/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221120.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 20, 2022, Vol. 26, No. 323 Headlines 1988 CLO 1: Fitch Gives 'BB-' Rating on Cl. E Notes, Outlook Stable 3650R 2022-PF2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J-RR Certs APOLLO AVIATION 2017-1: Fitch Lowers Rating on Cl. B Notes to 'Bsf' ARIVO ACCEPTANCE 2022-2: DBRS Gives Prov. BB Rating on D Notes BBCMS MORTGAGE 2022-C18: Fitch Gives 'B-(EXP)' Rating on H-RR Certs BEVERLY COMMUNITY HOSPITAL: S&P Lowers Rev. Bond Rating to 'CCC-' BOREAL 2022-2: DBRS Gives Prov. BB(high) Rating to Class E Notes BRIAR BUILDING: Choudhri Can Raise Release and Waiver Defenses CASTLELAKE AIRCRAFT 2018-1: Fitch Affirms B Rating on Class C Notes CFMT LLC 2022-HB10: DBRS Gives Prov. B Rating to Class M5 Notes COMM 2015-CCRE22: Fitch Affirms 'BB-sf' Rating on Class E Certs COMM MORTGAGE 2013-300P: Fitch Cuts Rating on Cl. E Notes to 'Bsf' CONN'S RECEIVABLES 2021-A: Fitch Affirms B Rating on Class C Notes DRYDEN 113 CLO: Fitch Assigns 'BB-sf' Rating on Class E Notes DT AUTO 2022-3: DBRS Gives Prov. BB Rating to Class E Notes FLAGSHIP CREDIT 2022-4: DBRS Finalizes BB Rating on Class E Notes FREED MORTGAGE 2022-HE1: DBRS Gives Prov. B(low) Rating to C Notes GOLDENTREE LOAN 16: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes GS MORTGAGE 2017-GS5: Fitch Lowers Rating to 'CCsf' on Cl. F Certs GS MORTGAGE 2022-AGSS: S&P Assigns B (sf) Rating on Cl. HRR Certs HORIZON AIRCRAFT I: Fitch Lowers Rating on Cl. C Debt to CCC IMPERIAL FUND 2022-NQM7: DBRS Gives Prov B(low) Rating to B-2 Certs JPMORGAN CHASE 2013-C10: S&P Lowers Cl. F Certs Rating to 'B-(sf)' KKR STATIC 2: Fitch Assigns 'BB-sf' Rating on Class E Notes LAKE SHORE V: S&P Assigns BB- (sf) Rating on Class C Debts LIBERTY ASSET: Ho's Bid for Attorneys Fees Denied, Case Dismissed LIBRA SOLUTIONS 2022-2: DBRS Confirms BB Rating on Clas B Notes MARANON LOAN 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes MORGAN STANLEY 2012-C6: Moody's Lowers Rating to Cl. G Debt to Caa3 MORGAN STANLEY 2013-C8: S&P Cuts Class F Certs Rating to CCC-(sf) MVW LLC 2022-1: Fitch Affirms 'BBsf' Rating on Class D Notes NYMT LOAN 2022-INV1: DBRS Gives Prov. B(sf) Rating to Cl. B-2 Notes OCTAGON 62: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes OPORTUN ISSUANCE 2022-3: DBRS Finalizes BB Rating on Cl. D Notes PALMER SQUARE 2022-4: S&P Assigns BB- (sf) Rating on Class E Notes PARK AVENUE 2022-2: S&P Assigns Prelim BB- (sf) Rating on D Notes ROCKING M MEDIA: Referral of LMA's Validity Issue to FCC Denied SANTANDER BANK 2021-1: Fitch Hikes Rating on Cl. D Notes to 'BBsf' SILVERMORE CLO: Moody's Lowers Rating on $26.2MM Cl. D Notes to Ca SIXTH STREET XXI: S&P Assigns BB- (sf) Rating on Class E Notes SLM STUDENT 2008-9: Fitch Lowers Rating on 2 Tranches to CCsf SPRUCE HILL 2022-SH1: Fitch Assigns 'B(EXP)sf' on Class B2 Certs STRATTON MORTGAGE 2021-1: Fitch Hikes Rating to 'BB+sf' on E Notes UBS COMMERCIAL 2018-C14: Fitch Lowers Two Cert. Classes to 'CCCsf' UBS COMMERCIAL 2018-C8: Fitch Affirms 'BBsf' Rating on E-RR Certs VALLEY STREAM: S&P Assigns BB- (sf) Rating on Class E-2 Notes VERUS SECURITIZATION 2022-INV2: DBRS Finalizes B(low) on B-2 Notes WELLS FARGO 2015-C26: Fitch Affirms 'B-sf' Rating on 2 Tranches WESTLAKE AUTOMOBILE 2021-3: DBRS Confirms B Rating on Cl. F Notes WFLD 2014-MONT: DBRS Lowers Rating on Class D Certs to B(low) WFRBS COMMERCIAL 2012-C7: Fitch Cuts Rating on Cl. E Bonds to 'Dsf' WFRBS COMMERCIAL 2013-C13: Fitch Lowers Rating to 'B-sf' on F Certs WFRBS COMMERCIAL 2013-C14: Moody's Cuts Cl. C Certs Rating to Ba3 WMRK COMMERCIAL 2022-WMRK: S&P Assigns B- (sf) Rating on HRR Certs WOODMONT 2022-10: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes [*] DBRS Confirms Ratings on 8 Single-Asset CMBS Deals Issued 2021 [*] DBRS Reviews 141 Classes From 14 US RMBS Transactions [*] DBRS Reviews 28 Classes From 4 US Single Family Rental Deals [*] Moody's Takes Action on $433.8MM of US RMBS Issued 2002-2007 [*] Moody's Takes Action on $726MM of US RMBS Issued 2006-2007 [*] S&P Takes Various Actions on 94 Classes From 32 U.S. RMBS Deals ********* 1988 CLO 1: Fitch Gives 'BB-' Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to 1988 CLO 1 Ltd. Entity/Debt Rating ----------- ------ 1988 CLO 1 Ltd. A LT AAAsf New Rating A Loans LT AAAsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY 1988 CLO 1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by 1988 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+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 20.7, versus a maximum covenant, in accordance with the initial expected matrix point of 22.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first lien senior secured loans. The weighted average recovery rate (WARR) assumption of the indicative portfolio is 77.83%, versus a minimum covenant of 76.00%. Portfolio Composition (Positive): The largest three industries may comprise up to 45.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.2-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch Ratings' 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 its stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are between 'A-sf' and 'AAAsf' for class A debt, between 'BB+sf' and 'AAAsf' for class B notes, between 'B-sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBBsf' for class D notes and between less than 'B-sf' and 'BBsf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A debt, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, between 'Asf' and 'A+sf' for class D notes and 'BBB+sf' for class E notes. 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. 3650R 2022-PF2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to 3650R 2022-PF2 Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2022-PF2, as follows: Entity/Debt Rating ----------- ------ 3650R 2022-PF2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E-RR LT BBB-(EXP)sf Expected Rating F-RR LT BB+(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating J-RR LT B-(EXP)sf Expected Rating NR-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating - $8,849,000 class A-1 'AAAsf'; Outlook Stable; - $65,444,000 class A-2 'AAAsf'; Outlook Stable; - $15,000,000 class A-3 'AAAsf'; Outlook Stable; - $164,395,000a class A-4 'AAAsf'; Outlook Stable; - $246,593,000a class A-5 'AAAsf'; Outlook Stable; - $9,439,000 class A-SB 'AAAsf'; Outlook Stable; - $582,538,000b class X-A 'AAAsf'; Outlook Stable; - $72,818,000 class A-S 'AAAsf'; Outlook Stable; - $34,588,000 class B 'AA-sf'; Outlook Stable; - $30,947,000 class C 'A-sf'; Outlook Stable; - $15,369,000 class D 'BBBsf'; Outlook Stable; - $15,578,000c class E-RR 'BBB-sf'; Outlook Stable; - $10,013,000c class F-RR 'BB+sf'; Outlook Stable; - $6,371,000c class G-RR 'BB-sf'; Outlook Stable; - $7,282,000c class J-RR 'B-sf'; Outlook Stable. Fitch is not expected to rate the following classes: - $25,486,612c class NR-RR. a. The exact initial certificate balances of the class A-4 and class A-5 certificates are unknown and will be determined based on the final pricing of those classes of certificates. b. Notional amount and IO. c. Represents the "eligible horizontal interest" TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 72 commercial properties having an aggregate principal balance of $728,172,612 as of the cut-off date. The loans were contributed to the trust by 3650 Real Estate Investment Trust 2 LLC, Citi Real Estate Funding Inc., German American Capital Corporation, and Column Financial, Inc. Midland Loan Services, a Division of PNC Bank, National Association, is expected to serve as the master servicer and 3650 REIT Loan Servicing LLC is expected to serve as the special servicer. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions. The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 97.8% is lower than both the 2022 YTD and 2021 averages of 100.3% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.25x is below the 2022 YTD and 2021 averages of 1.31x 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 105.1% and 1.19x, respectively. Below-Average Pool Diversification. The pool's 10 largest loans represent 56.6% of its cutoff balance, which is greater than the 2022 YTD and 2021 averages of 55.2% and 51.2%, respectively. This results in a Loan Concentration Index (LCI) score of 455, which is higher than the 2022 YTD and 2021 averages of 420 and 381, respectively. Minimal Amortization. Based on scheduled balances at maturity, the pool will pay down by only 3.0%, which is below the 2022 YTD and 2021 averages of 3.3% and 4.8%, respectively. Twenty-six loans representing 78.3% of the pool are full-term IO loans, and one loan (3.8% of pool) is partial IO. There are six amortizing balloon loans (17.9% of pool). Investment-Grade Credit Opinion Loans. The pool includes two loans, representing 14.9% of the cutoff balance, that received an investment-grade credit opinion. This is in line with the 2022 YTD average of 14.9% and slightly lower than the 2021 average of 13.3%. Acropolis Garden Cooperative received a standalone credit opinion of 'Asf' and 330 West 34th Street received a standalone credit opinion of 'AA+sf'. 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: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; - 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BBsf' / 'B-sf'/ 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; - 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf'/ 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes 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' / 'AA+sf' / '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. APOLLO AVIATION 2017-1: Fitch Lowers Rating on Cl. B Notes to 'Bsf' ------------------------------------------------------------------- Fitch Ratings has downgraded the ratings on two classes of notes on aircraft lease transactions AASET 2017-1 Trust (AASET 2017-1) and Apollo Aviation Securitization Equity Trust 2014-1 (AASET 2014-1). Fitch has also affirmed all other classes. The Rating Outlooks were revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- AASET 2017-1 Trust A 000366AA2 LT BBBsf Affirmed BBBsf B 000366AB0 LT Bsf Downgrade BBsf C 000366AC8 LT CCCsf Affirmed CCCsf AASET 2014-1, 2018 Refinance A 03766#AA2 LT Asf Affirmed Asf B 03766#AC8 LT Bsf Downgrade BBBsf C 03766#AB0 LT CCCsf Affirmed CCCsf TRANSACTION SUMMARY AASET 2017-1 (2017-1) and AASET 2014-1 (2014-1) are transactions backed by leases on portfolios of aircraft serviced by Carlyle Aviation Management Limited. The two downgrades and four affirmations reflect current performance, Fitch's cash flow projections, and its expectation for the structures to withstand stresses 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 modelled 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. KEY RATING DRIVERS Shortfalls and Breaches Impair Junior Notes: While AASET 2014-1's class A notes are slightly ahead of their scheduled principal balance, AASET 2017-1's class A notes have accumulated shortfalls to their scheduled balances. These shortfalls would have to be recovered, before class B and C notes could receive any material principal distribution. Also, low cash flows in both transactions have pushed debt service coverage ratios (DSCRs) below the 1.2x rapid-amortization thresholds. This additionally hampers class C notes' repayment prospects, as no funds are paid to class C under rapid amortization until class A and B notes are repaid. The other rapid amortization trigger, aircraft utilization, has been improving in both transactions and is now well above the 75% threshold required for scheduled principal distribution. Market Improvement Not Yet Impactful: The AASET transactions consist primarily of older, last generation technology aircraft (2014-1: 14 of 17; 2017-1: eight of 15 are over 18 years old) with a material share of widebodies (AASET 2014-1: 30%; AASET 2017-1: 22%). Last generation technology narrowbodies and widebodies have not materially benefitted thus far from the increase in global passenger traffic and the related demand for newer generation aircraft, principally narrowbodies. Bifurcated Recovery Affects Performance: The degree of recovery in air traffic has differed materially between regions. While North America and Europe have seen material recovery, APAC and Africa have performed weaker. Both transactions have substantial exposure to lessees from APAC, as well as one from Africa in the AASET 2017-1 transaction. Fitch continues to see a number of airlines from these regions generate delinquencies or ink lease modifications with power-by-the-hour structures, which impairs future lease income for these transactions. Adjustment For Arrears Weakens Credit Quality: Despite general improvements in the market, ABS transactions vary widely in terms of lessee credit quality and diversification. Lessee credit quality generally deteriorated, based on updated information on lessees in arrears for which Fitch assumed higher default probabilities. The most notable improvement in credit quality was American Airlines' return to a Stable Outlook. Lease Rates Improving: A number of lessors and market participants are starting to observe a recovery in lease rates. Fitch believes that this recovery will be more pronounced in younger, newer-technology narrow body aircraft, of which aircraft ABS transactions generally have fewer. However, lease rates even in these portfolios of older aircraft appear to be stabilizing. Sensitivity to End-of-Lease Payments Incorporated: Fitch received updated information on expected end-of-lease payments from current lessees in the portfolio and, for AASET 2017-1, expected disposition proceeds from assets currently on consignment. Fitch took these cash flows into account in our analysis and tested the ratings' sensitivity to receipt of these amounts. Material Downside Risks Remain: While the commercial aviation market is recovering, the industry continues to face multiple unknowns and potential headwinds including the emergence of new COVID variants with associated travel restrictions, on-going 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. Adequate Servicer Capability: Fitch deems Carlyle adequately capable of servicing the transactions' portfolios. The generally positive trend in utilization across transactions attests to their capability. 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 maintained above trigger ratios and a decline in LTVs sustained over a period of time, among other factors. Rating upgrades are limited as Fitch caps the aircraft ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and its 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, all impacting demand for air travel. Finally, 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 COVID 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. ARIVO ACCEPTANCE 2022-2: DBRS Gives Prov. BB Rating on D Notes -------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by Arivo Acceptance Auto Loan Receivables Trust 2022-2 (ARIVO 2022-2 or the Issuer): -- $192,830,000 Class A Notes at AA (sf) -- $15,810,000 Class B Notes at A (sf) -- $26,260,000 Class C Notes at BBB (sf) -- $15,410,000 Class D Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the cash collateral account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) The DBRS Morningstar CNL assumption is 9.10% based on the cut-off date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2022 Update," published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) DBRS Morningstar performed an operational review of Arivo Acceptance, LLC (Arivo) and considers the entity an acceptable originator and servicer of subprime and nonprime auto loans. The transaction structure provides for a transition of servicing in the event a Servicer Termination Event occurs. Wilmington Trust, National Association (rated AA (low) with a Stable trend by DBRS Morningstar) is the Backup Servicer, and Systems & Services Technologies, Inc. is the contracted subagent to perform the Backup Servicer's duties. (5) The credit quality of the collateral and performance of Arivo's auto loan portfolio. The weighted-average (WA) remaining term of the Initial Receivables is approximately 70 months with WA seasoning of approximately one month. The nonzero WA credit score of the pool is 562 and the WA annual percentage rate is 15.48%. (6) The legal structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Arivo, that the trust has a valid first-priority security interest in the assets, and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." The rating on the Class A Notes reflects 29.30% of initial hard credit enhancement provided by subordinated notes in the pool (21.45%), OC (6.60%), and cash collateral account (1.25% of the aggregate pool balance, including the initial pool balance plus the subsequent receivable balance, and nondeclining). The ratings on the Class B, C, and D Notes reflect 23.40%, 13.60%, and 7.85% of initial hard credit enhancement, respectively. BBCMS MORTGAGE 2022-C18: Fitch Gives 'B-(EXP)' Rating on H-RR Certs ------------------------------------------------------------------- Fitch Ratings has issued a presale report on BBCMS Mortgage Trust 2022-C18, commercial mortgage pass-through certificates, series 2022-C18. Fitch expects to rate the transaction and assign Rating Outlooks as follows: - $10,600,000 class A-1 'AAAsf'; Outlook Stable; - $73,000,000 class A-2 'AAAsf'; Outlook Stable; - $42,100,000 class A-3 'AAAsf'; Outlook Stable; - $195,000,000a class A-4 'AAAsf'; Outlook Stable; - $228,200,000a class A-5 'AAAsf'; Outlook Stable; - $16,826,000 class A-SB 'AAAsf'; Outlook Stable; - $636,441,000b class X-A 'AAAsf'; Outlook Stable; - $72,737,000b class X-B 'A-sf'; Outlook Stable; - $70,715,000 class A-S 'AAAsf'; Outlook Stable; - $34,348,000 class B 'AA-sf'; Outlook Stable; - $38,389,000 class C 'A-sf'; Outlook Stable; - $20,204,000bc class X-D 'BBBsf'; Outlook Stable; - $20,204,000c class D 'BBBsf'; Outlook Stable; - $19,194,000cd class E-RR 'BBB-sf'; Outlook Stable; - $11,113,000cd class F-RR 'BB+sf'; Outlook Stable; - $10,102,000cd class G-RR 'BB-sf'; Outlook Stable; - $9,092,000cd class H-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $29,297,236cd class J-RR. a. The initial certificate balances of class A-4 and A-5 are not yet known but are expected to be $423,200,000 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 to $195,000,000, and the expected class A-5 balance range is $228,200,000 to $423,200 ,000. Balances for class A-4 and A-5 reflect the maximum and minimum of each range. b. Notional amount and interest only. c. Privately placed and pursuant to Rule 144A. d. Horizontal Risk Retention Interest classes. Entity/Debt Rating ----------- ------ BBCMS 2022-C18 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E-RR LT BBB-(EXP)sf Expected Rating F-RR LT BB+(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating H-RR LT B-(EXP)sf Expected Rating J-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT A-(EXP)sf Expected Rating X-D LT BBB(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 114 commercial properties with an aggregate principal balance of $808,180,236 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Bank of Montreal, Societe Generale Financial Corporation, UBS AG, BSPRT CMBS Finance, LLC, LMF Commercial, LLC, KeyBank National Association, Argentic Real Estate Finance LLC and Starwood Mortgage Capital LLC. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be Rialto Capital Advisors, LLC. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool's Fitch loan-to-value ratio (LTV) of 90.6% is lower than both the YTD 2022 and 2021 averages of 100.0% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.27x is lower than the YTD 2022 and 2021 averages of 1.31x 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 93.8% and 1.25x, respectively. Investment-Grade Credit Opinion Loans: The pool includes three loans, representing 10.95% of the total cutoff balance, that received an investment-grade credit opinion. This is below both the YTD 2022 and 2021 averages of 16.0% and 14.9%, respectively. The Liberty Park at Tysons loan (5.6% of the pool) received a standalone credit rating of 'A-sf*'. The 70 Hudson Street loan (4.5% of the pool) received a standalone credit rating of "BBBsf*'. The Park West Village loan (0.9% of the pool) received a standalone credit rating of 'BBB-sf*'. Minimal Amortization: Based on scheduled balances at maturity, the pool is scheduled to pay down by only 3.9%, which is slightly above the YTD 2022 average of 3.3% and below the 2021 average of 4.8%, respectively. Twenty-four loans (65.9% of the pool) are full-term interest-only (IO) loans and four loans (19.0% of the pool) are partial IO. Nine loans (15.1% of the pool) are amortizing balloon loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that could, individually or collectively, lead to negative rating action/downgrade: Similarly, declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'A+sf'/'A-sf'/'BBB-sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'/'CCCsf'; - 20% NCF Decline: 'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'; - 30% NCF Decline: 'BBBsf'/'BB+sf'/'B-sf'/'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: 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'/'AA+sf'/'A+sf'/'A-sf'/'BBB+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. BEVERLY COMMUNITY HOSPITAL: S&P Lowers Rev. Bond Rating to 'CCC-' ----------------------------------------------------------------- S&P Global Ratings lowered its long-term rating to 'CCC-' from 'BB' on California Statewide Communities Development Authority's series 2015 and 2017 revenue bonds, issued for the Beverly Community Hospital Assn. (Beverly). At the same time, S&P Global Ratings placed its long-term rating on the bonds on CreditWatch with negative implications. "The rating action reflects accelerating deterioration of operating performance and unrestricted reserves through the nine-month interim period ended Sept. 30, 2022, as well as our expectation that Beverly will likely violate at least one financial covenant, which could result in an event of default," said S&P Global Ratings credit analyst Chloe Pickett. The worsened financial performance is largely attributable to heightened labor costs and use of expensive agency staff to meet considerable patient demand in the primary service area. Although Beverly has implemented measures to ease capacity constraints, such as diverting ambulances during certain periods of the day, the hospital has limited flexibility to reduce heightened labor expenses. The CreditWatch placement reflects the potential for further credit deterioration given Beverly's continued operating stress, very limited financial flexibility, and likely covenant violations. S&P expects to review the rating within 90 days of the CreditWatch placement, during which time we expect to receive additional clarification regarding the status of the financial covenants, potential waivers from bondholders in the likely event a covenant is breached, or potential support from a third party. Environmental, social, and governance (ESG) credit factors for this change in credit rating/outlook and/or CreditWatch status: -- Human capital BOREAL 2022-2: DBRS Gives Prov. BB(high) Rating to Class E Notes ---------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Boreal Series 2022-2 Class B Notes (the Class B Notes), the Boreal Series 2022-2 Class C Notes (the Class C Notes), the Boreal Series 2022-2 Class D Notes (the Class D Notes), and the Boreal Series 2022-2 Class E Notes (the Class E Notes) (collectively, the Notes) contemplated to be issued by Kawartha CAD Ltd. (the Issuer) referencing the executed Junior Loan Portfolio Financial Guarantees (the Financial Guarantee) to be dated on or about November 29, 2022, between the Issuer as Guarantor and the Bank of Montreal (BMO; rated AA with a Stable trend by DBRS Morningstar) as Beneficiary with respect to a portfolio of Canadian commercial real estate (CRE) secured loans originated or managed by BMO: -- Class B Notes at AA (low) (sf) -- Class C Notes at A (sf) -- Class D Notes at BBB (low) (sf) -- Class E Notes at BB (high) (sf) The provisional ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee referenced above). The payment of the interest due to the Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee referenced above). To assess portfolio credit quality, DBRS Morningstar may provide a credit estimate, internal assessment, or ratings mapping of BMO's internal ratings model. Credit estimates, internal assessments, and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to a facility sufficient to assess portfolio credit quality. RATING RATIONALE The provisional ratings are the result of DBRS Morningstar's review of the transaction structure and draft Financial Guarantee of Kawartha CAD Ltd., a corporation established under the Canada Business Corporations Act. Kawartha CAD Ltd., Boreal 2022-2 is a synthetic risk transfer transaction with BMO as the Beneficiary. The ratings reflect the following: (1) The draft Financial Guarantee to be dated on or about November 29, 2022. (2) The integrity of the transaction structure. (3) DBRS Morningstar's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates. DBRS Morningstar analyzed the transaction using its CMBS Insight Model and CLO Asset Model, based on certain reference portfolio characteristics, including Eligibility Criteria and Replenishment Criteria, as defined per the draft Financial Guarantees. The initial reference portfolio consists of well-diversified CRE secured loans across various obligors. The analysis produced satisfactory results, which supported the provisional ratings on the Notes. BRIAR BUILDING: Choudhri Can Raise Release and Waiver Defenses -------------------------------------------------------------- Bankruptcy Judge Eduardo Rodriguez grants in part the Motion to Reconsider filed by the Defendant Mohammad Ali Choudhri in the adversary case styled IN RE: BRIAR BUILDING HOUSTON LLC, Chapter 11, Debtor. GEORGE M LEE, Plaintiff, v. MOHAMMAD ALI CHOUDHRI, Defendant, Case No. 18-32218, Adversary No. 20-3395, (Bankr. S.D. Tex.). On April 4, 2021, the Court entered its Comprehensive Scheduling, Pre-Trial & Trial Order affirming and incorporating the Joint Discovery/Case Management Plan ("26(f) Order") — which required the parties to serve their initial disclosures under Federal Rule of Civil Procedure 26(a), including documents in support of the party's claims or defenses, no later than April 9, 2021. The 26(f) Order identified the close of the discovery period as Feb. 1, 2022. During the May 25, 2022 evidentiary hearing on the Plaintiff's Motion to Compel and Motion to Compel Supplement, the Court granted in part the Plaintiff's Motion, and among other things, struck all of Defendant's Affirmative Defenses. The Court observes that the Defendant has engaged in a routine pattern of unwillingness to cooperate with basic discovery requests since the inception of this case and only began to produce documents with regard to his Affirmative Defenses on May 23, 2022, two days before the Court's hearing on the Motion to Compel to Compel Discovery and more than a year after the Court's 26(f) Order deadline to produce these documents. Furthermore, the Defendant waited until Sept. 27, 2022, over four months after the Court issued its Sanctions Order, to file this Motion to Reconsider. After careful consideration of evidence taken at the Hearing, the Court carves out two exceptions under its broad authority to revise his orders pursuant to Rule 54(b). Notwithstanding the Defendant's failure to timely turn over documents relating to his Affirmative Defenses, the Court finds that the Defendant's Initial Disclosures do make reference to the "records of proceedings in the related bankruptcy cases as well as the forbearance agreement entered into May 11, 2018." In addition, the Court finds that the Plaintiff is also intimately familiar with the May 11, 2018 Forbearance Agreement, as he was a party to this agreement and this agreement constitutes a significant part of the present case. As such, the Court is convinced that the Plaintiff was sufficiently on notice that the Defendant would use the May 11, 2018 Forbearance Agreement in his defense and that it would not be prejudicial to allow the Defendant to raise Affirmative Defenses two and nine, waiver and release respectively, as they relate to the May 11, 2018 Forbearance Agreement. The Plaintiff also conceded this point at the Hearing. Accordingly, the Court grants the Defendant's Motion to Reconsider in part. The Court will reform its Sanctions Order to allow the Defendant to raise his release and waiver Affirmative Defenses as it relates to the May 11, 2018 Forbearance Agreement. However, the rest of the Court's Sanctions Order will remain in effect. A full-text copy of the MEMORANDUM OPINION dated Nov. 14, 2022, is available at https://tinyurl.com/2p8vt9xu from Leagle.com. About Briar Building Houston Briar Building Houston LLC is a real estate company whose principal assets are located at 50 Briar Hollow Lane Houston, Texas. Briar Building Houston sought protection under Chapter 11 of the Bankruptcy Code (Bankr. S.D. Tex. Case No. 18-32218) on April 30, 2018. In the petition signed by George Lee, managing member, the Debtor estimated assets of $10 million to $50 million and liabilities of $10 million to $50 million. Judge Eduardo V. Rodriguez presided over the case. The Debtor tapped Locke Lord LLP as its legal counsel. CASTLELAKE AIRCRAFT 2018-1: Fitch Affirms B Rating on Class C Notes ------------------------------------------------------------------- Fitch Ratings has affirmed the ratings on six classes of notes on aircraft lease transactions Castlelake Aircraft Structured Trust 2018-1 (Castlelake 2018-1) and Castlelake Aircraft Structured Trust 2019-1 (Castlelake 2019-1). The Rating Outlooks are revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- Castlelake Aircraft Structured Trust 2019-1 A 14855MAA6 LT BBBsf Affirmed BBBsf B 14855MAB4 LT BBsf Affirmed BBsf C 14855MAC2 LT CCCsf Affirmed CCCsf Castlelake Aircraft Structured Trust 2018-1 A 14856CAA7 LT Asf Affirmed Asf B 14856CAB5 LT BBBsf Affirmed BBBsf C 14856CAC3 LT Bsf Affirmed Bsf TRANSACTION SUMMARY Castlelake 2018-1 and 2019-1 are transactions backed by leases on portfolios of aircraft serviced by Castlelake L.P. The affirmations reflect current performance, Fitch's cash flow projections, and its expectation for the structure to withstand stresses 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 modelled 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. KEY RATING DRIVERS Shortfalls and Breaches Impair Junior Notes: Class A notes have accumulated shortfalls to their scheduled principal balances that prevent class B and C notes from receiving material principal distributions. Also, low cash flows in both transactions pushed debt service coverage ratio (DSCR) below the 1.2x rapid-amortization threshold. Additionally, class C principal is not paid under rapid amortization. The other rapid amortization trigger, aircraft utilization, has been improving in both transactions and is now well above the 75% threshold. Income Depressed by Market Sentiment: Collateral aircraft are generally leased in aviation markets that have not yet materially improved. Mid-life aircraft values remain depressed, yielding lower lease income. Wide bodies, whose values are particularly affected, make up a quarter of the modeled value for both transactions in this review and Fitch considers one quarter to one half of the aircraft in these transactions to be tier 2 or 3 aircraft. Insurance Receipts from Russia Modelled: The transactions have one (2018-1) and two (2019-1) planes exposed to Russia, which the lessor assumes to be total losses but for which they have filed insurance claims. Fitch gave credit to expected insurance proceeds in our modeling, assuming that the issuers would receive after three years up to 50% (in the Bsf stress scenario) of the maintenance-adjusted base value of the impacted aircraft. Bifurcated Recovery Affects Performance: The degree of recovery in air traffic has differed materially between regions. While North America and Europe have seen material recovery, APAC and Africa have performed weaker. Both transactions have material exposure to APAC lessees including Springjet, Hong Kong Airlines, Beijing Capital Airlines, Tianjin Airlines, Thai and Philippine Airlines. Fitch continues to see a number of airlines from APAC generate delinquencies or ink lease modifications with power-by-the-hour structures, which impairs future lease income for these transactions. Adjustment for Arrears Weakens Credit Quality: Despite general improvements in the market, ABS transactions vary widely in terms of lessee credit quality and diversification. Lessee credit quality in these transactions generally deteriorated, based on updated information on lessees in arrears for which we then assumed higher default probabilities. Lease Rates: A number of lessors and market participants are starting to observe a recovery in lease rates. Fitch believes that this recovery will be more pronounced in younger, newer-technology narrow body aircraft, of which aircraft ABS transactions generally have fewer. Fitch believes, to the extent that lessors are transitioning lessees out of power-by-the-hour structures, deferral agreements or similar restructures with lower lease rates, ABS transactions may also see recovery in lease rates. Sensitivity to End-of-Lease Payments Incorporated: Fitch received updated information on expected end-of-lease payments from current lessees in the portfolio. Fitch took these cash flows into account in our analysis and tested the ratings' sensitivity to receipt of these amounts. Material Downside Risks Remain: While the commercial aviation market is recovering, the industry continues to face multiple unknowns and potential headwinds including the emergence of new COVID variants with associated travel restrictions, on-going 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. Adequate Servicer Capability: Fitch deems Castlelake adequately capable of servicing the transactions' portfolios. The generally positive trend in utilization across transactions attests to their capability. 