/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221211.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, December 11, 2022, Vol. 26, No. 344 Headlines ANSONIA CDO 2006-1: Fitch Affirms 'Dsf' Rating on 6 Tranches ARES LXVII: Fitch Assigns 'BB-(EXP)' Rating on Class E Notes BOMBARDIER RECREATIONAL: S&P Rates Incremental Term Loan B 'BB' BX TRUST 2022-FOX2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Certs CANADA SQUARE 2021-2: S&P Affirms 'BB+(sf)' Rating on Cl. E Notes CITIGROUP 2014-GC21: Fitch Lowers Rating on Cl. D Notes to 'CCCsf' CQS US 2021-1: Fitch Affirms 'BB-sf' Rating on Class E Notes CSAIL 2018-CX11: Fitch Affirms 'BB-sf' Rating on Class F-RR Certs GS MORTGAGE 2018-HART: S&P Affirms 'BB-(sf)' Rating on Cl. E Certs KKR CLO 43: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes MADISON PARK LX: S&P Assigns Prelim BB- (sf) Rating on E Notes NELNET STUDENT 2005-4: Fitch Affirms B Rating on 4 Tranches OBX TRUST 2022-NQM9: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Notes OCTAGON 62: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable PALISADES CENTER 2016-PLSD: Moody's Lowers Cl. D Certs Rating to C SYMPHONY CLO 37: Fitch Assigns 'BB-sf' Rating on Class E Notes SYMPHONY CLO 37: Moody's Assigns B3 Rating to $250,000 Cl. F Notes TABERNA PREFERRED IX: Moody's Ups Class A-1LB Notes Rating to B3 VERUS SECURITIZATION 2022-2: S&P Assigns (P) B- (sf) on B-2 Notes WELLS FARGO 2016-C33: Fitch Affirms 'B-sf' Rating on 2 Tranches WFRBS COMMERCIAL 2011-C4: Moody's Cuts Rating on F Certs to Caa3 WILLIS ENGINE III: Fitch Cuts Rating on 2017-A Series B Notes to BB [*] Moody's Takes Action on $90MM US RMBS Deals Issued 2003-2007 [*] S&P Takes Various Actions on 110 Classes From 41 US RMBS Deals ********* ANSONIA CDO 2006-1: Fitch Affirms 'Dsf' Rating on 6 Tranches ------------------------------------------------------------ Fitch Ratings has upgraded two and affirmed 79 classes from 11 commercial real estate collateralized debt obligations (CRE CDOs) with exposure to commercial mortgage-backed securities (CMBS). Entity/Debt Rating Prior ----------- ------ ----- CT CDO IV Ltd. E 12642VAG5 LT Dsf Affirmed Dsf F-FL 12642VAJ9 LT Csf Affirmed Csf F-FX 12642VAH3 LT Csf Affirmed Csf G 12642TAA3 LT Csf Affirmed Csf H 12642TAB1 LT Csf Affirmed Csf J 12642TAC9 LT Csf Affirmed Csf K 12642TAD7 LT Csf Affirmed Csf L 12642TAE5 LT Csf Affirmed Csf M 12642TAF2 LT Csf Affirmed Csf Sorin Real Estate CDO I, Ltd./Corp. D Floating Rate Subordinate 83586TAJ3 LT Csf Affirmed Csf E Floating Rate Subordinate 83586TAL8 LT Csf Affirmed Csf F Fixed Rate Subordinate 83586TAN4 LT Csf Affirmed Csf N-Star Real Estate CDO IX, Ltd. A-2 Floating Rate Notes 628983AB4 LT Dsf Affirmed Dsf A-3 Floating Rate Notes 628983AC2 LT Dsf Affirmed Dsf B Floating Rate Notes 628983AD0 LT Dsf Affirmed Dsf C Deferrable Fixed Rate Notes 628983AE8 LT Csf Affirmed Csf D Deferrable Fltg Rate Notes 628983AF5 LT Csf Affirmed Csf E Deferrable Fltg Rate Notes 628983AG3 LT Csf Affirmed Csf F Deferrable Fltg Rate Notes 628983AH1 LT Csf Affirmed Csf G Deferrable Fltg Rate Notes 628983AJ7 LT Csf Affirmed Csf H Deferrable Fltg Rate Notes 628983AK4 LT Csf Affirmed Csf J Deferrable Fixed Rate Notes 628983AL2 LT Csf Affirmed Csf K Deferrable Fixed Rate Notes 628983AM0 LT Csf Affirmed Csf Ansonia CDO 2006-1 Ltd. / LLC A-FL 036510AA3 LT CCCsf Upgrade CCsf A-FX 036510AB1 LT CCCsf Upgrade CCsf B 036510AC9 LT Dsf Affirmed Dsf C 036510AD7 LT Dsf Affirmed Dsf D 036510AE5 LT Dsf Affirmed Dsf E 036510AF2 LT Dsf Affirmed Dsf F 036510AG0 LT Dsf Affirmed Dsf G 036510AH8 LT Dsf Affirmed Dsf H 036510AJ4 LT Csf Affirmed Csf J 036510AK1 LT Csf Affirmed Csf K 036510AL9 LT Csf Affirmed Csf L 036510AM7 LT Csf Affirmed Csf M 036510AN5 LT Csf Affirmed Csf N 036510AP0 LT Csf Affirmed Csf O 036510AQ8 LT Csf Affirmed Csf P 036510AR6 LT Csf Affirmed Csf Q 036510AS4 LT Csf Affirmed Csf S 036510AT2 LT Csf Affirmed Csf T 036510AU9 LT Csf Affirmed Csf LNR CDO 2003-1, Ltd. F-FL 50211MAK7 LT Dsf Affirmed Dsf F-FL 50211MAK7 LT WDsf Withdrawn Dsf F-FX 50211MAJ0 LT Dsf Affirmed Dsf B-1 36241WAG7 LT Csf Affirmed Csf B-1 36241WAG7 LT WDsf Withdrawn Csf B-2 36241WAJ1 LT Csf Affirmed Csf B-2 36241WAJ1 LT Dsf Withdrawn Csf Preferred Shares 36241T208 LT Csf Affirmed Csf Preferred Shares 36241T208 LT WDsf Withdrawn Csf LNR CDO III Ltd./Corp. A Floating Rate Notes 53944PAA0 LT Dsf Affirmed Dsf B Floating Rate Notes 53944PAB8 LT Dsf Affirmed Dsf C Floating Rate Notes 53944PAC6 LT Csf Affirmed Csf D Floating Rate Notes 53944PAD4 LT Csf Affirmed Csf E-FL Floating Rate Notes 53944PAF9 LT Csf Affirmed Csf E-FX Fixed Rate Notes 53944PAG7 LT Csf Affirmed Csf F-FL Floating Rate Notes 53944PAL6 LT Csf Affirmed Csf F-FX Fixed Rate Notes 53944PAH5 LT Csf Affirmed Csf G Floating Rate Notes 53944PAQ5 LT Csf Affirmed Csf Anthracite 2004-HY1 Ltd. / Corp. D 03702YAD2 LT Csf Affirmed Csf E 03702YAE0 LT Csf Affirmed Csf F 03702YAF7 LT Csf Affirmed Csf Anthracite CDO III Ltd. / Corp. E-FL 03702WAE4 LT Dsf Affirmed Dsf E-FL 03702WAE4 LT WDsf Withdrawn Dsf E-FX 03702WAL8 LT Dsf Affirmed Dsf E-FX 03702WAL8 LT WDsf Withdrawn Dsf F 03702WAF1 LT Csf Affirmed Csf F 03702WAF1 LT WDsf Withdrawn Csf G 03702WAG9 LT Csf Affirmed Csf G 03702WAG9 LT WDsf Withdrawn Csf H 03702TAA9 LT Csf Affirmed Csf H 03702TAA9 LT WDsf Withdrawn Csf Crest 2004-1, Ltd./Corp. G-1 Notes 22608WAQ2 LT Dsf Affirmed Dsf G-2 Notes 22608WAR0 LT Dsf Affirmed Dsf H-1 Notes 22608WAS8 LT Csf Affirmed Csf H-2 Notes 22608WAT6 LT Csf Affirmed Csf Preferred Shares 22608X206 LT Csf Affirmed Csf JER CRE CDO 2005-1 Limited A 46614KAA4 LT Dsf Affirmed Dsf B-1 46614KAB2 LT Dsf Affirmed Dsf B-2 46614KAH9 LT Dsf Affirmed Dsf C 46614KAC0 LT Csf Affirmed Csf D 46614KAD8 LT Csf Affirmed Csf E 46614KAE6 LT Csf Affirmed Csf F 46614KAF3 LT Csf Affirmed Csf G 46614KAG1 LT Csf Affirmed Csf Fitch has affirmed 14 classes in three CRE CDOs, Anthracite CDO III Ltd./Corp., G-Star 2003-3 Ltd./Corp. and LNR CDO 2003-1, Ltd. and has subsequently withdrawn these ratings as they are no longer considered by Fitch to be relevant to the agency's coverage due to significant undercollateralization of all remaining classes. KEY RATING DRIVERS Fitch has upgraded classes A-FL and A-FX in Ansonia CDO 2006-1 Ltd./LLC to 'CCCsf' from 'CCsf' to reflect increased credit enhancement since Fitch's prior rating action, and expected continued amortization. Default of these classes remains a possibility; these are timely, non-deferrable classes where repayment is reliant on three remaining bonds from three CMBS transactions, which have significant concentration and adverse selection. A look-through analysis of the underlying collateral within these CMBS transactions was performed. The largest of the CMBS transactions is WBCMT 2004-C12 (83% of the CRE CDO pool), where the underlying pool is comprised of two retail loans of concern, including the Callabridge Commons loan, flagged for declining net operating income, prior delinquency status and the borrower having been previously granted COVID-19 debt relief, and the Crossroads Shopping Center loan, flagged for a high percentage of month-to-month and temporary tenancy and a NOI DSCR below 1.0x. The two smaller CMBS transactions include JPMCC 2005-CB11 (15% of the CRE CDO pool), the largest asset of which is real-estate owned (REO), and WBCMT 2004-C15 (2% of the CRE CDO pool), the only remaining loan of which is secured by a dark single tenant retail property leased to CVS through 2023 (prior to loan maturity). With the exception of the one REO asset in JPMCC 2005-CB11, all other loans within the three CMBS transactions are fully amortizing, with maturities ranging between June 2024 and July 2026. Fitch has affirmed 58 classes at 'Csf' for which default is considered inevitable; these classes are undercollateralized. Fitch has affirmed 21 classes at 'Dsf' because they are non-deferrable classes that have experienced interest payment shortfalls or experienced a prior Event of Default as set forth in the transaction documents. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: For classes A-FL and A-FX in Ansonia CDO 2006-1 Ltd./ LLC, downgrades may occur if these classes experience any interest payment shortfalls, should performance of the underlying loans deteriorate significantly beyond expectations and/or with an increased certainty of losses. Classes already rated 'Csf' have limited sensitivity to further negative migration given their highly distressed rating level. However, there is the potential for classes to be downgraded to 'Dsf' at or prior to legal final maturity if they are non-deferrable classes that have experienced any interest payment shortfalls or should an Event of Default, as set forth in the transaction documents, occur. Factors that could, individually or collectively, lead to positive rating action/upgrade: While unlikely, further upgrades to classes A-FL and A-FX in Ansonia CDO 2006-1 Ltd./LLC may be possible with continued deleveraging of the capital structure, performance stabilization of the underperforming loans and/or better recoveries than expected of the underlying collateral. Upgrades to classes rated 'Csf' and 'Dsf' are not possible given their undercollateralization or they are non-deferrable classes that have experienced any interest payment shortfalls or an Event of Default, as set forth in the transaction documents, occurred. ARES LXVII: Fitch Assigns 'BB-(EXP)' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Ares LXVII CLO Ltd. Entity/Debt Rating ----------- ------ Ares LXVII CLO Ltd. A-1 LT AAA(EXP)sf Expected Rating A-2 LT NR(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 Ares LXVII CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares CLO Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 24.9 versus a maximum covenant, in accordance with the initial expected matrix point of 25.9. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.0% first-lien senior secured loans and has a weighted average recovery assumption of 74.14% versus a minimum covenant of 72.90%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default and recovery assumptions for their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'A-sf' and 'AAAsf' for class A-1, between 'BB+sf' and 'AA+sf' for class B-1, between 'BB+sf' and 'AA+sf' for class B-2, between 'B-sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-1 notes, 'AAAsf' for class B-2 notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and '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. BOMBARDIER RECREATIONAL: S&P Rates Incremental Term Loan B 'BB' --------------------------------------------------------------- S&P Global Ratings said it has assigned its 'BB' issue-level rating and '3' recovery rating (50%-70%; rounded estimate: 65%) to Bombardier Recreational Products Inc.'s (BRP) proposed US$400 million issuance in addition to its existing term loan B. S&P Global Ratings also affirmed its 'BB' issue-level rating on BRP's existing term loan, and revised its recovery rating on the debt to '3' from '4', which in turn revises the recovery estimate on the secured debt to 65% from 30%. This recovery rating revision reflects an increase in the emergence EBITDA stemming from BRP's strong performance and increased demand from the company's year-round and seasonal products, despite increased cost inflation pressures due to global supply-chain disruptions. The proposed incremental term loan issuance maturing in 2029 ranks pari passu with the existing senior secured term loan that matures in 2027. S&P said, "We expect the company will use the proceeds to repay the outstanding revolving credit facility (C$363 million as at Oct. 31, 2022) and the existing term loan due 2024 of US$100 million and for general corporate purposes. The additional debt issuance marginally increased S&P Global Ratings-adjusted gross debt to EBITDA but it remains in the 2.0x area over the next 12-24 months, which is still below our downside threshold of 4.0x. As a result, our 'BB' issuer credit rating, with a stable outlook, on BRP is unchanged from the proposed debt. We expect BRP's deleveraging will be a function of EBITDA growth rather than debt reduction and provide cushion under the ratings to accommodate debt-funded acquisitions or shareholder repurchase. In our view, the company's credit quality will depend on BRP's ability to create balance-sheet capacity to manage shareholder expectations, acquisitions, and any cash flow volatility due to macroeconomic weakness." ISSUE RATINGS—RECOVERY ANALYSIS Key analytical factors -- S&P's simulated default scenario incorporates the assumption that BRP will default in 2027, following weak macroeconomic conditions such as lower consumer demand for discretionary products, increased competition, unfavorable weather conditions, and margin pressure