the October 2022 distribution date, the pool's aggregate balance has been reduced by 49.3% to $648.4 million from $1.3 billion at issuance. Interest shortfalls are currently affecting the NR class. Only two loans (6.2% of the pool) are full-term interest-only, and the remaining 23 loans are amortizing. Alternative Loss Considerations: Due to upcoming maturities (100% of the pool matures by March 2023), Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. This analysis contributed to the downgrades to classes E and F and the Negative Outlooks on classes C and D. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-5 through A-S and interest-only X-A are not likely due to the continued expected amortization, position in the capital structure and repayment from loans expected to refinance at maturity, but may occur should interest shortfalls affect these classes. A downgrade to class B is possible if performing loans fail to repay at their respective maturities and experience losses. Downgrades to classes C and D are also at risk of downgrade should loans fail to repay at their respective maturity. Other factors that would contribute to a downgrade of these classes include overall pool losses increasing from continued underperformance of the FLOCs, additional loans default and/or transfer to special servicing and higher losses than expected are incurred on the specially serviced loans/assets. Downgrades to distressed classes E and F would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance coupled with additional paydown and/or defeasance. Upgrades to classes B, C and D may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations, or the underperformance of the FLOCs could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. Upgrades to classes E and F are not currently expected given high loss expectations from the specially serviced loans/assets and refinance risk for other FLOCs that are nearing their respectively maturities. 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. LAKE SHORE V: S&P Assigns Prelim BB- (sf) Rating on Cl. C Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Lake Shore MM CLO V LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by First Eagle Alternative Credit LLC. The preliminary ratings are based on information as of Nov. 9, 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 Lake Shore MM CLO V LLC Class X, $20.85 million: AAA (sf) Class A-1 loans, $270.00 million: A (sf) Class A-2 loans, $30.00 million: A (sf) Class B (deferrable), $22.50 million: BBB- (sf) Class C (deferrable), $27.50 million: BB- (sf) Variable dividend notes, $50.00 million: Not rated MAD COMMERCIAL 2019-650M: Fitch Affirms 'B-sf' Rating on Cl. B Debt ------------------------------------------------------------------- Fitch Ratings has affirmed two classes of MAD Commercial Mortgage Trust 2019-650M. The Rating Outlook is Stable for both classes. Entity/Debt Rating Prior ----------- ------ ----- MAD 2019-650M A 55283JAA8 LT BB-sf Affirmed BB-sf B 55283JAC4 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance Since Issuance: The affirmations and Stable Outlooks reflect the continued stable performance of the property. The July 2022 rent roll reflects occupancy of 93%, a slight increase from 90% at YE 2021 due to a new lease commencing for 3% of the NRA in June 2022. The most recent servicer-reported YE 2021 net cash flow (NCF) debt service coverage ratio (DSCR) was 2.23x as compared to 1.75x at YE 2021 for the interest-only loan. The increase in NCF is attributed to an increase in EGI due to lease termination income. Excluding one-time items, the NCF for YE 2021 remains in-line with YE 2020 and Fitch's analysis at issuance. High-Quality Office Collateral in Prime Location: The 650 Madison Avenue property is a 27- story, LEED Gold certified, class A office building occupying the western block of Madison Avenue between 59th and 60th Streets in the Plaza office submarket of Midtown Manhattan. At issuance, Fitch assigned the property a quality grade of 'A'. Institutional Sponsorship: Oxford Properties Group is the global real estate investment, development and management arm of Ontario Municipal Employees Retirement System (OMERS) Administration Corporation (AAA/Stable). Oxford Properties owns and operates a diversified real estate portfolio consisting of over 100 million sf of office, retail and industrial space, in addition to multifamily units. Vornado (BBB-/Negative) is one of the largest owners and managers of commercial real estate in the U.S. with a portfolio of 37.1 million sf of office, retail and other commercial space, primarily located in New York City. Rollover Risk: Approximately 90.5% of the property's Net Rentable Area (NRA) is subject to rollover during the loan term. The highest rollover concentration occurs in 2024, when 55% of the property's NRA expires, respectively. This includes the property's largest tenant, Ralph Lauren (RL; 48% of NRA; 41.0% of gross rent), whose lease expires in December 2024. The loan is structured with a "specific tenant trigger" tied to the RL lease, which if tripped, will lead to springing cash management. Single Asset Concentration: The transaction is secured by a single property and is, therefore, more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. Full-Term, Interest-Only Loan: The loan is interest only for the entire loan term. No LIBOR Exposure: The loan making up the subject transaction has a 10-year fixed mortgage rate of 3.486%. As a result, the rated notes do not reference an asset that carries LIBOR exposure. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - A significant decline in asset performance and/or market occupancy; - A significant deterioration in property cash flow; - 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 minimal impact to 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: - A significant increase in property cash flow and occupancy. ESG CONSIDERATIONS MAD 2019-650M has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including LEED Gold certification, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. METAL 2017-1: Fitch Lowers Rating on 3 Tranches to CCsf ------------------------------------------------------- Fitch Ratings has downgraded METAL 2017-1 Limited (METAL) series A, B, C-1, and C-2 notes. Entity/Debt Rating Prior ----------- ------ ----- METAL 2017-1 Limited A 59111RAA0 LT CCCsf Downgrade Bsf B 59111RAB8 LT CCsf Downgrade CCCsf C-1 59111RAC6 LT CCsf Downgrade CCCsf C-2 59111RAD4 LT CCsf Downgrade CCCsf TRANSACTION SUMMARY Fitch has downgraded the A, B, C-1, and C-2 notes to CCCsf', 'CCsf', 'CCsf', and 'CCsf', respectively. These ratings reflect current performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with their respective ratings. The rating actions also consider lease terms, lessee credit quality and performance, updated aircraft and engine values, and Fitch's assumptions and stresses, which inform our modeled cash flows and coverage levels. Fitch's updated rating assumptions for airlines are based on a variety of performance metrics and airline characteristics. Recessionary timing was assumed to start immediately. Aergo Capital Holdings Limited (not rated by Fitch) and certain affiliates are the sellers of the assets and act as servicer to the transaction. Fitch deems the servicer to be adequate to service these transactions based on its experience as a lessor and overall servicing capabilities. KEY RATING DRIVERS Airline Lessee Credit: Several of the airlines in this pool have experienced material delinquencies and have undergone lease restructuring, reducing cash flow available to service the notes. Lessees in this transaction