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. Rating upgrades are limited as Fitch caps the aircraft ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and its 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, all impacting demand for air travel. Finally, 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 COVID 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. CFMT LLC 2022-HB10: DBRS Gives Prov. B Rating to Class M5 Notes --------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following Asset-Backed Notes, Series 2022-3 to be issued by CFMT 2022-HB10, LLC: -- $266.1 million Class A at AAA (sf) -- $35.2 million Class M1 at AA (low) (sf) -- $24.5 million Class M2 at A (low) (sf) -- $20.3 million Class M3 at BBB (low) (sf) -- $20.4 million Class M4 at BB (low) (sf) -- $12.3 million Class M5 at B (sf) The AAA (sf) rating reflects 26.6% of credit enhancement. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (sf) ratings reflect 16.9%, 10.2%, 4.6%, -1.0%, and -4.4% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar did not rate any other classes in this transaction. Lenders typically offer reverse mortgage loans to people who are at least 62 years old. Through reverse mortgage loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required (1) if the borrower dies, (2) if the borrower sells the related residence, (3) if the borrower no longer occupies the related residence for a period (usually a year), (4) if it is no longer the borrower's primary residence, (5) if a tax or insurance default occurs, or (6) if the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner's association dues if applicable. Reverse mortgages are typically nonrecourse; borrowers don't have to provide additional assets in cases where the outstanding loan amount exceeds the property's value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans. As of the September 30, 2022, Cut-Off Date, the collateral has approximately $362.7 million in unpaid principal balance from 1,295 performing and nonperforming home equity conversion mortgage reverse mortgage loans and real estate owned assets secured by first liens typically on single-family residential properties, condominiums, multifamily (two- to four-family) properties, manufactured homes, planned unit developments, and townhouses. The mortgage assets were originated between 1999 and 2016. Of the total assets, 493 have a fixed interest rate (46.45% of the balance), with a 5.206% weighted-average coupon (WAC). The remaining 802 assets have floating-rate interest (53.55% of the balance) with a 4.641% WAC, bringing the entire collateral pool to a 4.904% WAC. The transaction uses a sequential structure. No subordinate note shall receive any principal payments until the senior notes (Class A Notes) have been reduced to zero. This structure provides credit enhancement in the form of subordinate classes and reduces the effect of realized losses. These features increase the likelihood that holders of the most senior class of notes will receive regular distributions of interest and/or principal. All note classes have available fund caps. Classes M1, M2, M3, M4, and M5 (together, the Class M Notes) have principal lockout terms insofar as they are not entitled to principal payments until after the expected final payment of the upstream notes. The Class M5 Notes are not entitled to any payments of principal prior to a Redemption Date, unless an Acceleration Event or Auction Failure Event occurs. Available cash will be trapped until these dates, at which stage the notes will start to receive payments. Note that the DBRS Morningstar cash flow as it pertains to each note models the first payment being received after these dates for each of the respective notes; hence, at the time of issuance, these rules are not likely to affect the natural cash flow waterfall. A failure to pay the Notes in full on the Mandatory Call Date (November 2025) will trigger a mandatory auction of all assets. If the auction fails to elicit sufficient proceeds to pay off the notes, another auction will follow every three months, for up to a year after the Mandatory Call Date. If these have failed to pay off the notes, this is deemed an Auction Failure, and subsequent auctions will proceed every six months. If the Class M5 Notes have not been redeemed or paid in full by the Mandatory Call Date, these notes will accrue Additional Accrued Amounts. DBRS Morningstar does not rate these Additional Accrued Amounts. COMM 2015-CCRE22: Fitch Affirms 'BB-sf' Rating on Class E Certs --------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of COMM 2015-CCRE22 Mortgage Trust commercial mortgage pass-through certificates, series 2015-CCRE22. Entity/Debt Rating Prior ----------- ------ ----- COMM 2015-CCRE22 A-3 12592XBA3 LT AAAsf Affirmed AAAsf A-4 12592XBC9 LT AAAsf Affirmed AAAsf A-5 12592XBD7 LT AAAsf Affirmed AAAsf A-M 12592XBF2 LT AAAsf Affirmed AAAsf A-SB 12592XBB1 LT AAAsf Affirmed AAAsf B 12592XBG0 LT AA-sf Affirmed AA-sf C 12592XBJ4 LT A-sf Affirmed A-sf D 12592XAG1 LT BBB-sf Affirmed BBB-sf E 12592XAJ5 LT BB-sf Affirmed BB-sf PEZ 12592XBH8 LT A-sf Affirmed A-sf X-A 12592XBE5 LT AAAsf Affirmed AAAsf X-B 12592XAA4 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Stable Loss Expectations: Overall loss expectations have slightly improved since Fitch's prior rating action and the performance of properties previously impacted by the pandemic have generally improved. Eight loans are considered Fitch Loans of Concern (FLOCs -- 18.6% of the pool) including two properties within the top 15 with declining performance, occupancy and/or upcoming rollover concerns. Fitch's current ratings reflect a base case loss of 5.70%. The largest increase in loss since the last rating action is the Wells Fargo Portfolio (8.5%), which comprises a group of six crossed loans secured by six single-tenant, office properties totaling 1,636,299-sf located in Virginia, Georgia, North Carolina, and South Carolina. Occupancy for the portfolio as of March 2022 was 74%, down from 91% at YE 2021 and 100% at YE 2020. Occupancy declined after Wells Fargo gave notice of its intent not to renew its lease at the Wells Fargo Winston-Salem West End II location. According to the servicer, the space is currently dark, and a broker is currently marketing the space. In addition, Wells Fargo exercised an option to downsize their space at the Wells Fargo Atlanta property in 2018. As of March 2022, the Wells Fargo Atlanta property reported an occupancy of 46.1% and all the former Wells Fargo space remained vacant. Fitch requested a leasing update from the master servicer, but has not received a response. As of the October 2022 reserve report, $31.9 million of tenant reserves was reported for the portfolio. According to the third-quarter 2022 CoStar, market rents in the Airport/South Atlanta office submarket average $21.22 psf and the submarket vacancy rate is 8.8%. Market rents in the St. Andrews office submarket in the Columbia market average $17.20 psf and the submarket vacancy rate is 11.2%. Market rents in the Roanoke market area average $15.99 psf and the market vacancy rate is 16.2%. Market rents in the Greensboro/Winston-Salem office market average $18.21 psf and the market vacancy rate is 10.0%. As of March 2022, the weighted average in-place gross rent of the portfolio was $7.76 psf. The largest decrease in loss since the last rating action is Wonderbread (3.0%), which is secured by an 82,132-sf office building located in Washington, D.C. The property was built in 1919 and renovated in 2014. As of the June 2022 rent roll, occupancy was 99.4%, up from 59.3% at YE 2021, 100% at YE 2020 and 100% at YE 2019. Occupancy declined to 59.3% as of YE 2021 due to major tenant WeWork previously (40.7% of NRA) vacating prior to the September 2026 lease expiry. Per the June 2022 rent roll, the vacant space was subsequently backfilled by Douglas Wonderbread LLC, Douglas Wonderbread LLC which operates a co-working space at the property and pays a rental rate in excess of that paid by WeWork. The property's major tenants include, Douglas Wonderbread, LLC (40.0% NRA; 5/2031), Children's Hospital (39.0% NRA; 6/2034), and Streetsense DC LLC (20.3% NRA; 10/2026). Per CoStar, the property is located in the Shaw Office Submarket of the Washington D.C. market, submarket asking rents average $44.79 psf and the submarket vacancy rate is 6.0%. As of the June 2022 rent roll, the average in-place gross rent of the property was $45. Increased Credit Enhancement: As of the October 2022 distribution date, the pool's aggregate principal balance has paid down by 25.6% to $964.9 million from $1.3 billion at issuance. Since the prior rating action, one loan has been defeased (0.5% of the pool) and two loans ($6.0 million) have prepaid ahead of their scheduled maturity dates. The pool has experienced $253,055 (0.02% of the original pool balance) in realized losses since issuance. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-3, A-4, A-5, A-SB, A-M and X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C, D, E and X-B may occur should expected pool losses increase significantly and/or the FLOCs and/or loans susceptible to the pandemic suffer losses. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected, but may occur with significant improvement in CE and/or defeasance, in addition to the stabilization of properties impacted from the coronavirus pandemic. Upgrades of the 'BBB-sf' category rated classes are considered unlikely, until the later years in the transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the class. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM MORTGAGE 2013-300P: Fitch Cuts Rating on Cl. E Notes to 'Bsf' ------------------------------------------------------------------ Fitch Ratings has downgraded four classes of COMM 2013-300P Mortgage Trust and placed all seven classes on Rating Watch Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2013-300P A1 12625XAA5 LT AAAsf Rating Watch On AAAsf A1P 12625XAC1 LT AAAsf Rating Watch On AAAsf B 12625XAG2 LT A-sf Downgrade AA-sf C 12625XAJ6 LT BBB-sf Downgrade A-sf D 12625XAL1 LT BB-sf Downgrade BBB-sf E 12625XAN7 LT Bsf Downgrade BB+sf X-A 12625XAE7 LT AAAsf Rating Watch On AAAsf KEY RATING DRIVERS The downgrades of classes B, C, D and E reflect declines in occupancy and net cash flow (NCF) since issuance, largely from the restructuring of the largest tenant Colgate Palmolive's lease in 2020. The Rating Watch Negative placement on all classes reflects the potential for downgrades absent property performance improvement, lack of positive leasing momentum of vacant space, limited progress on the execution of the borrower's business plans and/or limited information from the servicer or borrower regarding refinancing prospects. The borrower has been incorporating its own coworking concept, Studio, into the rebranding, leasing and marketing of vacancies at the property. For the 'AAAsf' rated classes, downgrades of one to two categories are possible, and for classes rated 'A-sf' and below, downgrades of one category are possible. Factors that would lead to an affirmation and removal of the Rating Watch Negative include a successful execution of the borrower's business plan, positive leasing momentum that contributes to improved occupancy and cash flow and information from the servicer or borrower regarding securing refinancing. Fitch expects to resolve the Rating Watch Negative within six months, which provides additional time for Fitch to potentially receive updates on leasing and other performance information at YE 2022 and 1Q23, as well as additional clarity on refinance prospects from the servicer or borrower. The loan matures in August 2023. Cash Flow Declines; Occupancy Concerns: The servicer-reported annualized June 2022 NCF was $32.3 million with a NCF debt service coverage ratio (DSCR) of 1.50x, up from $26.5 million at YE 2021 and in-line with $32.4 million at YE 2020, but below $50.1 million at YE 2019. Fitch believes the current reported cash flow does not reflect the sustainable long-term performance of the property. Due to the recent volatility of the cash flow and as a consideration of the property's excellent location, Fitch assumed a cash flow where the property is leased up to current market levels at market rental rates. The downgrades are based on an updated Fitch sustainable NCF of $38 million, which is 31% below Fitch's issuance NCF, and is reflective of newly signed leases grossed up at a market rate of $85 psf and incorporates a market vacancy adjustment of 14.4%. As of the August 2022 rent roll, the property was 81% occupied, up from 78.5% in June 2021, but remains below 89.7% in June 2020 and 98.9% at June 2019. In 2020, the largest tenant, Colgate Palmolive, which leased 65.3% of the NRA at issuance, restructured its lease, downsizing to 52.7% of the NRA. Colgate Palmolive extended its lease on 31.4% of the NRA through June 2033 with the remaining 21.3% of the NRA expiring in June 2023. In addition to the space vacated by Colgate Palmolive, multiple other tenants with leases comprising 13.5% of the NRA vacated at YE 2020. Positive leasing momentum in 2022 included two new tenant leases and two existing tenant expansions, representing a combined 5% of the NRA. Fitch requested additional updates on overall leasing activity, as well as details on the subleased Colgate Palmolive spaces, but was not provided a response. Refinance Risk; Macroeconomic Headwinds: The loan has an upcoming scheduled maturity in August 2023, two months after the lease expiration of a significant portion of Colgate Palmolive's space (39% of NRA). After Colgate Palmolive's lease restructure for the space rolling in 2033, the tenant's reduced rental rate is 20% lower than the rate it paid at issuance, but still remains in-line with than the submarket average per Costar as of 3Q22. Colgate Palmolive has been a tenant at the property since 1980. Fitch anticipates mounting macroeconomic headwinds through 2023 with rising interest rates, slowing growth and persistent inflation, which may impact the refinanceability of the loan at maturity. Low Trust Leverage: The 'AAAsf' debt is $385 psf and the whole loan debt is $629 psf, which are both significantly lower than the average psf price of recent sales comparables in the immediate area over the last 12-18 months, which are generally well in excess of $800 psf. Collateral Quality; Excellent Location: 300 Park Avenue consists of a 25-story, LEED Gold high-rise office building totaling 771,643 sf. The property's LEED certification was upgraded to Gold in 2017 from Silver at the time of issuance. The asset's location borders the Grand Central and Plaza submarkets. It is situated between 49th and 50th Streets on the west side of Park Avenue. The location is four blocks north of Grand Central Terminal and offers excellent accessibility and proximity to public transportation. The property underwent substantial renovations between 1998 and 2000, including a new lobby, elevator modernization and upgraded building systems. Additionally, a facade renovation around the same time completely transformed the property's exterior with new windows, aluminum spandrel panels and retail storefronts. Fitch assigns 300 Park Avenue a property quality grade of 'B+'. Limited Structural Features/Sponsorship: The loan has no reserves, no structure in place to mitigate the Colgate-Palmolive lease expiration or springing cash management, and there is no carve-out guarantor. The loan sponsor is controlled by Prime Plus Investments, Inc. (PPI), a private Maryland REIT. PPI is a partnership of a Tishman Speyer-affiliated entity, the National Pension Service of Korea and the second Swedish National Pension Fund AP2, which owns 51.0% of PPI and is an affiliate of GIC Real Estate Private Ltd. (a sovereign wealth fund established and funded by the Singapore government), which owns the remaining 49%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Should Fitch's sustainable NCF remain near $38 million or deteriorate, a downgrade to the 'AAAsf' rated classes by one category is likely. Should Fitch's sustainable NCF decline further by 15% (to a level in-line with most recent servicer-reported annualized June 2022 NCF of $32.3 million), a downgrade to the 'AAAsf' rated classes by two categories, and to classes rated 'A-sf' and below by one category, is likely. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to any classes are considered unlikely during the remaining loan term due to the declining occupancy and cash flow trends since issuance. However, if Fitch's sustainable NCF increases by at least 10%, classes may be affirmed and removed from Rating Watch Negative, should additional information be provided on positive leasing activity at or above market rental rates and progress is made by the borrower on securing refinancing and/or executing on its business plans. ESG CONSIDERATIONS COMM 2013-300P has an ESG Relevance Score of '4' [+] for Waste & Hazardous Materials Management; Ecological Impacts due to the collateral's sustainable building practices including Green building certificate credentials, 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. CONN'S RECEIVABLES 2021-A: Fitch Affirms B Rating on Class C Notes ------------------------------------------------------------------ Fitch Ratings has affirmed all notes of Conn's Receivables Funding 2021-A, LLC (Conn's 2021-A). The affirmations reflect increased credit enhancement (CE) since closing and the trust collateral performing as expected since closing. For the class B and C notes, the Positive Outlook reflects this CE build as well as the expected amortization of the class B and C notes, further increasing CE. Entity/Debt Rating Prior ----------- ------ ----- Conns Receivables Funding 2021-A, LLC A 20825GAA3 LT BBBsf Affirmed BBBsf B 20825GAB1 LT BBsf Affirmed BBsf C 20825GAC9 LT Bsf Affirmed Bsf KEY RATING DRIVERS Subprime Collateral Quality: At closing, the Conn's 2021-A receivables pool had a weighted average FICO score of 613 and 8.1% of the loans had scores below 550 or no score. Fitch applied 2.2x, 1.5x and 1.2x stresses to the 25% default assumption at the 'BBBsf', 'BBsf' and 'Bsf' rating stress levels, respectively. The default multiple reflects the high absolute value of the historical defaults and default assumption, the variability of default performance in recent years and the high geographical concentration of the portfolio. Rating Cap at 'BBBsf': The rating cap reflects the subprime credit-risk profile of the customer base, the high concentration of receivables from Texas, recent disruption in servicing contributing to increased defaults in recent securitized vintages and servicing collection risk (albeit reduced in recent years) due to a portion of customers making in-store payments. Payment Structure -- Sufficient CE: CE has built for all notes to a degree sufficient to cover Fitch's stressed cash flow assumptions at the requisite rating levels. No triggers have been breached for this transaction, allowing each class to receive pro-rata shares of principal allocations, and the turbo nature of the transaction has increased the CE for all notes. Adequate Servicing Capabilities: Conn Appliances, Inc. has a long track record as an originator, underwriter and servicer. Servicing disruption risk is reduced by backup servicing provided by Systems & Services Technologies, Inc. (SST), which has committed to a servicing transition period of 30 days. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults or chargeoffs could produce loss levels higher than the base case, and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Decreased CE may make certain ratings on the notes susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analysis by stressing a transaction's initial base case default assumption by an additional 10% and 25%, and examining the rating implications. These increases of the base case default rate are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of performance. A more prolonged disruption from the pandemic is accounted for in the downside stress of a 50% increase in the base case default rate. - Default increase 10%: class A 'BBBsf'; class B 'BBsf'; class C 'Bsf'; - Default increase 25%: class A 'BBBsf'; class B 'BBsf'; class C 'Bsf'; - Default increase 50%: class A 'BBBsf'; class B 'BBsf'; class C 'CCCsf'; During the sensitivity analysis, Fitch examines the magnitude of the multiplier compression by projecting the expected cash flows and loss coverage levels over the life of investments under higher than the initial base case default assumptions. Fitch models cash flows with the revised default estimates while holding constant all other modeling assumptions. 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 for notes currently rated below the 'BBBsf' cap. Fitch conducted a sensitivity analyses by decreasing the base case default rate for each trust by 10%, 25% and 50%, resulting in the below model implied ratings: - Default decrease 10%: class A 'BBBsf'; class B 'BBBsf'; class C 'BB+sf'; - Default decrease 25%: class A 'BBBsf'; class B 'BBBsf'; class C 'BBBsf'; - Default decrease 50%: class A 'BBBsf'; class B 'BBBsf'; class C 'BBBsf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. DRYDEN 113 CLO: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 113 CLO, Ltd. Entity/Debt Rating ----------- ------ Dryden 113 CLO, Ltd. A-1 LT NRsf New Rating A-1 Loans LT NRsf New Rating A-1L Notes LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Dryden 113 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.4, compared with a maximum covenant, in accordance with the initial expected matrix point of 25. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 96.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.79%, compared with a minimum covenant, in accordance with the initial expected matrix point of 74.40%. Portfolio Composition (Neutral): The largest three industries may comprise up to 50.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls, and assess the effectiveness of various structural features of the transaction. In its stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-f' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, 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. DT AUTO 2022-3: DBRS Gives Prov. BB Rating to Class E Notes ----------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by DT Auto Owner Trust 2022-3 (the Issuer or DTAOT 2022-3): -- $235,500,000 Class A Notes at AAA (sf) -- $42,000,000 Class B Notes at AA (sf) -- $51,250,000 Class C Notes at A (sf) -- $68,750,000 Class D Notes at BBB (sf) -- $22,500,000 Class E Notes at BB (sf) The ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms in which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. (2) DTAOT 2022-3 provides for Classes A, B, and C coverage multiples that are slightly below the DBRS Morningstar range of multiples set forth in the criteria for this asset class. DBRS Morningstar believes that this is warranted, given the magnitude of expected loss, company history, and structural features of the transaction. (3) The DBRS Morningstar CNL assumption is 23.40% based on the pool composition. (4) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2022 Update,” published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse pandemic scenarios, which were first published in April 2020. (5) The transaction parties' capabilities with regard to originations, underwriting, and servicing. (6) The quality and consistency of historical static pool data for DriveTime originations and performance of the DriveTime auto loan portfolio. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with DriveTime, that the trust has a valid first-priority security interest in the assets, and the consistency with the "DBRS Morningstar Legal Criteria for U.S. Structured Finance." The transaction represents a securitization of a portfolio of motor vehicle retail installment sales contracts originated by DriveTime Car Sales Company, LLC (the Originator). The Originator is a direct, wholly owned subsidiary of DriveTime, a leading used-vehicle retailer in the United States that focuses primarily on the sale and financing of vehicles to the subprime market. The rating on the Class A Notes reflects 54.40% of initial hard credit enhancement provided by the subordinated Notes in the pool, the reserve account (1.50%), and overcollateralization (16.00%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 46.00%, 35.75%, 22.00%, and 17.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. FLAGSHIP CREDIT 2022-4: DBRS Finalizes BB Rating on Class E Notes ----------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following classes of notes issued by Flagship Credit Auto Trust 2022-4 (FCAT 2022-4 or the Issuer): -- $48,200,000 Class A-1 Notes at R-1 (high) (sf) -- $165,000,000 Class A-2 Notes at AAA (sf) -- $52,660,000 Class A-3 Notes at AAA (sf) -- $28,140,000 Class B Notes at AA (sf) -- $45,780,000 Class C Notes at A (sf) -- $25,620,000 Class D Notes at BBB (sf) -- $35,700,000 Class E Notes at BB (sf) The final ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve account, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. (2) The DBRS Morningstar CNL assumption is 10.15%, based on the expected Cut-Off Date pool composition. (3) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2022 Update," published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. (4) The consistent operational history of Flagship Credit Acceptance, LLC (Flagship or the Company) and the strength of the overall Company and its management team. -- The Flagship senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Flagship with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Flagship and considers the entity an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) The Company indicated it may be subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Flagship could take the form of class-action complaints by consumers, however, the Company indicated there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Flagship, that the trust has a valid first-priority security interest in the assets, and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." Flagship is an independent, full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms to purchase late-model vehicles and (2) refinancing of existing automotive financing. There are seven classes of Notes included in FCAT 2022-4. Initial credit enhancement for the Class A-1, A-2, and A-3 Notes is expected to be 37.70% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 4.50%, and subordination of 32.20% of the initial pool balance. Initial Class B enhancement is expected to be 31.00% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 4.50%, and subordination of 25.50% of the initial pool balance. Initial Class C enhancement is expected to be 20.10% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 4.50%, and subordination of 14.60% of the initial pool balance. Initial Class D enhancement is expected to be 14.00% and includes a 1.00% reserve account (funded at inception and nondeclining), initial OC of 4.50%, and subordination of 8.50% of the initial pool balance. Initial Class E enhancement is expected to be 5.50% and includes a 1.00% reserve account (funded at inception and nondeclining) and initial OC of 4.50%. FREED MORTGAGE 2022-HE1: DBRS Gives Prov. B(low) Rating to C Notes ------------------------------------------------------------------ DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the Mortgage-Backed Notes, Series 2022-HE1 to be issued by FREED Mortgage Trust 2022-HE1 (FREED 2022-HE1 or the Trust) as follows: -- $126.0 million Class A at AAA (sf) -- $14.2 million Class B at BBB (low) (sf) -- $17.0 million Class C at B (low) (sf) The AAA (sf) rating on the Class A Notes reflects 27.90% of credit enhancement provided by subordinated certificates. The BBB (low) (sf) and B (low) (sf) ratings reflect 19.75% and 10.00% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This a securitization of first- and junior-lien revolving home equity lines of credit (HELOCs) recently originated mainly for debt consolidation and funded by the issuance of the Notes. The Notes are backed by 3,292 HELOCs with a total unpaid principal balance of $174,776,710 and a total current credit limit of $179,870,451 as of the Cut-Off Date (September 30, 2022). The portfolio, on average, is seven months seasoned, though seasoning ranges from two to 33 months. Approximately 98.8% of the HELOCs have been performing since origination. Lendage, LLC (Lendage), a real estate finance company, is the Originator of all HELOCs in the pool. Launched in 2019, Lendage is a residential mortgage lender that specializes in originating HELOCs to consumer borrowers. As of June 30, 2022, its HELOC portfolio consisted of 4,150 loans with an original loan balance of more than $230 million, of which approximately 90% consisted of the Debt Consolidation product. Lendage is a subsidiary of Freedom Financial Network Funding, LLC (Freedom Financial) and Lendage Holding, LLC, both of which are subsidiaries of Pantheon Freedom, Inc., Lendage's ultimate parent company. Within Freedom Financial, Lendage is an affiliate of Freedom Financial Network, LLC (FFN). FFN was founded in 2002 in Silicon Valley to provide debt settlement services to consumers. Operating entities within FFN include Freedom Debt Relief; Freedom Financial Asset Management, LLC; bills.com; and Lendage. These subsidiaries combined have settled more than $15.6 billion on behalf of consumers and have more than $7.0 billion of consumer debt under management as of June 30, 2022. The transaction's Sponsor is Series B, a series of Freedom Consumer Credit Fund, LLC (the Sponsor or the Fund), an affiliate of Freedom Financial Asset Management, LLC (FFAM). FFAM is an operating entity of FFN and a general partner in the Fund, acting as an advisor to the Fund. The Fund was set up to acquire the consumer loans from FFN and Lendage, sponsor securitizations, and manage a portfolio of loans and securities, including the securities retained after the securitization issuance. The transaction is the first securitization of HELOCs by the Sponsor. Previously, the Fund sponsored 14 DBRS Morningstar-rated securitizations of the fixed-rate unsecured fully amortizing consumer installment loans originated by various originators under FFN debt consolidation programs. All of these asset-backed security transactions were issued under the FREED shelf. Lendage offers two HELOC products: the Lendage Debt Consolidation (Limited Cash-Out) HELOCs and the Lendage Expanded Use HELOCs. The Debt Consolidation HELOCs are designed for borrowers with available equity in their homes, but have secured or unsecured debts that generate significant interest expenses and/or limit the borrowers' cash flow. A minimum monthly payment savings of $200 is required under the Debt Consolidation program. The Expanded Use HELOCs (Cash-Out) are intended for borrowers with higher credit scores looking to improve their homes or plan for additional expenses and allows for less than $200 in payment savings. In this transaction, most of the HELOCs were originated under the Debt Consolidation program (93.6% of the pool) and the remaining loans under Expanded Use Program (6.4% of the pool). Lendage uses income, employment, and asset verification (in certain circumstances) methods to qualify borrowers for income. Lendage is the Servicer of all loans in the pool. The initial annual servicing fee is 1.25% per annum. Specialized Loan Servicing LLC will subservice 100% of the loans. Wilmington Trust National Association (rated AA (low) with a Stable trend by DBRS Morningstar) will serve as Indenture Trustee, Custodian, Paying Agent, Note Registrar, Certificate Registrar, and REMIC Administrator. Wilmington Savings Fund Society, FSB will serve as the Owner Trustee. The Sponsor or a majority-owned affiliate of the Sponsor will acquire and intends to retain an eligible vertical interest consisting of the required percentage of the Class A, B, C, and CE Note amounts and Class FR Certificate to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Sponsor or a majority-owned affiliate of the Sponsor will be required to hold the required credit risk until the later of (1) the fifth anniversary of the Closing Date and (2) the date on which the aggregate loan balance has been reduced to 25% of the loan balance as of the Cut-Off Date, but in any event no longer than the seventh anniversary of the Closing Date. Similar to other transactions backed by junior-lien mortgage loans or HELOCs, in this transaction, any HELOCs, including first and junior liens, that are 180 days delinquent under the Mortgage Bankers Association (MBA) delinquency method will be charged-off. In this transaction, all loans are open-HELOCs that have a draw period of five years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances. At the end of the draw term, the HELOC mortgagors have a repayment period of either five or 10 years. During the repayment period, borrowers are no longer allowed to draw and their monthly principal payments will equal an amount that allows the outstanding loan balance to evenly amortize down. The HELOCs in this transaction have no interest-only payment period, so borrowers are required to make both interest and principal payments during the draw and repayment periods. No loans require a balloon payment. Relative to other types of HELOCs backing DBRS Morningstar-rated deals, the loans in the pool are all fully amortizing, have a shorter term, shorter draw period, and are made mainly for debt consolidation to lower borrowers' monthly payments. This transaction uses a structural mechanism similar to other HELOC transactions to fund future draw requests. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws from the principal collections prior to any payments on the Notes and the Class FR Certificates. If the aggregate draws exceed the principal collections (Net Draw), then the Servicer is entitled to reimburse itself for draws funded, from amounts on deposit in the Reserve Account (including amounts deposited into the Reserve Account on behalf of the Class FR Certificates holder after the Closing Date). The Reserve Account is fully funded at closing and has an initial balance equal to the target amount of $3,427,500 (or about 2.0% of collateral balance as of the Cut-Off Date). If the Reserve Account is not at target, the Paying Agent will use the available funds remaining after paying transaction parties' fees and expenses, reimbursing the Servicer for any unpaid fees or Net Draws, and paying the accrued and unpaid interest on the bonds to build it to the target. The top-up of the account occurs before making any principal payments to the Class FR Certificates holder or the Notes. To the extent the Reserve Account is not funded up to its required amount from the principal and interest collections, the Class FR Certificates holder will be required to use its own funds to reimburse the Servicer for any Net Draws. Nevertheless, the servicer is still obligated to fund draws even if the principal collections and the Reserve Account are insufficient in a given month for full reimbursement. In such cases, the Servicer will be reimbursed on subsequent payment dates first, from amounts on deposit in the Reserve Account (subject to the deposited funds), and, second, from the principal collections in subsequent collection periods. Freedom Financial, as a holder of the Trust Certificate/Class FR Certificates, will have an ultimate responsibility to ensure draws are funded by remitting funds to the Reserve Account to reimburse the Servicer for the draws made on the loans, as long as all borrower conditions are met to warrant draw funding. The Class FR Certificates' balance will be increased by the amount of any Net Draws funded by the Class FR Certificates holder. The Reserve Account Required Amount will become $0 on the payment date in November 2027 (after the draw period ends for all HELOCs), at which point the funds will be released through the transaction waterfall. In its analysis of the proposed transaction structure, DBRS Morningstar does not rely on the creditworthiness of either the Servicer or Freedom Financial. Rather, the analysis relies on the assets' ability to generate sufficient cash flows, as well as the Reserve Account, to fund draws and make interest and principal payments. DBRS Morningstar performs a traditional cash flow analysis to stress prepayments, loss timing, and interest rates. In HELOC transactions, because prepayments (and scheduled principal payments, if applicable) are primary sources from which to fund draws, DBRS Morningstar also tests a combination of high draw and low prepayment scenarios to stress the transaction. Because most of the borrowers in this pool have drawn a significant amount of the available credit lines at closing, to test any high draw and low prepay combinations, DBRS Morningstar considers that the borrowers must first repay the credit line in order to draw any meaningful new funds again. The transaction employs a sequential-pay cash flow structure. The excess interest remaining from covering the realized losses is used to build overcollateralization (OC) to the target of 15.7% from 10.0% as of the Closing Date. The excess interest can be released to the residual holder once the OC is built to the target so long as the Credit Event, based on the cumulative loss and/or delinquency thresholds, does not exist. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest on any HELOC. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder of more than a 50% percentage interest of the Class CE Notes; initially, the Sponsor's affiliate). For the junior-lien HELOCs, the Servicer will make servicing advances only if such advances are deemed recoverable or if the associate first-lien mortgage has been paid off and such HELOC has become a senior-lien mortgage loan. All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because HELOCs are not subject to the ATR/QM rules. The Depositor may, at its option, on or after the earlier of (1) the payment date on which the balance of the Class A Notes is reduced to zero or (2) the date on which the total loans' and real estate owned (REO) properties' balance falls to or below 25% of the loan balance as of the Cut-Off Date (Optional Termination Date), purchase all of the loans and REO properties at the optional termination price described in the transaction documents. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more MBA delinquent under the MBA Method (or in the case of any loan that has been subject to a Coronavirus Disease (COVID-19)-related forbearance plan, on any date from and after the date on which such loan becomes 90 days MBA delinquent following the end of the forbearance period) at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. The Servicer, at a direction of the Controlling Holder, may direct the Issuer to sell eligible nonperforming loans (those 120 days or more MBA delinquent) or REO properties (both, Eligible Non-Performing Loans (NPLs)) to third parties individually or in bulk sales. The Controlling Holder will have a sole authority over the decision to sell the Eligible NPLs, as described in the transaction documents. CORONAVIRUS PANDEMIC IMPACT The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with pandemic-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. As of the Cut-Off Date, no loans are subject to an active coronavirus-related forbearance plan with the Servicer. GOLDENTREE LOAN 16: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GoldenTree Loan Management US CLO 16, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 16, Ltd. X LT NR(EXP)sf Expected Rating A LT AAA(EXP)sf Expected Rating A-J LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY GoldenTree Loan Management US CLO 16, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Loan Management II LP. Net Proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured leverage 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 of the indicative portfolio is 24.8, versus a maximum covenant, in accordance with the initial expected matrix point of 25.8. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 76.3% versus a minimum covenant, in accordance with the initial expected matrix point of 74.0%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the notes can withstand default rates in excess of the portfolio credit model hurdle rate for their respective rating scenarios. 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, between 'BBB+sf' and 'AAAsf' for class A-J, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and 'BBsf' for class E, and between less than 'B-sf' and 'B-sf' for class F. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A and A-J notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, 'BBB+sf' for class E notes, and between 'BBB-sf' and 'BBB+sf' for class F 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. GS MORTGAGE 2017-GS5: Fitch Lowers Rating to 'CCsf' on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings has downgraded four and affirmed nine classes of GS Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2017-GS5 (GSMS 2017-GS5). In addition, Fitch has revised the Rating Outlooks on classes B, X-B, C and X-C to Negative from Stable. The Rating Outlooks on classes D and X-D remain Negative following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- GS Mortgage Securities Trust 2017-GS5 A-3 36252HAC5 LT AAAsf Affirmed AAAsf A-4 36252HAD3 LT AAAsf Affirmed AAAsf A-AB 36252HAE1 LT AAAsf Affirmed AAAsf A-S 36252HAH4 LT AAAsf Affirmed AAAsf B 36252HAJ0 LT AA-sf Affirmed AA-sf C 36252HAK7 LT A-sf Affirmed A-sf D 36252HAL5 LT BBsf Downgrade BBB-sf E 36252HAQ4 LT CCCsf Downgrade B-sf F 36252HAS0 LT CCsf Downgrade CCCsf X-A 36252HAF8 LT AAAsf Affirmed AAAsf X-B 36252HAG6 LT AA-sf Affirmed AA-sf X-C 36252HAY7 LT A-sf Affirmed A-sf X-D 36252HAN1 LT BBsf Downgrade BBB-sf KEY RATING DRIVERS Increased Loss Expectations; Office Performance Declines: The downgrades and Negative Outlooks reflect the increased loss expectations since Fitch's prior rating action, primarily due to performance declines for loans secured by office and mixed-use properties. Fitch's current ratings reflect a base case loss of 6.20%. Five loans (24.0% of pool) have been identified as Fitch Loans of Concern (FLOCs), including two office properties (12.0%) and two specially serviced loans secured by mixed-use properties with large office components (8.9%). The Negative Outlooks reflect possible downgrades should the performance of the FLOCs further deteriorate and/or additional loans transfer to special servicing. Fitch Loans of Concern: The largest increase in loss expectations and the largest contributor to overall pool losses is the specially serviced Writer Square (6.1%) loan, secured by a 180,705-sf mixed-use (office/retail) property in Denver, CO. The loan, which is sponsored by the Kroenke Group, transferred to special servicing in December 2021 for imminent monetary default at the borrower's request. The loan remains current as of the October 2022 remittance. Per servicer updates, a PNL was executed in October 2022 and the special servicer is currently assessing next steps. The property has experienced pandemic related performance declines. The YE 2021 NOI is relatively flat from YE 2020 but 34% below YE 2019 and 44% below the issuer's underwritten NOI. Occupancy was 68% as of the June 2022 rent roll, down from 75% as of September 2021, 77% at YE 2020, 81% at YE 2019 and 88% at issuance. Servicer-reported NOI DSCR for this interest-only (IO) loan was 0.91x at YE 2021, relatively flat from 0.96 at YE 2020 but down from 1.39x at YE 2019 and 1.64x at issuance. The property's largest tenant is Blue Moon Digital (17.2% NRA) with a lease expiration in September 2024. Near-term rollover includes approximately 21% by YE 2023. Fitch base case loss of 39% reflects a 10% cap rate and is based off the YE 2019 NOI with a 15% stress to reflect the revenue declines. The second largest specially serviced loan, 20 West 37th Street (2.8%), is secured by a 77,100-sf mixed use (office/retail) property in the Garment District of Manhattan. The loan, which is sponsored by Northern Estates Corp., Colorado Fund, LLC and Juan Jorge Neuss, transferred to special servicing in August 2020 for monetary default as a result of the pandemic. Per servicer updates, a loan modification has been executed and the loan is expected to remain in special servicing for a short period before returning to the master servicer. Occupancy declined to 61% at YE 2021 from 68% as of June 2020, 94% at YE 2019 and 100% at issuance. Servicer-reported NOI DSCR for this IO loan has declined to 0.49x at YE 2021 from 1.11x at YE 2020, 1.48x at YE 2019 and 1.73x at issuance. The largest tenant is Gorilla's, which leases approximately 12.5% NRA on a 10 lease through July 2031. Per the December 2021 rent roll, near-term rollover includes approximately 40% NRA by YE 2023; however, tenants at the property typically sign shorter term leases (1-3 years). Fitch's base case loss of 18% reflects an 8.25% cap rate and the YE 2020 NOI. Fitch's analysis gives credit for the loan modification, the loan returning to the master servicer and the prime Manhattan location. The largest FLOC and largest loan in the pool, 350 Park Avenue (10.2%), is secured by a 570,784-sf office building in the Plaza submarket of Manhattan. The loan, which is sponsored by Vornado Realty Trust, was designated a FLOC due to significant occupancy declines and near-term rollover concerns. Per the June 2022 rent roll, the property was 81% occupied compared with 74% at YE 2021 and 99% at YE 2019. Near-term rollover includes approximately 65% NRA by YE 2023 and is concentrated with Manufacturers & Traders Trust (M&T) which leases approximately 18% NRA through March 2023, and Citadel Enterprise Americas which leases approximately 21% NRA through December 2023 and 15% NRA that expired in October 2022. Both M&T and Citadel are anticipated to vacate at lease expiration, with media reporting new headquarters being built for each at nearby 277 Park Avenue and 425 Park Avenue, respectively. Cash flow has declined at the property with NOI DSCR at 1.38x as of YTD June 2022 compared with 2.27x at YE 2021 and 3.09x at YE 2020. The recent decline is primarily due to Ziff Brothers (50% NRA at issuance) gradually reducing its footprint, and ultimately vacating at its lease expiration in April 2021. A cash trap has been activated since 1Q 2021 due to failure of a debt yield test (minimum requirement of 7.25%). Fitch's analysis reflects a 7.25% cap rate and 15% total haircut to the YE 2021 NOI to account for the significant near-term rollover concerns, resulting in zero modeled loss and a Fitch's stressed value of $547 psf. At issuance, 350 Park Avenue received a credit opinion of 'BBB-sf*' on a stand-alone basis; however, due to current performance, this loan is no longer considered to have credit characteristics consistent with an investment-grade credit opinion. Minimal Change to Credit Enhancement: As of the October 2022 distribution date, the pool's aggregate balance has been paid down by 7.8% to $979.1 million from $1.062 billion at issuance. One loan with an $11.2 million balance paid in full with yield maintenance since Fitch's prior rating action. There are no defeased loans. Thirteen loans (63.8%) are full-term IO and 11 loans (21.6%) that had a partial-term, IO component at issuance have all begun to amortize. Cumulative interest shortfalls of $315,842 are currently affecting the non-rated classes G and VRR. Pool Concentration: The top 10 loans comprise 69.1% of the pool. Loan maturities are concentrated in 2027 (88.0%). Four loans (12.0%) mature in 2026. Based on property type, the largest concentrations are office at 39.1%, retail at 20.8% and industrial at 18.9%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes rated in the 'AAAsf' category are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. Downgrades of the 'AA-sf'and 'A-sf' rated categories may occur should overall pool loss expectations increase significantly from further performance deterioration of the FLOCs and/or one or more larger loans have a substantial outsized loss, which would erode CE. Further downgrades of the 'BBsf' rated classes may occur if additional loans become FLOCs or if performance of the current FLOCs deteriorate further and/or additional loans transfer to special servicing. The 'CCCsf' and 'CCsf' rated classes would be downgraded as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of the 'AA-sf' and 'A-sf' categories would likely occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. An upgrade of the 'BBsf' category is considered unlikely and would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades of the 'CCCsf' and 'CCsf' categories are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient 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. GS MORTGAGE 2022-AGSS: S&P Assigns B (sf) Rating on Cl. HRR Certs ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage Securities Corp. Trust 2022-AGSS' commercial mortgage pass-through certificates. The certificate issuance is a CMBS securitization backed by a two-year, floating-rate, interest-only, first mortgage loan totaling $251.5 million that matures in November 2024, with three, 12-month extension options. The trust loan is secured by the fee simple interest in 50 self-storage properties, totaling approximately 3.8 million total square feet and 25,645 units located across 11 states. The ratings reflect S&P's view of the collateral's historic and projected performance, the sponsor's and the manager's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. Ratings Assigned GS Mortgage Securities Corp. Trust 2022-AGSS(i) Class A, $127,030,000: AAA (sf) Class B, $28,540,000: AA-(sf) Class C, $21,410,000: A-(sf) Class D, $26,260,000: BBB-(sf) Class E, $35,680,000: BB- (sf) Class HRR, $12,580,000: B (sf) (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933, to institutional accredited investors under Regulation D and to non-U.S. persons under Regulation S. HORIZON AIRCRAFT I: Fitch Lowers Rating on Cl. C Debt to CCC ------------------------------------------------------------ Fitch Ratings has downgraded the ratings on Horizon Aircraft Finance I Limited and Horizon Aircraft Finance III Limited (Horizon I and Horizon III) class A, B and C notes. Horizon I class A and B and Horizon III class B have been assigned Stable Rating Outlooks. Entity/Debt Rating Prior ----------- ------ ----- Horizon Aircraft Finance III Limited A 44040JAA6 LT BBB+sf Downgrade Asf B 44040JAB4 LT BB+sf Downgrade BBBsf C 44040JAC2 LT CCCsf Downgrade BBsf Horizon Aircraft Finance I Limited A 440405AE8 LT BBB-sf Downgrade Asf B 440405AF5 LT Bsf Downgrade BBBsf C 440405AG3 LT CCCsf Downgrade Bsf TRANSACTION SUMMARY Fitch has downgraded the Horizon I ratings on the class A, B and C notes and assigned a Stable Outlook. The Horizon III class A, B and C notes have been downgraded and the class B notes have been assigned a Stable Outlook; the Outlook remains Negative on the class A notes. The rating actions reflect current performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with the respective ratings. The rating actions also consider lease terms, lessee credit, updated aircraft values, and Fitch's assumptions and stresses, which inform modeled cash flows and coverage levels. Fitch's updated rating assumptions for both rated and non-rated airlines are based on a variety of performance metrics and airline characteristics. Recessionary timing was assumed to start immediately. This scenario stresses airline credits, asset values and lease rates, while incurring remarketing and repossession costs and downtime at each relevant rating stress level. Babcock & Brown Airceaft Management (BBAM; not rated by Fitch) and certain third-parties were the sellers of the initial assets; BBAM acts as servicer. 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: While aircraft ABS transactions have generally seen improvement in the credit landscape, there is still exposure to lessees in specific countries with lagging recoveries. The credit profiles of lessees in both pools remain significantly stressed with on-going deferrals and delinquencies being reported. Both pools have considerable exposure to lessees in APAC, a region experiencing a slower recovery compared to others. Horizon I contains several lessees with severe delinquencies that share common ownership, representing approximately 56% of total arrears in the pool. Although some of these underperforming accounts are being restructured, lessee concentration will remain a risk in the transaction. Horizon III has one lessee representing 40% of total arrears in the pool, however, a payment plan is in place and the servicer expects the lessee to be current within a year. Ratings for publicly rated airlines in the pool whose ratings have changed since the last review were updated. Asset Quality and Appraised Pool Value: Both of the pools feature all narrow body (NB) aircraft, which is generally viewed positively. Demand for 737-800s and A320CEOs, representing approximately 85% of the Horizon I pool and 100% of the Horizon III pool, is improving, particularly for younger aircraft in good maintenance condition. The weighted average (WA) ages of the aircraft in the pools are 13.4 and 11.3 years for the Horizon I and Horizon III pools, respectively. For Horizon I and Horizon III Fitch received appraisals dated December 2021 from CV, MBA and IBA. For Horizon I, the aggregate lower of mean and median (LMM) Maintenance Adjusted Base Value (MABV) provided by the three appraisers is $531 million. Controlling for the sale of two aircraft, depreciation was approximately 5.3% on an annualized basis. For Horizon III the aggregate LMM MABV is $415 million. Depreciation was approximately 8% on an annualized basis. Fitch ran multiple sensitivities revolving around both increased gross cash flow realization and residual value assumptions. The results of these sensitivities were considered in the rating actions. Transaction Performance: Rent collections for Horizon I continue to be depressed compared to pre-COVID levels, averaging $2.9 million per months over the past 12 months. Controlling for the sale of one aircraft in September 2021, total cash collections shrunk on average by 18% compared to the year prior. Horizon I first fell below debt service coverage ratio (DSCR) trigger levels in May 2020; average coverage has been around 0.51x over the last year, significantly below the cash trap and RAE thresholds of 1.20x and 1.15x. Utilization is above the 75% trigger level, with two currently reported aircraft on ground (AOGs.) Horizon III has experienced some improvement in rent collections over the past year, averaging $2.1 million per month, a 13% increase compared to the 12 months prior, signaling some strengthening in certain lessees making catch up payments. However, it is still well below pre-COVID levels. Horizon III has been below DSCR trigger levels since June 2020 other than briefly coming above cash trap and RAE trigger thresholds in May through July 2021. DSCRs have averaged 0.65x the last 12 months. Utilization is currently below the 75% trigger level with five reported AOGs, which represents approximately a third of the pool, and remains a concern. Several of the aircraft, however, are subject to LOIs. Although Horizon III has seen some improvements in cash flows the past year, class A principal payments have been sporadic and class B and C notes remain unpaid since April 2020. Decreasing pool values along with on-going shortfalls on principal payments have led to increasing loan to values (LTVs). 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. Both pools have significant concentration in APAC, which is experiencing continued challenges compared to other regions. APAC revenue passenger kilometers (RPKs) are approximately 60% lower than pre-pandemic levels, as performance is dependent on further easing of travel restrictions in China. Domestic RPKs are improving but still face challenges in certain countries, such as China, where they are still 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 variants with associated travel restrictions, on-going 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 obligations. Fitch considered these risks when estimating transaction cash flows and establishing rating stresses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades are possible if the concentration of grounded aircraft or lease deferrals result in material cash flows declines, increased LTVs, and impaired credit enhancement. 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 trigger levels and a decline in LTVs sustained over a period of time, among other factors. Rating upgrades are limited as Fitch caps aircraft ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and its 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, all impacting demand for air travel. Finally, 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 COVID 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. IMPERIAL FUND 2022-NQM7: DBRS Gives Prov B(low) Rating to B-2 Certs ------------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2022-NQM7 (the Certificates) to be issued by Imperial Fund Mortgage Trust 2022-NQM7 (the Trust): -- $198.4 million Class A-1 at AAA (sf) -- $41.6 million Class A-2 at AA (low) (sf) -- $24.5 million Class A-3 at A (low) (sf) -- $16.8 million Class M-1 at BBB (low) (sf) -- $19.5 million Class B-1 at BB (low) (sf) -- $12.1 million Class B-2 at B (low) (sf) The AAA (sf) rating on the Class A-1 Certificates reflects 38.55% of credit enhancement provided by subordinated Certificates. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (low) (sf), and B (low) (sf) ratings reflect 25.65%, 18.05%, 12.85%, 6.80%, and 3.05% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of fixed-rate and adjustable-rate prime and nonprime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 742 loans with a total principal balance of approximately $322,849,606 as of the Cut-Off Date (November 1, 2022). The originators for the mortgage pool are A&D Mortgage LLC (ADM; 94.7%) and others (5.3%). ADM originated the mortgages primarily under the following five programs: -- Super Prime -- Prime -- Debt Service Coverage Ratio (DSCR) -- Foreign National – Full Doc -- Foreign National – DSCR A&D Mortgage LLC (ADM) will act as the Sponsor and the Servicer for all loans. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS Morningstar) will act as the Securities Administrator and Certificate Registrar. Wilmington Trust National Association (rated AA (low) with a Stable trend by DBRS Morningstar) will serve as the Custodian, and Wilmington Savings Fund Society, FSB will act as the Trustee. In accordance with U.S. credit risk retention requirements, ADM as the Sponsor, either directly or through a Majority-Owned Affiliate, will retain an eligible horizontal residual interest consisting of the Class B-3 and Class X Certificates and the required portion of the Class B-2 Certificates (together, the Risk Retained Certificates), representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Although the applicable mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for the agency, government, or private-label nonagency prime products for various reasons. In accordance with the CFPB Qualified Mortgage (QM)/ATR rules, 43.4% of the loans are designated as non-QM. Approximately 56.5% of the loans are made to investors for business purposes and are thus not subject to the QM/ATR rules. Also, one loan (0.2% of the pool) is a QM with a conclusive presumption of compliance with the ATR rules and is designated as QM Safe Harbor. The Servicer will generally fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent under the Mortgage Bankers Association (MBA) method, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. If the Servicer fails in its obligation to make P&I advances, Nationstar, as the Master Servicer, will be obligated to fund such advances. In addition, if the Master Servicer fails in its obligation to make P&I advances, Citibank, N.A., as the Securities Administrator, will be obligated to fund such advances. The Sponsor (ADM) will have the option, but not the obligation, to repurchase any mortgage loan that is 90 or more days delinquent under the MBA method (or, in the case of any Coronavirus Disease (COVID-19) forbearance loan, such mortgage loan becomes 90 or more days delinquent under the MBA method after the related forbearance period ends) at the Repurchase Price, provided that such repurchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. The Depositor (A&D Mortgage Depositor LLC) may, at its option, on any date which is the later of (1) the two year anniversary of the Closing Date, and (2) the earlier of (A) the three year anniversary of the Closing Date and (B) the date on which the total loan balance is less than or equal to 30% of the loan balance as of the Cut-off Date, purchase all outstanding certificates at a price equal to the outstanding class balance plus accrued and unpaid interest, including any cap carryover amounts (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Credit Event). Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Certificates (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated certificates. For the Class A-3 Certificates (only after a Credit Event) and for the mezzanine and subordinate classes of certificates (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior certificates have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1, Class A-2, and Class A-3 Certificates. Of note, the Class A-1, Class A-2, and Class A-3 Certificates' coupon rates step up by 100 basis points on and after the payment date in December 2026. Also, the interest and principal otherwise payable to the Class B-3 Certificates as accrued and unpaid interest may be used to pay the Class A-1, Class A-2, and Class A-3 Certificates' Cap Carryover Amounts after the Class A coupons step up. The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update," published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. The ratings reflect transactional strengths that include the following: -- Substantial borrower equity, robust loan attributes, and pool composition; -- Compliance with the ATR rules; -- Satisfactory third-party due-diligence review; -- Current loans; and -- Improved underwriting standards. The transaction also includes the following challenges: -- Nonprime, non-QM, and investor loans; -- Three-month advances of delinquent P&I; -- Representations and warranties framework; -- Servicer's financial capability; -- A servicer with limited performance history; and -- Geographic Concentration. JPMORGAN CHASE 2013-C10: S&P Lowers Cl. F Certs Rating to 'B-(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on six other classes from the same transaction. Rating Actions S&P said, "The downgrades on the class D, E, and F certificates primarily reflect our re-evaluation of the largest loan remaining in the pool, Gateway Center ($98.6 million pooled trust balance; 15.2% of the remaining pooled trust balance). Given the observed decline in performance at the underlying collateral property, as well as the borrower's inability to pay off the loan by its January 2023 maturity date, we have revised and lowered our sustainable net cash flow (NCF), aligning it closer to an average of the servicer's reported NCF for year-end 2021 and 2020. "In addition, we lowered our rating on class F by one notch below the class's model-indicated rating because we qualitatively considered the potential liquidity reduction in the event the upcoming maturing loans (all remaining loans are scheduled to mature between December 2022 and March 2023) transfer to special servicing, which may result in increased special servicing fees and appraisal subordinate entitlement reduction (ASER) amounts. Additionally, we are concerned about the potential for the higher-quality loans to repay, leaving the transaction backed by a lower-quality asset pool with a higher likelihood to experience maturity default and special servicing transfers. "We affirmed our ratings on the class A-5, A-SB, A-S, B, and C certificates because the outstanding ratings were in line with the model-indicated ratings. "We affirmed our rating on the class X-A interest-only (IO) certificates based on 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 notional amount on class X-A references classes A-1, A-2, A-3, A-4, A-5, A-SB, and A-S. "We will continue to monitor the transaction's performance, especially any developments around the Gateway Center loan, the notable loans discussed below, and the pool's volume of loan maturities, especially in first-quarter 2023. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we deem necessary." Transaction Summary As of the Oct. 17, 2022, trustee remittance report, the collateral pool balance was $648.4 million, which is 50.7% of the pool balance at issuance. The pool currently includes 26 loans and one real estate-owned (REO) asset, down from 50 loans at issuance. Six loans ($103.3 million; 15.9%) are defeased, two assets ($61.0 million; 9.4%) are with the special servicer, and 14 loans ($353.0 million; 54.4%) are on the master servicer's (Midland Loan Services) watchlist. S&P said, "Excluding the $9.6 million Fashion Outlets of Santa Fe specially serviced REO asset (1.5% of pooled trust balance) and six defeased loans, we calculated a 1.42x S&P Global Ratings weighted average debt service coverage (DSC) and an 87.9% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.80% S&P Global Ratings weighted average capitalization rate for the remaining 20 loans. The top 10 nondefeased loans have an aggregated outstanding pool trust balance of $436.9 million (67.4%). Using adjusted servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV ratio of 1.36x and 90.8%, respectively, for the top 10 nondefeased loans. To date, the transaction has experienced $94,562 in principal losses. S&P expects losses to reach approximately 0.8% of the original pool trust balance in the near term upon the eventual resolution of the Fashion Outlets of Santa Fe REO asset." Loan Details Details on the loan with materially revised S&P Global Ratings NCF and valuation as well as the specially serviced and notable watchlist loans are discussed below. Gateway Center Loan $98.6 million pooled trust amount; 15.2% of total pooled trust balance This loan is the largest remaining in the pool, is on the master servicer's watchlist, and has a pooled trust balance of $98.6 million, down from $112.0 million at issuance. The loan amortizes on a 30-year schedule after an initial three-year IO period, pays a fixed interest rate of 4.48% per annum, and matures on Jan. 1, 2023. The loan is secured by the borrower's fee simple interest in four multi-tenant office buildings totaling 1.47 million sq. ft. in the central business district of Pittsburgh. The buildings are centered around an open-air plaza area and are connected to an underground parking garage totaling 887 parking spaces. Details on the four office buildings are below: -- One Gateway Center is a 20-story, 353,684-sq.-ft. class B office building constructed in 1952 and renovated in 2000. The building was 75.3% occupied by 30 tenants as of the March 2022 rent roll, down from 84.6% and 37 tenants at issuance. -- Two Gateway Center is a 20-story, 320,378-sq.-ft. class B office building constructed in 1952 and renovated in 2000. The building was 68.3% occupied by 39 tenants as of the March 2022 rent roll, down from 84.6% and 43 tenants at issuance. -- Three Gateway Center is a 25-story, 369,053-sq.-ft. class B office building constructed in 1952 and renovated in 2000. The building was 40.7% occupied by 27 tenants as of the March 2022 rent roll, down from 80.7% and 37 tenants at issuance. -- Four Gateway Center is a 22-story, 426,551-sq.-ft. class A office building constructed in 1960 and renovated in 2012. The building was 82.3% occupied by 18 tenants as of the March 2022 rent roll, compared with 91.3% and 23 tenants at issuance. The loan, which has a current payment status, is on the master servicer's watchlist due to a low reported DSC (0.71x as of the trailing 12 months (TTM) ended March 31, 2022, and 0.63x as of year-end 2021) and upcoming Jan. 1, 2023, maturity date. According to Midland, the borrower has already indicated that it will not be able to pay off the loan timely and has requested a nine-month loan extension, which it is currently reviewing. Midland stated that the loan is currently cash managed and as of the October 2022 trustee remittance report, there is $14.2 million available in various reserve accounts. As mentioned above, the servicer-reported occupancy and NCF for the portfolio have declined materially from 82.0% and $9.6 million, respectively, in 2019 to 69.4% and $8.4 million in 2020, 67.2% and $4.3 million in 2021, and 67.1% and $4.8 million as of the TTM ended March 31, 2022. It is our understanding that while the borrower was able to sign several new and renewal leases in recent months, a number of larger tenants are expected to vacate or downsize, outweighing the positive leasing developments. S&P said, "As a result, given the prolonged lower-than-expected occupancy rate and declining servicer-reported NCF, we revised and lowered our S&P Global Ratings long-term sustainable NCF by 36.6% to $6.6 million from $10.3 million in the last review in August 2020. We assumed a 67.1% in-place occupancy rate, $21.99 per sq. ft. average base rent, as calculated by S&P Global Ratings, and 70.8% operating expense ratio. Using an 8.00% S&P Global Ratings capitalization rate, unchanged from last review, we derived an S&P Global Ratings value of $81.9 million, which is 36.6% and 47.3% lower than our last review value of $129.2 million and issuance appraisal value of $155.5 million, respectively. This yielded a 120.3% S&P Global Ratings LTV ratio, up from 80.0% in the last review. We will continue to monitor the loan's performance, tenancy, and refinancing prospects, and will adjust our analysis as future developments may warrant." West County Center Loan $51.4 million pooled trust amount; 7.9% of total pooled trust balance; $162.6 million whole loan balance This loan is the third-largest remaining in the pool, the largest loan with the special servicer, and has a pooled trust balance and total exposure of $51.4 million and a whole loan balance of $162.6 million, down from $190.0 million at issuance. The pari passu piece totaling $111.3 million (down from $130.0 million at issuance) is in JPMorgan Chase Commercial Mortgage Securities Trust 2012-LC9, a U.S. CMBS transaction (all performance figures referenced herein are whole-loan based). The whole loan amortizes on a 30-year schedule after an initial three-year IO period, pays a fixed interest rate of 3.40% per annum, and matures on Dec. 1, 2022. The whole loan is secured by the borrower's fee simple interest in 743,945 sq. ft. of a 1.2 million-sq.-ft. super regional mall in Des Peres, Mo. The mall was originally constructed in 1969 and, excluding the 199,469-sq.-ft. JCPenney anchor store, was demolished and rebuilt in September 2002 and renovated in 2009. The loan was transferred to the special servicer, Rialto Capital Advisors (Rialto), on April 6, 2020, at the borrower's request for imminent monetary default because of the COVID-19 pandemic. Later that year, the borrower's parent company filed for bankruptcy. According to recent servicer comments, the loan has a current reported payment status, and the special servicer has ongoing discussions with the borrower about the bankruptcy filing, collateral's performance, and upcoming loan maturity. According to the Rialto, since the borrower has been current on its debt service payments, a new appraisal has not been ordered yet. While the servicer-reported occupancy has been relatively steady, in the mid- to high-90 percent since 2012, NCF has decreased since 2018. Prior to the pandemic, the servicer-reported NCF dropped by 6.7% to $18.9 million in 2018 from $20.2 million in 2017 and another 6.0% to $17.7 million in 2019. At the onset of the pandemic, the servicer-reported NCF declined sharply by 31.4% to $12.1 million and remained at that level ($12.6 million) in 2021 before rebounding by 25.7% to $15.9 million as of TTM ended June 30, 2022. According to the June 30, 2022, rent roll, the mall was 95.7% occupied and faced minimal near-term lease rollover. Midland also noted that the anchor tenant, Nordstrom, recently extended its lease by five years until 2028. S&P said, "Since the current servicer-reported NCF figures are in line with our expectations, we maintained the $13.1 million S&P Global Ratings' NCF assumption from last review. However, given the volatile performance and weak tenancies at the mall, we increased our capitalization rate to 9.25% from 8.75% at last review. Our current value of $141.9 million is 5.4% and 58.3% lower than the $150.0 million value that we derived in our last review and $340.0 million issuance appraised value, respectively. We will continue to monitor the property's performance and the resolution discussions between the borrower and the special servicer, and may reevaluate our assumptions for this loan as new developments occur." Fashion Outlets Of Santa Fe REO Asset $9.6 million pooled trust amount; 1.5% of total pooled trust balance This REO asset is the 22nd largest remaining in the pool, the smallest asset with the special servicer, and has a pooled trust balance of $9.6 million, down from $10.9 million at issuance, and a total exposure of $13.2 million. The exposure includes $1.2 million in the servicer's principal and interest advances, $1.3 million in other advances, $73,300 in property taxes and insurance advances, $317,123 in accumulated unpaid interest, and $724,717 in ASER amount. The loan amortizes on a 30-year schedule, pays a fixed interest rate of 4.78% per annum, and matured on Nov. 1, 2017. The loan was transferred to the special servicer on April 26, 2017, because of imminent maturity default, and the property became REO on May 16, 2018. The asset is a 124,102-sq.-ft. open-air shopping center built in 1993 in Santa Fe, N.M. While updated performance data was unavailable, the special servicer, Greystone Servicing Company (Greystone), indicated that it has been working to retain and add tenants, and has recently been able to execute several new leases. Midland has deemed this asset non-recoverable. At the time of its transfer to special servicing in 2017, the property was appraised at $4.8 million ($39 per sq. ft. as of July 2017), reflecting a substantial decline of 77.6% from the issuance appraisal value of $21.4 million ($172 per sq. ft.). The subsequent appraisal values obtained in 2018 and 2019 were relatively flat: $4.3 million ($35 per sq. ft.) as of May 2018, $4.5 million ($36 per sq. ft.) as of October 2018, and $4.7 million ($38 per sq. ft.) as of November 2019. The April 2021 appraised value increased by 51.1% to $7.1 million ($57 per sq. ft.), however, the recent appraisal value as of March 2022 fell 11.3% to $6.3 million ($51 per sq. ft.). S&P said, "Given the material decline and fluctuating appraisal values, the increase in asset exposure, and the extended and uncertain resolution timing, we maintained the loss severity rate of 100% on the asset's trust balance that we assumed in our last review, which is higher than what the current 2022 appraisal value indicates. We considered the potential for the exposure to continue to build up and further declines in collateral value. We will continue to monitor Greystone's liquidation plans and may reevaluate our assumptions for this asset as new developments occur." Other Notable Loans S&P said, "There are five additional loans currently on the master servicer's watchlist that we are closely monitoring because of tenancy concerns coupled with upcoming maturities. The servicer did not have an update on the upcoming maturities. Based on performance trends, we revised and lowered our cash flow assumptions on three of the five notable watchlist loans." Details on these loans are below. -- The 17600 North Perimeter loan ($15.2 million pooled trust amount; 2.3% of total pooled trust balance) is secured by a 127,689-sq.-ft. suburban office building built in 1999 and renovated in 2012 in Scottsdale, Ariz. The loan is on the master servicer's watchlist due to life safety issues. The property is 100% leased to three tenants, each of which has a March 2023 lease expiration. The S&P Global Ratings NCF of $1.5 million is 41.0% lower than the servicer-reported year-end 2021 NCF of $2.5 million. Using an 8.00% S&P Global Ratings capitalization rate, unchanged from last review, we arrived at an S&P Global Ratings value of $18.7 million or $146 per sq. ft., the same as in the last review. The loan matures on Jan. 1, 2023. -- The Kenwood Place loan ($11.4 million; 1.8%) is secured by a 74,159-sq.-ft. retail property built in 2007 in Cincinnati, Ohio. The loan is on the master servicer's watchlist due to the activation of a cash trap event after losing major tenant Kenwood Theater (28,540 sq. ft.; 38.0% of NRA) ahead of the tenant's 2025 lease expiration. The reported occupancy dropped to 55.0% as of June 2022 from 93.0% in 2021. The S&P Global Ratings NCF of $1.2 million is relatively in line with the servicer-reported TTM ended June 2022 NCF of $1.0 million. Using a 7.25% S&P Global Ratings capitalization rate, unchanged from last review, we derived a $15.9 million S&P Global Ratings value or $214 per sq. ft., the same as in the last review. The loan matures on Feb. 6, 2023. -- The Meadow Brook Shopping Center loan ($11.4 million; 1.8%) is secured by a 122,456-sq.-ft. retail property built in 1964 and 1976 and renovated in 2012 in Lowell, Mass. The loan is on Midland's watchlist due to a low reported occupancy after Marshall's (25,000 sq. ft.; 20.4% of NRA) vacated in January 2021 and the borrower has not been able to backfill its space since. Reported occupancy was 61.5% as of September 2021. Since the servicer-reported NCF has declined from $1.2 million in 2019 to $960,004 in 2020 and $944,603 as of TTM ended September 2021, we revised and lowered the S&P Global Ratings NCF to $944,603 from $1.3 million in the last review. Using a 7.75% S&P Global Ratings capitalization rate, unchanged from last review, we arrived at a $12.2 million S&P Global Ratings value ($100 per sq. ft.), compared with the last review value of $16.3 million or $133 per sq. ft. The loan matures on Jan. 1, 2023. -- The ECD Lincolnshire loan ($8.8 million; 1.4%) is a 117-room limited-service lodging property built in 1998 and last renovated in 2009 in Lincolnshire, Ill. The loan is on Midland's watchlist due to low reported DSC and occupancy (-0.11x and 47.6%, respectively, as of the three months ended March 2022). The hotel was materially impacted by the COVID-19 pandemic and has yet to recover. We assumed an S&P Global Ratings NCF of $1.5 million, unchanged from last review. Using a 9.75% S&P Global Ratings capitalization rate, we arrived at a $15.4 million S&P Global Ratings value or $131,488 per guestroom. The loan matures on Jan. 1, 2023. -- The Kleban Portfolio I loan ($5.5 million; 0.8%) is secured by three freestanding or unanchored retail properties built between 1985 and 2001 totaling 22,910 sq. ft. in Greenville, Ala.; West Hartford, Conn.; and Manchester Center, Vt. The loan is on the master servicer's watchlist due to a low reported DSC, which was 0.90x as of TTM ended June 2022. The reported occupancy was 74.2% as of June 2022, down from 86.0% in 2021. The two freestanding retail properties, Berkshire Bank and Ruby Tuesday, totaling 6,171 sq. ft. are each leased to a single tenant with the earliest lease expiration in September 2027. The remaining Battenkill Plaza property in Vermont, recently lost tenant Banana Republic (6,715 sq. ft.; 40.1% of NRA). The servicer-reported NCF has been downward trending: $675,617 in 2019, $591,362 in 2020, $349,450 in 2021, and $452,045 as of TTM ended June 2022. As a result, we revised and lowered our S&P Global Ratings' NCF downward by 22.5% to $495,536 from $639,302 at last review. Using an 8.50% S&P Global Ratings capitalization rate, unchanged from last review, we arrived at a $5.8 million S&P Global Ratings value or $254 per sq. ft., compared with $7.5 million or $328 per sq. ft. from the last review. The loan matures on Dec. 1, 2022. Ratings Lowered JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 Class D to 'BBB- (sf)' from 'BBB (sf)' Class E to 'BB- (sf)' from 'BB (sf)' Class F to 'B- (sf)' from 'B+ (sf)' Ratings Affirmed JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10 Class A-5: AAA (sf) Class A-SB: AAA (sf) Class A-S: AAA (sf) Class B: AA+ (sf) Class C: A (sf) Class X-A: AAA (sf) KKR STATIC 2: Fitch Assigns 'BB-sf' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to KKR Static CLO 2 Ltd. Entity/Debt Rating ----------- ------ KKR Static CLO II Ltd. A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AA+sf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY KKR Static CLO 2 Ltd. (the issuer) is a static arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450.0 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. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 74.63%. Portfolio Composition (Positive): The largest three industries constitute 31.8% of the portfolio balance in aggregate while the top five obligors represent 4.3% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life (WAL) of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch IDR Equivalency Rating for assets with a Negative Outlook on the driving rating of the obligor. The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In the agency's stress scenarios, each class of notes was able to withstand default rates in excess of the respective rating hurdles. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-2, between 'BBB-sf' and 'AA+sf' for class B, between 'B-sf' and 'BBB+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. LAKE SHORE V: S&P Assigns BB- (sf) Rating on Class C Debts ---------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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 LIBERTY ASSET: Ho's Bid for Attorneys Fees Denied, Case Dismissed ----------------------------------------------------------------- Bankruptcy Judge Ernest M. Robles issued a memorandum of decision denying Tsai Luan Ho's motion for attorneys' fees and dismissing without prejudice the adversary proceeding titled In re: Liberty Asset Management Corporation, Debtor. Bradley D. Sharp, Plan Administrator for Liberty Asset Management Corporation, Plaintiff, v. Tsai Luan Ho, Defendant, Case No. 2:16-bk-13575-ER, Adv. No. 2:16-ap-01374-ER, (Bankr. C.D. Cal.) On Aug. 16, 2016, the Official Committee of Unsecured Creditors for Liberty Asset Management Corporation's estate commenced this action against Tsai Luan Ho and Benjamin Kirk. The Court approved a stipulation dismissing the claims against Kirk with prejudice on April 17, 2018. The Court confirmed the Debtor's First Amended Chapter 11 Plan on June 18, 2018. The Plan appointed Bradley D. Sharp of Development Specialists, Inc. as the Plan Administrator. In this action, the Plan Administrator seeks to avoid, as actually and constructively fraudulent, transfers made from the Debtor to Ho. The Plan Administrator seeks damages against Ho in excess of $11 million. The trial of the claims against Ho was initially scheduled to commence on May 29, 2018 but did not go forward because Ho filed a voluntary Chapter 7 petition. The Plan Administrator filed a Proof of Claim in the Ho Bankruptcy Case based upon the allegations asserted in this action. The Chapter 7 Trustee in the Ho Bankruptcy Case liquidated assets with a value of $357,558, and the Plan Administrator received a distribution of $17,757 in connection with its Proof of Claim. The Northern District Bankruptcy Court found that Ho was not entitled to a discharge, because she "has, for years, been involved in large and sophisticated transactions" involving real estate, but failed to maintain adequate financial records of those transactions. This was affirmed by the District Court. On May 25, 2022, the Court issued an Order requiring the Plan Administrator and Oversight Committee to show cause why this adversary proceeding should not be dismissed. The Plan Administrator, with the approval of the Oversight Committee, requested that the Court dismiss this action without prejudice. Consequently, the Plan Administrator sent Ho a proposed stipulation providing for dismissal of the adversary proceeding with prejudice. But Ho refused to execute the stipulation, asserting that the estate should pay Ho's attorney's fees. Ho asserts that she is entitled to attorneys' fees in the amount of $50,000, as the prevailing party in this action. Ho's assertion is based upon a fee clause in two deeds of trust referenced in the Plan Administrator's Complaint — one in favor of Bank SinoPac and the other in favor of Northern California Mortgage Fund VII. The Plan Administrator contends that Ho is not entitled to attorneys' fees because this action was not an action "on a contract," and therefore the fee clause in the deeds of trust was not triggered. The Court finds that Ho is not entitled to attorneys' fees because the Plan Administrator's fraudulent transfer claims against Ho did not arise from the Deeds of Trust. The Court explains that "the Plan Administrator was not a party to the Deeds of Trust and did not accede to any rights granted under the Deeds of Trust in pursuing the fraudulent transfer claims. Rather than arising from the Deeds of Trust, the Plan Administrator's fraudulent transfer claims arise from a Profit Sharing Agreement entered into between the Debtor and Ho's company Great Vista on Oct. 17, 2009. . . The Plan Administrator relied upon the Deeds of Trust only to establish the manner in which title to the various properties at issue was transferred from the Debtor to entities controlled by Ho. In sum, the fraudulent transfer claims are unrelated to the terms of the Deeds of Trust." Accordingly, the Court finds and concludes that Ho cannot avail herself of the attorneys' fees clauses in the Deeds of Trust, which were intended for the benefit of the lenders, simply because the Deeds of Trust were included among the many exhibits that the Plan Administrator would have introduced had the case proceeded to trial. A full-text copy of the MEMORANDUM OF DECISION dated Nov. 14, 2022, is available at https://tinyurl.com/3esurkzf from Leagle.com. About Liberty Asset Management Before ceasing operations, West Covina, California-based Liberty Asset Management Corporation was a real estate management company. Its mission was to seek out real estate opportunities throughout Northern and Southern California, invest in such opportunities, and manage them. Liberty Asset Management Corporation filed for Chapter 11 protection (Bankr. C.D. Cal. Case No. 16-13575) on March 21, 2016. The Debtor estimated assets at $100 million to $500 million and debt at $50 million to $100 million. The petition was signed by Benjamin Kirk, CEO. The Debtor tapped Leven Neale Bender Yoo & Brill LLP, as counsel. The Debtor also engaged SierraConstellation Partners LLC, as restructuring management advisor, and Lawrence R. Perkins, as chief restructuring officer. The Office of the U.S. Trustee on April 27, 2016, appointed three creditors to serve on an official committee of unsecured creditors. The Committee tapped Jeremy V. Richards, Esq., John D. Fiero, Esq., Gail S. Greenwood, Esq., and Victoria A. Newmark, Esq., at Pachulski Stang Ziehl & Jones LLP, in Los Angeles, California, as counsel. Development Specialists Inc. serves as the Committee's financial advisor. LIBRA SOLUTIONS 2022-2: DBRS Confirms BB Rating on Clas B Notes --------------------------------------------------------------- DBRS Morningstar finalized its Appendix XI: U.S. Consumer Litigation Finance of the "Rating U.S. Structured Finance Transactions" methodology on November 8, 2022, after the closure of a request for comment period. DBRS Morningstar also finalized its new exhibits in the "Operational Risk Assessment for U.S. ABS Originators," and "Operational Risk Assessment for U.S. ABS Servicers" methodologies for the U.S. Consumer Litigation Finance asset class and a new Appendix XXVI: U.S. Consumer Litigation Finance of the "DBRS Morningstar Master U.S. ABS Surveillance" methodology (collectively, the Methodology Appendices). As a result of the application of the finalized Methodology Appendices, DBRS Morningstar took the following rating actions on the classes of debt as follows: Oasis 2021-1 LLC: -- Fixed Rate Asset Backed Notes, upgraded to A (sf) from A (low) (sf) Oasis 2021-2 LLC: -- Class A Fixed Rate Asset Backed Notes, upgraded to A (sf) from A (low) (sf) -- Class B Fixed Rate Asset Backed Notes, upgraded to BBB (sf) from BB (sf) Libra Solutions 2022-1 LLC: -- Fixed Rate Asset Backed Notes, confirmed at A (low) (sf) Libra Solutions 2022-2 LLC: -- Class A Fixed Rate Asset Backed Notes, confirmed at A (low) (sf) -- Class B Fixed Rate Asset Backed Notes, confirmed at BB (sf) MARANON LOAN 2022-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Maranon Loan Funding 2022-1 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Maranon Capital L.P. The preliminary ratings are based on information as of Nov. 15, 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 Maranon Loan Funding 2022-1 LLC Class X(i), $20.00 million: AAA (sf) Class A, $230.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $31.50 million: A- (sf) Class D (deferrable), $19.20 million: BBB- (sf) Class E (deferrable), $23.00 million: BB- (sf) Variable dividend notes, $57.50 million: Not rated MORGAN STANLEY 2012-C6: Moody's Lowers Rating to Cl. G Debt to Caa3 ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes and downgraded the ratings on seven classes in Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, Commercial Mortgage Pass-Through Certificates, Series 2012-C6 as follows: Cl. B, Affirmed Aa1 (sf); previously on Apr 11, 2022 Affirmed Aa1 (sf) Cl. C, Downgraded to A3 (sf); previously on Apr 11, 2022 Affirmed A1 (sf) Cl. D, Downgraded to Ba2 (sf); previously on Apr 11, 2022 Downgraded to Baa3 (sf) Cl. E, Downgraded to B3 (sf); previously on Apr 11, 2022 Downgraded to B1 (sf) Cl. F, Downgraded to Caa2 (sf); previously on Apr 11, 2022 Downgraded to B3 (sf) Cl. G, Downgraded to Caa3 (sf); previously on Apr 11, 2022 Downgraded to Caa2 (sf) Cl. H, Affirmed Ca (sf); previously on Apr 11, 2022 Downgraded to Ca (sf) Cl. X-B*, Downgraded to A2 (sf); previously on Apr 11, 2022 Affirmed Aa3 (sf) Cl. X-C*, Affirmed Caa3 (sf); previously on Apr 11, 2022 Downgraded to Caa3 (sf) Cl. PST, Downgraded to A2 (sf); previously on Apr 11, 2022 Affirmed Aa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating on one P&I class, Cl. B, was affirmed because of its significant credit support and the priority of principal payments from the remaining loans in the pool. The ratings on five P&I classes, Cl. C through Cl. G, were downgraded due to the decline in pool performance and higher anticipated losses driven by the significant exposure to loans in special servicing. Five of the six remaining loans (95% of the pool) are in special servicing. The largest loan in the pool, 1880 Broadway/15 Central Park West Retail (57% of the pool), was unable to refinance at its loan maturity and has significant tenant concentration from the largest tenant (54% of the property's NRA) with an original lease expiration date in January 2023. As a result of the exposure to specially serviced and delinquent loans, the remaining classes are at increased risk of interest shortfalls and the potential for higher expected losses. The rating on one P&I class, Cl. H, was affirmed because the rating is consistent with Moody's expected loss. The rating on one interest-only (IO) class, Cl. X-B was downgraded due to a decline in the credit quality of its referenced classes. The rating on one IO class, Cl. X-C, was affirmed due to the credit quality of its referenced classes. The IO Class X-C references P&I classes Cl. D through Cl. J, Cl. J is not rated by Moody's. The rating on the exchangeable class, Cl. PST, was downgraded due to the decline in the credit quality of its reference exchangeable classes and from principal paydowns of higher quality referenced classes. Moody's rating action reflects a base expected loss of 35.2% of the current pooled balance, compared to 11.1% at Moody's last review. Moody's base expected loss plus realized losses is now 7.5% of the original pooled balance, compared to 6.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 95% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the October 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 80% to $220.3 million from $1.12 billion at securitization. The certificates are collateralized by six mortgage loans, of which five loans, constituting 95% of the pool, are currently in special servicing. Loans representing 17% were in foreclosure or REO and 83% were nonperforming past maturity. No loans have liquidated from the pool with a loss, however, an aggregate realized loss of $6.9 million has been incurred due to the servicer reimbursement for prior loan advances on delinquent loans. The largest specially serviced loan is the 1880 Broadway/15 Central Park West Retail Loan ($125.0 million -- 56.7% of the pool), which is secured by an 84,000 SF, four-level (two levels below grade), multi-tenant retail condominium located on the Upper West Side of Manhattan. The property has been 100% leased to four tenants since securitization. However, excluding the largest tenant, Best Buy, the property would only be approximately 46% leased and Best Buy represented just over 40% of the property's base rent in 2021. The loan transferred to special servicing in September 2022 after it was unable to pay off at its September 2022 maturity date. The second largest specially serviced loan is the Cumberland Mall Loan ($37.7 million -- 17.1% of the pool), which is secured by an approximately 671,000 SF component of a 950,000 SF regional mall located in Vineland, New Jersey. The property is anchored by Boscov's, BJ's Wholesale, Home Depot, Dick's Sporting Goods, and a Regal Cinema. Boscov's and BJ's Wholesale are not part of the collateral and Home Depot operates on a ground lease. One collateral anchor space, formerly occupied by Burlington (12% NRA), closed ahead of its February 2021 lease expiration. The loan previously transferred to special servicing in May 2020 but subsequently received temporary payment relief and returned to the master servicer in September 2020. However, the property's NOI has generally declined since 2018 due to lower rental revenues. The 2019 NOI declined 7% year-over-year and performance further declined in 2020 and 2021. However, the 2021 NOI remains above levels at securitization. The loan had an actual NOI DSCR of 1.52X in March 2022, compared to 1.80X in 2021 and 1.93X in 2019. The loan transferred to special servicing again in August 2022 after it was unable to pay off at its scheduled maturity date. The loan is expected to pay off as the original loan sponsor, PREIT, recently announced the asset has been sold and the proceeds will be used to repay the mortgage debt. The third largest specially serviced loan is the 300 West Adams Loan ($20.9 million -- 9.5% of the pool), which is secured by a leasehold interest in a 253,000 SF, 12-story, landmarked office building located in downtown Chicago. The property is located in the CBD West Loop and across the street from the Willis Tower (formerly the Sears Tower). The property is subject to a 99-year ground lease which commenced in September 2012. The ground lease payment started at $1.1 million per year, with 3% increases year-over-year until 2042 when it's capped at $2.5 million. The property was 62% leased as of July 2022 compared to 77% in September 2020 and 97% in 2018. The decline in occupancy and increased expenses caused a significant decline in NOI. The loan transferred to special servicing in January 2021 and has been REO since October 2021. As of the October 2022 remittance statement, the master servicer has recognized a 23% appraisal reduction based on the outstanding loan balance. The special servicer indicated they are currently negotiating a purchase and sale agreement. The fourth largest specially serviced loan is the 470 Broadway Loan ($17.4 million -- 7.9% of the pool), which is secured by a 6,600 SF, 2-story, single tenant retail building in the SoHo neighborhood of New York City. The property was previously fully leased to Aldo until the tenant declared bankruptcy in May 2020. Subsequently, the lease was rejected at this location and the property remains vacant. The loan transferred to special servicing in May 2020 and the property became REO in October 2022. An updated appraisal was completed in June 2022 which valued the property significantly below the loan balance and the master servicer has now deemed the loan as non-recoverable as of the October 2022 remittance date. The fifth largest specially serviced loan is the 152 Geary Street Loan ($9.4 million -- 4.3% of the pool), which is secured by an 8,100 SF, 3-story, single tenant retail building in San Francisco, California. The loan transferred to special servicing in June 2020 due to payment default as the single tenant was not paying rent. The loan is last paid through its March 2020 payment date and has amortized 18% since securitization. A recent appraisal was received at a value above the loan balance and no appraisal reduction has been recognized on this loan. Special servicer commentary states they are dual tracking legal remedies while having ongoing discussions with the borrower to either payoff the loan in full or negotiate a potential loan workout. Moody's estimates an aggregate $77.6 million loss for the specially serviced loans (37% expected loss on average). As of the October 2022 remittance statement cumulative interest shortfalls were $2.1 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The non-specially serviced loan represents 5% of the pool balance. The Palmdale Gateway Loan ($9.9 million -- 4.5% of the pool), is secured by a grocery anchored retail center located in Palmdale, California, approximately 63 miles northeast of Los Angeles. The five-one story buildings were constructed in 1986 and total 100,000 SF. The property was 89% leased as of June 2022 compared to 98% leased as of June 2021 and 90% at securitization. The loan had a maturity date of in October 2022 and is currently being transferred to the special servicer due to maturity default. MORGAN STANLEY 2013-C8: S&P Cuts Class F Certs Rating to CCC-(sf) ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8, a U.S. CMBS transaction. At the same time, S&P affirmed its ratings on seven other classes from the same transaction. Rating Actions The downgrades on the class D, E, and F certificates primarily reflect our revised evaluation of Chrysler East Building loan ($100.0 million pooled trust balance; 22.8% of total pooled trust balance) and The Atrium at Fashion Center loan ($20.1 million; 4.6%). Additionally, the downgrades also reflect anticipated credit support erosion from two of the three specially serviced assets that are expected to be liquidated in the near-term. S&P said, "We affirmed our ratings on the class A-4, A-S, B, and C certificates because the outstanding ratings were in line with the model-indicated ratings. "We affirmed our ratings on the class X-A and X-B interest-only (IO) certificates based on 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. Class X-A's notional amount references classes A-1, A-2, A-SB, A-3, A-4, and A-S, while class X-B's references class B. "Lastly, we affirmed our 'A+ (sf)' rating on the class PST certificates. Class PST reflects exchangeable certificates that may be exchanged and converted for a ratable portion of each class A-S, B, and C. "We will continue to monitor the transaction's performance, especially any developments around the performance and refinancing of the Chrysler East Building loan as well as the near-term maturity profile of the remaining loans in the pool. To the extent future developments differ meaningfully from our underlying assumptions, we may take further rating actions as we deem necessary." Transaction Summary As of the October 2022, trustee remittance report, the collateral pool balance was $438.1 million, which is 38.5% of the pool balance at issuance. The pool currently includes 21 loans and two real-estate-owned (REO) assets, down from 54 loans at issuance. Three assets ($34.4 million, 7.9%) are with the special servicer, six loans ($127.1 million, 29.0%) are defeased, and 11 loans ($250.3 million, 57.1%) are on the master servicer's (Wells Fargo Commercial Mortgage Servicing) watchlist, primarily due to the near-term maturity of the loans. Excluding the two REO assets and six defeased loans, S&P calculated a 1.78x S&P Global Ratings' weighted average debt service coverage (DSC) and a 91.0% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.31% S&P Global Ratings weighted average capitalization rate for the remaining loans. To date, the transaction has experienced $22.3 million in principal losses, due to losses incurred from the resolution of the One Concourse loan, secured by a 110,167-sq.