arising from rising commodity costs leading to poor operating performance. -- S&P assumes that BRP would be reorganized or be sold as a going concern because the company would likely retain greater value as an ongoing entity rather than being liquidated in the event of default. -- S&P believes that if the company were to default, it would remain a viable business model supported by its good brand recognition, good market position in the motorized recreational leisure products market, and its relationships with dealers. -- S&P values BRP on a going-concern basis using a 6x EBITDA multiple of C$463 million of emergence EBITDA estimate and 5% administrative expenses. -- The EBITDA multiple is 0.5x lower than the industry multiple of 6.5x, reflecting the company's products, which are discretionary in nature and are volatile to economic cycles. -- The senior secured asset-backed loan facility (ABL) has a '1' recovery rating, indicating S&P's expectation for very high (90%-100%; rounded estimate: 95%) recovery in the event of a default, leading to an issue-level rating of 'BBB-'. -- The '3' recovery rating on the company's senior secured term loan B indicates S&P's expectation for meaningful (50%-70%; rounded estimate: 65%) recovery in the event of default, leading to an issue-level rating of 'BB'. Simulated default assumptions -- Simulated year of default: 2027 -- EBITDA at emergence about C$463 million -- EBITDA multiple: 6.0x Simplified waterfall -- Gross recovery value: about C$2.78 billion -- Net recovery value for waterfall after administrative expenses (5%): about C$2.64 billion -- Obligor/nonobligor valuation split: 100%/0% -- Remaining recovery value: C$2.64 billion -- Estimated senior secured ABL claim: about C$934 million --Recovery range: 90%-100% (rounded estimate: 95%) -- Value available for senior secured term loan B claim: about C$1.75 billion -- Estimated senior secured term loan B claim: about C$2.6 billion --Recovery range: 50%-70% (rounded estimate: 65%) Notes: All debt amounts include six months of prepetition interest. BX TRUST 2022-FOX2: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Certs ------------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Trust 2022-FOX2, commercial mortgage pass-through certificates, series 2022-FOX2: Entity/Debt Rating ----------- ------ BX Trust 2022-FOX2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating G LT NR(EXP)sf Expected Rating HRR LT NR(EXP)sf Expected Rating Fitch expects to rate the transaction and assign Outlooks as follows: - $30,000,000 class A-1 'AAAsf'; Outlook Stable; - $234,160,000 class A-2 'AAAsf'; Outlook Stable; - $31,820,000 class B 'AA-sf'; Outlook Stable; - $34,130,000 class C 'A-sf'; Outlook Stable; - $48,100,000 class D 'BBB-sf'; Outlook Stable; - $73,680,000 class E 'BB-sf'; Outlook Stable; - $81,470,000 class F 'B-sf'; Outlook Stable; Fitch does not expect to rate the following classes: - $75,740,000 class G; - $36,500,000a class HRR. (a) Non-offered horizontal credit risk retention interest. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in a trust that will hold a two-year, floating-rate, interest-only $1.84 billion mortgage loan with three one-year options. The $1.84 billion whole loan includes a $645.6 million trust loan and $1.19 billion in companion loans. In addition, there are two mezzanine loans totaling $480.0 million. The mortgage will be secured by the fee-simple interest in 126 multi- and single-tenanted industrial properties, five land parcels, two data centers, two office properties, two parking properties and one retail property, containing 15.7 million sf, located in nine states. The properties were acquired by subsidiaries of Blackstone Real Estate Partners in a series of portfolio acquisitions from 2017 to November 2020. Proceeds from the $1.84 billion mortgage loan, along with two mezzanine loans totaling $480.0 million, were used to repay approximately $1.15 billion of existing debt, return approximately $1.13 billion of equity to the sponsor and pay for closing costs. The loan was co-originated by five originators: Morgan Stanley Bank N.A.; Barclays Capital Real Estate Inc.; German American Capital Corporation; Goldman Sachs Mortgage Company; and Natixis Real Estate Capital LLC. KeyBank National Association is expected to be the servicer, and Situs Holdings, LLC is expected to be the special servicer. The trustee will be Computershare Trust Company, National Association, and Park Bridge Lender Services LLC will act as operating advisor. KEY RATING DRIVERS High Fitch Stressed Leverage: Fitch's debt service coverage ratio (DSCR) and loan-to-value (LTV) on the whole loan are 0.64x and 138.7%, respectively. In addition to the whole loan, there are two mezzanine loans totaling $480 million, which results in a total debt Fitch DSCR and LTV of 0.50x and 174.9%, respectively. The whole loan amount of $1.84 billion represents approximately 66.1% of the appraised value of $2.8 billion. Property and Tenant Diversity. The portfolio exhibits strong geographic diversity with 138 properties (15.7 million sf) located across nine states and 13 individual industrial submarkets. The largest 20 properties (by base rent per the rent roll) total 42.3% of NRA and 42.6% of base rent. The portfolio also exhibits significant tenant diversity as it features over 400 distinct tenants. The largest tenant within the portfolio, Amazon (guaranteed by parent Amazon.com, Inc. [AA-/Stable]) represents approximately 12.3% of the property NRA. No other tenant represents more than 4.1% of the portfolio NRA. The properties are leased to tenants across a broad range of industries, including internet retail, engineering, medical product manufacturing, oil & gas equipment and services, shipping (FedEx), manufacturing and aerospace material production. Experienced Sponsorship, Including with Industrial Properties: The loan is sponsored by Blackstone Real Estate Partners VIII L.P., an affiliate of Blackstone Inc. Blackstone Real Estate has approximately $320 billion of investor capital under management. It is the largest owner of commercial real estate globally, and its portfolio includes properties throughout the world with a mix of property types. Blackstone has acquired over 600 million sf of industrial space globally since 2010. Major Market Locations: Approximately 73.4% of the portfolio NRA is located in Sacramento, CA (26.8% of NRA), Baltimore-DC (18.5%), Reno, NV (11.3%), Chicago, IL (8.4%) and Inland Empire (8.4%), CA MSAs, and the remaining properties are located across numerous large U.S. metro areas; Broward County, FL (6.5%), Tampa, FL (6.1%) and Northern New Jersey (3.6%). The properties are predominately clustered around major interstates and thoroughfares within each market and benefit from close proximity to numerous transportation networks. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch net cash flow (NCF): Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf': - 10% NCF Decline: 'AA-sf'/A-sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'; - 20% NCF Decline: 'BBB+sf'/'BBB-sf'/'BBsf'/'B+sf'/'CCCsf'/'CCCsf'; - 30% NCF Decline: 'BBB-sf'/'BBsf'/'B+sf'/'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: Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf': - 20% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-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. CANADA SQUARE 2021-2: S&P Affirms 'BB+(sf)' Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings raised its credit ratings on Canada Square Funding 2021-2 PLC's class B-Dfrd notes to 'AA+ (sf)' from 'AA- (sf)', C-Dfrd notes to 'AA- (sf)' from 'A (sf)', D-Dfrd notes to 'BBB+ (sf)' from 'BBB (sf)', and X-Dfrd notes to 'A (sf)' from 'B- (sf)'. At the same time, S&P affirmed its 'AAA (sf)' rating on the class A notes and its 'BB+ (sf)' rating on the class E-Dfrd notes. The rating actions reflect that the required credit coverage at all rating levels has declined since closing. The transaction has been amortizing sequentially, resulting in a small increase in credit enhancement for some of the outstanding asset-backed notes. The upgrade of the class X-Dfrd notes also reflects their significant paydown and the high levels of excess spread observed since closing. S&P said, "Since closing, our weighted-average foreclosure frequency (WAFF) assumptions have decreased at all rating levels. Firstly, we have decreased our total originator adjustment assumption since closing. Secondly, the weighted-average indexed current loan-to-value (LTV) ratio of the pool has declined by 3.6 percentage points since closing, driven by a steady increase in house prices. The reduction in the weighted-average indexed current LTV ratio has a positive effect on our WAFF assumptions as the effective LTV ratio applied is calculated with a weighting of 80% of the original LTV ratio and 20% of the current LTV ratio." This reduction in the weighted-average current LTV ratio has also led to a reduction in our weighted-average loss severity (WALS) assumptions. Credit Analysis Results RATING LEVEL WAFF (%) WALS (%) CREDIT COVERAGE (%) AAA 20.52 48.83 10.02 AA 13.85 41.11 5.69 A 10.43 28.74 3.00 BBB 7.18 21.00 1.51 BB 3.76 15.28 0.57 B 2.99 9.96 0.30 WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. Loan-level arrears in the transaction have remained low (0.2%) and stable. Total arrears and prepayments are below our U.K. buy-to-let (BTL) index for post-2014 originations. S&P said, "Our credit and cash flow results indicate that the available credit enhancement for the class A notes continues to be commensurate with the assigned rating. We therefore affirmed our 'AAA (sf)' rating on the class A notes. "The upgrades of the class B-Dfrd, C-Dfrd, and D-Dfrd notes reflect that the required credit coverage at all rating levels has declined since closing. As a result, our cash flow analysis indicated that the class B-Dfrd, C-Dfrd, and D-Dfrd notes could withstand stresses at higher ratings than the previously assigned ratings. We have therefore raised our ratings on these classes of notes. "The rating on the class C-Dfrd notes is below the levels indicated by our standard cash flow analysis and reflects their ability to withstand the potential repercussions of extended recovery timing and higher levels of defaults due to macroeconomic factors (such as cost of living pressures on borrowers). "The rating on the class D-Dfrd notes is below the levels indicated by our cash flow analysis due to the limited build-up in credit enhancement for these notes since closing. Additionally, our rating on the class E-Dfrd notes reflects that these notes do not have hard credit enhancement. "The class X-Dfrd notes have paid down by over GBP5.1 million since closing. As a result, our credit and cash flow results indicate that these notes can withstand our stresses at a higher rating level than that previously assigned. We therefore raised to 'A (sf)' from 'B- (sf)' our rating on this class of notes. We have also tested a sensitivity with 40% prepayments and the assigned rating remains robust to this sensitivity. We limited our upgrade of this class of notes as we have considered the relative position of the notes in the capital structure. "The class X-Dfrd notes do not benefit from any hard credit enhancement. However, in our cash flow modelling, this class of notes has a relatively short weighted-average life, and therefore tail-end risk is limited as compared with the other subordinated asset-backed notes in this transaction. Consequently, we raised to 'A (sf)' our rating on the class X-Dfrd notes despite the lack of hard credit enhancement, given the total credit enhancement requirement is met fully through soft credit enhancement (excess spread). There are no counterparty constraints on the ratings on the notes in this transaction. The replacement language in the documentation is in line with our counterparty criteria. S&P said, "We expect U.K. inflation to remain high for the rest of 2022 and in 2023. Although high inflation is overall credit negative for all borrowers, inevitably some borrowers will be more negatively affected than others and to the extent inflationary pressures materialize more quickly or more severely than currently expected, risks may emerge. This transaction is a BTL transaction and although underlying tenants may be affected by inflationary pressures, the borrowers in the pool are generally considered to be professional landlords and will benefit from diversification of properties and rental streams. Borrowers in this transaction are largely paying a fixed rate of interest on average until 2025. As a result, in the short to medium term borrowers are protected from rate rises but will feel the effect of rising cost of living pressures. Our credit and cash flow analysis and related assumptions consider the transaction's ability to withstand the potential repercussions of the current economic environment--including higher inflation and an increase in the cost of living--such as higher defaults and longer recovery timing due to a potential backlog in court cases. Considering these factors, we believe that the available credit enhancement is commensurate with the ratings assigned." CITIGROUP 2014-GC21: Fitch Lowers Rating on Cl. D Notes to 'CCCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded five classes, affirmed eight classes of Citigroup Commercial Mortgage Trust 2014-GC21. The Negative Rating Outlooks on four classes were also maintained. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2014-GC21 A-4 17322MAV8 LT AAAsf Affirmed AAAsf A-5 17322MAW6 LT AAAsf Affirmed AAAsf A-AB 17322MAX4 LT AAAsf Affirmed AAAsf A-S 17322MAY2 LT AAAsf Affirmed AAAsf B 17322MAZ9 LT Asf Downgrade AA-sf C 17322MBA3 LT BBBsf Downgrade A-sf D 17322MAA4 LT CCCsf Downgrade BBsf E 17322MAC0 LT CCCsf Affirmed CCCsf F 17322MAE6 LT CCCsf Affirmed CCCsf PEZ 17322MBD7 LT BBBsf Downgrade A-sf X-A 17322MBB1 LT AAAsf Affirmed AAAsf X-B 17322MBC9 LT BBBsf Downgrade A-sf X-C 17322MAJ5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect higher loss expectations since Fitch's prior rating action on the largest loan in the pool, Maine Mall due to performance decline and refinance concerns. Four loans (28.7% of the pool) are considered Fitch Loans of Concern (FLOCs), of which, three are within the top 15 and include the largest loan in the pool and one specially serviced loan (1.2% of the pool). Fitch's current ratings reflect a base case loss of 12.90%. The largest change in loss since Fitch's last rating action and largest contributor to overall loss expectations is Maine Mall (18.5%), which is secured by a 747,660-sf portion of a 1,022,208-sf regional mall located approximately six miles southwest of Portland, ME. The loan is sponsored by Brookfield. Non-collateral anchors include Macy's and a dark anchor box previously occupied by Sears. Collateral anchors include Jordan's Furniture (which backfilled the majority of the former Bon-Ton space that closed in August 2017; 16.0% of collateral NRA; expiry 2030) and JCPenney (11.5%; expiry July 2028). Junior anchors include Best Buy, Round 1 Bowling & Amusement, H&M and Old Navy. The mall also features the only Apple store in the state of Maine. The collateral was 94.3% occupied as of September 2022, compared to 91.1% at YE 2021, 93.9% at YE 2020 and 76% at YE 2019. There is upcoming lease rollover of 8% in 2023, 14% in 2024 and 9% in 2025. The servicer reported YTD June 2022 NOI debt service coverage ratio (DSCR) was 1.41x in line with 1.40x YE 2021, 1.45x at YE 2020 and 1.70x at YE 2019. The performance declines are primarily due to declining rental income and deferred rents due to the pandemic. Per the servicer, although rent deferrals are currently being paid back, rental income is yet to return to pre-pandemic levels. Additionally, Jordan Furniture is paying lower rent compared to Bon-Ton previous rent which has also contributed to the lower rental income. The loan is currently cash managed and there is approximately $8.1 million in reserves as of November 2022. Inline sales for tenants less than 10,000 sf, excluding Apple, improved to $528 psf for TTM September 2022 from $423 psf for TTM June 2021, $351 psf for TTM September 2020, $512 psf for 2019, $444 psf for TTM September 2018 and $442 psf for TTM September 2017. Additionally, inline sales including Apple were $731 psf (TTM September 2022), $638 psf (TTM June 2021), $493 (TTM September 2020), $663 psf (2019), $602 psf (TTM September2018) and $585 psf (TTM September 2017). Fitch's base case loss of 50% reflects a cap rate of 12% and a 10% haircut to the YE 2021 NOI to account for the property's secondary location, upcoming rollover and refinancing concerns as the loan approaches maturity in April 2024. Specially Serviced Loan: TalbotTown Center & 32 North Washington Street (1.2%), is secured by two adjoined retail and mixed-use properties located in Talbot, MD. Talbot Town Center is an 89,956-sf, multi-tenant neighborhood shopping center and 32-36 Washington is a 15,865-sf, multi-tenant mixed-use property (retail/ office) property. The combined top tenants include; Furniture & More, Inc (12.4% of NRA; Lease Expiry in 5/2025), Bank of America (8.0%; 9/2024), Talbots (6.5%; 1/2023), Talbot Oriental Rugs, LLC (2.2%; 2/2024) and Greenbrook TMS Easton LLC (2.0%; 8/2024). The combined occupancy for the properties has steadily declined to 37.5% as of June 2022 from 45% at March 2021, 46% at YE 2020, 42% at YE 2019 and 53% at YE 2018. The most recent servicer-reported NOI DSCR as of March 2022 was 0.86x. According to the special servicer, the borrower initially proposed a potential payoff of the loan with a waiver of prepayment premium, however, to date, the borrower has been unable to refinance the loan. Fitch's stressed value psf of $51 is based on the most recent valuation of the property with additional stresses to account for the declining occupancy, rollover and refinance concerns. Increasing Credit Enhancement: Credit enhancement (CE) has improved since the prior rating action due to amortization, prepayment and additional defeasance. The pool balance has been reduced by 34.9% since issuance. Since the prior rating action, three loans ($29.0 million) have prepaid ahead of their scheduled maturity dates. Sixteen loans (22%) are defeased compared to eight loans (7.3%) at Fitch's prior review. To date, the trust has incurred $16.3 million in realized losses (1.6% of the original pool balance). Maturity Concentration: With the exception of Green Town Center (6.1% of the pool) which matures in December 2023, all of the remaining loans in the pool are scheduled to mature within the first half of 2024. The Negative Outlooks on classes B, C, X-D and PEZ reflect maturity concentration concerns in 2024 and ability for regional malls to refinance given the current economic environment. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades could occur with an increase in pool-level losses, particularly with the larger Fitch Loans of Concerns and should the specially serviced loan experience a higher than expected loss. Downgrades to classes A-4 through A-S, while not likely, are possible should performance of the FLOCs continue to decline, particularly if Maine Mall experiences additional declines in performance and/or is unable to refinance and defaults at maturity. Further downgrades to classes B, C and D may occur should pool level losses continue to increase, continued performance declines of the FLOCs and/or loans that are susceptible to the pandemic suffer losses. Downgrades to classes E and F are possible should the performance of the FLOCs experience continued declines, the specially serviced loans experience higher than expected realized loss, additional loans transfer to the special servicer and/or should pool level losses continue to increase. 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 class B certificates 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 to the 'BBsf' category rated classes are considered unlikely, but 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, and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes will not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'Bsf' rated class is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. The Negative Outlooks on classes B, C, D, X-B and PEZ may be revised back to Stable should the performance of the Maine Mall improve and the loan is able to refinance at maturity, recoveries on the specially serviced loan is better than expected, and/or properties impacted by the pandemic stabilize. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CQS US 2021-1: Fitch Affirms 'BB-sf' Rating on Class E Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings for the class A and E notes of CQS US CLO 2021-1, Ltd. The Rating Outlooks on both rated tranches remain Stable. Entity/Debt Rating Prior ----------- ------ ----- CQS US CLO 2021-1, Ltd. A 12659UAA0 LT AAAsf Affirmed AAAsf E 12661TAA9 LT BB-sf Affirmed BB-sf TRANSACTION SUMMARY CQS US CLO 2021-1, Ltd. (CQS 2021-1) is a broadly syndicated collateralized loan obligation (CLO) that is managed by CQS (US), LLC. CQS 2021-1 closed in December 2021 and will exit its reinvestment period in January 2027. The transaction is secured primarily by first-lien, senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition The transaction's current performance metrics indicate stable asset performance compared to closing in December 2021. The portfolio based on the November 2022 trustee report was composed of 220 obligors and the largest 10 obligors represent 9.0% of the portfolio (excluding cash). Exposure to assets with a Fitch-derived rating of 'CCC+' and below (excluding non-rated assets) increased to 4.8% from 1.6% at closing. Fitch's weighted average rating factor (WARF) of the invested portfolio is currently at 25.0 ('B/B-'), compared to 24.3 ('B') from closing. No defaulted, partial deferrable or deferring assets were reported in the current portfolio. Approximately 99.8% of the portfolio consisted of first lien senior secured loans and cash. Fitch calculated a portfolio weighted average recovery rate (WARR) of 76.3%. All coverage tests and collateral quality tests (CQTs) remain in compliance. Cash Flow Analysis Since the transaction is still in its reinvestment period, the analysis included an updated Fitch Stressed Portfolio (FSP) analysis at the current Fitch Test Matrix point selected by the manager, with a weighted average life of 7.25 years. In addition, an assumption of 0% and 5% fixed rate assets in the portfolio was both tested in the FSP modelling. The ratings for the class A and E notes are in line with their model-implied ratings (MIRs), as defined in Fitch's CLOs and Corporate CDOs Rating Criteria. The remaining points of the Fitch Test Matrix were not tested because the current ratings are in line with MIRs at the current matrix point. The Stable Outlooks on all the rated notes reflect robust breakeven cushions to withstand potential deterioration in the credit quality of the portfolio in relevant rating stresses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades may occur if the buildup of the notes' credit enhancement following amortization does not compensate for a higher loss expectation than initially assumed due to defaults and portfolio deterioration. A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to no rating change for class A notes and downgrades of up to one rating notch for the class E notes, based on the MIRs. Factors that could, individually or collectively, lead to positive rating action/upgrade: Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance. A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of six rating notches for the class E notes, based on MIR. SUMMARY OF FINANCIAL ADJUSTMENTS Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring. The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. CSAIL 2018-CX11: Fitch Affirms 'BB-sf' Rating on Class F-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Credit Suisse CSAIL 2018-CX11 Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates Series 2018-CX11, and one class of 2018 CX11 III Trust. In addition, Fitch revised the Rating Outlook for two classes to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- CSAIL 2018-CX11 A-3 12652UAS8 LT AAAsf Affirmed AAAsf A-4 12652UAT6 LT AAAsf Affirmed AAAsf A-5 12652UAU3 LT AAAsf Affirmed AAAsf A-S 12652UAY5 LT AAAsf Affirmed AAAsf A-SB 12652UAV1 LT AAAsf Affirmed AAAsf B 12652UAZ2 LT AA-sf Affirmed AA-sf C 12652UBA6 LT A-sf Affirmed A-sf D 12652UAC3 LT BBB-sf Affirmed BBB-sf E-RR 12652UAE9 LT BBB-sf Affirmed BBB-sf F-RR 12652UAG4 LT BB-sf Affirmed BB-sf G-RR 12652UAJ8 LT CCCsf Affirmed CCCsf X-A 12652UAW9 LT AAAsf Affirmed AAAsf X-B 12652UAX7 LT AA-sf Affirmed AA-sf X-D 12652UAA7 LT BBB-sf Affirmed BBB-sf MOA 2020-CX11 E E-RR 90215KAA5 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Overall Stable Performance and Loss Expectations: Overall pool performance has remained relatively stable since Fitch's prior rating action. The Outlook revisions reflect continued performance stabilization of the majority of pandemic affected loans. Fitch has identified six Fitch Loans of Concern (FLOCs; 14.3% of the pool balance) primarily due to deteriorating performance and upcoming rollover concerns. Fitch's current ratings incorporate a base case loss of 4.8%. The Negative Outlook on class F-RR, which was previously assigned due to additional coronavirus-related stresses applied on hotel, retail and multifamily loans, now reflects