operate primarily in APAC and Africa, which have underperformed the rest of the world in terms of market recovery. Several of the lessees operate small fleets. Additionally, the portfolio has material exposure to a lower credit quality airline, and Fitch expects this concentration to increase from 23% of the portfolio to over 40%. Asset Quality and Appraised Pool Value: The pool is comprised of the following aircraft types: narrow body (52%), wide body (33%), turbo prop (7%), freighter (5%) and engine (3%) with a weighted average age of eight years. Although the assets are relatively young, Fitch considers the aircraft generally to be below median and equipped with last generation technology. Many of these aircraft have experienced valuation pressure during the pandemic and have not benefited from the recovery as much as more desirable models. The servicer noted that they are currently marketing four engines within the portfolio, but sale proceeds are likely to be relatively low as three of these engines are unservicable. METAL updated its appraisals as of July 2022. For modeling purposes, Fitch assumed the lower of mean and median (LMM) of maintenance adjusted base value (MABV) of the three external appraisals with the exception of the engines, for which we estimated sale proceeds. The resulting collateral value is $274.2 million. Depreciation in MABV, controlling for the sale of two aircraft, was 7.3%, which Fitch considers acceptable. This metric does not, however, address current market values or depreciation, which generally remain under pressure for these aircraft models. Fitch conducted a sensitivity in which residual values were increased from 50% to 85% of MABV (residual assumptions for the engines were not changed and were set based on feedback from the servicer regarding expected sales proceeds). The sensitivity did not result in an any of the notes improving with respect to hurdling a rating scenario. Asset Value and Lease Rate Volatility: The weighted average lease rate factor has faced significant downward pressure and has been impacted from a combination of factors including power-by-the-hour agreements, lease restructures, and reduced demand for the types of aircraft in the subject pool. Fitch believes the lease rate factors related to this pool will continue to face pressure and are unlikely to see any material rebound in the near term. Transaction Performance: Lease rental collections declined substantially in early 2020 due to the impact of COVID-19 and have remained structurally lower. Although the portfolio has seen some improvement in rental collections in the most recent six-month period compared to the prior six-month period, year-over-year collections are down 12%. The decline in lease collections results from a combination of lessee delinquencies and lower contractual rents including power-by-the-hour contracts and restructures. LTVs have been increasing for each class as collections have been insufficient to provide consistent amortization payments on the A class, and the other classes have not been receiving principal over the past 2.5 years such that the combined principal balance of all notes has not decreased over this period. The transaction has been in Rapid Amortization and Cash Trap due to the DSCR dropping below thresholds (1.25x and 1.3x, respectively). As of September 2022, the DSCR of 0.22x remains below the threshold. The transaction is also in breach of the Enhanced RAE Trigger of 1.10x with a current enhanced DSCR of 0.17x. Overall Market Recovery: Major differences in performance by region have emerged for both international and domestic markets. As such, a transaction's regional concentration of lessees can be a meaningful driver of performance. This pool has significant concentration in APAC and Africa, which have underperformed the passenger air travel rebound from the depths of the pandemic. APAC revenue passenger kilometers (RPKs) for international travel are approximately 62% lower than pre-pandemic levels, as performance is dependent on further easing of travel restrictions in China. Africa's international RPKs are 29% below pre-pandemic levels. Macro Risks: While the commercial aviation market is recovering, the industry continues to face multiple unknowns and potential headwinds including the emergence of new COVID-19 variants with associated travel restrictions, ongoing geopolitical risks, elevated and volatile oil prices, and rising interest rates, as well as potential reductions in passenger demand due to inflationary pressures and recessionary concerns. Such events may lead to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cash flows needed to meet debt service. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades are possible if the collateral value in the portfolio declines more than forecast, if lessee payment performance deteriorates further, thereby reducing cash flows, or if utilization rates decrease. Factors that could, individually or collectively, lead to positive rating action/upgrade: Key drivers of potential upgrades would be strong collections, debt service coverage ratio above triggers and a decline in LTVs sustained over a period of time, among other factors. Potential for rating upgrades is limited as Fitch caps aircraft ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and pronounced exposure to exogenous risks. This was evidenced by the effects of the events of Sept. 11, 2001, the 2008-2010 credit crisis and the global pandemic, which all impacted demand for air travel. The risks that aviation market cyclicality presents to these transactions are compounded because when lessee default probability is highest, aircraft values and lease rates are typically depressed. Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in lower rating caps. Hence, senior class 'Asf' rated notes are capped, and there is no potential for upgrades for certain tranches at this time. For classes rated below 'Asf', upgrades are also limited given ongoing pressure on transaction performance and the ongoing geopolitical risk, which combined will retain negative ABS rating pressure, especially for transactions that are underperforming relative to Fitch's pandemic recovery expectation. 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. METRONET INFRASTRUCTURE 2022-1: Fitch Gives BB Rating on Cl. C Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Metronet Infrastructure Issuer LLC, Series 2022-1 as follows: - $860,781,000 series 2022-1, class A-2, 'Asf'; Outlook Stable; - $119,075,000 series 2022-1, class B, 'BBBsf'; Outlook Stable; - $239,584,000 series 2022-1, class C, 'BB-sf'; Outlook Stable. TRANSACTION SUMMARY The transaction is a securitization of the contract payments derived from an existing Fiber-to the-Premises (FTTP) network. The collateral assets include: conduits, cables, network-level equipment, access rights, customer contracts, transaction accounts and pledge of equity from the asset entities. Debt is secured by the net revenue of operations and benefits from a perfected security interest in the securitized assets. The collateral consists of high-quality fiber lines that support the provision of internet, cable, and telephone services to a network of approximately 207,000 retail customers across 58 cities in five states. These assets represent approximately 55% of the sponsor's total business. For the markets contributed to the transaction, the majority of the subscriber base (57.8% of ARRGR) is located in Indiana, though this is spread across a few distinct markets in the state. The ratings reflect a structured finance analysis of the cash flows from the ownership interest in the underlying fiber optic