-ft. office in Fishers, Ind., and the Anderson Mall loan, secured by a 315,561-sq.-ft. regional mall in Anderson, SC. Loan Details Chrysler East Building ($100.0 million pooled trust amount; 22.8% of total pooled trust balance) This loan is the largest in the pool with a pooled trust balance of $100.0 million, unchanged from issuance. There is also a $165.0 million pari-passu note securitized in MSBAM 2013-C7 (not rated by S&PGR). All performance figures are whole-loan based. The whole loan is IO, pays a fixed interest rate of 4.31% per annum and was scheduled to mature on Nov. 7, 2022. The loan is secured by the borrower's fee simple interest in a 1952-built, 32-story, 745,000-sq.-ft. office building in Midtown New York City. The loan appears on the watchlist due to its Nov. 7, 2022, maturity date. As per the June 2022 rent roll, the property is 86.0% occupied, which is down from 88.0% occupancy at year-end 2021 and 95.0% occupancy at year-end 2020. Servicer-reported cash flow has remained stable, at $20.7 million and $21.3 million as of year-end 2020 and 2021, respectively. However, the year-to-date June 2022 reported cash flow was $8.6 million. Additionally, the property faces pending vacancy concerns as the largest tenant, Mintz, Levin, Cohn, Ferris, Golvsky and Popeo, P.C., with about 12.5% of the space, is expected to vacate the property upon lease expiration on Dec. 31, 2022. Mitigating the vacancy risk is the fact that the servicer holds $3.0 million in reserves, as well as the market rental rate exceeding the expiring tenant's in-place rental rate. Based on third-quarter 2022 CoStar data, the Grand Central submarket has a vacancy rate of 14.5% and availability rate of 18.6%, with market rents at $76.72 per sq. ft. S&P said, "Although property vacancy is expected to increase due to the aforementioned expiring tenant, we considered that their current rent is below the submarket rent. Therefore, we maintained our long-term sustainable NCF for the property at $17.3 million (unchanged from last review). However, we revised our capitalization rate to 7.00% from 6.25%, reflecting the impending vacancy risk. We derived an S&P Global Ratings value of $246.5 million, which is 10.7% lower than our last review value of $276.1 million. This yielded a 107.5% S&P Global Ratings LTV ratio on the whole loan." While the loan had a scheduled maturity date of Nov. 7, 2022, it is S&P's understanding that the borrower is seeking an extension of the maturity date while seeking refinancing. It is unknown at this time if the borrower and the special servicer may engage in a more extensive loan modification as part of the maturity extension. The Atrium at Fashion Center loan ($20.1 million pooled trust amount; 4.6% of total pooled trust balance) This loan is the sixth-largest in the pool and has a pooled trust balance of $20.1 million, down from $25.0 million at issuance. The loan is a 10-year loan that amortizes on a 30-year schedule. The loan pays a fixed interest rate of 3.99% per annum and matures on Feb 1, 2023. The loan is secured by the borrower's fee simple interest in a 173,000-sq.-ft., three-story retail property located in Paramus, NJ. The property is located on route 17 and is part of a larger power center (not collateral), that counts Amazon Fresh and Best Buy amongst its tenants. The three-story collateral property is occupied by three tenants, Bed Bath and Beyond, TJ Maxx, and Buy Buy Baby. The loan appears on the watchlist due to Bed Bath and Beyond and Buy Buy Baby's impending December 2022 lease expirations. TJ Maxx's lease expires in January 2027. S&P said, "The property has been fully occupied since 2013. However, based on marketing materials posted on CoStar, it is our expectation that Bed Bath and Beyond, which occupies 48,000 sq. ft. (28.0% of NRA), is expected to vacate upon its lease expiration. Therefore, we revised our long-term sustainable NCF for the property down to $952,000 from $2.3 million at last review, driven mainly by our assumption of reduced rent from the Bed Bath and Beyond space. We marked it to $20 per sq. ft., down from $25.32, and slightly below CoStar's $22-$27 per sq. ft. market rent estimate. While we acknowledge the future performance of the property may be higher than that implied by our estimate, we also express concern about the presentation of the property, which appears more as an anchor box typically found at a mall. We maintained our capitalization rate of 7.00% and derived an S&P Global Ratings value of $13.6 million, 61.0% lower than our last review value of $33.5 million. This yielded a 147.4% S&P Global Ratings LTV ratio on the loan." S&P will continue to monitor the loan's performance and may further adjust our analysis if future developments warrant it. Specially serviced loans As of the October 2022, trustee remittance report, three assets were with the special servicer, Argentic Services Co. L.P. (Argentic). Details on the three specially serviced assets are as follows: -- 11451 Katy Freeway is the eighth-largest loan in the pool and the largest loan with the special servicer ($19.0 million; 4.3%) with a total exposure of $19.0 million. The loan, which matures in January 2023, transferred to special servicing in August 2022 for payment default as the borrower is unwilling to contribute additional capital to the property. The loan is secured by a six-story office totaling 117,000 sq. ft. in Houston, with amenities including 469 parking spaces and a 7,000-sq.-ft courtyard. Per Argentic's comments, the borrower is marketing the property for sale and a buyer has been identified who would likely assume the loan. The special servicer is in the initial stages of evaluating the loan assumption and modification. Due to the potential loan modification and assumption, S&P anticipates a potential return of the loan to master servicing in the future. It also did not revise our S&P Global Ratings value on the property, which remains at $14.3 million based on an updated broker's opinion of value provided by the special servicer, which indicates values that are above S&P Global Ratings value. -- 2929 Briarpark is the second-largest asset with the special servicer ($11.3 million; 2.6%) with an outstanding total exposure of $12.4 million. The asset is a 139,000-sq.-ft. office in Houston. The loan was transferred to the special servicer in September 2020 due to imminent monetary default, and the property became REO in December 2021. The borrower previously made several workout proposals, including a short sale, discounted pay off, A/B note split, and forbearance, none of which Argentic found viable. The property is being marketed for sale by Edge Realty. The July 2021 appraisal indicates a value of $12.5 million. Based on information provided to us by the special servicer, S&P expects a recovery less than that implied by this appraisal value. S&P's revised loss and recovery estimate indicates a moderate loss (26%-59%) upon the eventual resolution of this asset. -- Flats at Wick is the smallest asset with the special servicer ($4.2 million; 1.0%) with an outstanding total exposure of $5.7 million. The asset is a 113-bed student housing property in close proximity to Youngstown State University in Youngstown, OH. The loan transferred to special servicing in April 2018 following both non-monetary and monetary default by the borrower. A settlement agreement was reached in late 2021 whereby the borrower cooperated with a receivership and foreclosure action. Foreclosure occurred in August 2022 and the property is now REO. The property is currently listed for sale on Real Insight Marketplace. The June 2022 appraisal indicates a value of $6.5 million. S&P expects a minimal loss (less than 25%) upon the ultimate resolution of the asset. Ratings Lowered Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 Class D: to BB- (sf) from BB+ (sf) Class E: to CCC (sf) from B (sf) Class F: to CCC- (sf) from CCC (sf) Ratings Affirmed Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 Class A-4: AAA (sf) Class A-S: AAA (sf) Class B: AA+ (sf) Class C: A+ (sf) Class X-A: AAA (sf) Class X-B: AA+ (sf) Class PST: A+ (sf) MVW LLC 2022-1: Fitch Affirms 'BBsf' Rating on Class D Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings of MVW Owner Trust 2017-1 (2017-1), MVW Owner Trust 2018-1 (2018-1), MVW 2019-1 LLC (2019-1), MVW 2019-2 LLC (2019-2), MVW 2020-1 LLC (2020-1), MVW 2021-1W LLC (2021-1W), MVW 2021-2 LLC (2021-2) and MVW 2022-1 LLC (2022-1). The Rating Outlook remains Stable on all classes. Entity/Debt Rating Prior ----------- ------ ----- MVW Owner Trust 2017-1 A 553896AA9 LT AAAsf Affirmed AAAsf B 553896AB7 LT Asf Affirmed Asf C 553896AC5 LT BBBsf Affirmed BBBsf MVW Owner Trust 2018-1 A 62848BAA9 LT AAAsf Affirmed AAAsf B 62848BAB7 LT Asf Affirmed Asf C 62848BAC5 LT BBBsf Affirmed BBBsf MVW 2019-1 LLC A 55389PAA7 LT AAAsf Affirmed AAAsf B 55389PAB5 LT Asf Affirmed Asf C 55389PAC3 LT BBBsf Affirmed BBBsf MVW 2019-2 LLC A 55400DAA9 LT AAAsf Affirmed AAAsf B 55400DAB7 LT Asf Affirmed Asf C 55400DAC5 LT BBBsf Affirmed BBBsf MVW 2020-1 Class A 55400EAA7 LT AAAsf Affirmed AAAsf Class B 55400EAB5 LT Asf Affirmed Asf Class C 55400EAC3 LT BBBsf Affirmed BBBsf Class D 55400EAD1 LT BBsf Affirmed BBsf MVW 2021-1W LLC A 55389TAA9 LT AAAsf Affirmed AAAsf B 55389TAB7 LT Asf Affirmed Asf C 55389TAC5 LT BBBsf Affirmed BBBsf D 55389TAD3 LT BBsf Affirmed BBsf MVW 2021-2 LLC A 55400KAA3 LT AAAsf Affirmed AAAsf B 55400KAB1 LT Asf Affirmed Asf C 55400KAC9 LT BBBsf Affirmed BBBsf MVW 2022-1 LLC A 55400UAA1 LT AAAsf Affirmed AAAsf B 55400UAB9 LT Asf Affirmed Asf C 55400UAC7 LT BBBsf Affirmed BBBsf D 55400UAD5 LT BBsf Affirmed BBsf KEY RATING DRIVERS The affirmations of the class A, B, C and D notes for the transactions reflect loss coverage levels consistent with their current ratings. The Stable Outlook of notes reflects Fitch's expectation that loss coverage levels will remain supportive of these ratings. As of the September 2022 collection period, the 61+ day delinquency rates for 2017-1, 2018-1, 2019-1, 2019-2, 2020-1, 2021-1W, 2021-2 and 2022-1 are 1.55%, 1.60%, 1.45%, 1.21%, 1.64%, 1.68%,1.82% and 1.85%, respectively. Cumulative gross defaults (CGDs) are currently at 9.00%, 9.12%, 10.75%, 10.89%, 8.11%, 5.17%, 2.71% and 0.80%, respectively. The transactions are tracking below their initial base case proxies to date, and as a result of optional repurchases and substitutions by the seller, none of the transactions have experienced a net loss to date. To account for the recent performance, Fitch revised the base case lifetime CGD proxy to 10.50%, 11.75%, 14.50%, 15.50% and 16.25% for 2017-1, 2018-1, 2019-1, 2020-1 and 2021-1W, respectively. The updated base case default proxies were lowered from the prior review given the stabilizing performance trends within each transaction. The lifetime CGD proxy for 2019-2 was increased to 15.50% given a slight increase in CGD since the last review. For 2021-2 and 2022-1, the lifetime CGDs were maintained at 15.00% and 15.25%, respectively, given the low seasoning of the pools. For 2017-1 and 2021-2, loss coverages for the class A, class B, and class C notes are able to support multiples in excess of 3.50x, 2.50x and 1.75x for 'AAAsf', 'Asf' and 'BBBsf'. For 2018-1 and 2019-1, the class A, class B, and class C loss coverages are slightly short of the 3.50x, 2.50x and 1.75x multiples for 'AAAsf', 'Asf' and 'BBBsf'. For 2019-2, the class A and class B loss coverages are slightly short of the 3.50x and 2.50x multiples for 'AAAsf' and 'Asf', however, the class C loss coverage is able to support the multiple in excess of 1.75x for 'BBBsf'. The shortfalls are considered marginal and are still within the range of the multiples for their current rating. Additionally, Fitch also accounted for the issuer's optional repurchase and substitution activities across all these transactions, resulting in zero net losses to date. For 2020-1 and 2022-1, the loss coverages for class C and class D notes are able to support multiples in excess of 1.75x and 1.25x for 'BBBsf' and 'BBsf'. However, for the 2020-1 and 2022-1 class A and class B notes, loss coverages are slightly short of the 3.50x and 2.50x multiples, but the shortfalls are considered marginal and still within range of the multiples for their current rating. For 2021-1W, the class A, class B, class C and class D loss coverages are within range and able to support multiples in excess of 3.50x, 2.50x, 1.75x and 1.25x for 'AAAsf', 'Asf', 'BBBsf' and 'BBsf'. The ratings also reflect the quality of Marriot Vacations Worldwide Corporation timeshare receivable originations, the sound financial and legal structure of the transaction, and the strength of the servicing provided by Marriott Ownership Resorts, Inc. Fitch will continue to monitor economic conditions and their impact as they relate to timeshare ABS and the trust level performance variables and update the ratings accordingly. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact credit enhancement (CE) levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. Conversely, stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. Fitch utilizes the break-even loss coverage to solve for the CGD level required to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf'. Fitch ran a down sensitivity for each transaction that would raise the CGD proxy by 2.0x the current proxy. This is extremely stressful to the transactions and could result in downgrades by up to four categories. Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased, and Fitch has published an assessment of the potential rating and asset performance impact of a plausible, but worse-than-expected, adverse stagflation scenario on Fitch's major SF and CVB subsectors. 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: Fitch applied an up sensitivity, by reducing the base case proxy by 20%. The impact of reducing the proxies by 20% from the recommended proxies could result in up to one category upgrade or affirmations of ratings with stronger multiples. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. NYMT LOAN 2022-INV1: DBRS Gives Prov. B(sf) Rating to Cl. B-2 Notes ------------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) assigned provisional ratings to the Mortgage-Backed Notes, Series 2022-INV1 (the Notes) to be issued by NYMT Loan Trust 2022-INV1 (NYMT 2022-INV1 or the Trust) as follows: -- $188.8 million Class A-1 at AAA (sf) -- $24.8 million Class A-2 at AA (sf) -- $36.5 million Class A-3 at A (sf) -- $22.7 million Class M-1 at BBB (sf) -- $16.9 million Class B-1 at BB (sf) -- $16.9 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 certificates reflects 41.85% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 34.20%, 22.95%, 15.95%, 10.75%, and 5.55% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This a securitization of a portfolio of fixed- and adjustable-rate, investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2022-INV1 (the Notes). The Notes are backed by 1,140 mortgage loans with a total principal balance of $324,702,771 as of the Cut-Off Date (September 30, 2022). NYMT 2022-INV1 represents the first securitization issued by the Sponsor, New York Mortgage Trust, Inc. (NYMT), backed by business purpose investment loans underwritten using DSCR. The originators for the mortgage pool are Constructive Loans, LLC (Constructive; 95.0%) and other originators, each comprising less than 15.0% of the mortgage loans. Fay Servicing, LLC is the servicer of all the loans in this transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. The Sponsor, Representation Provider, and Servicing Administrator are the same entity (NYMT), and the Depositor is its affiliate. The initial Controlling Holder is expected to be the Depositor. The Depositor will retain an eligible horizontal interest consisting of the Class B-2, B-3 and XS Notes representing at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Additionally, the Depositor will initially own the Class M-1, B-1 and Class A-IO-S Notes. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by DBRS Morningstar) will act as the Master Servicer, Paying Agent, Note Registrar, and Custodian. Wilmington Savings Fund Society, FSB will act as the Indenture and Owner Trustee. On or after the earlier of (1) the third anniversary of the Closing Date or (2) the date when the aggregate unpaid principal balance (UPB) of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Issuer, at its option, may redeem all of the outstanding Notes at a price equal to the class balances of the related Notes plus accrued and unpaid interest, including any Cap Carryover Amounts, and any post-closing deferred amounts (optional redemption). An optional redemption will be followed by a qualified liquidation, which requires (1) a complete liquidation of assets within the trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the Issuer by purchasing all of the mortgage loans and any real estate owned (REO) property at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest, the lesser of the fair market value of any REO property, and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any preclosing deferred amounts, and expenses that are payable or reimbursable to the transaction parties (optional termination). An optional termination is conducted as a qualified liquidation. For this transaction, the Servicer or any other transaction party will not fund advances on delinquent principal and interest (P&I) on any mortgage. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, A-2, and A-3 Notes (the Senior Classes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1 Notes before being applied sequentially to amortize the balances of the notes. For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to A-3. The Class A-1, A-2, and A-3 fixed rate coupons step up by 1.00% on and after the payment date in December 2026 (Step-Up Date). Of note, interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts not covered from excess spread after the Step-Up Date. In addition, the fixed rate for Class B-2 will be 0.000% on and after the Step-Up Date. On September 28, 2022, Hurricane Ian caused extensive flooding and other substantial damage throughout Florida and parts of North Carolina, South Carolina, and Virginia. As a result of Hurricane Ian, a state of emergency was declared in Florida, Georgia, North Carolina, South Carolina, and Virginia. The issuer ordered post disaster inspections (PDIs) for properties in zip codes that have been approved by FEMA for individual assistance as a result of damage caused by the hurricane. Prior to the closing date, to the extent the PDIs report material damage to properties in the affected areas, the loans secured by those mortgaged properties will be removed from the pool. For PDIs that report material damage after the closing date, the Issuer will assess the condition of the properties and the borrowers' remediation plans at that time to determine whether the loans secured by those properties need to be removed from the pool. Coronavirus Pandemic Impact The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. As of the Cut-Off Date, there are no loans that are subject to an active coronavirus-related forbearance plan with the Servicer or a Subservicer. The ratings reflect transactional strengths that include the following: -- Improved underwriting standards, -- Certain loan attributes, -- Robust pool composition, and -- Satisfactory third-party due-diligence review. The transaction also includes the following challenges: -- 100% Investor loans, -- No servicer advances of delinquent P&I, -- Representations and warranties framework, and -- Servicers' financial capability. OCTAGON 62: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Octagon 62, Ltd. Entity/Debt Rating ----------- ------ Octagon 62, Ltd. X LT NR(EXP)sf Expected Rating A-1 LT AAA(EXP)sf Expected Rating A-2A LT AAA(EXP)sf Expected Rating A-2B LT AAA(EXP)sf Expected Rating B-1 LT AA(EXP)sf Expected Rating B-2 LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Octagon 62, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Octagon Credit Investors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 23.0 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 99.7% first lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 75.7% versus a minimum covenant, in accordance with the initial expected matrix point of 73.8%. Portfolio Composition (Positive): The largest three industries may constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1 notes, between 'BBB+sf' and 'AAAsf' for class A-2 (A-2A and A-2B, collectively) notes, between 'BB+sf' and 'AA+sf' for class B (B-1 and B-2, collectively) notes, between 'B-sf' and 'A+sf' for class C notes, between less than 'B-sf' and 'BBB-sf' for class D notes, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. OPORTUN ISSUANCE 2022-3: DBRS Finalizes BB Rating on Cl. D Notes ---------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the following notes issued by Oportun Issuance Trust 2022-3 (Oportun 2022-3 or the Issuer): -- $194,674,000 Class A Notes at AA (low) (sf) -- $44,209,000 Class B Notes at A (low) (sf) -- $30,248,000 Class C Notes at BBB (low) (sf) -- $30,869,000 Class D Notes at BB (sf) The ratings on the Notes are based on DBRS Morningstar's review of the following considerations: (1) The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2022 Update, published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The DBRS Morningstar cumulative net loss (CNL) base case loss assumption for the 2022-3 transaction is 11.23%. -- The increase in CNL from the 2022-2 transaction is attributed to observed credit deterioration and recent loss performance in the Oportun New Loan products. New Loans represent 22.68% of the Statistical Calculation Date outstanding balance. (2) The transaction's form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the Reserve Account, and excess spread. Credit enhancement levels are sufficient to support DBRS Morningstar's stressed assumptions under various stress scenarios. (3) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final payment date. (4) Oportun's capabilities with regard to originations, underwriting, and servicing. (5) The ability of Systems & Services Technologies, Inc. (SST) to perform duties as a Back-Up Servicer. SST, as Back-Up Servicer, is required to take over as successor servicer of the collateral in the Oportun 2022-3 transaction within 15 calendar days of notice of a servicing termination event. SST and Oportun have developed a detailed servicing transition plan to facilitate an orderly transfer of servicing. (6) On March 3, 2021, Oportun received a Civil Investigative Demand (CID) from the Consumer Financial Protection Bureau (CFPB). The stated purpose of the CID is to determine whether small-dollar lenders or associated persons, in connection with lending and debt-collection practices, have not been in compliance with certain federal consumer protection laws over which the CFPB has jurisdiction. Oportun has received subsequent information requests to the initial CID focused on Oportun's legal collection practices from 2019 to 2021 and hardship treatments offered during the COVID-19 pandemic. (7) On September 15, 2022, Oportun received a Notice and Opportunity to Respond and Advise (NORA) letter from the staff of the CFPB in connection with the Oportun CID, stating that it is considering whether to recommend that the CFPB take legal action against Oportun based on alleged violations focused on the failure to timely dismiss certain lawsuits and the hardship treatments offered during the COVID-19 pandemic, including credit reporting related thereto. On October 14, 2022, Oportun provided the CFPB with its written response to the NORA letter disputing the allegations. In connection with the Oportun CID, Oportun is cooperating fully with the CFPB with respect to this matter. While Oportun believes that its business practices have been in full compliance with applicable laws, because the CFPB has broad authority to determine what it views as potentially unfair, deceptive or abusive acts or practices at this time, Oportun is unable to predict the ultimate outcome of this pending CFPB matter. (8) Digit received a CID from the CFPB in June 2020. The CID was disclosed and discussed during the acquisition process. The stated purpose of this CID was to determine whether Digit, in connection with offering its products or services, misrepresented the terms, conditions, or costs of the products or services in a manner that is unfair, deceptive, or abusive. While the Seller believes that Digit's business practices were in full compliance with applicable laws, in the interest of resolving this matter, on August 11, 2022, Digit agreed to a consent order with the CFPB resolving such CID. In connection with such consent order, Digit agreed to implement a redress and compliance plan to pay at least $68,145 in consumer redress to consumers who may have been harmed and paid a $2.7 million civil penalty to the CFPB. (9) The legal structure and legal opinions address the true sale of the unsecured consumer loans, the nonconsolidation of the trust, and that the trust has a valid perfected security interest in the assets and consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance." All figures are in U.S dollars unless otherwise noted. PALMER SQUARE 2022-4: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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 transaction is managed by Palmer Square Capital Management LLC. 