performance and maturity concerns on the Northrop Grumman Portfolio and Penn Center West Loans. The largest increase in loss expectations since the prior review, Penn Center West loan (2.4%), is secured by portfolio consisting of three suburban office buildings (Penn Center West 1, Penn Center West 6 and Penn Center West 8) totaling 213,894 sf located in Robinson, PA. Portfolio performance has suffered due to the pandemic, but the borrower remains current on payments. NOI DSCR was 1.01x as of June 2022 compared with 1.50x at YE 2021 and 1.99x at YE 2020. Occupancy fell to 72% in June 2022 from 77% in Dec. 2021 and 90% in Dec. 2020 as a number of tenants vacated, which includes Ad-Base Group (7.5% NRA expiration September 2021), Jacobs Engineering Group (6.2% NRA expiration August 2021), Zoom Media Corp and Club Com LLC (6.2% NRA expiration September 2021), and TEKSystems (6.2% NRA expiration July 2022). Near-term rollover includes 4.3% of the collateral NRA in 2022, 4.2% in 2023 and 24.3% in 2024. Fitch's analysis applied 10% cap rate to the YE 2021 NOI with a 30% stress, resulting in a 29% modeled loss. The largest contributor to loss expectations, Quarry Place at Tuckahoe (4.8%), is secured by 108-unit multifamily property located in Tuckahoe, New York. Occupancy declined to 96% as of June 2022 from 98% in December 2021. Per servicer reporting, annualized NOI DSCR was 1.46x as of September 2022, up from 1.19x at YE 2021, 1.35x at YE 2020, and 1.42x at YE 2019. Decline in YE 2021 performance can be attributed to occupancy declines resulted from fewer moves during the pandemic in New York. Fitch's analysis reflects an 8.75% cap rate and a 5% stress to the September 2022 annualized NOI resulting in a 15% modeled loss. Fitch Loan of Concern: Northrop Grumman Portfolio (2.7%) is secured by a portfolio of two single-tenant, office properties (295,842 sf) located in Chester and Lebanon Virginia. The Commonwealth of Virginia (65% NRA expiration June 2022) vacated their space in Chester upon lease expiration. In addition, May 2022 inspection for the Lebanon location noted that the Northrop Grumman (35% NRA expiration October 2022) intends to vacate in October 2022, leaving both properties unoccupied. Fitch's analysis reflected a dark value from issuance of $36.3 million resulting in no modeled loss. Increased Credit Enhancement (CE): As of the November 2022 distribution date, the pool's aggregate balance has been paid down by 10.5% to $852.8 million from $952.9 million at issuance. Realized losses since issuance total $7.3 million from the resolution and disposal of a specially serviced loan (6-8 West 28th Street), which occurred in April 2022. Two loans (3.6%) prepaid in full during its open period. Four loans (3.7%) are fully defeased. Seventeen loans (41.5%) are full-term, interest-only and sixteen loans (27%) are partial interest-only (of which 13 loans representing 17% have begun amortizing). The pool is scheduled to amortize 8.5% prior to maturity. Property Type Concentration: The highest concentration is office (29.9%), followed by hotel (21.8%), retail (19.2%), multi-family (10.5%) and industrial (9.3%). Pari Passu Loans: Twelve loans (48.7% of pool) are pari passu. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming loans/assets. - Downgrades to 'AAAsf' and 'AA-sf' are not likely due to the continued expected amortization, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. - Downgrades to 'A-sf' and 'BBB-sf' would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs and/or the transfer of loans to special servicing. - Downgrades to 'BB-sf' would occur should loss expectations increase as FLOC performance declines or fails to stabilize. - Further downgrades to classes G-RR would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Sensitivity factors that could lead to upgrades include stable to improved asset performance, coupled with additional paydown and/or defeasance. - Upgrades to classes B, X-B, and C may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. The class would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. - Upgrades to classes D, X-D, E-RR, and F-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 class G-RR are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GS MORTGAGE 2018-HART: S&P Affirms 'BB-(sf)' Rating on Cl. E Certs ------------------------------------------------------------------ S&P Global Ratings lowered its rating on the class F commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2018-HART, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on six classes from the transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a floating-rate interest-only (IO) mortgage loan secured by the borrowers' fee simple interest in a portfolio of 39 office, retail, and industrial properties totaling 5.8 million sq. ft. located across Dallas/Fort Worth, Houston, and San Antonio, Texas. Rating Actions S&P said, "The downgrade on class F and the affirmations on classes A, B, C, D, and E reflect our reevaluation of the 39 mixed-use properties portfolio that secures the sole loan in the transaction. Specifically, the downgrade on class F reflects its first-loss position and our revised model results. Our current analysis considers that while revenue has increased from our assumed levels at issuance, the portfolio's reported net cash flow (NCF) has declined below our expectations in recent years, driven primarily by higher-than-expected operating expenses, namely, insurance, general and administrative, and payroll and benefits expenses." Prior to the pandemic, insurance, general and administrative, and payroll and benefits expenses represented 11.2% (in 2018) and 12.4% (in 2019) of total revenues. However, at the onset of the pandemic, this figure grew to 14.9% in 2020, and then to 16.0% in 2021, and 16.2% for the six months ending June 30, 2022. S&P assumed 12.1% at issuance, on par with the pre-pandemic levels. S&P said, "As previously mentioned, while we assumed a 74.1% occupancy rate and $70.9 million in total revenues at issuance, the servicer-reported occupancy and revenues have been higher: 80.1% and $73.3 million, respectively, in 2019; 77.0% and $73.2 million in 2020; 78.6% and $73.3 million in 2021; and 79.2% and $37.2 million for the six months ending June 30, 2022. Servicer-reported operating expenses, while higher than our assumed $38.3 million figure at issuance, were stable at $39.9 million in 2019 and 2020, and then jumped 8.6% to $43.3 million in 2021. Based on the servicer-reported year-to-date June 30, 2022, performance data, we expect total operating expenses to remain elevated." As a result, the servicer-reported NCF dropped to $24.9 million in 2021, from $28.3 million in 2019 and $28.2 million in 2020. The NCF was $12.4 million for the six months ending June 30, 2022. At issuance, S&P derived a $26.1 million NCF. Using a 79.2% occupancy rate (based on the June 2022 rent roll), $74.6 million in total revenues, 58.3% operating expense ratio, and shorter average lease terms to determine tenant improvement and leasing commission costs, we arrived at an S&P Global Ratings' long-term sustainable NCF of $24.0 million, which is 8.0% lower than the NCF we derived at issuance. Our expected-case value of $277.3 million ($48 per sq. ft.), based on an S&P Global Ratings' capitalization rate of 8.65% (unchanged from issuance), is 8.1% below our issuance value of $301.7 million ($52 per sq. ft.) and 46.5% below the portfolio's appraised value of $518.0 million at issuance. This yielded an S&P Global Ratings' loan-to-value (LTV) ratio of 93.4% on the trust balance, compared with 85.9% at issuance. Although the model-indicated ratings were lower than the current ratings for classes A, B, C, D, and E, S&P affirmed its ratings on these classes because it weighed certain qualitative considerations, including: -- The potential that the portfolio's operating performance could improve above S&P's revised expectations; -- The significant market value decline that would be needed before these classes experiences principal losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of the classes in the payment waterfall. S&P affirmed its rating on the class X-NCP IO certificates based on its criteria for rating IO securities, which states that the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount on class X-NCP references classes A, B, C, and D. If the portfolio's performance does not improve or if there are reported negative changes in the performance beyond what S&P has already considered, it may revisit its analysis and adjust its ratings, as necessary. Property-Level Analysis The portfolio is comprised of 39 office, retail, and industrial properties totaling 5.8 million sq. ft. located across Dallas/Fort Worth, Houston, and San Antonio, Texas. The properties were built between 1919 and 2004, with most of them built in the 1980s. As previously discussed, the portfolio's occupancy rate has remained relatively flat since issuance. As of the June 30, 2022, rent roll, the portfolio was 79.2% occupied. The five largest tenants comprised 14.7% of collateral net rentable area (NRA) and include: -- Sunbelt Warehouse (8.9% of NRA; 1.4% of gross rent, as calculated by S&P Global Ratings; August 2022 lease expiration). The servicer has not yet provided an update on its leasing status. Since the space is not being marketed for lease according to CoStar, S&P assumed the tenant is still in place at its current rental rate in its analysis; -- Recovery Technologies Group of Texas (2.3%; 0.4%; July 2022). The servicer has not yet provided an update on the tenant's leasing status. Since the space is not being marketed for lease according to CoStar, S&P assumed the tenant is still in place at its current rental rate in its analysis; -- Gulf Interstate Engineering (1.4%; 2.4%; April 2024); -- Galen College of Nursing (1.3%; 2.5%; June 2025); and -- Veterans Administration (0.9%; 1.9%; various dates from October 2023 through June 2026). The property faces elevated tenant rollover risk through 2025, with 15.0% of NRA and 7.7% of gross rent as calculated by S&P Global Ratings expiring in 2022, 12.3% and 19.1% in 2023, 13.9% and 22.3% in 2024, and 11.3% and 17.3% in 2025. According to CoStar, the properties' submarkets have vacancy and availability rates ranging from 2.5% to 48.0% and 3.3% to 49.4%, respectively, with a weighted-average (by allocated loan amount [ALA]) vacancy and availability rates of 17.2% and 19.0%, respectively. CoStar reports submarket gross rents ranging from $6.43 to $31.71 per sq. ft. with a weighted-average (by ALA) rent of $24.89 per sq. ft., as of year-to-date November 2022. At issuance (in 2018), per CBRE, the reported weighted-average submarket vacancy rate was 18.1%, and average base rent was $17.63 per sq. ft. This compares with the portfolio's weighted-average 20.8% vacancy rate and average gross rents of $19.12 per sq. ft. for office, $18.35 per sq. ft. for retail, and $3.04 per sq. ft. for industrial, as calculated by S&P Global Ratings. We used these assumptions to derive an S&P Global Ratings' NCF of $24.0 million. Transaction Summary The floating-rate IO mortgage loan has a current balance of $259.0 million (as of the Nov. 15, 2022, trustee remittance report), the same as at issuance. The loan pays an annual floating interest rate of one-month LIBOR plus a 1.80% spread. According to the master servicer, KeyBank Real Estate Capital, the borrower recently exercised its third and final extension option, extending the loan's maturity date to Oct. 9, 2023. To date, the trust has not experienced any principal losses. The loan had a reported current payment status through its November 2022 debt service payment date. KeyBank reported a debt service coverage (DSC) of 4.34x for the six months ending June 30, 2022. However, the DSC for the first six months of 2022 was based on very low LIBOR ranging between 0.11% (in January 2022, as per the trustee remittance report) and 0.38% (in June 2022). However, LIBOR has increased significantly since the Fed implemented rate hikes throughout the second half of 2022. LIBOR increased to 3.42%, according to the November 2022 trustee remittance report and is currently 3.88%. If we assume a 3.42% LIBOR plus 1.80% spread, we calculate a DSC of 1.83x using the servicer-reported six months ending June 2022 NCF. The loan is structured with cash management and a cash flow sweep when the DSC falls below 2.00x. If the portfolio's NCF and LIBOR remain at their current levels, we expect the master servicer to sweep excess cash. As of the Nov. 15, 2022, trustee remittance report, the servicer reports $6.2 million in replacement, tenant, and other reserves. Ratings Affirmed GS Mortgage Securities Corp. Trust 2018-HART Class A: 'AAA (sf)' Class