network, not an assessment of the corporate default risk of the ultimate parent, MetroNet Holdings, LLC. KEY RATING DRIVERS Fitch Net Cash Flow and Leverage: The Fitch net cash flow (NCF) on the pool is $118.7 million, implying a 17.3% haircut to issuer net cash flow. The debt multiple relative to Fitch's NCF on the rated classes is 10.3x, which compares with the debt/issuer NCF leverage of 8.5x. Credit Risk Factors: The major factors affecting Fitch's determination of cash flow and Maximum Potential Leverage (MPL) include: the high quality of the underlying collateral networks, scale and diversity of the customer base, market position and penetration, capability of the operator, and strength of the transaction structure. Technology-Dependent Credit: Due to the specialized nature of the collateral and potential for changes in technology to affect long-term demand for digital infrastructure, the senior classes of this transaction do not achieve ratings above 'Asf'. The securities have a rated final payment date 30 years after closing, and the long-term tenor of the securities increases the risk that an alternative technology will be developed that renders obsolete the current transmission of data through fiber-optic cables. Fiberoptic cable networks are currently the fastest and most reliable means to transmit information, and data providers continue to invest in and utilize this technology. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow as a result of higher expenses, contract churn, lower market penetration or the development of an alternative technology for the transmission of data could lead to downgrades. Fitch's NCF was 17.3% below the issuer's underwritten cash flow. Based on Fitch's determination of MPL, a further 10% decline in Fitch's NCF indicates the following rating sensitivities: Class A-2 from 'Asf' to 'BBBsf'; class B from 'BBBsf' to 'BB+sf'; class C from 'BB-sf' to 'Bsf'. The presale report includes a detailed explanation of additional stresses and sensitivities on page 5 and 6. Factors that could, individually or collectively, lead to positive rating action/upgrade: Increasing cash flow without an increase in corresponding debt, from increases in contract rate or an increase in market penetration could lead to upgrades. Based on Fitch's determination of MPL, a 10% increase in Fitch's NCF indicates the following rating sensitivities: Class A-2 from 'Asf' to 'Asf'; class B from 'BBBsf' to 'A-sf'; class F from 'BB-sf' to 'BBsf'. Upgrades are unlikely for these transactions given the provision for the issuer to issue additional notes, which rank pari passu or subordinate to existing notes, without the benefit of additional collateral. In addition, the transaction is capped in the 'Asf' category, given the risk of technological obsolescence. 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. MOUNTAIN VIEW XVI: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Mountain View CLO XVI Ltd./Mountain View CLO XVI 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 Seix Investment Advisors. 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 Mountain View CLO XVI Ltd./Mountain View CLO XVI LLC Class A, $180.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C-1 (deferrable), $11.10 million: A (sf) Class C-2 (deferrable), $5.40 million: A (sf) Class D (deferrable), $15.75 million: BBB- (sf) Class E (deferrable), $9.00 million: BB- (sf) Subordinated notes, $27.50 million: Not rated MVC LLC 2022-2: Fitch Gives 'BBsf' Rating on Cl. D Notes -------------------------------------------------------- Fitch Ratings has assigned ratings and Outlooks to notes issued by MVW 2022-2 LLC (MVW 2022-2). Entity/Debt Rating Prior ----------- ------ ----- MVW 2022-2 LLC A LT AAAsf New Rating AAA(EXP)sf B LT Asf New Rating A(EXP)sf C LT BBBsf New Rating BBB(EXP)sf D LT BBsf New Rating BB(EXP)sf TRANSACTION SUMMARY The notes are backed by a pool of fixed-rate timeshare loans originated by Marriott Ownership Resorts, Inc. (MORI) or one of its wholly owned subsidiaries or affiliates. MORI is a subsidiary of Marriott Vacations Worldwide Corporation (MVWC/MVW). A portion of the timeshare loans are from Vistana Signature Experiences (VSE), the exclusive licensee for Westin and Sheraton brands in vacation ownership (VO) and Hyatt Vacation Ownership (HVO), the exclusive licensee for the Hyatt brand in VO. The MVW 2022-2 pool also includes timeshare loans originated by The WHV Resort Group, Inc. (WHV) This follows the acquisition of ILG, Inc. (ILG) on Sept. 1, 2018 and the acquisition of WHV Hospitality Group, Inc. on April 1, 2021. Post-acquisitions, the Westin, Sheraton, Hyatt and WHV VOs were combined with the MVW VOs. This is MORI's 27th term securitization. KEY RATING DRIVERS Borrower Risk — Stronger Collateral Pool: This is the seventh transaction to include originations from both the Marriott Vacations Worldwide Corporation (MVW) and VSE platforms. Overall, the pool is stronger than the 2022-1 pool, as the weighted average (WA) FICO score increased to 733 from 726 in 2022-1, while in line with 2021-2. Fifteen-year loans decreased slightly to 41.1% from 44.2% in 2022-1. However, the seasoning is down to 10 months from 14 months in 2022-1. The concentration of foreign obligors is at 3.8%, comparable with 3.9% in 2022-1. The 2022-2 pool includes 59.5% of Marriott Vacation Club (MVC) collateral, up from 45.0% in 2022-1, which performs stronger than other brands except Westin. However, the WHV collateral concentration is up to 16.9% from 8.1% in 2022-1, which has historically had higher forecast losses compared with other brands. This is also the fifth transaction to include Hyatt-branded loans, which represents 0.9% of the initial pool. Forward-Looking Approach on CGD Proxy — Varied Performance: With the exception of certain foreign segments, MVC 2010-2016 vintages continue to display improved performance relative to the weaker 2007-2009 periods, although more recent vintages remain under stress. The VSE and WHV portfolios also experienced stress during the recession. Since then, the Westin loan performance has improved but has experienced elevated defaults in recent periods. The Sheraton loan performance has deteriorated in recent years, driven by Sheraton Flex and the longer 15-year term loans, with the newly included Hyatt-branded loans since the 2020-1 transaction showing overall high projected losses on par with, and in some cases, exceeding those of other VSE brands, including Sheraton. WHV loan performance in recent vintages has been tracking consistently below that of the recessionary 2006-2009 vintages, but has been weaker compared with the 2010-2013 periods. Fitch's base case CGD proxy is 13.50% for 2022-2. Structural Analysis — Lower CE Structure: Initial hard credit enhancement (CE) is 37.00%, 21.25%, 10.00% and 2.50% for class A, B, C and D notes, respectively. CE is notably down for class A, B and C notes relative to 2022-1 from 43.00%, 22.75% and 10.25%, respectively. Available CE is sufficient to support stressed 'AAAsf', 'Asf', 'BBBsf' and 'BBsf' multiples of Fitch's base case CGD proxy of 13.50%. Compared with prior MVW/MVW Owner Trust (MVWOT) transactions, 2022-2 only includes existing timeshare loans in its collateral pool. The 2022-1 transaction featured a prefunding account that held 25% of the aggregate initial collateral balance after the closing date to buy eligible timeshare loans. Originator/Seller/Servicer Operational Review — Quality of Origination/Servicing: MVW/MORI, VSE and WHV have demonstrated sufficient abilities as originator and servicer of timeshare loans, as evidenced by the historical delinquency and default performance of securitized trusts and of the managed portfolio. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing both a transaction's initial base case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment-grade, 'BBsf' and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. The prepayment sensitivity includes 1.5x and 2.0x increases to the prepayment assumptions representing moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Additionally, Fitch conducts increases of 1.5x and 2.0x to the CGD proxy, which represents moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. 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 subsectors (see "What a Stagflation Scenario Would Mean for Global Structured Finance" at 'www.fitchratings.com'). 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 YE 2023. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the ratings would be maintained for the class A note at a stronger rating multiple. For the class B, C and D notes, the multiples would increase, resulting in potential upgrade of one rating category, two notches and two notches, respectively. 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. MVW LLC 2022-2: Moody's Assigns Ba2 Rating to Class D Notes ----------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by MVW 2022-2 LLC. MVW 2022-2 LLC is backed by a pool of timeshare loans originated by Marriott Ownership Resorts, Inc. (MORI, Ba3 stable) or various subsidiaries of Marriott Vacations Worldwide Corporation (MVW). MVW is the ultimate parent of MORI and a public global vacation company that offers vacation ownership, exchange, rental, resort management and other related businesses. MORI is the servicer of this transaction and MVW is the performance guarantor. Computershare Trust Company, N.A. (Computershare, Baa2 stable) serves as the backup servicer. The complete rating actions are as follows: Issuer: MVW 2022-2 LLC Class A Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned A2 (sf) Class C Notes, Definitive Rating Assigned Baa2 (sf) Class D Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the capital structure, and the experience and expertise of MORI as servicer and the back-up servicing arrangement with Computershare. Moody's expected median cumulative net loss expectation for MVW 2022-2 LLC is 13.6% and the loss at a Aaa stress is 46%. Moody's based its net loss expectations on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of MORI to perform the servicing functions and Computershare to perform the backup servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes and Class D notes are expected to benefit from 37.00%, 21.25%, 10.00% and 2.50% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a reserve account and subordination. The notes may also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Vacation Timeshare Loan Securitizations Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, C and D notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. This transaction has a pro-rata structure with sequential pay triggers. Moody's expectation of pool losses could decline as a result of better than expected improvements in the economy, changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the ratings of the notes if pool losses exceed its expectations and levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses may increase, for example, due to performance deterioration stemming from a downturn in the US economy, deficient servicing, errors on the part of transaction parties, inadequate transaction governance or fraud. NYMT LOAN 2022-INV1: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------------- S&P Global Ratings today assigned its ratings to NYMT Loan Trust 2022-INV1's mortgage-backed notes, series 2022-INV1. The note issuance is an RMBS transaction backed by first-lien fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residences, planned-unit developments, two- to four-family homes, condominiums, townhomes, five- to 18-unit multifamily properties, and mixed-use properties to both prime and nonprime borrowers. The pool consists of 1,140 business-purpose investor loans (including 50 cross-collateralized loans backed by 359 properties) that are exempt from the qualified mortgage and ability-to-repay rules. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; and -- Recent economic indicators, which now show cracks in the foundation as the U.S. economy heads into 2023, as rising prices and interest rates eat away at household purchasing power. Extremely high home prices coupled with aggressive interest rate increases are also weighing heavily on the demand for housing. Despite all of this, S&P expects economic momentum will protect the U.S. economy for the remainder of 2022, but what's around the bend in 2023 is the bigger worry. With the Russia-Ukraine conflict and a slowdown in China exacerbating supply chains and pricing pressures, it's hard to see the economy walking out of 2023 unscathed. As a result, S&P continues to maintain our revised outlook to its RMBS criteria, which increased the archetypal 'B' projected foreclosure frequency to 3.25% from 2.50%. Ratings Assigned(i) NYMT Loan Trust 2022-INV1 Class A-1, $188,814,000: AAA (sf) Class A-2, $24,840,000: AA (sf) Class A-3, $36,529,000: A (sf) Class M-1, $22,729,000: BBB (sf) Class B-1, $16,885,000: BB (sf) Class B-2, $16,884,000: B (sf) Class B-3, $18,021,771: 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 and do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. OSD CLO 2021-23: Fitch Affirms Cl. E Notes at 'BB+sf', Outlook Pos. ------------------------------------------------------------------- Fitch Ratings has upgraded the class B and C notes and affirmed the class A, D and E notes in OSD CLO 2021-23, Ltd. (OCP 2021-23). The Rating Outlooks for the class A, B and C notes are Stable; the class D and E notes are revised to Positive from Stable. Entity/Debt Rating Prior ----------- ------ ----- OSD CLO 2021-23, Ltd. A 671026AA0 LT AAAsf Affirmed AAAsf B 671026AC6 LT AA+sf Upgrade AAsf C 671026AE2 LT A+sf Upgrade Asf D 671026AG7 LT BBB+sf Affirmed BBB+sf E 671025AA2 LT BB+sf Affirmed BB+sf TRANSACTION SUMMARY OSD CLO 2021-23 is broadly syndicated collateralized loan obligation (CLO) that closed in December 2021 and is managed by Onex Credit Partners, LLC. The transaction has exited its reinvestment period in October 2022 and reinvestment is no longer permitted. The notes are secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Cash Flow Analysis The rating actions were driven by a combination of the deleveraging of the senior notes and improved collateral performance. During the reinvestment period, the class A notes amortized approximately 0.4% of its original balance on the July 2022 payment date from uninvested principal proceeds. The assigned ratings are in line with the model-implied ratings (MIRs) based on a scenario that assumes a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. In addition, the weighted average life was extended to the current covenant of 5.9 years to account for potential maturity amendments. The Positive Outlooks on the class D and E notes reflect the breakeven cushions that were significantly higher to the other rated notes and expected to improve as amortization continues. The Stable Outlooks on the class A, B and C notes reflect breakeven cushions that Fitch views as adequate to withstand potential deterioration in the credit quality of the portfolio in rating stress scenarios commensurate with each class' rating. Asset Credit Quality, Asset Security, and Portfolio Composition The Fitch calculated weighted average rating factor of the portfolio is 23.5, equivalent to the 'B' category. The portfolio consists predominantly of first lien senior secured loans, and weighted average recovery rate of the portfolio is 76.6%. The portfolio is composed of 246 obligors and the top 10 obligors comprise 7.3% of the portfolio. There are no defaults in the portfolio and exposure to assets considered 'CCC' or lower by Fitch (excluding non-rated assets) is 1.8%. All coverage tests and collateral quality tests are passing. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades may occur if the buildup of the notes' credit enhancement (CE) following amortization does not compensate for a higher loss expectation than initially assumed due to unexpected high level of default and portfolio deterioration. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to downgrades (based on the MIR) of up to three rating notches. Factors that could, individually or collectively, lead to positive rating action/upgrade: Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of a better-than-expected portfolio credit quality and deal performance, leading to higher CE note levels and excess spread available to cover expected losses. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels, would lead to an upgrade (based on MIR) of up to four rating notches. DATA ADEQUACY Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. 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 or information on the risk-presenting entities. 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. PALMER SQUARE 2022-4: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2022-4 Ltd./Palmer Square CLO 2022-4 LLC's floating- and fixed-rate notes. The note issuance is a CLO securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The preliminary ratings are based on information as of Nov. 4, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Palmer Square CLO 2022-4 Ltd./Palmer Square CLO 2022-4 LLC Class A1-A, $280.00 million: AAA (sf) Class A1-B, $20.00 million: AAA (sf) Class A2, $15.00 million: AAA (sf) Class B, $65.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $22.50 million: BBB (sf) Class E (deferrable), $21.25 million: BB- (sf) Subordinated notes, $34.60 million: Not rated SCF EQUIPMENT 2022-2: Moody's Assigns (P)B2 Rating to F-1 Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the Equipment Contract Backed Notes, Series 2022-2, Class A-1, Class A-2, Class A-3, Class B, Class C, Class D, Class E and Class F-1 notes (Series 2022-2 notes or the notes) to be issued by SCF Equipment Leasing 2022-2 LLC and SCF Equipment Leasing Canada 2022-2 Limited Partnership. Stonebriar Commercial Finance LLC (Stonebriar) along with its Canadian counterpart - Stonebriar Commercial Finance Canada Inc. (Stonebriar Canada) are the originators and Stonebriar alone will be the servicer of the assets backing this transaction. The issuers are wholly-owned, limited purpose subsidiaries of Stonebriar and Stonebriar Canada. The assets in the pool will consist of loan and lease contracts, secured primarily by railcars, maritime vessels, and a refinery. Stonebriar was founded in 2015 and is led by a management team with an average of over 25 years of experience in equipment financing. The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2022-2 LLC/SCF Equipment Leasing Canada 2022-2 Limited Partnership Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Notes, Assigned (P)A1 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba1 (sf) Class F-1 Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The provisional ratings are based on; (1) the experience of Stonebriar's management team and the company as servicer; (2) U.S. Bank National Association (long-term deposits Aa2/ long-term CR assessment Aa3(cr), short-term deposits P-1, BCA a1) as backup servicer for the contracts; (3) the weak credit quality and concentration of the obligors backing the contracts in the pool; (4) the assessed value of the collateral backing the contracts in the pool; (5) the inclusion of about 18% participation agreements in the pool; (6) the credit enhancement, including overcollateralization, subordination, excess spread and a non-declining reserve account and (7) the sequential pay structure. Moody's also considered sensitivities to various factors such as default rates and recovery rates in Moody's analysis. Additionally, Moody's base its (P)P-1 (sf) rating of the Class A-1 notes on the cash flows that Moody's expect the underlying receivables to generate during the collection periods prior to the Class A-1 notes' legal final maturity date. At closing the Class A, Class B, Class C, Class D, Class E and Class F-1 notes benefit from 39.95%, 32.90%, 25.40%, 20.10%, 16.85%, and 9.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of initial overcollateralization of 4.00% which will build to a target of 5.50% of the outstanding pool balance with a floor of 5.00% of the initial pool balance, a 1.00% fully funded reserve account with a floor of 1.00%, and subordination. The notes will also benefit from excess spread. The equipment contracts that will back the notes were extended primarily to middle market obligors and are secured by various types of equipment including marine vessels, railcars, manufacturing and assembly equipment, and corporate aircraft. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations Methodology" published in September 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Additionally, Moody's could downgrade the Class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligor's payments. SLM STUDENT 2008-4: S&P Raises Class B Notes Rating to 'BB (sf)' ---------------------------------------------------------------- S&P Global Ratings raised its rating on the class B notes from SLM Student Loan Trust 2008-4 (SLM 2008-4) to 'BB (sf)' from 'CC (sf)'. At the same time, S&P removed the rating from CreditWatch, where S&P placed it with developing implications on June 2, 2022. SLM 2008-4 is a student loan asset-backed securities (ABS) transaction backed by student loans originated through the U.S. Department of Education's (ED) Federal Family Education Loan Program (FFELP). The upgrade reflects the strength of the collateral, the current overcollateralization that is expected to build over time, the pay-in-kind (PIK) nature of the interest on the notes, and the strong liquidity position resulting from a maturity date in 2073, which is well after when the pool of loans is expected to be repaid. However, S&P has limited the rating on the class B notes to a 'BB (sf)' rating, which reflects uncertainties that exist due to an ongoing event of default (EOD) on the notes (expected to remain in place for approximately six years). The 'BB' rating reflects the modest credit enhancement (primarily due to overcollateralization) that is in place to protect against the ongoing uncertainty resulting from the EOD. Losses ED reinsures at least 97% of the principal and interest on defaulted loans serviced, according to FFELP guidelines. Due to the high level of recoveries from ED on defaulted loans, defaults effectively function similarly to prepayments. Thus, S&P expects net losses to be minimal. Liquidity The class A-4 default was primarily caused by a decline in the pace of amortization of the loans due to an increase in borrowers that have qualified for income-based repayment (IBR) plans. The IBR plans allow a borrower's monthly payment to be lowered and can allow the loan term to be extended by up to 25 years. Class B does not face the same liquidity pressures because its legal final maturity date is in 2073. The loans in the pool are expected to be repaid through the guaranty recovery on default, borrower repayment, or ED loan forgiveness well in advance