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 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 PARK AVENUE 2022-2: S&P Assigns Prelim BB- (sf) Rating on D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Park Avenue Institutional Advisers CLO Ltd. 2022-2/Park Avenue Institutional Advisers CLO LLC 2022-2'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 Park Avenue Institutional Advisers LLC. The preliminary ratings are based on information as of Nov. 17, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The 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 Park Avenue Institutional Advisers CLO Ltd. 2022-2/ Park Avenue Institutional Advisers CLO LLC 2022-2 Class A-1, $204.75 million: AAA (sf) Class A-2a, $17.00 million: AA (sf) Class A-2b, $25.25 million: AA (sf) Class B (deferrable), $19.50 million: A (sf) Class C (deferrable), $16.25 million: BBB- (sf) Class D (deferrable), $9.75 million: BB- (sf) Subordinated notes, $32.11 million: Not rated ROCKING M MEDIA: Referral of LMA's Validity Issue to FCC Denied --------------------------------------------------------------- The U.S. Bankruptcy Court for the District of Kansas denies the Rocking M Media, LLC's request that the issue of the validity and enforceability of the Local Programming, Marketing, and Option Agreement ("LMA") be immediately referred to the Federal Communication Commission. The Debtors are a family-owned business operating radio stations and other media platforms throughout Kansas since 2007. In 2014, Christopher Miller, the son of principals Doris and Merle Miller, was named president of Rocking M Media, LLC ("RMM"). In March 2019, Christopher was removed as president and shortly thereafter formed his own company, Meridian Media, LLC. The Local Programming, Marketing, and Option Agreement ("LMA") is a contract whereby RMM (as the FCC licensee of two radio stations) agreed to assign certain radio stations to Meridian in exchange for Meridian's assumption of certain debt and granted Meridian an option to purchase the stations after expiration of the LMA. In addition, there were discussions about RMM and Meridian entering into involving two additional stations, KXUH, in Minneapolis, Kansas, and KVOB, in Lindsborg, Kansas. However, RMM sent Meridian a termination letter dated Dec. 2, 2021, and demanded a full accounting of revenue and expenses, and took the Proposed LMA Stations off the air. Consequently, Meridian commenced litigation for injunctive relief in the District Court of McPherson County, Kansas and filed for a declaratory ruling before the FCC. Meridian asserts that the LMA was valid and RMM wrongfully terminated the LMA. RMM and three related entities filed for relief under Chapter 11 on March 26, 2022 and filed a Motion for an Order Authorizing the Rejection of Certain Executory Contracts. As to the LMA, the Debtors assert that the prepetition breaches by Meridian caused damage to the Debtors and cannot be cured. Rejection of the LMA with Meridian is sought as "just a confirmation of that termination" to facilitate sale of the two Proposed LMA Stations. In support of their motion to reject, the Debtors argue, in the alternative, that they never agreed to the LMA, the LMA was terminated prepetition, and if it was in force on the date of filing, the LMA may be rejected under Section 365. Meridian objects to the Motion, contending that RMM agreed to the LMA, RMM's prepetition attempt to terminate the LMA was a breach of contract, and the LMA was a valid, enforceable contact on the date the Debtors' bankruptcy case was filed. Meridian further contends that as a threshold issue, the Court must determine if the LMA was an executory contact on the date of filing that is subject to rejection. Second, assuming the LMA was executory, Meridian contends rejection was not the correct business judgment. The parties do not agree on the statement of the "legal jurisdiction issues" to be determined. The Court rules that: (1) the FCC does not have exclusive jurisdiction to determine the validity and enforceability of the LMA; (2) federal communications law does not preclude the application of state contract law; and (3) under the doctrine of primary jurisdiction, the Court will in the future decide whether some factual issues will be referred to the FCC. The FCC does not have exclusive jurisdiction over the validity and enforceability of the LMA. The Court rejects the suggestion that exclusive jurisdiction as to the validity and enforceability of the LMA follows from the fact that the FCC has jurisdiction over various types of transfers of control. RMM does not explain how the existence of agency jurisdiction is equivalent to exclusive jurisdiction. The Court also finds that unlike the cases relied on by RMM, this case does not challenge actions taken by the FCC. Here the communications law issues are asserted in response to an objection to a motion to reject an executory contract, a dispute between private parties that does not challenge actions of the FCC. In addition, RMM's arguments overlook established law that FCC jurisdiction over the transfer of FCC licenses does not result in the displacement of state contract law issues. The FCC recognizes that an alleged violation of the Federal Communications Act and the FCC's rules "is an issue separate and distinct from the issue of whether [a contract] is enforceable under state contract law." As the FCC has stated, a party to a local management agreement may properly bring a "private contractual dispute seeking monetary damages before a local court of competent jurisdiction." The FCC lacks the resources and expertise to fully adjudicate state law breach of contract issues, it defers to local courts in such matters — including bankruptcy courts. FCC jurisdiction over the transfer of radio licenses does not result in local courts losing jurisdiction over contract law issues. In this case, both the Debtors and Meridian have asserted positions that must be resolved under contract law by the Court. In this case, the validity and enforceability of the LMA under state law is challenged. Whether Meridian actually acted in the manner alleged to constitute improper control over the stations is not known. There is no factual basis to inform the Court's discretion when applying the doctrine of primary jurisdiction. Absent unforeseen events, the Court believes that deciding whether to refer issues in this controversy to the FCC should be reserved until after trial on the merits. A full-text copy of the Memorandum Opinion and Order dated Nov. 10, 2022, is available at https://tinyurl.com/mr3m44nb from Leagle.com. About Rocking M Media Rocking M Media, LLC and its affiliates own and operate radio stations, radio networks, and digital media platforms that provide music, news, sports, and weather to its listeners and viewers. Rocking M Media supports local, regional, and national businesses and organizations across the State of Kansas as well as Nebraska, Colorado, Oklahoma, and Texas. The Debtors sought protection under Chapter 11 of the U.S. Bankruptcy Code (Bankr. D. Kan. Case No. 22-20242) on March 26, 2022. In the petition signed by Monte M. Miller, chief executive officer, the Debtors disclosed up to $1 million in assets and up to 10 million in liabilities. Judge Dale L. Somers oversees the cases. The Debtors tapped Sharon L. Stolte, Esq., at Sandberg Phoenix & von Gontard PC as legal counsel and AdamsBrown, LLC as accountant. Creditors Kansas State Bank of Manhattan, Belate LLC, and Farmers and Merchants Bank of Colby are represented by Stinson LLP, Spencer Fane LLP, and Hite, Fanning & Honeyman LLP, respectively. The U.S. Trustee for Region 20 appointed an official committee of unsecured creditors in the Debtors' Chapter 11 cases on July 7, 2022. Loeb & Loeb, LLP and Dundon Advisers, LLC, serve as the committee's legal counsel and financial advisor, respectively. SANTANDER BANK 2021-1: Fitch Hikes Rating on Cl. D Notes to 'BBsf' ------------------------------------------------------------------ Fitch Ratings has affirmed the class B note and upgraded classes C and D notes of Santander Bank Auto Credit-Linked Notes 2021-1. Additionally, the class D has been assigned a Positive Rating Outlook. Entity/Debt Rating Prior ----------- ------ ----- Santander Bank Auto Credit-Linked Notes 2021-1 B 80290CAE4 LT BBBsf Affirmed BBBsf C 80290CAG9 LT BBBsf Upgrade BBsf D 80290CAJ3 LT BBsf Upgrade Bsf KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect loss coverage levels consistent with revised ratings for the transaction. The cumulative net losses (CNL) are tracking inside of Fitch's initial base case credit proxies, and hard credit enhancement levels (CE) have grown for all classes since close. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration of the portfolio's credit quality in stress scenarios, and that loss coverage will continue to increase as the transactions amortize. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated base case proxy. For this transaction, the base case proxy was derived using Fitch's initial base case assumptions and projections based on current performance. The base case proxy utilized is 1.50%, revised from the initial 1.80% assigned at closing for the series 2021-1 transaction. Given the current economic environment, Fitch deemed it appropriately conservative to utilize this approach for the transaction. Santander Bank Auto Credit-Linked Notes 2021-1 As of the October 2022 servicer report, 60+ day delinquencies total 0.27%, and CNLs are 0.18%. CNLs are currently tracking within Fitch's revised CNL proxy of 1.50%. Hard CE has increased to 5.83%, 4.95%, and 3.91% from 4.50%, 3.50%, and 2.80% since close for the class B, C and D notes, respectively. Under the revised lifetime CNL proxy, cash flow modelling was able to support multiples in excess of the requisite multiples for all classes. Excessive Counterparty Exposure: The excessive exposure in the transaction arises due to Santander Bank, N.A.'s (SBNA) role providing a material degree of credit support to the transaction. Noteholders will not have recourse to the reference portfolio or to the cash generated by the assets. Instead, the transaction relies on SBNA to make interest payments based on the note rate and principal payments based on the performance of the reference pool. The monthly payment due will be deposited by SBNA into a segregated trust account held at Citibank, N.A. (rated A+/F1/Stable; the securities administrator) for the benefit of the notes. If SBNA fails to make a payment to noteholders, it will be deemed an event of default. SBNA is also the servicer and will retain the class A certificates. Given this dependence on the bank, ratings on the notes are directly linked to, and capped by, the IDR of the counterparty, SBNA (BBB+/F2/Stable)(14-Jun-2022). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy, and affect available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Lower loss coverage could affect ratings and Rating Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation for each transaction. To date, the transaction has strong performance with losses within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have a potential negative impact on the outstanding ratings. Fitch has revised global economic outlook forecasts as a result of the Ukraine War and related economic sanctions. Downside risks have increased and Fitch has published an assessment of the potential rating and asset performance impact of a plausible, but worse-than-expected, adverse stagflation scenario on Fitch's major SF and CVB sub-sectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American Prime Auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on asset and ratings performance, indicating very few (less than 5%) rating Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the scenarios shown above that increase the default expectations by 2.0x 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 projected CNL proxy, the ratings could be upgraded by up to one rating category for each class. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SILVERMORE CLO: Moody's Lowers Rating on $26.2MM Cl. D Notes to Ca ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on the following notes issued by Silvermore CLO Ltd.: US$26,200,000 Class D Senior Secured Deferrable Floating Rate Notes due 2026 (current outstanding balance of $26,809,919.91), Downgraded to Ca (sf); previously on July 30, 2020 Downgraded to Caa3 (sf) Silvermore CLO Ltd., originally issued in May 2014 and partially refinanced in July 2017 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in May 2018. RATINGS RATIONALE The downgrade rating action on the Class D notes reflects the specific risks posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's October 2022 report[1], the Class D notes have a deferred interest balance of $609,919.91, and the OC ratio for the Class D notes is reported at 87.50% versus March 2022[2] level of 96.34%. Also, the proportion of obligors with Moody's corporate family or other equivalent ratings of Caa1 or lower (after any adjustments for watchlist for possible downgrade) is approximately 17% of the CLO portfolio. Furthermore, the remaining outstanding portfolio has become less diversified since March 2022: based on Moody's calculation, the five largest issuers in the portfolio currently comprise 39.1% of the performing assets. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $59,029,144 Defaulted par: $1,923,951 Diversity Score: 19 Weighted Average Rating Factor (WARF): 2902 Weighted Average Spread (WAS) (before accounting for reference rate floors): 2.95% Weighted Average Recovery Rate (WARR): 48.23% Weighted Average Life (WAL): 2.3 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. SIXTH STREET XXI: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Sixth Street CLO XXI Management LLC. The ratings reflect: -- S&P's view of the collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Sixth Street CLO XXI Ltd./Sixth Street CLO XXI LLC Class A loan(i), $171.5 million: Not rated Class A(i), $84.5 million: Not rated Class B, $45.6 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D (deferrable), $22.4 million: BBB- (sf) Class E (deferrable), $12.4 million: BB- (sf) Subordinated notes, $42.5 million: Not rated (i)At the request of the class A loan holders, all or a portion of the class A loans held may be converted into class A notes. No class A notes may be converted into class A loans at any time. SLM STUDENT 2008-9: Fitch Lowers Rating on 2 Tranches to CCsf ------------------------------------------------------------- Fitch Ratings has downgraded the outstanding notes of SLM Student Loan Trusts 2008-5, 2008-8, and 2008-9. Entity/Debt Rating Prior ----------- ------ ----- SLM Student Loan Trust 2008-9 A 78445JAA5 LT CCsf Downgrade Bsf B 78445JAB3 LT CCsf Downgrade Bsf SLM Student Loan Trust 2008-8 A-4 78445GAD5 LT CCsf Downgrade Bsf B 78445GAE3 LT CCsf Downgrade Bsf SLM Student Loan Trust 2008-5 A-4 78444YAD7 LT CCsf Downgrade Bsf B 78444YAE5 LT CCsf Downgrade Bsf The outstanding class A notes of SLM 2008-5, 2008-8, and 2008-9 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 transactions' indentures, 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 dates of the class A-4 notes for SLM 2008-5 is approximately eight months away in July 2023 and for the class A-4 and A notes for SLM 2008-8 and 2008-9, five months away in April 2023. 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 there are no active consent solicitations for a maturity date extension for these transactions. Each trust has 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 and A notes, Fitch decreased the qualitative credit to the revolving credit agreement available to the trust. If the revolving credit facility is utilized, or the legal final maturity date is extended, the ratings will be upgraded. KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% 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 2008-5: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 21.75% under the base case scenario and a 65.25% default rate under the 'AAA' credit stress scenario. Fitch is maintaining a sustainable constant default rate (sCDR) of 4.00% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary prepayments) of 11.50%. 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 income-based repayment (IBR; prior to adjustment) are 6.40%, 17.95%, and 16.85%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.02%, based on information provided by the sponsor. SLM 2008-8: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 22.75% under the base case scenario and a 68.25% default rate under the 'AAA' credit stress scenario. Fitch is maintaining a sCDR of 4.00% and its sCPR of 11.00%. 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 6.62%, 18.11%, and 18.17%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.02%, based on information provided by the sponsor. SLM 2008-9: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 23.75% under the base case scenario and a 71.25% default rate under the 'AAA' credit stress scenario. Fitch is maintaining a sCDR of 4.30% and its sCPR of 11.50%. 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 6.35%, 18.39%, and 16.45%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.03%, 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 1.30%, 3.61% and 2.87% of the trust student loans are indexed to T-bill for SLM 2008-5, 2008-8 and 2008-9, respectively, with the remainder indexed to one-month LIBOR. 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 2008-5: 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 latest distribution date, total and senior parity ratios (including the reserve) are 104.76% (4.54% CE) and 147.26% (32.09% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $4,124,895. The transaction will release excess cash as long as 103.79% total parity (excluding the reserve) is maintained. SLM 2008-8: 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 latest distribution date, total and senior parity ratios (including the reserve) are 104.04% (3.88% CE) and 144.16% (30.63% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $1,000,088. The transaction will release excess cash as long as 103.09% total parity (excluding the reserve) is maintained. SLM 2008-9: 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 latest distribution date, total and senior effective parity ratio (including the reserve) are 105.11% (4.86% CE) and 145.59% (31.31% CE), respectively. Liquidity support is provided by a reserve account sized at its floor of $4,175,980. The transaction will release excess cash as long as 104.17% total parity (excluding the reserve) 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 2008-5 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 2008-8 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 2008-9 Current Ratings: class A 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A '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 and A notes, which would effectively mitigate the maturity risk in Fitch's cash flow modeling and 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. SPRUCE HILL 2022-SH1: Fitch Assigns 'B(EXP)sf' on Class B2 Certs ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates to be issued by Spruce Hill Mortgage Loan Trust 2022-SH1 (Spruce Hill 2022-SH1). Entity/Debt Rating ----------- ------ Spruce Hill 2022-SH1 A1A LT AAA(EXP)sf Expected Rating A1B LT AAA(EXP)sf Expected Rating A2 LT AA(EXP)sf Expected Rating A3 LT A(EXP)sf Expected Rating M1 LT BBB(EXP)sf Expected Rating B1 LT BB(EXP)sf Expected Rating B2 LT B(EXP)sf Expected Rating B3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 622 nonprime loans with a total balance of approximately $234 million as of the cutoff date. Loans in the pool were originated and are currently serviced by Carrington Mortgage Services, LLC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 12.6% above a long-term sustainable level (versus 12.2% on a national level as of October 2022, up 1.2% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices, resulting from a supply/demand imbalance driven by low inventory, favorable mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 13.1% yoy nationally as of August 2022. Non-QM Credit Quality (Negative): The collateral consists of 622 loans, totaling $234 million and seasoned approximately nine months in aggregate. The borrowers have a moderate credit profile — 725.4 model FICO and 44.4% model debt-to-income ratio (DTI) — and leverage — 70.2% sustainable loan-to-value ratio (sLTV) and 68% combined LTV (cLTV). The pool consists of 54.2% of loans where the borrower maintains a primary residence, while 43.8% comprise an investor property. Additionally, 55.8% are nonqualified mortgage (non-QM) and 0.35% are Safe Harbor (QM-QH); the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 20.75%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 88% of the loans in the pool were underwritten to less than full documentation and 45% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 650 bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 331 debt service coverage ratio (DSCR) products in the pool (53% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared to standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch's expected loss for these loans is 27.0% in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 42% weighted average (WA) concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1A, A-1B, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 90 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. Spruce Hill 2022-SH1 has a step-up coupon for the senior classes (A-1A, A-1B, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net WA coupon (WAC) rate. Fitch expects the senior classes to be capped by the net WAC. Additionally, after the step-up date, the B-1 and B-2 classes will become PO classes. The unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. The cashflow impact to the subordinate classes increases the P&I allocation for the senior classes after the step-up date as long as the subordinate classes are not written down. Ultimate Advancing Party Fails to Meet Counterparty Criteria (Negative): The ultimate advancing party in the transaction is the master servicer, Computershare (BBB/F3/Stable). Computershare does not hold a rating from Fitch of at least 'A' or 'F1' and, as a result, does not meet Fitch's counterparty criteria for advancing delinquent P&I payments and servicing as a liquidity provider. Fitch believes that as a liquidity provider, Computershare plays a vital role to the transaction, and given their low rating, Fitch feels there is increased risk that the counterparty will not provide liquidity support during the life of the transaction. To account for this risk, Fitch ran additional analysis to the structure if it assumed no advancing of delinquent P&I. Spruce Hill 2022-SH1 has an ESG Relevance Score of '4' for Governance due to transaction parties and operational risk, which has a negative impact on the credit profile, and is relevant to the rating(s) in conjunction with other factors. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 43.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. SUMMARY OF FINANCIAL ADJUSTMENTS International scale credit ratings for Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS Spruce Hill 2022-SH1 has an ESG Relevance Score of '4' for Governance due to transaction parties and operational risk, 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. STRATTON MORTGAGE 2021-1: Fitch Hikes Rating to 'BB+sf' on E Notes ------------------------------------------------------------------ Fitch Ratings has upgraded Stratton Mortgage Funding 2021-1 PLC's class D and E notes and affirmed the others. The class B to E notes have been removed from Under Criteria Observation (UCO). Entity/Debt Rating Prior ----------- ------ ----- Stratton Mortgage Funding 2021-1 plc A XS2295993724 LT AAAsf Affirmed AAAsf B XS2295994292 LT AA+sf Affirmed AA+sf C XS2295994532 LT A+sf Affirmed A+sf D XS2295995000 LT BBB+sf Upgrade BBBsf E XS2295995695 LT BB+sf Upgrade BBsf TRANSACTION SUMMARY Stratton is a securitisation of non-prime owner-occupied and buy-to-let mortgages backed by properties in the UK. The mortgages were originated by GMAC-RFC, Irish Permanent Isle of Man, Platform Homeloans and Rooftop Mortgages. KEY RATING DRIVERS Updated UK RMBS Criteria: In the update of its UK RMBS Rating Criteria on 23 May 2022, Fitch updated its sustainable house price for each of the 12 UK regions. The changes increased the multiple for all regions other than North East and Northern Ireland, updated house price indexation and updated gross disposable household income. The sustainable house price is now higher in all regions except Northern Ireland. This has a positive impact on recovery rates (RR) and consequently Fitch's expected loss in UK RMBS transactions. Fitch also reduced its foreclosure frequency (FF) assumptions for loans in arrears based on a review of historical data from its rated UK RMBS transactions. The changes better align the assumptions with observed performance in the expected case and incorporate a margin of safety at the 'Bsf' level. The updated criteria contributed to the rating actions. Below Model-implied Ratings: The class B to E notes have been upgraded or affirmed at up to two notches below their respective model-implied rating (MIR). This follows Fitch conducting additional sensitivity analysis testing the ratings' resilience to higher levels of defaults, given the macro economic outlook and deteriorating asset performance outlook for the sector. Increasing Credit Enhancement: Credit enhancement (CE) has increased since the last review due to sequential amortisation and the amortising liquidity reserve fund, which releases excess amounts as principal available funds. The increased CE (from 24.4% for class A as at the December 2021 interest payment date (IPD) to 26.8% as at the September 2022 IPD) together with the relatively stable asset performance (total arrears of 13.1% as at August 2022 compared with 12.0% at transaction closing in November 2021) contributed to the rating actions. Liquidity Access Constrains Junior Notes: The class A to D notes are able to access the liquidity reserve while the classes E notes do not benefit from liquidity protection. In Fitch's expected case analysis, the class E notes are projected to defer interest to an extent that Fitch deems to be excessive, as described in its Global Structured Finance Rating Criteria. Consequently, the class E notes' ratings are capped at 'BB+sf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: A deterioration in asset performance due to the increased cost of living and energy prices in the UK could result in Fitch taking negative rating action on the notes. The transaction's performance may be affected by changes in market conditions and economic environment. Weakening asset performance is strongly correlated with increasing levels of delinquencies and defaults that could reduce CE available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net proceeds, which may make certain notes susceptible to potential negative rating action depending on the extent of the decline in recoveries. Fitch tested a 15% increase in weighted average (WA) FF and a 15% decrease in the WARR. The results indicate a negative rating impact of up to two notches. 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 potential upgrades. Fitch tested an additional rating sensitivity scenario by applying a decrease in the WAFF of 15% and an increase in the WARR of 15%. The results indicate a positive rating impact of up to six notches. DATA ADEQUACY Stratton Mortgage Funding 2021-1 plc 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. Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action Prior to the transaction closing, Fitch reviewed the results of a third party assessment conducted on the asset portfolio information and concluded that there were no findings that affected the rating analysis. 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. ESG CONSIDERATIONS Stratton Mortgage Funding 2021-1 plc has an ESG Relevance Score of '4' for Customer Welfare - Fair Messaging, Privacy & Data Security due to the pool exhibiting an interest-only maturity concentration amongst the legacy non-conforming OO loans of greater than 40%, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Stratton Mortgage Funding 2021-1 plc has an ESG Relevance Score of '4' for Human Rights, Community Relations, Access & Affordability due to a significant proportion of the pool containing OO loans advanced with limited affordability checks, which has a negative impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. UBS COMMERCIAL 2018-C14: Fitch Lowers Two Cert. Classes to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 14 classes of UBS Commercial Mortgage Trust 2018-C14, commercial mortgage pass-through certificates, series 2018-C14. In addition, the Rating Outlooks on two classes remain Negative, and the Outlook for one class was revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- UBS 2018-C14 A-2 90278KAX9 LT AAAsf Affirmed AAAsf A-3 90278KAZ4 LT AAAsf Affirmed AAAsf A-4 90278KBA8 LT AAAsf Affirmed AAAsf A-S 90278KBD2 LT AAAsf Affirmed AAAsf A-SB 90278KAY7 LT AAAsf Affirmed AAAsf B 90278KBE0 LT AA-sf Affirmed AA-sf C 90278KBF7 LT A-sf Affirmed A-sf D 90278KAJ0 LT BBBsf Affirmed BBBsf E 90278KAL5 LT BBB-sf Affirmed BBB-sf F 90278KAN1 LT CCCsf Downgrade B-sf G 90278KAQ4 LT CCCsf Affirmed CCCsf X-A 90278KBB6 LT AAAsf Affirmed AAAsf X-B 90278KBC4 LT AA-sf Affirmed AA-sf X-D 90278KAA9 LT BBB-sf Affirmed BBB-sf X-F 90278KAC5 LT CCCsf Downgrade B-sf X-G 90278KAE1 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Greater Certainty of Loss Expectations: Fitch's base case loss expectations have remained relatively stable since Fitch's prior rating action. The downgrades on classes F and X-F and Negative Outlooks on classes E and X-D reflect concerns with the concentration of specially serviced assets (14.1%). Additional downgrades are possible if valuations on the specially serviced assets decline, workouts do not progress or if there are additional loans default. The Outlook revision to Stable from Negative on class D reflects performance stabilization of the majority of performing loans, including better than expected performance of properties affected by the pandemic. Fifteen loans (40.2% of the pool), including five specially serviced loans (14.1%), were considered Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 4.90%. Fitch Loans of Concern/Specially Serviced Loans: The largest change to Fitch's loss expectations is GNL Portfolio (7.1%), 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 to the YE 2021 NOI due to concerns with declining occupancy and tenant rollover, and 10% cap rate resulting in an 8% loss. The second largest change to Fitch's loss expectations is the specially serviced loan, Nebraska Crossing (5.6%), which is secured by a 367,048-sf, class B, outlet shopping center located in Gretna, NE and built in 2013. The largest tenants are H&M (6.5%), expiration January 2028; Under Armour (4.4%), expiration January 2024; and Old Navy (4.1%), expiration April 2024. The property is 91.5% occupied as of March 2022 up from 87.5% YE 2021 and in line with 92.8% as of March 2020. The loan transferred to special servicing in May 2020 after the borrower requested relief due to the pandemic. Per the special servicer, the borrower requested the release of certain reserve funds, which the special servicer approved. The loan was brought current and the borrower and special servicer continue to work towards implementing cash management due to low DSCR. The borrower is retroactively completing audited financials for YE 2020 and recently submitted YE 2021 audited financials. Negotiations between the borrower and special servicer remain ongoing. The third largest change to Fitch's loss expectations is the specially serviced loan, Brand Bank Portfolio (1.3%), which is secured by two office properties. Brand Bank - Duluth is a 24,032-sf property built in 2007 and located in Duluth, GA. Brand Bank - Buford is a 10,511-sf property built in 2007 and located in Buford, GA. The loan transferred to special servicing in June 2022 due to borrower-declared Imminent Monetary Default. A Pre-Negotiation Letter has been executed and discussions remain ongoing. A cash trap is active due to two tenants failing to renew leases. BufordBrand Bank failed to renew their lease by Sept. 30, 2021 and SugarBrand Bank failed to renew by Oct. 31, 2021. The following tenants' leases have expired: Renasant Bank at the Buford Property (15.45% NRA, 5,366 sf, expiration Sept. 30, 2022) and Renasant Bank at the Duluth property (22% NRA, 7,641 sf, expiration Oct. 31, 2022). Per the March 31, 2022 consolidated rent roll, the property was 82.35% occupied with average annual rental rates of $47 psf. Minimal Changes to Credit Enhancement: As of the October 2022 remittance, the pool's aggregate principal balance has been paid down by 4.1% to $624.4 million from $650.9 million at issuance. Forty-four of the original 45 loans remain in the pool. Two loans (1.1%) are defeased. The pool is scheduled to amortize by 10.4% of the initial pool balance prior to maturity. There are 22 loans (46.3%) that are partial interest-only (IO) and 15 loans (26.7%) that are balloon loans. Seven loans (27%) are IO for the full loan term. Loan maturities are concentrated in 2028, forty-three loans (95.2%), and one loan (4.8%) maturing in 2023. Investment Grade Credit Opinion Loans: At issuance, two loans (9.2%) received investment-grade credit opinions. The Christiana Mall (4.7%) received a stand-alone credit opinion of 'AA-sf' and 1670 Broadway (4.7%) received a stand-alone credit opinion of 'BBB-sf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-4, A-SB, A-S, B, C, X-A and X-B are not likely due to the high credit enhancement and position in the capital structure, but may occur should interest shortfalls affect the 'AAAsf' and 'AA-sf' rated classes. Downgrades to classes D and X-D may occur should expected pool losses increase significantly and/or additional loans default. Downgrades to class E would occur if specially serviced loan workouts do not progress, expected losses on the specially serviced and other FLOCs increase or additional loans default. Downgrades to classes F, X-F, G and X-G are possible should loss expectations increase from continued performance decline of the FLOCs most notably the specially serviced loans and 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 virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, X-B and C would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs and other properties affected by the pandemic. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, X-D, E, F and X-F may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. Upgrades to classes G and X-G are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans, 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. UBS COMMERCIAL 2018-C8: Fitch Affirms 'BBsf' Rating on E-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of UBS Commercial Mortgage Trust (UBSCM) 2018-C8 Commercial Mortgage Pass-Through Certificates. In addition, Fitch revised the Rating Outlook for two classes to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- UBS Commercial Mortgage Trust 2018-C8 A-3 90276VAD1 LT AAAsf Affirmed AAAsf A-4 90276VAE9 LT AAAsf Affirmed AAAsf A-S 90276VAH2 LT AAAsf Affirmed AAAsf A-SB 90276VAC3 LT AAAsf Affirmed AAAsf B 90276VAJ8 LT AA-sf Affirmed AA-sf C 90276VAK5 LT A-sf Affirmed A-sf D 90276VAN9 LT BBBsf Affirmed BBBsf D-RR 90276VAQ2 LT BBB-sf Affirmed BBB-sf E-RR 90276VAS8 LT BBsf Affirmed BBsf F-RR 90276VAU3 LT B-sf Affirmed B-sf X-A 90276VAF6 LT AAAsf Affirmed AAAsf X-B 90276VAG4 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and base case loss expectations remained relatively stable since Fitch's prior rating action. The Outlook revisions to Stable from Negative reflects the performance stabilization for the majority of properties affected by the pandemic, and the expectation that the only specially serviced loan, The Village at La Orilla will transfer back to the master servicer by the end of the year. Fitch has identified five Fitch Loans of Concern (FLOCs; 9.3% of the pool balance), including one (1.5%) specially serviced loan. Nineteen loans (33.7%) are on the master servicer's watchlist for declines in occupancy, performance declines as a result of the pandemic, upcoming rollover and/or deferred maintenance. Fitch's current ratings incorporate a base case loss of 4.4%. The largest contributor to overall loss expectations and largest increase in loss since the prior rating action is the City Square and Clay Street (4.7%), which is secured by a 246,136 sf mixed use property consisting of 151,304 sf of office space, 94,832 sf of retail space and a 1,154-stall parking garage in Oakland, CA. TTM June 2022 NOI DSCR was 1.26x, compared with 1.44x at YE 2021, 1.57x at YE 2020, and 1.65x at YE 2019. Portfolio occupancy has decreased to 77% as of June 2022 from 78% at YE 2021 and 86% at YE 2020. Near-term rollover includes 15% of the collateral NRA in 2022, 5.2% in 2023 and 8.1% in 2024. Fitch's base case loss of 29% reflects a 10% cap rate and a 10% haircut to the YE 2021 NOI to account for the declining occupancy and upcoming lease rollover concerns. The second largest contributor to overall loss expectations is the Park Place at Florham Park loan (4.7%), which is secured by a four-building suburban office park with 354,381 SF located in Florham Park, NJ. The servicer-reported NOI DSCR as of the second quarter of 2022 was 1.33x compared with 1.61x at YE 2021 and 1.51x at YE 2020. Collateral occupancy was 80.3% as of YE 2022 compared with 87.2% as of YE 2021, and 94.4% at issuance. Fitch's base case loss of 11% reflects a 10% cap rate and a 5% haircut to the YE 2021 NOI to account for the declining occupancy and upcoming lease rollover concerns. The third largest contributor to overall loss expectations is the 4851 South Alameda Street loan (1.8% of the pool), which is secured by a 255,993 sf industrial property in Los Angeles, CA. Property occupancy declined to 34% as of June 2022 from 65.1% in December 2019 and 86.6% in December 2018 after major tenant Antiquarian Traders (28% of NRA) vacated during the second half of 2019, ahead of its previously scheduled expiration date in 2024. In addition, a number of small tenants vacated in 2021 and 2022. The loan is currently cash managed. Per servicer reporting, annualized NOI DSCR was 0.88x as of June 2022, down from 1.09x at YE 2021, 1.06 at YE 2020, and 1.53x at YE 2019. Fitch's analysis includes a 5% standard haircut to the YE 2021 NOI to account for the low occupancy, performance concerns resulting in an 15% modeled loss. Fitch's base case loss of 15% reflects an 8.5% cap rate and a 5% haircut to the YE 2021 NOI. Increased Credit Enhancement (CE): As of the October 2022 distribution date, the pool's aggregate balance has been paid down by 9.3% to $948.4 million from $1.05 billion at issuance. Realized losses since issuance total $770,000 from the resolution and disposal of a specially serviced loan (The Avery Georgetown), which occurred in December 2021. Six loans (8.6% of current pool) are fully defeased. Thirty full-term interest-only loans comprise 61.3% of the pool. Two loans (2.1%) still have a partial interest-only component during their remaining loan term. Seventeen loans (18.9%) are balloon loans. Property Type Concentration: The highest concentration is office (25.9%), followed by retail (24.4%), industrial (17%), mixed-use (8.7%) and multi-family (7.8%). Pari Passu Loans: Six loans (29.6% of pool) are pari passu. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-3, A-4, A-SB, A-S, B, X-A and X-B are not likely due to increasing CE and expected continued amortization but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and D-RR are possible if a high proportion of the pool defaults and/or transfers to special servicing and expected losses increase significantly. Downgrades to classes E-RR and F-RR would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default or transfer to special servicing and/or higher losses are incurred on the specially serviced loan than expected. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with pay down and/or defeasance. Upgrades to classes B, C and X-B would only 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. Classes would not be upgraded above 'Asf' if there were a likelihood of interest shortfalls. Upgrades to classes D and D-RR may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic return to pre-pandemic levels, and/or there is sufficient CE to the classes. Upgrades to classes E-RR and F-RR are not likely until the later years of the transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and there is sufficient CE to the classes. 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. VALLEY STREAM: S&P Assigns BB- (sf) Rating on Class E-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned 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 ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned 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: DBRS Finalizes B(low) on B-2 Notes ------------------------------------------------------------------ DBRS, Inc. (DBRS Morningstar) finalized its provisional ratings on the Mortgage-Backed Notes, Series 2022-INV2 to be issued by Verus Securitization Trust 2022-INV2 (VERUS 2022-INV2 or the Trust) as follows: -- $198.9 million Class A-1 at AAA (sf) -- $42.8 million Class A-2 at AA (sf) -- $47.4 million Class A-3 at A (sf) -- $34.7 million Class M-1 at BBB (sf) -- $22.4 million Class B-1 at BB (sf) -- $18.1 million Class B-2 at B (low) (sf) The AAA (sf) rating on the Class A-1 certificates reflects 48.40% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (low) (sf) ratings reflect 37.30%, 25.00%, 16.00%, 10.20%, and 5.50% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This a securitization of a portfolio of fixed- and adjustable-rate, investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Mortgage-Backed Notes, Series 2022-INV2 (the Notes). The Notes are backed by 895 mortgage loans with a total principal balance of $385,534,650 as of the Cut-Off Date (October 1, 2022). VERUS 2022-INV2 represents the eighth securitization issued by the Sponsor (VMC Asset Pooler, LLC) or a related Invictus Capital Partners, LP (Invictus) entity, backed entirely by business purpose investment loans underwritten using DSCR. The originators for the mortgage pool are Hometown Equity Mortgage, LLC (Hometown Equity; 17.5%) and other originators, each comprising less than 15.0% of the mortgage loans. Newrez LLC doing business as Shellpoint Mortgage Servicing (Shellpoint or SMS; 92.4%) and Specialized Loan Servicing LLC (SLS; 7.6%) are the servicers of the loans in this transaction. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor’s credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau’s Ability-to-Repay (ATR) rules and TILA/RESPA Integrated Disclosure rule. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible horizontal interest consisting of the Class B-3 and XS Notes (and the requisite amount of the B-2 Notes) representing at least 5% of the aggregate fair value of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Nationstar Mortgage LLC d/b/a Mr. Cooper Master Servicing will be the Master Servicer. Wilmington Savings Fund Society, FSB will act as the Indenture and Owner Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by DBRS Morningstar) will act as the Custodian. On or after the earlier of (1) the Payment Date occurring in October 2025 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Note Owner(s) representing 50.01% or more of the Class XS Notes (Optional Redemption Right Holder), may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. On any date following the date on which the aggregate UPB of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Servicing Administrator will have the option to terminate the Issuer by purchasing all of the mortgage loans and any real estate owned (REO) property at a price equal to the sum of the aggregate UPB of the mortgage loans (other than any REO property) plus accrued interest, the lesser of the fair market value of any REO property, and the stated principal balance of the related loan, and any outstanding and unreimbursed servicing advances, accrued and unpaid fees, any preclosing deferred amounts, and expenses that are payable or reimbursable to the transaction parties (optional termination). An optional termination is conducted as a qualified liquidation. The Principal and Interest (P&I) Advancing Party will fund advances of delinquent P&I on any mortgage until such loan becomes 90 days delinquent. The P&I Advancing Party or Servicer has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. The Servicers, however, are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, A-2, and A-3 Notes (Senior Classes) subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the notes. For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior tranches are paid in full (IPIP). Excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to A-3. The Class A-1, A-2, and A-3 fixed rate coupons step up by 1.00% on and after the payment date in November 2026 (Step-Up Date). Of note, interest and principal otherwise available to pay the Class B-3 interest and interest shortfalls may be used to pay any Class A Cap Carryover amounts not covered from excess spread after the Step-Up Date. On September 28, 2022, Hurricane Ian caused extensive flooding and other substantial damage throughout Florida and parts of North Carolina, South Carolina, and Virginia. As a result of Hurricane Ian, a state of emergency was declared in Florida, Georgia, North Carolina, South Carolina and Virginia. Post disaster inspections (PDIs) were ordered for properties in zip codes that have been approved by FEMA for individual assistance as a result of damage caused by the hurricane. Prior to the closing date, the Sponsor will remove potentially affected Ian loans upon receiving knowledge that the property has been materially damaged. CORONAVIRUS PANDEMIC IMPACT The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes. Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with pandemic-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers. For more information regarding the economic stress assumed under its baseline scenario, please see the DBRS Morningstar commentary Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update, dated September 19, 2022. The ratings reflect transactional strengths that include the following: -- Improved underwriting standards, -- Certain loan attributes, -- Robust pool composition, and -- Satisfactory third-party due-diligence review. The transaction also includes the following challenges: -- 100% investor loans, -- Three-month advances of delinquent P&I, -- No operational risk review on an originator comprising more than 15% of the pool, and -- Representations and warranties framework. WELLS FARGO 2015-C26: Fitch Affirms 'B-sf' Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Wells Fargo Commercial Mortgage Trust 2015-C26 (WFCM 2015-C26) commercial mortgage pass-through certificates. Fitch has revised the Rating Outlook on four classes to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2015-C26 A-3 94989CAW1 LT AAAsf Affirmed AAAsf A-4 94989CAX9 LT AAAsf Affirmed AAAsf A-S 94989CAZ4 LT AAAsf Affirmed AAAsf A-SB 94989CAY7 LT AAAsf Affirmed AAAsf B 94989CBC4 LT AA-sf Affirmed AA-sf C 94989CBD2 LT A-sf Affirmed A-sf D 94989CAG6 LT BBB-sf Affirmed BBB-sf E 94989CAJ0 LT BB-sf Affirmed BB-sf F 94989CAL5 LT B-sf Affirmed B-sf PEX 94989CBE0 LT A-sf Affirmed A-sf X-A 94989CBA8 LT AAAsf Affirmed AAAsf X-C 94989CAA9 LT BB-sf Affirmed BB-sf X-D 94989CAC5 LT B-sf Affirmed B-sf Classes X-A, X-B, X-C, X-D and X-E are IO. Class A-S, B and C certificates may be exchanged for class PEX certificates, and class PEX certificates may be exchanged for class A-S, B and C certificates. KEY RATING DRIVERS Stable Loss Expectations: Overall pool performance and loss expectations has been generally stable or improved since Fitch's last rating action. Fitch has identified 11 Fitch Loans of Concern (FLOCs; 19.4% of pool), including two loans in special servicing (4.9%). Fitch's current ratings incorporate a base case loss of 5.8%. The Outlook revisions to Stable from Negative reflect performance stabilization of properties affected by the pandemic; additional sensitivities were not applied due to the performance stabilization. Specially Serviced Loans: The largest contributor to base case losses is the specially serviced Aloft Houston by the Galleria (3.8% of the pool), which is secured by a 152-room limited service hotel located adjacent to the Houston Galleria. Parking is provided by a five-story garage structure, which is also part of the collateral. The loan transferred to special servicing in 2020 due to a COVID-19 relief request and imminent default. The property receiver has transitioned the property and stabilized operations while maintaining brand standards. In addition, the special servicer has provided notice of a repurchase claim to the loan originator. Per the TTM April 2022 STR report, the subject had occupancy, ADR, and RevPAR of 58.4%, $123, and $72, respectively; the metrics are above the property's competitive set and above 2021 levels. According to the servicer, the TTM June 2021 NOI DSCR was 0.14x compared to YE 2020 NOI DSCR at 0.13x, and YE 2019 at 0.87x. The servicer reported that the deterioration in cash flow pre-pandemic was a result of increased competition in the area; the coronavirus pandemic then further impacted the property performance. Fitch's modeled loss of 68% reflects a value of $110,000 per key. The next largest contributor to loss is the specially serviced Piedmont Center loan (1.2%), which is secured by two office buildings totaling 145,839 sf located in Greenville, SC. The property was originally built in 1973. The loan transferred to special servicing in November 2018; it is currently 90 days delinquent. The borrower did not have sufficient funding to complete tenant improvements therefore it obtained interim financing collateralized by the net cash flow for the collateral. The borrower did not pay as agreed under the interim financing and the lender tried to collect rents from the tenants. A receiver was appointed in March 2019 and has been working to stabilize the asset through lease up of the currently vacant space. The property's Pelham Road submarket east of Greenville, SC had an Q3 2022 vacancy rate of 12.5% per CoStar. As of the August 2022 rent roll, the property was 73% leased. Fitch's loss of 79% reflects a value of $46 psf. Fitch continues to monitor the Broadcom Building loan (4.4%). The loan is secured by a 200,000-sf office property located in San Jose, CA, which is fully vacant and has negative cash flow. The property had been 100% leased to the Broadcom Corporation since 2000. However, Broadcom exercised its option to terminate the lease early and vacated by May 2018. The loan remains current. Per the June 2022 rent roll, an EV company is expected to lease the entire property in late 2023. Fitch requested an update on the potential tenant. At issuance, the two -story property consisted of approximately 60% office space, 20% lab space, 15% amenity space, including a cafeteria, gym and locker rooms, outdoor tennis court, beach volleyball court, and outdoor terrace, and a 10,000-sf (5% of NRA) data center space. Per internet research, interior and exterior renovations were completed in 2021, which included a new expanded lobby and indoor/outdoor deck. Per the October 2022 servicer reporting, a reserve in the amount of $4.5 million is in place. Fitch performed a dark value analysis on the vacant property and, factoring in the in-place reserve of $4.5 million, concluded a value of approximately $34 million ($170psf). Fitch assumed market rent declines of 10%, downtime between leases (18 months), carrying costs, and re-tenanting costs ($25psf new tenant improvements and 4% leasing costs). Slight Increase in Credit Enhancement: As of the October 2022 distribution date, the pool's aggregate principal balance was reduced by 19% to $779.6 million from $962.1 million at issuance. There have been no realized losses to date and interest shortfalls are currently affecting only the non-rated class G. The increase in credit enhancement is attributed to amortization and defeasance. There are 20 loans (22.3% of the pool balance) that are defeased. Three loans (1.2%) 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: Sensitivity factors that lead to downgrades include an increase in pool level expected losses from underperforming or specially serviced loans/assets. Downgrades to the 'AA-sf' and 'AAAsf' classes are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. Downgrades to the 'A-sf' and 'BBB-sf' classes would occur should overall pool losses increase and/or one or more large loans have an outsized loss, which would erode credit enhancement. Downgrades to the 'BB-sf' or 'B-sf' classes would occur should loss expectations increase as FLOC performance declines or fails to stabilize, including the specially serviced loans. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in CE and/or defeasance and/or the continued stabilization to the properties impacted from the coronavirus pandemic. Upgrade of the 'BBB-sf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BB-sf', or 'B-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WESTLAKE AUTOMOBILE 2021-3: DBRS Confirms B Rating on Cl. F Notes ----------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) upgraded nine ratings, confirmed 23 ratings, and discontinued five ratings as a result of repayment from six Westlake Automobile Receivables Trust transactions. The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2022 Update, published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The rating actions are the result of the strong collateral performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transactions' capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. The rated entity or its related entities did not participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action. Rating Action ------ ------ Westlake Automobile Receivables Trust 2019-1 Class E Notes AAA (sf) Confirmed Class F Notes AAA (sf) Confirmed Class D Notes Discontinued Disc.-Repaid Westlake Automobile Receivables Trust 2019-3 Class D Notes AAA (sf) Confirmed Class E Notes AAA (sf) Confirmed Class F Notes AAA (sf) Upgraded Class C Notes Discontinued Disc.-Repaid Westlake Automobile Receivables Trust 2020-2 Class B Notes AAA (sf) Confirmed Class C Notes AAA (sf) Confirmed Class D Notes AAA (sf) Upgraded Class E Notes AA (sf) Upgraded Class A-2-A Notes Discontinued Disc.-Repaid Class A-2-B Notes Discontinued Disc.-Repaid Westlake Automobile Receivables Trust 2021-1 Class A-2-A Notes AAA (sf) Confirmed Class A-2-B Notes AAA (sf) Confirmed Class B Notes AAA (sf) Confirmed Class C Notes AAA (sf) Upgraded Class D Notes AA (sf) Upgraded Class E Notes BBB (high) (sf) Upgraded Class F Notes BB (sf) Upgraded Westlake Automobile Receivables Trust 2019-1 Class A-2-A Notes AAA (sf) Confirmed Class A-2-B Notes AAA (sf) Confirmed Class B Notes AAA (sf) Confirmed Class C Notes AAA (sf) Upgraded Class D Notes AA (sf) Upgraded Class E Notes BBB (high) (sf) Upgraded Class F Notes BB (sf) Upgraded Westlake Automobile Receivables Trust 2021-3 Class A-1 Notes Discontinued Disc.-Repaid Class A-2 Notes AAA (sf) Confirmed Class A-3 Notes AAA (sf) Confirmed Class B Notes AA (high) (sf) Upgraded Class C Notes A (high) (sf) Upgraded Class D Notes BBB (sf) Confirmed Class E Notes BB (sf) Confirmed Class F Notes B (sf) Confirmed Westlake Automobile Receivables Trust 2022-2 Class A-1 Notes R-1(high)(sf) Confirmed Class A-2-A Notes AAA (sf) Confirmed Class A-2-B Notes AAA (sf) Confirmed Class A-3 Notes AAA (sf) Confirmed Class B Notes AA (high)(sf) Confirmed Class C Notes A (high)(sf) Confirmed Class D Notes BBB (high)(sf) Confirmed Class E Notes BB (high)(sf) Confirmed Class F Notes B (high)(sf) Confirmed WFLD 2014-MONT: DBRS Lowers Rating on Class D Certs to B(low) ------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) downgraded three classes of Commercial Mortgage Pass-Through Certificates, Series 2014-MONT issued by WFLD 2014-MONT Mortgage Trust as follows: -- Class B to BBB (sf) from AA (low) (sf) -- Class C to BB (sf) from A (low) (sf) -- Class D to B (low) (sf) from BBB (low) (sf) In addition, DBRS Morningstar confirmed one class as follows: -- Class A at AAA (sf) DBRS Morningstar removed all ratings from Under Review with Negative Implications as a result of this rating action. All trends are Stable. The 10-year interest-only loan with a fixed interest rate at 3.77% is secured by the fee-simple interest in approximately 836,000 square feet (sf) of the 1.3 million-sf Westfield Montgomery Mall in Bethesda, Maryland, located 15 miles north of Washington, D.C. DBRS Morningstar downgraded three classes because of the increased term risk following sustained cash flow declines year over year since 2019. In addition, the sponsor, Unibail-Rodamco-Westfield announced earlier this year that it plans to sell off its U.S. portfolio, including this asset, by YE2023. The announcement, combined with the loan's scheduled maturity in August 2024 and a general lack of liquidity for this property type, also points to increased refinance risk. The mall is anchored by Macy's, Macy's Home, and Nordstrom, which are not part of the loan collateral; however, Nordstrom operates on a ground lease, expiring in October 2025. Additionally, there is a vacant Sears box at the property, which the sponsors purchased in 2017 with the intention of redeveloping as part of a comprehensive expansion and renovation of the property and surrounding area. Given the sponsor's announcement to offload its portfolio of assets, including this property, DBRS Morningstar assumes these plans have been shelved. Property occupancy has improved after dipping during the Coronavirus Disease (COVID-19) pandemic. As of June 2022, the collateral was 89.8% occupied, up from 76.6% at YE2021 and in line with 90.0% at YE2019. Occupancy at issuance was 92.0%. Year-over-year cash flow declines point to downward pressure on rents and increasing and/or ongoing concessions, which, as of June 2022, continued to stress revenue. The annualized June 2022 net cash flow (NCF) was $25.8 million, equating to a debt service coverage ratio (DSCR) of 1.94 times (x). This marks an improvement from the YE2021 NCF of $22.0 million (with a DSCR of 1.65x) but remains down from pre-pandemic years, even as occupancy is rebounding. The YE2019 NCF and DSCR were $33.6 million and 2.51x, respectively, down from $39.1 million and 2.92x at issuance. More than $3.1 million in concessions was reportedly budgeted for 2022. Even after these free rent periods burn off, DBRS Morningstar expects that, barring a significant improvement in base rental rates, the asset is unlikely to recapture pre-pandemic performance. As a mitigant to some of the concerns surrounding sustained performance declines, DBRS Morningstar points to historically strong sales and favorable market positioning as support for the confirmation of Class A. Reported sales have remained strong even through the pandemic, indicating steady foot traffic and strong market demographics. According to the June 2022 tenant sales report, in-line tenants occupying less than 10,000 sf reported sales of $759 per sf (psf); excluding Apple Store (Apple) and Tesla, in-line sales were at $536 psf. This is comparable to $533 psf reported for YE2021 and an improvement from $375 psf for the trailing 12 months ended March 31, 2021. At issuance, in-line sales were reported to be $532 psf. Westfield Montgomery benefits from a strong market location in one of Maryland's most affluent counties with high barriers to entry. Based on the most recent site inspection, the property appears to be well maintained and continues to attract new tenants. The subject's tenant roster is strong and includes tenants such as Apple, Tesla, Free People, Coach, and Sephora, as well as entertainment venues such as Lucky Strike and AMC Theatres. The nearest competing mall is Westfield Wheaton, located seven miles away; however, the subject offers a higher-end tenant mix and appears to be in better condition. Although DBRS Morningstar believes that recent cash flow trends suggest the as-is value for the mall has fallen significantly since issuance, the Class A certificate is considered to be well insulated from potential loss. DBRS Morningstar made positive qualitative adjustments to the final loan-to-value (LTV) sizing benchmarks used for this rating analysis, totaling 4.0%, to account for property quality and market fundamentals. The DBRS Morningstar ratings assigned to Classes A, B, C, and D are higher than the results implied by the LTV sizing benchmarks. The variance is warranted given DBRS Morningstar's expectations that cash flow will continue to stabilize as concessions burn off and rental rates rightsize. All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2012-C7: Fitch Cuts Rating on Cl. E Bonds to 'Dsf' ------------------------------------------------------------------- Fitch has downgraded one class of WFRBS Commercial Mortgage Trust 2012-C7 to 'Dsf' from 'Csf' as the class took its first dollar loss. Entity/Debt Rating Prior ----------- ------ ----- WFRBS 2012-C7 E 92936TAK8 LT Dsf Downgrade Csf F 92936TAL6 LT Dsf Affirmed Dsf G 92936TAM4 LT Dsf Affirmed Dsf KEY RATING DRIVERS Class E received $0 in principal paydown and $1.7 million in losses. The class was previously rated 'Csf,' indicating default was inevitable. Two other 'Dsf" rated classes were affirmed at their current ratings, as a result of previously incurred losses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: No further negative rating changes are expected as these bonds have incurred principal losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected 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. WFRBS COMMERCIAL 2013-C13: Fitch Lowers Rating to 'B-sf' on F Certs ------------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed 10 classes of WFRBS Commercial Mortgage Trust commercial mortgage pass-through certificates series 2013-C13. Entity/Debt Rating Prior ----------- ------ ----- WFRBS 2013-C13 A-3 92937UAC2 LT AAAsf Affirmed AAAsf A-4 92937UAD0 LT AAAsf Affirmed AAAsf A-S 92937UAF5 LT AAAsf Affirmed AAAsf A-SB 92937UAE8 LT AAAsf Affirmed AAAsf B 92937UAG3 LT AAsf Affirmed AAsf C 92937UAH1 LT Asf Affirmed Asf D 92937UAJ7 LT BBB-sf Affirmed BBB-sf E 92937UAL2 LT BBsf Affirmed BBsf F 92937UAN8 LT B-sf Downgrade Bsf X-A 92937UAS7 LT AAAsf Affirmed AAAsf X-B 92937UAU2 LT Asf Affirmed Asf KEY RATING DRIVERS Increase in Loss Expectations: Loss expectations have increased since Fitch's last rating action and become more certain as all the remaining loans approach maturities in 2023. The downgrade of class F is due to higher loss expectations on the pool since Fitch's last rating action, driven mainly by the 301 South College Street and Holiday Inn - Ames loans. Fitch's current ratings reflect a base case loss of 4.4%. Five loans are considered Fitch Loans of Concern (17.5% of the pool) including the two specially serviced loans (1.7% of the pool). The largest increase in loss since the last rating action is the largest loan, 301 South College Street (12.6% of pool), which is secured by the 988,636-sf, 42-story office tower, One Wells Fargo Center, located in Charlotte, NC. The property serves as the East Coast headquarters of Wells Fargo Bank. The property's largest tenant, Wells Fargo, downsized and did not renew a portion of its space that expired in December 2021. Wells Fargo formerly occupied approximately 687k sf (69.5% of NRA). The tenant currently leases 26.8% of NRA (6.3% and 20.4% expires in December 2022 and 2032 respectively). Occupancy as of the March 2022 rent roll was 55.9%, down from 98% at YE 2021, and 98.5% at YE 2020. NOI DSCR was 0.94x as of YE 2021, 2.17x at YE 2020 and 2.05x at 2019. Currently, all excess cash is being trapped into a reserve account for tenant improvement and leasing commissions related to the Wells Fargo space; the reserve has a balance of $14.6 million as of October 2022, which equates to approximately $35 psf of vacant square feet. In addition, the loan is structured with a debt service reserve of $2.9 million as of October 2022. Fitch requested an update from the master servicer on the borrower's plans to re-tenant the space, but has not received a response. According to CoStar, the subject lies within the CBD Office Submarket of the Charlotte, NC market area. As of 3Q22, market rent for the submarket and market areas were $38.11 psf and $30.48 psf, respectively. Vacancy rates for the submarket and market were 12.9% and 11.2%, respectively. As of the March 2022 rent roll, the property was 55.9% occupied, with an average in-place rent of $32.48 psf. Fitch's base case loss of 23% reflects a cap rate of 8.75% to the annualized T-6 ended June 2022 cashflow with some credit given due to the reserves. Fitch's analysis reflects occupancy and refinance concerns for the loan; this contributed to the downgrade on the class F. Specially Serviced Loans: The two specially serviced loans are secured by hotel properties; both loans transferred to the special servicer in 2020 due to pandemic-related financial hardships. The largest specially serviced loan, Holiday Inn Express - Largo (0.9% of pool), is secured by an 89-key limited service hotel located in Largo, MD. The property is adjacent to University of Maryland University College and minutes away from FedEx Field. A foreclosure sale occurred in May 2021 and the lender was outbid with $8.2 million being the high bid, which equates to a full payoff of the Loan. A receiver was appointed in September 2020 and is still in possession of the property. According to the servicer, funds will likely not be distributed until the middle to end of 4Q22. Fitch's base case loss of approximately 5% reflects a stressed value of approximately $80,000 per key with small losses due to anticipated fees and expenses. Holiday Inn - Ames (0.8% of pool), is secured by a 75-key full-service hotel located in Ames, IA. The property was originally flagged as a Radisson Hotel but was converted to a Holiday Inn in 2018. A 20-year license agreement was executed with Radisson in conjunction with the conversion, which expires in 2038. The subject is located two miles from Iowa State University, which is the primary demand generator in the area. The property became REO as of July 2022. According to the special servicer, an updated broker's opinion of value (BOV) has been requested and the property is expected to be auctioned in early 2023. Per the TTM August 2022 STR report, the property's reported occupancy, ADR, and RevPAR were 39.9%, $109, $44, respectively, compared to 47%, $120, $57 for its competitive set. The RevPAR penetration rate was 76.8%. Fitch's base case loss of 33% factors a stress to the most recent appraisal, reflecting a stressed value of $59,733 per key. Increasing Credit Enhancement: Credit enhancement (CE) has increased since the prior rating action due to amortization, prepayment and defeasance. The pool balance has been reduced by 29.2% since issuance. Since the prior rating action, nine loans ($18.96 million) have prepaid ahead of their scheduled maturity dates. There are 32 loans (37.9%) fully defeased, up from 19 loans (28.4%) defeased at the last review. All remaining loans in the pool are scheduled to mature within the first half of 2023. To date, the pool has not incurred any principal losses. Alternative Loss Consideration; Maturity Concentration: Due to significant upcoming maturity as all of the remaining loans in the pool mature by the end of May 2023, Fitch performed an additional paydown scenario and considered the likelihood of the remaining loans to pay in full. Fitch considered 301 South College Street, Holiday Inn Express - Largo, & Holiday Inn - Ames loans as likely to be the last remaining loans in the pool. The ratings reflect each classes' reliance on defeased loans, performing loans and FLOCs to pay in full. Class F is reliant on these three loans for repayment, and although currently losses are not expected to impact this class, credit enhancement would be significantly impacted. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to 'AAAsf' rated classes are not considered likely due to the position in the capital structure, but may occur at 'AAAsf' rated classes should interest shortfalls occur. Downgrades of classes B, C, and D are possible should Fitch's projected losses increase due to declines in pool performance, additional loan defaults, or greater than expected losses on the Specially Serviced loans and Fitch loans of concern. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B, C and D could occur with a significant improvement in CE and/or defeasance; however, increased concentrations, further underperformance of FLOCs, specially serviced loans, or new delinquencies/defaults may prevent this. Classes would not be upgraded above 'Asf' if there were a likelihood for interest shortfalls. Upgrades to classes E and F are not likely due to actual or expected performance decline for FLOCs, but could occur if performance of the FLOCs improves or loans currently in special servicing resolve with better than expected losses. 