B: 'AA- (sf)' Class C: 'A- (sf)' Class D: 'BBB- (sf)' Class E: 'BB- (sf)' Class X-NCP: 'BBB- (sf)' KKR CLO 43: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to KKR CLO 43 Ltd. Entity/Debt Rating ----------- ------ KKR CLO 43 Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT NR(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 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY KKR CLO 43 Ltd. (the issuer) is an 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 $360 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.9, compared with a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.58%, compared with a minimum covenant, in accordance with the initial expected matrix point of 72.65%. Portfolio Composition (Positive): The largest three industries may comprise up to 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% 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 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-1 and B-2 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: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-1 and B-2 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. MADISON PARK LX: S&P Assigns Prelim BB- (sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding LX 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 Credit Suisse Asset Management LLC. The preliminary ratings are based on information as of Dec. 6, 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 Madison Park Funding LX Ltd. /Madison Park Funding LX LLC Class A-1, $315.00 million: Not rated Class A-2, $5.00 million: Not rated Class B, $51.50 million: AA (sf) Class C (deferrable), $29.75 million: A (sf) Class D (deferrable), $29.50 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $39.30 million: Not rated NELNET STUDENT 2005-4: Fitch Affirms B Rating on 4 Tranches ----------------------------------------------------------- Fitch Ratings has taken various rating actions on outstanding classes of Nelnet Student Loan Trusts (Nelnet) 2004-3, 2004-4, 2005-2, 2005-3, 2005-4, and 2006-1. Entity/Debt Rating Prior ----------- ------ ----- Nelnet Student Loan Trust 2004-4 A-5 64031QBK6 LT AAAsf Affirmed AAAsf B 64031QBL4 LT AAAsf Affirmed AAAsf Nelnet Student Loan Trust 2005-3 A-5 64031QCD1 LT AAAsf Affirmed AAAsf B 64031QCE9 LT AAAsf Upgrade AAsf Nelnet Student Loan Trust 2006-1 A-6 64033HAA7 LT AAAsf Affirmed AAAsf B 64031QCU3 LT AAsf Upgrade Asf Nelnet Student Loan Trust 2004-3 A-5 64031QBC4 LT AAAsf Affirmed AAAsf B 64031QBE0 LT AAAsf Upgrade AAsf Nelnet Student Loan Trust 2005-2 A-5 64031QBX8 LT AAAsf Affirmed AAAsf B 64031QBY6 LT AAAsf Upgrade AAsf Nelnet Student Loan Trust 2005-4 A-4AR-1 64031QCK5 LT Bsf Affirmed Bsf A-4AR-2 64031QCM1 LT Bsf Affirmed Bsf A-4L 64031QCJ8 LT Bsf Affirmed Bsf B 64031QCL3 LT Bsf Affirmed Bsf Fitch has affirmed the class A and B notes of Nelnet 2004-4 and 2005-4 and the class A notes of Nelnet 2004-3, 2005-2, 2005-3, and 2006-1. The affirmations of Nelnet 2004-3, 2004-4, 2005-2, 2005-3, and 2006-1 reflect the strong collateral performance for the transactions, in line with Fitch's expectations since the last review. All affirmed classes of these transactions pass all credit and maturity stresses at the notes' corresponding rating levels. The affirmation of Nelnet 2005-4 reflects the technical default of the class A notes and the diversion of interest payments away from class B notes, resulting in the default of class B notes as well. The ratings are floored at their current levels given historical performance, structural considerations, and giving credit to potential support at maturity, which is now within 10 years. Fitch upgraded the class B notes of Nelnet 2004-3, 2005-2, and 2005-3 to 'AAAsf' from 'AAsf' and the class B notes of Nelnet 2006-1 to 'AAsf' from 'Asf'. All Rating Outlooks are Stable. The upgrades reflect high and increasing total parity available to the bonds that can withstand Fitch's 'AAAsf' and 'AAsf' credit stresses, respectively. The bonds' maturity risk is also commensurate to 'AAAsf' and 'AAsf' ratings, respectively. 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: Nelnet 2004-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 16.00% under the base case scenario and a 47.95% default rate under the 'AAAsf' credit stress scenario. Fitch is maintaining a sustainable constant default rate (sCDR) of 3.00% and its sustainable constant prepayment rate (sCPR; voluntary and involuntary) of 8.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAA' case. The trailing 12-month (TTM) levels of deferment, forbearance, and income-based repayment (IBR; prior to adjustment) are currently 4.24% (4.2% at 9/30/2021), 4.78% (6.9%), and 21.93% (19.1%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly lower and the 91-120 DPD are slightly higher than one year ago and are currently 2.28% for 31DPD and 1.06% for 91DPD compared to 2.69% and 0.31% at 9/30/2021 for 31DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.13%, based on information provided by the sponsor. Nelnet 2004-4: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 21.50% under the base case scenario and a 64.50% default rate under the 'AAAsf' credit stress scenario. Fitch is maintaining a sCDR of 4.00% and its sCPR of 8.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case. The TTM levels of deferment, forbearance, and IBR are currently 4.60% (4.8% at 9/30/2021), 4.59% (8.1%), and 27.37% (24.0%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly higher and the 91-120 DPD are slightly lower than one year ago and are currently 3.37% for 31DPD and 0.75% for 91DPD compared to 2.68% and 0.96% at 9/30/2021 for 31DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.09%, based on information provided by the sponsor. Nelnet 2005-2: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 18.75% under the base case scenario and a 56.25% default rate under the 'AAA' credit stress scenario. Fitch is revising its sCDR upwards to 3.50% from 3.00% and is maintaining its sCPR of 8.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case. The TTM levels of deferment, forbearance, and IBR are currently 4.43% (4.6% at Aug. 31, 2021), 3.97% (7.1%), and 18.83% (16.8%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly lower and the 91-120 DPD are slightly higher than one year ago and are currently 2.62% for 31DPD and 1.05% for 91DPD compared to 2.72% and 0.86% at Aug. 31, 2021 for 31DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.17%, based on information provided by the sponsor. Nelnet 2005-3: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 19.50% under the base case scenario and a 58.50% default rate under the 'AAAsf' credit stress scenario. Fitch is revising its sCDR upwards to 3.50% from 3.00% and is maintaining its sCPR of 8.00%. 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 currently 4.71% (5.1% at Aug. 31, 2021), 4.47% (7.6%), and 22.61% (19.9%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD are slightly higher and the 91-120 DPD are slightly lower than one year ago and are currently 3.08% for 31DPD and 0.72% for 91DPD compared to 2.52% and 0.74% at Aug. 31, 2021 for 31DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.17%, based on information provided by the sponsor. Nelnet 2005-4: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 17.25% under the base case scenario and a 51.75% default rate under the 'AAAsf' credit stress scenario. Fitch is revising its sCDR upwards to 3.00% from 2.50% and is maintaining its sCPR of 8.00%. The claim reject rate is assumed to be 0.25% in the base case and 2.0% in the 'AAAsf' case. The TTM levels of deferment, forbearance, and IBR are currently 3.91% (4.0% at Aug. 31, 2021), 4.02% (7.2%), and 22.87% (19.6%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD and the 91-120 DPD are slightly higher than one year ago and are currently 2.43% for 31DPD and 0.95% for 91DPD compared to 2.09% and 0.74% at Aug. 31, 2021 for 31DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.17%, based on information provided by the sponsor. Nelnet 2006-1: Based on transaction-specific performance to date, Fitch assumes a cumulative default rate of 16.00% under the base case scenario and a 48.00% default rate under the 'AAAsf' credit stress scenario. Fitch is revising its sCDR upwards to 2.80% from 2.20% and is maintaining its sCPR of 8.50%. 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 currently 4.13% (4.0% at July 31, 2021), 3.57% (6.0%), and 18.08% (16.3%), respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modeled as per criteria. The 31-60 DPD and the 91-120 DPD are slightly higher than one year ago and are currently 2.55% for 31DPD and 0.69% for 91DPD compared to 2.16% and 0.31% at July 31, 2021 for 31DPD and 91DPD, respectively. The borrower benefit is assumed to be approximately 0.24%, based on information provided by the sponsor. Basis and Interest Rate Risk: Nelnet 2004-3: 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, 99.11% of the principal balance is indexed to one-month LIBOR with 0.89% indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Nelnet 2004-4: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the latest distribution, 90.35% of the principal balance is indexed to one-month LIBOR with 9.65% indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Nelnet 2005-2: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the latest distribution, 98.70% of the principal balance is indexed to one-month LIBOR with 1.30% indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Nelnet 2005-3: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the latest distribution, 99.64% of the principal balance is indexed to 91 Day T-Bills with 0.36% 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. Nelnet 2005-4: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the latest distribution, 95.49% of the principal balance is indexed to one-month LIBOR with 4.51% indexed to 91 Day T-Bills. All notes are indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Nelnet 2006-1: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the latest distribution, 100% of the principal balance is indexed to one-month LIBOR. All the notes are currently indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Nelnet 2004-3: 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 104.96% (4.73% CE) and 115.77% (13.62% CE) respectively. Liquidity support is provided by a reserve, which is currently at its floor of $2,011,386.13. The transaction will continue to release cash as long as the target overcollateralization amount of $921,831.95 is maintained. Nelnet 2004-4: 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 115.85% (13.68% CE) and 139.43% (28.28% CE) respectively. Liquidity support is provided by a reserve, which is currently at its floor of $2,991,407.19. The transaction will continue to release cash as long as the target overcollateralization amount of $2,152,841.15 is maintained. Nelnet 2005-2: 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 107.53% (7.00% CE) and 120.53% (17.03% CE) respectively. Liquidity support is provided by a reserve, which is currently at its floor of $2,976,291.60. The transaction will continue to release cash as long as the target overcollateralization amount of $1,433,657.96 is maintained. Nelnet 2005-3: 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 108.98% (8.24% CE) and 123.86% (19.26% CE) respectively. Liquidity support is provided by a reserve, which is currently at its floor of $1,988,699.90. The transaction will continue to release cash as long as the target overcollateralization amount of $ 1,325,800.10 is maintained. Nelnet 2005-4: 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 102.18% (2.13% CE) and 108.13% (7.52% CE) respectively. Liquidity support is provided by a reserve, which is currently at its floor of $2,841,887.45. The transaction will continue to release cash as long as the target overcollateralization amount of $ 1,116,965.95 is maintained. Nelnet 2006-1: 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 101.65 (1.62% CE) and 106.91% (6.47% CE) respectively. The required reserve account balance is 0.15% of the current pool balance with a floor of $2,951,197.22. Excess cash is currently being released from the trust. Operational Capabilities: For all transactions, day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an adequate 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 transaction is exposed to multiple dynamic risk factors. It 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. Nelnet Student Loan Trust 2004-3 Current Ratings: class A-5 'AAAsf'; class B 'AAAsf' Current Model-Implied Ratings: class A-5 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'AAAsf' - Default increase 