of the class B maturity date. Class B Interest Payments On July 26, 2022, we lowered our rating on SLM Student Loan Trust 2008-4's class A-4 notes to 'D (sf)' because the class was not repaid by its legal final maturity date, which triggered an event of default (class A EOD) under the transaction documents. As a result of the Class A EOD, the waterfall changed--principal payments to the class A-4 notes were reprioritized in front of interest to the class B notes--triggering an additional EOD under the transaction documents because the class B notes are not receiving payments for their current interest. The transaction documents define the current interest payable to the class B noteholders to comprise interest for the current payment, as well as any cumulative interest shortfall, including interest on the cumulative interest shortfall. As such, S&P views the note as a PIKable note. This transaction is similar to the SLM Student Loan Trust 2008-3 transaction, which also had an EOD occur on its senior class due to failure to repay by the legal final maturity date, also triggering the reprioritization of interest payments to the class B PIK note. Comparison With 2008-3 Transaction S&P previously ran various cash flow runs for the 2008-3 deal, which included additional scenarios to stress for high levels of IBR. The class B notes received all the interest (including interest on any shortfalls owed due to the notes' PIK nature) and principal by their legal final maturity date. The cash flow results show that class B was repaid all interest and principal three to five years after class A was repaid. The PIK feature had minimal impact on the cash flows, primarily because: -- The class B maturity date is well past the expected paydown of the loan pool. -- Net losses on the loan pool are expected to be minimal due to the guarantee from the ED. -- The size of class B, which is paying interest in kind, is small relative to the size of the loan pool. -- Most nonpaying loans accrue interest that is capitalized upon entering repayment, so the collateral pool grows until repaid either by the borrower or the ED through loan forgiveness or recovery of default. S&P said, "We believe the 2008-4 deal is similar to the 2008-3 deal that we recently reviewed after we qualitatively compared the two transactions. The legal final maturity for SLM 2008-4 class B is in 2073, which is far beyond when the IBR loans (and remaining loan pool) are expected to be repaid. Because of these reasons, we believe that the cash flows would generate similar results to the SLM 2008-3 deal." While the SLM 2008-3 cash flows can support a 'AA+' rating, they cannot account for the various outcomes that could be exercised in the future because of the ongoing EOD. Before an EOD, the transaction documents define the payment priority, cap the fees and expenses, and limit actions the trust can take that can result in losses to the noteholders. After an EOD, numerous alternatives are available to the trustee and noteholders that can result in actions such as uncapping certain expenses paid before payments to the noteholders and liquidating the collateral. Uncertainty Relating To EOD While the parties have not yet exercised their remedies under the EOD provisions, they retain those rights until the class A-4 notes are repaid and until the class B interest shortfalls, which include the PIK interest, have been repaid. The transaction's overcollateralization is expected to grow, as the trust is no longer allowed to release amounts. Based on the current pace of payments, the class A-4 notes are expected to be repaid in approximately six years, unless the notes are repaid earlier through the potential sale of the collateral when the collateral pool factor falls below 10% (estimated to occur in approximately four years). Noteholders may have competing interests (which may change over time) as to how they would like the EOD to be addressed. The ongoing EOD and the parties' ongoing right to enact the post-EOD remedies introduce uncertainty relating to the future course of action, which did not exist prior to the EOD. The class B note is the most subordinate bond and, as such, it would be the first class exposed to any losses if the parties take a course of action with negative consequences to the timing or amount of the cash flows. SLM STUDENT 2008-6: Fitch Affirms 'CCsf' Rating on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed the outstanding notes of SLM Student Loan Trusts 2008-6 and 2008-7. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2008-7 A-4 78445FAD7 LT CCsf Affirmed CCsf B 78445FAE5 LT CCsf Affirmed CCsf SLM Student Loan Trust 2008-6 A-4 78445CAD4 LT CCsf Affirmed CCsf B 78445CAE2 LT CCsf Affirmed CCsf The outstanding class A notes of SLM 2008-6 and 2008-7 miss their respective legal final maturity dates under both credit and maturity stresses. If the class A notes miss their legal final maturity dates, this constitutes an event of default on the transaction's indenture, which would result in diversion of interest from the class B notes to pay class A notes until the class A notes are paid in full. This would cause an event of default for the class B notes. All classes from these transactions are eventually paid in full under Fitch's stressed cashflow analysis. The legal final maturity date of the class A-4 notes is approximately nine months away in July 2023 for SLM 2008-6 and 2008-7. The repayment of these classes by their legal final maturity date is unlikely under Fitch's maturity stress scenarios without an extension of legal final maturity dates or without support from the sponsor. Currently, Fitch understands from transaction parties that there are no active consent solicitations for a maturity date extension for these transactions. Both trusts have entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Due to the short amount of time to the legal final maturity of the class A-4 notes, Fitch decreased the qualitative credit to the revolving credit agreement available to the trust. If this revolving credit facility is utilized, it will result in positive rating pressure to these ratings. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: SLM 2008-6: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 25.50% under the base case scenario and an 76.50% default rate under the 'AAAsf' credit stress scenario. Fitch is maintaining a sustainable constant default rate (sCDR) of 4.0% and a sustainable constant prepayment rate (sCPR; voluntary & involuntary) of 11.5%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing 12-month (TTM) levels of deferment, forbearance and income-based repayment (IBR; prior to adjustment) are 5.57%, 15.47% and 27.25%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines and increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.03%, based on information provided by the sponsor. SLM 2008-7: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 26.25% under the base case scenario and an 78.75% default rate under the 'AAAsf' credit stress scenario. Fitch is maintaining a sCDR of 4.0% and sCPR of 11.5%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance and IBR are 5.60%, 16.42% and 27.83%, respectively, and are used as the starting point in cash flow modeling. 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 Special Allowance Payments (SAP) and the securities. As of the latest distribution, approximately 94.10% and 93.66% of the student loans are indexed to LIBOR, and 5.90% and 6.34% are indexed to the 91-day T-Bill rate for SLM 2008-6 and 2008-7, respectively. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: SLM 2008-6: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread, the reserve account, and for the class A notes, subordination provided by the class B notes. As of the most recent distribution date, senior and total effective parity ratios (including the reserve) are 122.01% (18.15% CE) and 101.59% (1.56% CE). Liquidity support is provided by a reserve account initially sized at 0.25% of the outstanding pool balance and is currently sized at its floor of $2,000,000. The trust will release cash as long as 101.01% total parity is maintained. SLM 2008-7: CE is provided by OC, excess spread, the reserve account, and for the class A notes, subordination provided by the class B notes. As of the most recent distribution date, senior and total effective parity ratios (including the reserve) are 122.44% (18.46% CE) and 101.60% (1.57% CE). Liquidity support is provided by a reserve account initially sized at 0.25% of the outstanding pool balance and is currently sized at its floor of $1,544,879. The trust will release cash as long as 101.01% total parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as one of the largest servicers 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 transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are 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. SLM Student Loan Trust 2008-6 Current Ratings: class A-4 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-4 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf''; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf'; class B: 'CCCsf'; - Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. SLM Student Loan Trust 2008-7 Current Ratings: class A-4 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-4 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf''; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf' - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.50%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR usage increase 50%: class A 'CCCsf'; class B: 'CCCsf'; - Remaining term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: The current ratings are most sensitive to Fitch's maturity risk scenario. An extension of the legal final maturity date of the A-4 notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling, would result in upward rating pressure. Additional secondary factors that may lead to a positive rating action are: material increases in the payment rate and/or a material reduction in the weighted average remaining loan term. 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. STANIFORD STREET: S&P Lowers Class E Notes Rating to 'CCC-(sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class E notes from Staniford Street CLO Ltd. to 'CCC-(sf)' from 'CCC+(sf)'. S&P also removed this rating from CreditWatch, where S&P placed it with negative implications on Aug. 16, 2022. The rating actions follow S&P's review of the transaction's performance using data from the October 2022 trustee report. The downgrade reflects the decreased reported overcollateralization (O/C) ratio and continued junior O/C test failure since the September 2021 trustee report, which S&P used for its previous rating actions on Nov. 16, 2021. The class E O/C ratio declined to 87.97% from 94.48% during this period. As this transaction has paid down significantly and is left with fewer than 10 performing obligors, the current portfolio is no longer well diversified and is now highly concentrated. Given the lack of diversification, S&P did not generate cash flows. Instead, S&P's analysis and rating decision examined other metrics such as the credit quality of the remaining assets that support the rated notes, the remaining life in the transaction, the paydown history, and, on a qualitative basis, the possibility of the collateral manager monetizing the existing equity positions that the transaction holds (that are not included in the principal balance). S&P said, "For CLO tranches with ratings of 'B-' or lower, we rely primarily on our 'CCC' criteria and guidance. While the class E notes are currently vulnerable to non-payment and dependent on favorable conditions, there is not yet a virtual certainty of default in our opinion given the potential for recovery and/or a sale of the issuer's other assets that may cover the note balance. "We will continue to review whether, in our view, the rating assigned to the notes remains consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." VALLEY STREAM: S&P Assigns Prelim BB- (sf) Rating on Cl. E-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Valley Stream Park CLO Ltd.'s floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Blackstone CLO Management LLC. The preliminary ratings are based on information as of Nov. 10, 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 Valley Stream Park CLO Ltd. Class A, $346.500 million: Not rated Class B, $62.150 million: AA (sf) Class C (deferrable), $34.375 million: A (sf) Class D (deferrable), $32.725 million: BBB- (sf) Class E-1 (deferrable), $5.500 million: BB+ (sf) Class E-2 (deferrable), $11.550 million: BB- (sf) Subordinated notes, $45.900 million: Not rated VERUS SECURITIZATION 2022-INV2: S&P Assigns B- (sf) on B-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2022-INV2's mortgage-backed notes. The note 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 both prime and nonprime borrowers. The loans are secured by single-family residences, planned unit developments, two- to four-family homes, condominiums, mixed-use properties, five- to 10-unit residential properties, and a condotel. The pool consists of 895 business-purpose investor loans (including 11 cross-collateralized loans) backed by 944 properties that are exempt from qualified mortgage and ability-to-repay rules. The ratings reflect S&P views of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levelsto account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, given our current outlook for the U.S. economy considering the impact of the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%." Ratings Assigned Verus Securitization Trust 2022-INV2 Class A-1, $198,935,000: AAA (sf) Class A-2, $42,795,000: AA (sf) Class A-3, $47,420,000: A (sf) Class M-1, $34,699,000: BBB- (sf) Class B-1, $22,361,000: BB- (sf) Class B-2, $18,120,000: B- (sf) Class B-3, $21,204,650: Not rated Class A-IO-S, $385,534,650(i): Not rated Class XS, $385,534,650(i): Not rated Class R, not applicable: Not rated (i)The notional amount equals 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-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Voya CLO 2022-3, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2022-3, Ltd. A-1 LT NRsf New Rating NR(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-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 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 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 73.3%. 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 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-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. VOYA CLO 2022-4: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Voya CLO 2022-4, Ltd. Entity/Debt Rating ----------- ------ Voya CLO 2022-4 Ltd. A LT NR(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 2022-4, 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 $500.0 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+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.6 versus a maximum covenant, in accordance with the initial expected matrix point of 24.6 Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first lien senior secured loans and has a weighted average recovery assumption of 77.03%, versus a minimum covenant, in accordance with the initial expected matrix point of 74.4%. Portfolio Composition (Positive): The largest three industries may constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs'. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial matrix point, the class B, C, D-1, D-2 and E notes can withstand default rates of up to 48.9%, 45.7%, 38.7%, 34.3% and 29.2%, respectively, assuming portfolio recovery rates of 48.1%, 57.3%, 66.4%, 66.4% and 72.7%, in Fitch's 'AAsf', 'Asf', 'BBB-sf', 'BBB-sf' and 'BB-sf' scenarios, respectively. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, 'A+sf' for class D-1 notes, between 'Asf' and 'A+sf' for class D-2 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. [*] S&P Takes Actions on 365 Bonds from 21 Tobacco Trust Deals -------------------------------------------------------------- S&P Global Ratings reviewed its ratings on 365 tobacco settlement bonds from 21 transactions. The review resulted in 34 upgrades and 331 affirmations. A list of Affected Ratings can be viewed at: https://bit.ly/3DH3sIB The bond issuances are ABS transactions backed by tobacco settlement revenues from the master settlement agreement (MSA) payments, liquidity reserve accounts, and interest income. MSA payment calculation typically reflect inflation, annual shipment volume, and market shift in non-participating manufacturers (NPMs). In May 2022, the National Association of Attorneys General (NAAG) released its annual domestic cigarette volume data, reporting a 6.08% decrease in the 2021 sales year. Combining with the 7.04% inflation and 9.86% NPM market share, as reported by the NAAG, total MSA distribution payments to the states and territories increased by approximately 2.00% in sales year 2021. In S&P's view, recent inflation trends impacted total MSA payments in two ways. On one hand, higher inflation (floored at 3%) offsets consumption decline in the MSA payment calculation. On the other hand, persistent inflation pressures consumer discretionary spending, potentially driving smokers to cheaper products of NPMs or other alternative products not covered by the MSA, and therefore reducing overall MSA payments. Nevertheless, NPM adjustments under the MSA at least partially reduce the impact of shifting market share towards NPMs. S&P said, "Although first- and second-quarter data indicate that 2022 consumption decline will likely be higher than our base case assumption of 4.00%-4.50%, we believe total MSA payments will continue to be impacted by inflation and NPM adjustments as mentioned above. The table below shows our current volume decline assumptions applied in our cash flow analysis. Although these assumptions are higher than what is prescribed in our criteria, we believe the additional volume declines reflect recent consumption trends, access to healthier alternatives, higher retail prices, and an uncertain future regulatory environment." Volume Decline Stress (%) Constant decline starting year 1 B (4.25) B+ (4.42) BB- (4.58) BB (4.75) BB+ (4.92) BBB- (5.08) BBB (5.25) BBB+ (5.42) A- (5.58) A (5.75) S&P said, "During our review, we applied a cash flow analysis that includes a cigarette volume decline test, a participating manufacturer bankruptcy test, and a nonparticipating manufacturer adjustment, as well as additional sensitivity stresses on market share shifts and spikes in volume decline. The sensitivity runs are designed to test the transaction's tolerance to event risks such as a menthol ban, tax increases, and new product replacement. Our cash flow results reflect the transactions' ability to pay timely interest and scheduled principal at each bond's stated maturity date, based on their underlying credit support and payment priority. "We considered the transactions' material exposure to social credit factors within the environmental, social, and governance framework. Cigarette consumption has been declining in recent years due to a variety of factors, including pricing, alternative products, and legislative and social changes. As the decline in social acceptability and the widespread awareness of health concerns continue, these social factors could adversely affect consumption of cigarettes and, therefore, the amounts payable under the MSA. We have generally accounted for these social credit factors, along with other factors, by applying stresses in our cash flow analysis to the projected consumption rates." The upgrades mainly reflect S&P's view of the following: -- The transactions' performance. Some subordinate turbo bonds have received substantial or near total paydown since its review in 2021, allowing them to pass at higher rating levels since our last review in 2021; and -- The bonds' time remaining until maturity. The shorter remaining time to maturity has moved some of the bonds into different maturity buckets for notching. For example, a bond that previously had 20 years until maturity now has 19 years, and, therefore, only received a one-notch adjustment instead of the prior two-notch adjustment. Consistent with our prior review, if a current interest bond failed all rating tests (as defined in S&P's criteria), S&P assigns a 'B-' rating if a steady state test is passed (defined as 0% consumption decline with 'B-' recovery assumption on NPM adjustments); otherwise, it assigned a 'CCC+' rating. The capital appreciation bonds that did not pass any rating tests were assigned a 'CCC-' rating. The majority of S&P's rating actions were consistent with the model-implied results with the tenor adjustment described above. However, S&P made additional qualitative adjustments on the transactions below: Erie Tobacco Asset Securitization Corp.: S&P raised its rating on the series 2005-A turbo term bond due in 2031 to 'A (sf)' from 'A- (sf)'. On the June 2022 payment date, the series 2005-E tranche was fully paid down, leaving the 2005-A bond due in 2031 as the most senior bond in the capital structure. As a result, S&P raised its rating on this tranche to 'A (sf)' from 'A- (sf)'. New York Counties Tobacco Trust VI: S&P affirmed its 'BB+ (sf)' and 'BB (sf)' ratings, respectively, on the class C turbo term bonds maturing in 2042 and 2045. Although the 2042 and 2045 class C turbo term bonds passed our rating level tests and sensitivities at the 'BBB' and 'BBB-' rating levels, respectively, S&P continues to notch these bonds down for subordination to the class B bonds. TSASC Inc.: S&P said, "We affirmed our ratings on the class B serial bonds maturing in 2023 through 2025. Although the bonds passed our rating level tests and sensitivities at higher rating levels, we determined that an upgrade is not warranted at this time because the subserial bonds are subordinated to the class A serial bonds and the sinking fund bonds. In addition, the subordinate liquidity reserve has been depleted steadily in the past few years. The current subordinate reserve balance is expected to be roughly $9 million after the December 2022 payment date, compared with its $40 million target." [*] S&P Takes Various Actions in 136 Classes From 29 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings today completed its review of 136 ratings from 29 U.S. RMBS transactions issued between 2000 and 2007. The review yielded three upgrades, 63 affirmations, and 70 withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3UH7yYe Analytical Considerations S&P incorporate 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; -- 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 70 classes from 19 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 one rating from one transaction." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2022. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***