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. WFRBS COMMERCIAL 2013-C14: Moody's Cuts Cl. C Certs Rating to Ba3 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on seven classes and downgraded the ratings on four classes in WFRBS Commercial Mortgage Trust 2013-C14 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. A-4FX, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Mar 7, 2022 Downgraded to A3 (sf) Cl. C, Downgraded to Ba3 (sf); previously on Mar 7, 2022 Downgraded to Ba1 (sf) Cl. PEX, Downgraded to Baa3 (sf); previously on Mar 7, 2022 Downgraded to Baa1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Mar 7, 2022 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Baa2 (sf); previously on Mar 7, 2022 Downgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on six P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes, Cl. B and Cl. C, were downgraded due to higher anticipated losses and increased risk of interest shortfalls due to the exposure to specially serviced and troubled loans and the potential refinance challenges for certain poorly performing loans with upcoming maturity dates. Four loans, representing 14% of the pool are in special servicing, including the White Marsh Mall (10% of the pool) which has already passed its original maturity date. Furthermore, two office loans, Midtown I & II (11% of the pool) and 301 South College Street (8%) may face increased refinance risk at their maturity dates in 2023 due to their tenant concentration and recent tenant downsizing, respectively. All the remaining loans mature by June 2023 and if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The rating on one interest-only (IO) class, Cl. X-A, was affirmed based on the credit quality of its referenced classes. The rating on one IO class, Cl. X-B, was downgraded based on a decline in the credit quality of its referenced class. The rating on the exchangeable class, Cl. PEX, was downgraded due to the decline in credit quality of its referenced exchangeable classes. Moody's rating action reflects a base expected loss of 13.6% of the current pooled balance, compared to 10.3% at Moody's last review. Moody's base expected loss plus realized losses is now 10.4% of the original pooled balance, compared to 8.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the October 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 25% to $1.10 billion from $1.47 billion at securitization. The certificates are collateralized by 63 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 68% of the pool. Twenty-three loans, constituting 13% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 13, compared to 14 at Moody's last review. As of the October 2022 remittance report, loans representing 86% were current or within their grace period on their debt service payments, 2% were between 30 and 59 days delinquent, 3% were greater than 90 days or in foreclosure and 10% were nonperforming past maturity. Eight loans, constituting 22% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $3.1 million (for an average loss severity of 14%). Four loans, constituting 14% of the pool, are currently in special servicing. All of the specially serviced loans have transferred to special servicing since 2020. The largest specially serviced loan is the White Marsh Mall Loan ($110.0 million -- 10.0% of the pool), which represents a pari passu portion of a $190.0 million mortgage loan. The loan is secured by an approximately 700,000 square feet (SF) component of a 1.2 million SF super-regional mall located in Baltimore, Maryland. The mall is anchored by Macy's, JC Penney, Boscov's, and Macy's Home Store. Macy's and JC Penny are not part of the loan collateral and Sears, a former non-collateral anchor, closed in April 2020. As of May 2022, inline and collateral occupancy were 80% and 88%, respectively, compared to 81% and 89% in June 2021 and 92% and 95% in September 2019. Property performance has declined annually since 2018 primarily due to lower rental revenues and the 2021 net operating income (NOI) was approximately 45% lower than underwritten levels. The loan transferred to special servicing in August 2020 and the loan failed to pay off at its May 2021 maturity date. The loan is last paid through its April 2021 payment date and was interest-only throughout its entire term. The special servicer indicated they continue to hold discussion with the borrower while dual tracking with foreclosure. The most recent appraisal from March 2022 valued the property at 62% below the value at securitization and as of the February 2022 remittance statement, the master servicer has recognized a 38% appraisal reduction based on the current loan balance. The second largest specially serviced loan is the Continental Plaza – Columbus Loan ($17.9 million – 1.6% of the pool), which is secured by a 568,741 SF, 35 story Class A office building located in Columbus, Ohio in the city's central business district (CBD). The property was 82% leased as of June 2022 compared to 76% in 2019 and 94% at securitization. The loan transferred to special servicing in August 2022 due to imminent monetary default and is last paid through the August 2022 payment date. The loan has amortized 18% to date and is scheduled to mature in May 2023. However, the property faces significant rollover risk with approximately 60% of NRA expiring within one year. Special servicer commentary indicates they are currently reviewing the borrower's proposal. The third largest specially serviced loan is the Mobile Festival Centre Loan ($17.6 million -- 1.6% of the pool), which is secured by a 380,619 SF retail power center located in Mobile, Alabama, six miles west of the CBD. The property was 65% leased as of March 2022 compared to 48% in June 2021 and 80% at securitization. Recent tenant departures included Bed Bath & Beyond (7% of net rentable area (NRA)), Virginia College (16%) and Ross Dress for Less (8%). The loan transferred to special servicing in September 2020 due to imminent monetary default and is last paid through September 2021. The loan has amortized by 15% since securitization. The borrower is working on stabilizing the property and the special servicer is evaluating a pending new lease which would further increase occupancy to 74%. The remaining specially serviced loan is the 808 Broadway Loan ($12.5 million -- 1.1% of the pool), which is secured by a 24,548 SF retail space located on Broadway and East 11 Street in New York, New York. It is the ground floor retail condo space of a six story building constructed in 1888. The loan transferred to special servicing in November 2020 and is last paid through December 2020. The borrower has indicated the single retail tenant has filed for chapter 11 bankruptcy protection and is no longer paying rent. As a result, the property's NOI has been negative since 2021. A receiver was appointed in August 2022 and the special servicer intends to foreclose on the asset. Moody's has also assumed a high probability of default for two poorly performing loans, constituting 8.4% of the pool. The smaller of the two troubled loans is secured by a mixed-use property in Bethesda, Maryland that has experienced significant declines in occupancy and revenue. The largest troubled loan is 301 South College Street, which is discussed in further detail below. Moody's has estimated an aggregate loss of $122.2 million (a 49% expected loss on average) from these specially serviced and troubled loans. As of the October 2022 remittance statement cumulative interest shortfalls were $3.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2021 operating results for 100% of the pool, and full or partial year 2022 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 103%, compared to 105% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 25% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2021. Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.88X and 1.08X, respectively, compared to 1.81X and 1.06X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three performing loans represent 30.0% of the pool balance. The largest loan is the Midtown I & II Loan ($124.3 million -- 11.3% of the pool), which is secured by two Class A office buildings totaling 794,110 SF and an adjacent parking deck located in Atlanta, Georgia. The properties were built in 2001 and are 100% leased to AT&T Corporation through April 2024. The loan is interest only for its entire term and matures in May 2023, approximately one year prior to the expiration date of the single tenant. Due to the single tenant risk, Moody's incorporated a lit/dark analysis. While the loan has maintained a high DSCR over its ten-year term, it may face heighted refinance risk due to the tenant concentration and near-term lease expiration date at loan maturity. The loan is interest only for its entire term and Moody's LTV and stressed DSCR are 115% and 1.04X, respectively, compared to 111% and 1.09X at the last review. The second largest loan is The Plant San Jose Loan ($123.0 million -- 11.2% of the pool), which is secured by a 486,000 SF component of a 624,000 SF power center located in San Jose, California approximately two miles south of the San Jose CBD. The property is anchored by a Home Depot (29% of NRA; lease expiration January 2034), Best Buy (9% of NRA; lease expiration January 2023) and Ross Dress for Less (5% of NRA; lease expiration January 2024). The property is also shadow anchored by Target. The property was 74% leased as of June 2022 compared to 79% in September 2020, 89% in December 2017 and 96% at securitization. The decline in occupancy was partly driven by Toys R Us, (13% of the collateral NRA) vacating as part of their bankruptcy in early 2018 as well as Office Max and several smaller tenants. The property's operating expenses have also increased significantly in recent years compared with underwritten levels. The loan is interest only for the entire 10-year term. The loan has passed its anticipated repayment date (ARD) in May 2023 (final maturity in 2033). The loan is interest only for its entire term and had a reported NOI DSCR of 2.52X in June 2022. Moody's LTV and stressed DSCR are 129% and 0.75X, respectively, the same as the last review. The third largest loan is the 301 South College Street Loan ($82.7 million -- 7.5% of the pool), which represents a pari passu interest in a $160.7 million mortgage loan. The loan is secured by a 988,646 square foot Class A office tower located in the central business district of Charlotte, North Carolina. The property was 56% leased as of June 2022 compared to 99% in March 2020. The largest tenant, Wells Fargo, recently downsized their space significantly from 687,000 SF (or 69% of the net rentable area (NRA)) to 264,000 SF (approximately 20% of the NRA). The lower occupancy caused the DSCR to decline to 0.76X in June 2022 from 2.17X in 2020. A reserve is in place that is trapping excess cash for all terminated space or space being vacated upon expiration and the total reserves balance is $17.9 million. A six million dollar lobby renovation was recently completed in 2022. After an initial 5-year interest only period the loan has now amortized 8% since securitization. The loan matures in May 2023 and due to the recent decline in occupancy and revenue at the property, the loan may have difficulty refinancing at its maturity date and Moody's considers this as a troubled loan. WMRK COMMERCIAL 2022-WMRK: S&P Assigns B- (sf) Rating on HRR Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to WMRK Commercial Mortgage Trust 2022-WMRK's commercial mortgage pass-through certificates. The certificate issuance is a U.S. CMBS transaction backed by a commercial mortgage loan that is secured primarily by first mortgage liens on the borrowers' fee simple and/or leasehold interests and the operating lessees' leasehold interests in 16 full-service lodging properties totaling 4,759 collateral keys (5,012 total keys including 253 condominium-hotel keys) in nine U.S. states. Since the preliminary ratings were issued, the loan spread decreased slightly, to 4.54% from 4.65%. Hence, S&P's S&P Global Ratings' debt service coverage increased to 0.94x from 0.93x based on the 4.00% secured overnight financing rate (SOFR) strike rate plus the spread, and to 0.98x from 0.97x based on a 3.60% one-month SOFR plus spread. S&P said, "The ratings reflect our view of the collateral's historical and projected performance, the experience of the sponsor and the manager, the trustee-provided liquidity, the mortgage loan terms, and the transaction's structure. We determined that the trust loan has a beginning and ending loan-to-value ratio of 106.1%, based on our value of the properties backing the transaction." Ratings Assigned WMRK Commercial Mortgage Trust 2022-WMRK Class A, $641,200,000: AAA (sf) Class B, $118,500,000: AA (sf) Class C, $256,000,000: A- (sf) Class D, $197,200,000: BBB- (sf) Class E, $310,000,000: BB- (sf) Class F, $267,850,000: B- (sf) Class HRR(i), $94,250,000: Not rated (i)Horizontal residual interest. WOODMONT 2022-10: S&P Assigns Prelim BB-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Woodmont 2022-10 Trust's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by MidCap Financial Services Capital Management LLC. The preliminary ratings are based on information as of Nov. 15, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect our 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 Woodmont 2022-10 Trust Class A, $290.00 million: AAA (sf) Class B, $45.00 million: AA (sf) Class C (deferrable), $40.00 million: A (sf) Class D (deferrable), $25.00 million: BBB- (sf) Class E (deferrable), $35.00 million: BB- (sf) Certificates, $76.14 million: Not rated [*] DBRS Confirms Ratings on 8 Single-Asset CMBS Deals Issued 2021 ------------------------------------------------------------------ DBRS Limited (DBRS Morningstar) conducted its surveillance review of 55 classes of Commercial Mortgage Pass-Through Certificates from eight single-asset/single-borrower commercial mortgage-backed security (CMBS) transactions. DBRS Morningstar noted in a Nov. 14, 2022 press release that it has confirmed its ratings on all 55 classes. All eight transactions closed in November and December of 2021 and, given their recent vintage, there is limited updated financial reporting. The rating confirmations reflect the overall stable performance, based on the information made available since issuance, and all trends are Stable. The eight transactions confirmed by DBRS Morningstar are: - MED Trust 2021-MDLN (MED 2021-MDLN), - Morgan Stanley Capital I Trust 2021-PLZA (MSC 2021-PLZA), - DBGS 2021-W52 Mortgage Trust (DBGS 2021-W52), - BX Trust 2021-ACNT (BX 2021-ACNT), - ELP Commercial Mortgage Trust 2021-ELP (ELP 2021-ELP), - STWD Trust 2021-LIH (STWD 2021-LIH), - MTK 2021-GRNY Mortgage Trust (MTK 2021-GRNY), and - CSMC 2021-BHAR. A list of the Affected Ratings is available at shorturl.at/rBDQR MED 2021-MDLN is a sale-leaseback transaction to Medline Industries LP (Medline), a leading U.S. manufacturer and distributor of healthcare supplies. The mission-critical portfolio consists of 49 distribution, manufacturing, and office properties across 30 states. As a part of the transaction, the Medline operating company (OpCo) signed a brand-new, 15-year absolute triple-net (NNN) unitary master lease covering all the properties in the portfolio. The master lease has no termination options and has two five-year renewal options. The servicer reported a Q2 2022 debt service coverage ratio (DSCR) of 2.11 times (x), and an annualized net cash flow (NCF) of $159.1 million, which is above DBRS Morningstar's NCF of $114.7 million at issuance. As of June 2022, the portfolio was 100% occupied. MSC 2021-PLZA is secured by the fee-simple interest in Park Avenue Plaza, a 45-story, 1.16 million-sf LEED Platinum office tower located along Park Avenue between 52nd Street and 53rd Street in Midtown Manhattan's Plaza submarket. According to the April 2022 rent roll, the property was 99.4% leased with a weighted-average (WA) remaining lease term of approximately 14.7 years, inclusive of future starting leases. Two major tenants, BlackRock and Aon Services Corporation, which collectively account for approximately 584,515 sf (50.4% of NRA) and represent approximately 53.0% of base rent, have given notice that they will be vacating their respective leased premises upon expiry of their leases in April 2023. DBRS Morningstar did not receive updated financial reporting for this review, but, given the forward starting leases that account for 56.2% of the upcoming known vacancy, along with the substantial loan structure, including upfront reserves and a five-year full cash flow sweep with funds available for future accretive leasing, DBRS Morningstar expects overall property performance to remain stable. DBGS 2021-W52 is secured by the borrower's fee-simple interest in 51 West 52nd Street (Black Rock Building), an 878,000-square foot, Class A office high-rise in Midtown Manhattan. The largest tenants include CBS (32.3% of NRA), Watchell, Lipton, Rosen & Katz (Watchell, 28.2% of NRA), and Orrick, Herrington, & Sutcliffe (24.3% of NRA). As of YE2021, the property was 96.7% occupied, in line with issuance. At loan closing, the collateral had a WA remaining lease term of only 3.3 years across its tenant base, with all leases in-place scheduled to roll prior to the fully extended loan term. CBS has already notified it intends to vacate at the end of its various lease terms, which expire in 2023 and 2024. Watchell has been a tenant at the property for over 30 years. The total debt financing, which represents a significant cash-equity investment from the sponsor at issuance, includes substantial reserves for repositioning and retenanting the collateral through the loan term. BX 2021-ACNT is secured by the fee-simple and leasehold interests in a portfolio of 89 industrial properties located across 19 states with a WA year built of 2004. The collateral properties are a mix of last-mile e-commerce, light industrial, warehouse and institutional quality logistics assets. The portfolio benefits from a granular rent roll, a strong sponsor, favourable asset quality, and strong leasing trends. As of June 2022, the portfolio occupancy was 98.3%, and the Q2 2022 annualized NCF was reported to be $113.6 million, in line with the issuance occupancy of 98.5% and the DBRS Morningstar NCF of $112.1 million. ELP 2021-ELP is secured by the borrower's fee-simple and leasehold interests in a portfolio of 142 industrial properties totalling approximately 28.0 million square feet (sf) across 18 markets and 17 states. The subject portfolio benefits from both geographic diversification and tenant granularity. Approximately 15.8% of the DBRS Morningstar in-place base rent is attributable to investment-grade tenants, including Amazon.com Inc., Geodis, and Cummins Inc. (Cummins). No single property accounts for more than 3.8% of the portfolio's NRA. As of June 2022, the portfolio was approximately 96% occupied, and the annualized Q2 2022 DSCR was reported to be 2.90x. STWD 2021-LIH is secured by the fee-simple interest in 12 affordable housing multifamily properties totalling 2,966 units located throughout five Florida markets, including Orlando, Tampa, Daytona Beach, West Palm Beach, and Jacksonville. Since acquisition in 2016, the sponsor has invested approximately $15.6 million ($1.3 million per property) across the portfolio. As per June 2022 rent rolls, the portfolio reported a consolidated occupancy of 98.2%, in line with the occupancy of 98.6% at issuance. The annualized Q2 2022 DSCR was 2.27x. The underlying properties are considered to be in strong, high-growth markets with favourable multifamily demand trends in and around the Florida affordable housing market. Four of the underlying properties, representing 28.3% of the allocated loan balance ($76.6 million of total Allocated Loan Amount), are in Tampa and Daytona Beach, Florida, near an area recently affected by Hurricane Ian. The loan agreement requires the borrower to insure the mortgaged properties and DBRS Morningstar's issuance analysis included a review of insurance coverage. DBRS Morningstar will continue to review servicer reporting to determine if the properties have sustained damage. MTK 2021-GRNY is secured by the borrower's fee-simple interest in Gurney's Montauk Resort and Seawaters Spa, a full-service resort and spa that spans more than 20 acres along the ocean in Montauk, New York, approximately two and a half hours from New York City by car. Since acquiring the asset in 2013, the sponsors have spent approximately $54.1 million in upgrades across the resort, and recently completed a nearly $20 million renovation and expansion of the property's spa. Additional ongoing updates include the winterization of certain rooms to increase the resort's year-round appeal. Similar to other luxury full-service leisure hotels in drive-to hospitality markets, the property exhibited strong performance throughout the coronavirus pandemic. According to Smith Travel Research, RevPAR for the trailing 12-month period (T-12) ended May 2022 was $567.45, up considerably from the pre-pandemic YE2019 RevPAR of $443.88 but down from the T-12 ended September 2021 RevPAR of $675.81. The property continues to outperform its competitive set from an occupancy, ADR, and RevPAR perspective; the property's RevPAR penetration rate was 139.6% for the T-12 ended May 2022. CSMS 2021-BHAR is secured by the fee-simple interest in the St. Regis Bal Harbour Resort, a 216-key luxury full-service hotel in Miami Beach, Florida. The property features four upscale restaurants, multiple swimming pools, approximately 14,000 sf of amenities, and more than 33,000 sf of indoor/outdoor event space. According to Smith Travel Research, the T-12 occupancy of 72.1%, ADR of $1,199, and RevPAR of $865 represent year-over-year increases of 20.4%, 13.9%, and 37.1%, respectively. The property continues to outperform its competitive set, although DBRS Morningstar expects ongoing performance will stabilize downward following a period of extremely high demand during the pandemic resulting from Florida's more relaxed travel restrictions and international travel barriers. [*] DBRS Reviews 141 Classes From 14 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) reviewed 141 classes from 14 U.S. residential mortgage-backed security (RMBS) transactions. Of the 141 classes reviewed, DBRS Morningstar upgraded 21 ratings, confirmed 116 ratings, and discontinued four ratings. A list of the Affected Ratings is available at shorturl.at/BFR35 The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the full repayment of principal to bondholders. The transactions reviewed consist of notes backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of mortgage insurance policies linked to agency eligible loans and Freddie Mac residential collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output. The Issuers are: -- Bellemeade Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class M-2 -- Bellemeade Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class B-1 -- Eagle Re 2021-1 Ltd., Mortgage Insurance-Linked Notes, Series 2021-1, Class M-1B -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2B -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1A -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1B -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2 -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2R -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2S -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2T -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2U -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2I -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2BR -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2BS -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2BT -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2BU -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2BI -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2RB -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2SB -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2TB -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class M-2UB -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1 -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1AR -- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1AI -- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1A -- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1B -- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1 -- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1AR -- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1AI -- Freddie Mac STACR REMIC Trust 2021-DNA7, Structured Agency Credit Risk (STACR) REMIC 2021-DNA7 Notes, Class B-1B -- Freddie Mac STACR REMIC Trust 2021-DNA7, Structured Agency Credit Risk (STACR) REMIC 2021-DNA7 Notes, Class B-1 [*] DBRS Reviews 28 Classes From 4 US Single Family Rental Deals ---------------------------------------------------------------- DBRS, Inc. (DBRS Morningstar) reviewed 28 classes from four U.S. single-family rental transactions. Of the 28 classes reviewed, DBRS Morningstar confirmed all 28 ratings. Home Partners of America 2020-2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) Home Partners of America 2021-2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (sf) Tricon American Homes 2020-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) Tricon Residential 2021-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 confirmed at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (high) (sf) The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. DBRS Morningstar's rating actions are based on the following analytical consideration: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. [*] Moody's Takes Action on $433.8MM of US RMBS Issued 2002-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 23 bonds and downgraded the rating of one bond from 11 US residential mortgage-backed transactions (RMBS), backed by Alt-A, option ARM, and subprime mortgages issued by multiple issuers. A list of the Affected Ratings is available at https://bit.ly/3UFjdav Complete rating actions are as follows: Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP3 Cl. A-1, Upgraded to Baa3 (sf); previously on Dec 29, 2016 Upgraded to Ba2 (sf) Cl. A-2D, Upgraded to Baa3 (sf); previously on Dec 29, 2016 Upgraded to Ba2 (sf) Issuer: Banc of America Funding 2006-G Trust Cl. 1-A-1, Upgraded to Aa1 (sf); previously on Feb 18, 2020 Upgraded to Aa3 (sf) Cl. 3-A-3, Upgraded to A1 (sf); previously on Feb 18, 2020 Upgraded to A3 (sf) Cl. 3-A-2, Upgraded to Aa2 (sf); previously on Feb 18, 2020 Upgraded to A1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Feb 18, 2020 Upgraded to B3 (sf) Issuer: Ellington Loan Acquisition Trust 2007-2 Cl. A-1, Upgraded to Baa3 (sf); previously on Jul 11, 2017 Upgraded to Ba2 (sf) Cl. A-2c, Upgraded to A3 (sf); previously on Jun 7, 2018 Upgraded to Baa2 (sf) Cl. A-2d, Upgraded to Baa2 (sf); previously on Jul 11, 2017 Upgraded to Ba1 (sf) Cl. A-2f, Upgraded to Baa2 (sf); previously on Jul 11, 2017 Upgraded to Ba1 (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust Cl. AI-8, Upgraded to Aaa (sf); previously on May 4, 2012 Downgraded to Aa1 (sf) Cl. M-6, Upgraded to B3 (sf); previously on May 5, 2014 Downgraded to Caa2 (sf) Cl. M-7, Upgraded to Caa2 (sf); previously on Mar 30, 2011 Downgraded to Ca (sf) Issuer: Wells Fargo Home Equity Asset-Backed Securities 2005-1 Trust Cl. M-8, Upgraded to B2 (sf); previously on Dec 17, 2018 Upgraded to Caa1 (sf) Cl. M-9, Upgraded to Caa2 (sf); previously on Dec 17, 2018 Upgraded to Ca (sf) Issuer: Aegis Asset Backed Securities Trust 2004-1 Cl. M1, Downgraded to Ba3 (sf); previously on Feb 20, 2015 Downgraded to Ba1 (sf) Issuer: Amortizing Residential Collateral Trust, Series 2002-BC5 Cl. M2, Upgraded to Aa3 (sf); previously on Apr 13, 2018 Upgraded to A2 (sf) Issuer: Argent Securities Trust 2006-W1 Cl. A-1, Upgraded to Aa2 (sf); previously on Dec 31, 2019 Upgraded to A1 (sf) Issuer: Bear Stearns ALT-A Trust 2005-8 Cl. I-1A-1, Upgraded to Ba2 (sf); previously on May 22, 2019 Upgraded to B1 (sf) Cl. I-2A-1, Upgraded to Ba2 (sf); previously on May 22, 2019 Upgraded to B1 (sf) Cl. I-2A-2, Upgraded to B3 (sf); previously on May 22, 2019 Upgraded to Caa2 (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR1 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. II-A-1, Upgraded to Caa1 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4 Cl. A-1, Upgraded to A2 (sf); previously on May 28, 2021 Upgraded to Baa1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The rating downgrade is primarily due to a deterioration in collateral performance and decline in credit enhancement available to the bonds. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment, which could result in higher realized losses. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, which has helped offset the impact of the increase in expected losses. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. Five bonds with outstanding interest shortfalls are structured with strong interest recoupment mechanisms. Moody's expect these interest shortfalls to be temporary and fully reimbursed. For these bonds, the reimbursement of missed interest on the more senior notes has a higher priority than even scheduled interest payments on the more subordinate notes. As such, Moody's expect the outstanding shortfalls to be reimbursed as the proportion of borrowers enrolled in payment deferrals declines. Given that Moody's expect the interest shortfalls to be temporary and fully reimbursed in the near term, today's rating actions on these bonds are not driven by the risk of interest shortfalls. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] Moody's Takes Action on $726MM of US RMBS Issued 2006-2007 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 17 bonds from ten US residential mortgage-backed transactions (RMBS), backed by subprime mortgages issued by multiple issuers. A list of the Affected Ratings is available at https://bit.ly/3O8FF9h Complete rating actions are as follows: Issuer: CWABS Asset-Backed Certificates Trust 2006-14 Cl. 1-A, Upgraded to B1 (sf); previously on Jun 26, 2017 Upgraded to B3 (sf) Cl. 2-A-3, Upgraded to Ba1 (sf); previously on Jun 26, 2017 Upgraded to Ba3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-18 Cl. 1-A, Upgraded to Baa3 (sf); previously on Oct 24, 2019 Upgraded to Ba1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-23 Cl. 1-A, Upgraded to B1 (sf); previously on Jan 21, 2022 Upgraded to B3 (sf) Cl. 2-A-4, Upgraded to Ba3 (sf); previously on Jan 21, 2022 Upgraded to B2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-25 Cl. 2-A-4, Upgraded to Ba2 (sf); previously on Oct 24, 2019 Upgraded to B1 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-26 Cl. 2-A-4, Upgraded to Baa3 (sf); previously on Jan 21, 2022 Upgraded to Ba2 (sf) Issuer: Soundview Home Loan Trust 2006-EQ1 Cl. A-4, Upgraded to A3 (sf); previously on Jan 21, 2022 Upgraded to Baa2 (sf) Issuer: Soundview Home Loan Trust 2006-OPT5 Cl. II-A-4, Upgraded to Ba3 (sf); previously on Jan 21, 2022 Upgraded to B1 (sf) Cl. I-A-1, Upgraded to Ba1 (sf); previously on Jan 21, 2022 Upgraded to Ba3 (sf) Cl. II-A-3, Upgraded to Ba1 (sf); previously on Jan 21, 2022 Upgraded to Ba3 (sf) Issuer: Soundview Home Loan Trust 2007-1 Cl. II-A-4, Upgraded to A1 (sf); previously on Jan 21, 2022 Upgraded to A3 (sf) Cl. I-A-1, Upgraded to Baa2 (sf); previously on Jan 21, 2022 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2006-AM1 Cl. A1, Upgraded to A1 (sf); previously on Jan 21, 2022 Upgraded to A2 (sf) Cl. A5, Upgraded to A3 (sf); previously on Jan 21, 2022 Upgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp Trust 2006-NC1 Cl. A1, Upgraded to Ba1 (sf); previously on Jan 21, 2022 Upgraded to Ba3 (sf) Cl. A7, Upgraded to Ba1 (sf); previously on Jan 21, 2022 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of the improving performance of the related pools and/or an increase in credit enhancement available to the bonds In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, which has helped offset the impact of the increase in expected losses. Moody's e estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 2% and 11% among RMBS transactions issued before 2009. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. Principal Methodology The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [*] S&P Takes Various Actions on 94 Classes From 32 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 94 ratings from 32 U.S. RMBS transactions issued between 2002 and 2006. The review yielded 34 upgrades, 13 downgrades, 45 affirmations, and two withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3Aoxtwd Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Increase or decrease in available credit support; -- Expected short duration; -- Small loan count; -- Historical and/or outstanding missed interest payments/interest shortfalls; and -- Payment priority. 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 two classes from two 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." ********* 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. 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