50%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'AAsf'; class B 'AAAsf'. Nelnet Student Loan Trust 2004-4 Current Ratings: class A-5 'AAAsf'; class B 'AAAsf' Current Model-Implied Ratings: class A-5 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'AAAsf' - Default increase 50%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet Student Loan Trust 2005-2 Current Ratings: class A-5 'AAAsf'; class B 'AAAsf' Current Model-Implied Ratings: class A-5 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'AAAsf' - Default increase 50%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet Student Loan Trust 2005-3 Current Ratings: class A-5 'AAAsf'; class B 'AAAsf' Current Model-Implied Ratings: class A-5 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAA 'sf'; class B 'AAAsf' - Default increase 50%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAAsf' - Basis spread increase 0.50%: class A 'AAAsf; class B 'AAAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAAsf' - CPR decrease 50%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 25%: class A 'AAAsf'; class B 'AAAsf' - IBR usage increase 50%: class A 'AAAsf; class B 'AAAsf' - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAAsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'AAAsf'. Nelnet Student Loan Trust 2005-4 Current Ratings: class A-4L 'Bsf'; class A-4AR-1 'Bsf'; class A-4AR-2 'Bsf'; class B 'Bsf' Current Model-Implied Ratings: class A-4L 'CCCsf' (Credit and Maturity Stress); class A-4AR-1 'CCCsf' (Credit and Maturity Stress); class A-4AR-2 'CCCsf' (Credit and Maturity Stress); class B 'CCCsf' (Credit and Maturity Stress) The current ratings reflect the risk the senior notes miss their legal final maturity date under Fitch's base case maturity scenario. If the margin by which these classes miss their legal final maturity date increases, or does not improve as the maturity date nears, the ratings may be downgraded further. Additional defaults, increased basis spreads beyond Fitch's published stresses, lower-than-expected payment speed or loan term extension are factors that could lead to future rating downgrades. Nelnet Student Loan Trust 2006-1 Current Ratings: class A-6 'AAAsf'; class B 'AAsf' Current Model-Implied Ratings: class A-6 'AAAsf' (Credit and Maturity Stress); class B 'AAAsf' (Credit and Maturity Stress) Credit Stress Rating Sensitivity - Default increase 25%: class A 'AAAsf'; class B 'AAsf' - Default increase 50%: class A 'AAAsf'; class B 'AAsf' - Basis spread increase 0.25%: class A 'AAAsf'; class B 'AAsf' - Basis spread increase 0.50%: class A 'AAAsf'; class B 'AAsf' Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'AAAsf'; class B 'AAsf' - CPR decrease 50%: class A 'AAAsf'; class B 'AAsf' - IBR usage increase 25%: class A 'AAAsf'; class B 'AAsf' - IBR usage increase 50%: class A 'AAAsf; class B 'AAsf' - Remaining Term increase 25%: class A 'AAAsf'; class B 'AAsf'; - Remaining Term increase 50%: class A 'AAAsf'; class B 'AAsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Nelnet Student Loan Trust 2004-3 Nelnet Student Loan Trust 2004-4 Nelnet Student Loan Trust 2005-2 Nelnet Student Loan Trust 2005-3 No upgrade credit or maturity stress sensitivity is provided for the class A-5 or B notes, as they are at their highest possible current and model-implied ratings. Nelnet Student Loan Trust 2005-4 The current ratings are most sensitive to Fitch's maturity risk scenario. Key factors that may lead to positive rating action are sustained increases in payment rate and a material reduction in weighted average remaining loan term. A material increase of credit enhancement from lower defaults and positive excess spread, given favorable basis spread conditions, is a secondary factor that may lead positive rating action. Nelnet Student Loan Trust 2006-1 No upgrade credit or maturity stress sensitivity is provided for the class A-6 notes, as they are at their highest possible current and model-implied ratings. Credit Stress Sensitivity - Default decrease 25%: class B 'AAAsf' - Basis Spread decrease 0.25%: class B 'AAAsf' Maturity Stress Sensitivity - CPR increase 25%: class B 'AAAsf' - IBR usage decrease 25%: class B 'AAAsf' - Remaining Term decrease 25%: class B 'AAAsf' ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OBX TRUST 2022-NQM9: Fitch Assigns B(EXP)sf Rating on Cl. B-2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings to OBX 2022-NQM9 Trust. Entity/Debt Rating ----------- ------ OBX 2022-NQM9 A-1A LT AAA(EXP)sf Expected Rating A-1B LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes issued by OBX 2022-NQM9 Trust as indicated above. The transaction is scheduled to close on Dec. 8, 2022. The notes are supported by 643 loans with a total unpaid principal balance of approximately $359.4 million as of the cutoff date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management, Inc. (Annaly) from various originators and aggregators. Distributions of principal and interest (P&I) and loss allocations are based on a modified sequential-payment structure. The transaction has a stop-advance feature where the P&I advancing party will advance delinquent P&I for up to 120 days. Of the loans, approximately 64.9% are designated as non-qualified mortgage (non-QM), 35.1% are investment properties not subject to the Ability to Repay (ATR) Rule and 0.1% ATR risk loan. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 11.1% 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 15.8% yoy nationally as of July 2022. Nonprime Credit Quality (Mixed): The collateral consists of 30-year and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate loans constitute 7.3% of the pool as calculated by Fitch, which includes 2.9% DSCR loans with a default interest rate feature; 15.5% are interest-only (IO) loans and the remaining 84.5% are fully amortizing loans. The pool is seasoned approximately six months in aggregate as calculated by Fitch. Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 740, debt to income ratio (DTI) of 41.6% and moderate leverage of 80.6% sustainable loan to value ratio (sLTV). Pool characteristics resemble recent nonprime collateral. Investor Properties, Non-QM and Alternative Documentation (Negative): The pool contains a meaningful amount of investor properties (35.1%), non-QM loans (64.9%) and one ATR risk loan (0.1%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity (LS) adjustments for potential ATR challenges. Higher LS assumptions are assumed for the investor property product to reflect potential risk of a distressed sale or disrepair. Fitch viewed approximately 86.2% of the pool as less than full documentation, and alternative documentation was used to underwrite the loans. Of this, 51.5% were underwritten to a bank statement program to verify income, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.4x on the bank statement loans. Besides loans underwritten to a bank statement program, 19.5% are a DSCR product, 3.8% are a WVOE product, 4.3% are P&L loans and 2.7% constitute an asset depletion product. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the mezzanine and subordinate bonds from principal payments until all senior classes are paid in full. If a credit event, either a cumulative loss trigger event or a delinquency trigger event, occurs in a given period, principal will be distributed pro-rata to class A-1A and A-1B, and then sequentially to class A-2 and A-3 notes until each class balance is reduced to zero. The structure includes a step-up coupon feature where the fixed interest rate for class A-1A A-1B, A-2 and A-3 will increase by 100bps starting on the December 2026 payment date. This reduces the modest excess spread available to repay losses. However, the interest rate is subject to the net WAC, and any unpaid cap carryover amount for class A-1A, A-1B, A-2 and A-3 may be reimbursed from the distribution amounts otherwise allocable to the unrated class B-3, to the extent available. Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency, to the extent such advances are deemed recoverable. The P&I advancing party (Onslow Bay Financial LLC) is obligated to fund delinquent P&I advances. If the P&I advancing party fails to remit any P&I advance required to be funded, the master servicer (Computershare Trust Company, N.A.) will fund the advance. The stop-advance feature limits the external liquidity to the bonds in the event of large and extended delinquencies, but the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I for the life of the transaction, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. The ultimate advancing party in the transaction is the master servicer, Computershare, rated 'BBB'/'F3' by Fitch. Computershare does not hold a rating from Fitch of at least 'A' or 'F1' and, as a result, does not meet Fitch's counterparty criteria for advancing delinquent P&I payments. Fitch ran additional analysis to determine if there was any impact to the structure if it assumed no advancing of delinquent P&I for the losses and cash flows. This is in addition to running the loss and cashflow analysis assuming four months of delinquent P&I servicer advancing per the transaction documents. Assuming four months of delinquent P&I advancing was more conservative, and therefore Fitch's losses and CE analysis assumed this. High California Concentration (Negative): Approximately 44.1% of the pool is located in California. Additionally, the top three metropolitan statistical areas (MSAs) — Los Angeles (19.8%), New York (10.1%) and Riverside (8.3%) — account for 38.3% of the pool. As a result, a geographic concentration penalty of 1.02x was applied to the PD. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.2% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OCTAGON 62: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Octagon 62, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Octagon 62, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2A LT AAAsf New Rating AAA(EXP)sf A-2B LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf 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', which is in line with that of recent CLOs. The weighted average rating factor of the indicative portfolio is 23.3 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 99.5% first lien senior secured loans. The weighted average recovery rate of the indicative portfolio is 75.0% versus a minimum covenant, in accordance with the initial expected matrix point of 74.1%. 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 appropriate for their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are between '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 'BB-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. PALISADES CENTER 2016-PLSD: Moody's Lowers Cl. D Certs Rating to C ------------------------------------------------------------------ Moody's Investors Service has downgraded four classes and has placed one class on review for possible downgrade in Palisades Center Trust 2016-PLSD, Commercial Mortgage Pass-Through Certificates, Series 2016-PLSD as follows: Cl. A, Downgraded to Ba2 (sf) and Placed Under Review for Possible Downgrade; previously on Jul 6, 2022 Downgraded to Baa2 (sf) Cl. B, Downgraded to Caa2 (sf); previously on Jul 6, 2022 Downgraded to B2 (sf) Cl. C, Downgraded to Caa3 (sf); previously on Jul 6, 2022 Downgraded to Caa2 (sf) Cl. D, Downgraded to C (sf); previously on Jul 6, 2022 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes were downgraded due to the weak loan performance as a result of significant declines in property revenue and net cash flow (NCF) since 2019. The loan was unable to payoff at its already extended maturity in October 2022 and a further 30-day forbearance period that expired in November 2022. Furthermore, the appraised value reported as of the November 2022 remittance report was below the outstanding loan balance, which increases the risk of interest shortfalls to the outstanding certificates. The rating on Cl. A was placed on review for the increased risk of interest shortfalls due to the most recently reported appraisal value and the uncertainty around the potential loan resolution or modification as well as the property's ability to recover to its historical financial performance. While the property's NCF improved year over year in 2021, its cash flow remains well below its 2019 levels and the 2021 NCF was approximately 44% lower than in 2016. Based on the first half year performance in 2022, the annualized 2022 NCF would be 11% lower than in 2021. The June 2022 net operating income (NOI) DSCR was 1.40x which is based on interest only payments. Furthermore, the loan has already received a maturity extension after the borrower was unable to payoff the loan at its initial maturity date in in April 2021. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. 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 the loan's performance. Factors that could lead to a downgrade of the ratings include a further decline in actual or expected performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the November 2022 payment date, the transaction's aggregate certificate balance remains unchanged since securitization at approximately $389 million. The whole loan of $419 million has a split loan structure represented by the trust loan component of $389 million and a companion loan component of $30 million (not included in the trust) that is securitized in JPMDB 2016-C2. The trust includes notes A, B, C and D. The $229 million senior trust A note and the $30 million companion loan component in JPMDB 2016-C2 are pari passu. The trust notes B, C and D are junior to the trust note A and the companion loan component. Additionally, there is $142 million of mezzanine debt held outside the trust. The loan first transferred to special servicing in 2020 and the original April 2021 maturity date was eventually extended to October 2022. The loan modification also included a 6-month principal and interest forbearance. The loan returned to the master servicer in May 2021, however, the loan returned to special servicing for imminent default ahead of its October 2022 maturity date and was again unable to payoff at its already extended maturity date. The loan received an additional 30-day forbearance period that expired on November 8, 2022. As of the November 2022 remittance statement the loan is listed as "current" due to its forbearance periods, however, the loan is last paid though its May 2022 payment date and has outstanding P&I advances of $8.4 million. The most recent appraisal value from November 2022 valued the property 49% below the appraised value in August 2020 and 75% below the appraisal at securitization. The most recent value is significant below the outstanding loan balance. As of the November 2022 remittance report the trust has not received any interest shortfalls, however, due to the most recent appraisal value interest shortfalls may increase in future months. The property's performance was already declining prior to 2020 but was further significantly impacted by the coronavirus pandemic and performance has remained well below levels at securitization. The property's NCF increased year over year to $25.0 million in 2021 from its low of $16.2 million NCF in 2020, however, the 2021 NCF was still 32% lower than in 2019 and approximately 44% below the 2016 NCF. Based on the first half year performance in 2022, the annualized 2022 NCF would be 11% lower than in 2021. The property's NCF in 2019 was $36.9 million, down from $40.5 million in 2018 and $44.9 million in 2016. The Palisades Center is located approximately 3.5 miles northwest of the Tappan Zee Bridge and 18 miles northwest of New York City. The property is managed by the loan's sponsor, Pyramid Management Group, LLC, a privately held real estate management and development company headquartered in Syracuse, New York. The Palisades Center contains several occupied anchors comprised of Macy's (201,000 square feet (SF)), Home Depot (132,800 SF), Target (130,140 SF), BJ's Wholesale Club (118,076 SF), Dick's Sporting Goods (94,745 SF) and Burlington Coat Factory (54,609 SF). Anchor collateral for the loan does not include the Macy's space. Other larger collateral tenants include a 21-screen AMC Palisades Center Cinema, Barnes & Noble, Best Buy, Dave & Buster's, DSW, and Autobahn Indoor Speedway. The property's occupancy rate has declined since securitization. In July 2017, JC Penney closed and vacated their three-level 157,000 SF anchor space, which is part of the loan collateral. The JC Penney space remains vacant. In addition, Lord & Taylor (120,000 SF) closed in January 2020 and Bed Bath & Beyond Inc. (45,000 SF with lease expiring in January 2022) closed in June 2020. As of June 2022, the property was 75% occupied. SYMPHONY CLO 37: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings and rating outlooks to Symphony CLO 37, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Symphony CLO 37, Ltd. A-1a Loans LT NRsf New Rating NR(EXP)sf A-1a Notes LT NRsf New Rating NR(EXP)sf A-1b Notes LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBBsf New Rating BBB(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Symphony CLO 37, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Symphony Alternative Asset Management LLC (SAAM), an affiliate of Nuveen Asset Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. 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 and has a weighted average recovery assumption of 76.59%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 41.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the notes were able to withstand respective default rates and recovery assumptions appropriate for their recommended ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-2; between 'BB+sf' and 'AAAsf' for classes B-1 and B-2; between 'Bsf' and 'A+sf' for class C; between less than 'B-sf' and 'BBB+sf' for class D-1; between less than 'B-sf' and 'BBB+sf' for class D-2; 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; the results under these sensitivity scenarios are 'AAAsf' for class A-2, B-1 and B-2 notes; ; between 'A+sf' and 'AA+sf' for class C notes; 'A+sf' for class D-1 notes; between 'Asf' and 'A+sf' for class D-2 notes; and between 'BBB+sf' and 'A-sf' for class E notes. SYMPHONY CLO 37: Moody's Assigns B3 Rating to $250,000 Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loans incurred by Symphony CLO 37, Ltd. (the "Issuer" or "Symphony CLO 37"). Moody's rating action is as follows: US$30,000,000 Class A-1a Loans maturing 2034, Definitive Rating Assigned Aaa (sf) US$203,000,000 Class A-1a Senior Secured Floating Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$15,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2034, Definitive Rating Assigned Aaa (sf) US$250,000 Class F Senior Secured Deferrable Floating Rate Notes due 2034, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Debt." On the closing date, the Class A-1a Notes and Class A-1a Loans have a principal balance of $203,000,000 and $30,000,000, respectively. At any time, the Class A-1a Loans may be converted in whole or in part to Class A-1a Notes, thereby decreasing the principal balance of the Class A-1a Loans and increasing, by the corresponding amount, the principal balance of the Class A-1a Notes. The aggregate principal balance of the Class A-1a Loans and Class A-1a Notes will not exceed $233,000,000, less the amount of any principal repayments. Neither Class A-1a Notes nor any other Notes may be converted into Class A-1a Loans. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Symphony CLO 37 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, and non-loan assets, provided that no more than 5% of the portfolio may consist of non-loan assets and no more than 2.5% of the portfolio may consist non-loan asset that are not senior secured bonds. The portfolio is approximately 60% ramped as of the closing date. Symphony Alternative Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer issued seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2880 Weighted Average Spread (WAS): SOFR + 3.40% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 47% Weighted Average Life (WAL): 6.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Debt is subject to uncertainty. The performance of the Rated Debt is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Debt. TABERNA PREFERRED IX: Moody's Ups Class A-1LB Notes Rating to B3 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Taberna Preferred Funding IX Ltd.: US$275,000,000 Class A-1LA Floating Rate Notes Due May 2038, (current outstanding balance of $17,220,967) (the "Class A-1LA Notes"), Upgraded to Aa2 (sf); previously on June 16, 2021 Upgraded to A1 (sf) US$100,000,000 Class A-1LAD Delayed Draw Floating Rate Notes Due May 2038, (current outstanding balance of $6,262,170) (the "Class A-1LAD Notes"), Upgraded to Aa2 (sf); previously on June 16, 2021 Upgraded to A1 (sf) US$116,000,000 Class A-1LB Floating Rate Notes Due May 2038, (current outstanding balance of $116,000,000) (the "Class A-1LB Notes"), Upgraded to B3 (sf); previously on May 15, 2019 Upgraded to Caa2 (sf) Taberna Preferred Funding IX Ltd., issued in June 2007, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS), with a small exposure to bank debt. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1LA and Class A-1LAD notes, an increase in the transaction's over-collateralization (OC) ratios, and the improvement in the credit quality of the underlying portfolio since November 2021. The Class A-1LA and Class A-1LAD notes have paid down by approximately 22.1% or $6.7 million since November 2021, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratios for the Class A-1LA and Class A-1LAD notes have improved to 906.5% from November 2021 levels of 868.0%. The OC ratios for Class A-1LB notes have improved to 136.35% from November 2021 level of 130.80%. The Class A-1LA and Class A-1LAD notes will continue to benefit from the diversion of excess interest and the use of proceeds from redemptions of any assets in the collateral pool. The deal has also benefited from improvement in the credit quality of the underlying portfolio. According to Moody's calculations, the weighted average rating factor (WARF) improved to 2015 from 2128 in Nov 2021. The actions also reflect the consideration that an event of default (EoD) is continuing for the transaction, and that as a remedy to the EoD, 66 2/3% of each class, voting separately, can direct the trustee to proceed with the sale and liquidation of the collateral. Taberna Preferred Funding IX, Ltd. declared an event of default (EOD) on November 10, 2015 and acceleration of the notes on November 30, 2015. As a result, the Class A-1LA and A-1AD notes have become senior to all other notes and will continue to benefit from all interest and principal proceeds of the collateral pool until they will be paid in full. The actions further reflect the consideration that the underlying portfolio is concentrated, with eight performing obligors. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par of $212.9 million, defaulted par of $87.7 million, a weighted average default probability of 26.19% (implying a WARF of 2015), and a weighted average recovery rate upon default of 10.0%. In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. The additional scenarios include, among others, deteriorating credit quality of the portfolio. Methodology Used for the Rating Action The principal methodology used in these rating was "Moody's Approach to Rating TruPS CDOs" published in July 2021. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assesses through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. VERUS SECURITIZATION 2022-2: S&P Assigns (P) B- (sf) on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2022-2's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily first-lien, fixed-rate, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods. The loans are secured by single-family residences, townhouses, planned-unit developments, two- to four-family residential properties, condominiums, condotel, manufactured housing, mixed-use properties, and 5-10 multifamily residences to both prime and non-prime borrowers. The pool has 1,268 loans backed by 1,329 properties, which are primarily non-qualified mortgage/ATR compliant and ATR-exempt loans. Of the 1,268 loans, 12 are cross-collateralized loans backed by 73 properties. The preliminary ratings are based on information as of Dec. 8, 2022. The collateral and structural information reflect the preliminary private placement memorandum dated Dec. 7, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The impact the COVID-19 pandemic will likely have on the ultimate performance of the mortgage borrowers in the pool as reflected in S&P's market outlook. Preliminary Ratings Assigned(i) Verus Securitization Trust 2022-2 Class A-1, $491,891,000: AAA (sf) Class A-2, $69,137,000: AA (sf) Class A-3, $89,538,000: A (sf) Class M-1, $42,313,000: BBB- (sf) Class B-1, $24,934,000: BB- (sf) Class B-2, $18,512,000: B- (sf) Class B-3, $19,268,538: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class DA, $6,220: Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the preliminary private placement memorandum dated Dec. 7, 2022; the preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate stated principal balance of loans in the pool. WELLS FARGO 2016-C33: Fitch Affirms 'B-sf' Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial Mortgage Trust 2016-C33 commercial mortgage pass-through certificates. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-C33 A-3 95000LAY9 LT AAAsf Affirmed AAAsf A-4 95000LAZ6 LT AAAsf Affirmed AAAsf A-S 95000LBB8 LT AAAsf Affirmed AAAsf A-SB 95000LBA0 LT AAAsf Affirmed AAAsf B 95000LBE2 LT AA-sf Affirmed AA-sf C 95000LBF9 LT A-sf Affirmed A-sf D 95000LAJ2 LT BBB-sf Affirmed BBB-sf E 95000LAL7 LT BB-sf Affirmed BB-sf F 95000LAN3 LT B-sf Affirmed B-sf X-A 95000LBC6 LT AAAsf Affirmed AAAsf X-B 95000LBD4 LT A-sf Affirmed A-sf X-D 95000LAA1 LT BBB-sf Affirmed BBB-sf X-E 95000LAC7 LT BB-sf Affirmed BB-sf X-F 95000LAE3 LT B-sf Affirmed B-sf KEY RATING DRIVERS Slight Increase in Loss Expectation: The Negative Outlook on classes F and X-F reflect the concentration of specially serviced loans and the underperformance of several office properties, primarily the Omni Officecentre and Briar Creek I & II loan. Fitch has identified 10 loans as Fitch Loans of Concern (FLOCs; 21% of pool), which includes six loans that are currently in special servicing. Fitch's current ratings incorporate a base case loss of 5.3%. Largest Contributors to Loss: The largest contributor to the base case loss is the Brier Creek Corporate Center I & II loan (3.6%), which is secured by two four-story office buildings located in Raleigh, NC. The loan has been designated as a FLOC due to a significant decline in occupancy and low DSCR. The two largest tenants, which combined for approximately 75% of the NRA, vacated at their lease expirations in 2020. Per the June 2022 rent roll, occupancy was 33% a slight increase from 25% for the same period in 2021. The servicer reported YE 2021 NOI DSCR was 0.14x compared to 1.38x at YE 2020 and 1.55x at YE 2019. Fitch modeled a loss of approximately 13% which utilized a 10% cap rate and a 25% haircut to the YE 2020 NOI to reflect the significant occupancy decline, but does give benefit to the relatively strong submarket. The second largest contributor to loss is the Omni Officecentre loan (2.6%), which is secured by a 294,090-sf office building located in Southfield, MI. The loan transferred to special servicing in August 2022 due to monetary default. According to servicer updates, the special servicer is dual tracking a modification and foreclosure. Occupancy declined to 21% as of June 2022 a decline from 61% at YE 2021. The largest tenant Blue Cross Blue Shield (40% NRA) vacated at is June 2022 lease expiration. The servicer reported YE 2021 NOI was 2.03x compared with 1.66x at YE 2020. Fitch modeled a loss of approximately 35% which reflects a 12% cap rate and 40% haircut to the YE 2021 NOI to reflect the significant decline in occupancy and high vacancy rate in the South Southfield, MI submarket. The third largest contributor to loss is the REO Holiday Inn Express & Suites, which is a 73-room four-story limited service hotel located in Columbia, TN. The loan transferred to special servicing due to the pandemic and became REO in May 2021. According to servicer updates, the special servicer is reportedly planning a sale by the end of 2023. Fitch's modeled a loss of 37% which reflects a value of approximately $85,000 per key. Slight Increase to Credit Enhancement: As of the October 2022 distribution date, the pool's aggregate principal balance was reduced by 24% to $542.2 million from $712.2 million at issuance. Eleven loans (15.2% of the pool balance) are fully defeased. There have been $1.2 million in realized losses to date and interest shortfalls are currently affecting the non-rated class. The increase in credit enhancement is due to loans paying off, which includes the largest loan in the pool at issuance (9.4%). Eleven loans (26%) are full-term interest only (IO), and all loans with partial IO periods began amortizing. All loans in the pool mature between August 2025 and March 2026. Co-Op Collateral: The pool contains 14 loans (5.3% of the pool) secured by multifamily co-ops; 12 are located in New York City metro area; one is in Washington, D.C.; and one is in Atlanta, GA. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-3 through C are not likely due to their increasing CE, generally stable pool performance and expected continued paydown; however, downgrades to these classes may occur should interest shortfalls affect these classes. Downgrades to class D, E and F would occur if loss expectations increase significantly and/or if CE is eroded due to realized losses, or if the performance of the FLOCs fail to stabilize. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war, whereby growth is sharply lower amid higher inflation and interest rates. Even if the adverse scenario should play out, Fitch expects minimal impact to ratings performance, indicating few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to the 'AA-sf' and 'A-sf' category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loans could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The 'BBB-sf', 'BB-sf' and 'B-sf' rated classes are unlikely to be upgraded absent significant performance improvement, increases in CE and/or higher recoveries than expected on the specially serviced loans. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WFRBS COMMERCIAL 2011-C4: Moody's Cuts Rating on F Certs to Caa3 ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the ratings on four classes in WFRBS Commercial Mortgage Trust 2011-C4, Commercial Mortgage Pass-Through Certificates, Series 2011-C4, as follows: Cl. C, Downgraded to A3 (sf); previously on Mar 1, 2022 Affirmed A2 (sf) Cl. D, Downgraded to Baa3 (sf); previously on Mar 1, 2022 Affirmed Baa2 (sf) Cl. E, Downgraded to B3 (sf); previously on Mar 1, 2022 Affirmed B2 (sf) Cl. F, Downgraded to Caa3 (sf); previously on Mar 1, 2022 Affirmed Caa2 (sf) Cl. G, Affirmed Ca (sf); previously on Mar 1, 2022 Affirmed Ca (sf) Cl. X-B*, Affirmed Caa2 (sf); previously on Mar 1, 2022 Downgraded to Caa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on four P&I classes were downgraded due to the potential for higher losses and increased interest shortfall risk due to the exposure to specially serviced and troubled loans. The largest loan, Fox River Mall (82% of the pool), is secured by a class B regional mall and was unable to refinance at its original maturity date and has since been modified with an extended maturity date in June 2024. Property performance has declined significantly since 2018 and the net operating income (NOI) remains below levels at securitization. The remaining two loans (18% of the pool) are in special servicing and are either already real estate owned (REO) or in foreclosure. As a result of the exposure to specially serviced and troubled loans, the remaining classes are at increased risk of interest shortfalls if the Fox River Mall loan is unable to pay off at its extended maturity date. The rating on one P&I class, Cl. G, was affirmed because it is consistent with Moody's expected loss. The rating on the IO class, Cl. X-B, was affirmed based on the credit quality of its referenced classes. IO class X-B references all remaining P&I classes including Class H, which is not rated by Moody's. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 37.0% of the current pooled balance, compared to 32.0% at Moody's last review. Moody's base expected loss plus realized losses is now 5.2% of the original pooled balance, compared to 4.8% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, 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 18% of the pool is in special servicing and Moody's has identified additional troubled loans representing 82% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the November 18, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 89% to $166.9 million from $1.48 billion at securitization. The certificates are collateralized by three mortgage loans ranging in size from 5% to 82% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of one, compared to two at Moody's last review. As of the November 2022 remittance report, loans representing 82% were current or within their grace period on their debt service payments and 18% were in foreclosure or REO. There are no loans currently on the 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. Three loans have been liquidated from the pool, contributing to an aggregate realized loss of $15.7 million (for an average loss severity of 43%). Two loans, constituting 18% of the pool, are currently in special servicing. The largest specially serviced loan is the Eastgate Mall loan ($21.6 million -- 12.9% of the pool), which is secured by a 545,000 square foot (SF) portion of a 1.09 million SF regional mall. The property is located in Glen Este, Ohio, a suburb of Cincinnati, located twenty miles east of Cincinnati's central business district. CBL & Associates Properties, Inc. ("CBL") was the sponsor and manager of the property at securitization. The property is currently anchored by Dillard's, J.C. Penney and Kohl's, all of which are non-collateral. The property has several large vacant spaces including an anchor space previously occupied by Sears (141,000 SF) and a former Toys R' Us space (42,000 SF). The Sears space was reportedly purchased by Kroger in July 2021 for $5.5 million. As of September 2022, the property was 81% leased compared to 76% in June 2021 and 90% as of March 2020. The property's net operating income (NOI) has declined annually since 2016 as a result of declining rental revenue. The loan has amortized nearly 29% since securitization, however, the reported 2021 NOI was down 62% from securitization. The loan transferred to special servicing in April 2020 due to monetary default as a result of the COVID-19 pandemic and reached its maturity in April 2021. The borrower advised of their intent to turn over the collateral to the lender and the loan became REO in August 2022. Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Park Place Student Housing Loan ($8.5 million -- 5.1% of the pool), which is secured by a 252-room student housing complex located in Fredonia, New York, approximately 50 miles south of Buffalo, New York. The property is situated adjacent to the State University of New York at Fredonia campus. As of August 2022, the property was 35% occupied compared to 50% at last review. The loan transferred to special servicing for imminent monetary default in November 2014. The borrower did not report financials in 2017 or 2018 and failed to pay off the loan at maturity in July 2021. The loan is last paid through June 2021. A receiver was appointed in April 2022 and foreclosure litigation is in process. Moody's anticipates a significant loss on this loan. Moody's has also assumed a high default probability for one poorly performing loan, constituting 82% of the pool, and has estimated an aggregate loss of $61.8 million (a 37% expected loss on average) from these specially serviced and troubled loans. The troubled loan is discussed in detail further below. As of the November 2022 remittance statement cumulative interest shortfalls were $2.6 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 largest loan is the Fox River Mall Loan ($136.7 million -- 81.9% of the pool), which is secured by a 649,000 SF portion of a 1.2 million SF super-regional mall in Appleton, Wisconsin. The mall is currently anchored by Macy's, JC Penney, Target, and Scheel's. Scheel's is the only anchor that is part of the collateral. The mall has two vacant anchors; Younkers, which closed in May 2018, and Sears, which closed in March 2019. As of June 2022, collateral occupancy was approximately 85, compared to 86% at last review%. The in-line space (including temporary tenants) was 90% leased as of June 2022 compared to 87% as of September 2021, 90% in March 2020 and September 2019. The property benefits from a large trade area with its closest competition located approximately 30 miles away and is sponsored by Brookfield Properties. The property's NOI generally improved since securitization through 2018, however, the property's 2019 revenue dropped approximately 9% year over year causing a decline in NOI. The downward trend continued with the onset of the coronavirus pandemic, which forced the property to close for several months in 2020, leading to an 11% decline in NOI in 2020 and 32% decline in 2021 (compared to 2019). The loan had previously transferred to the special servicer in September 2020 for imminent default due to the coronavirus pandemic. The loan was returned to the master servicer in March 2021 following a loan modification which included a conversion of payments to interest-only, a three-year extension to June 2024, and execution of cash management and excess cashflow trap and held by the lender. The combination of vacant anchors and recent declines in revenue may lead to increased refinance risks at its future maturity date. The loan has amortized 15.5% since securitization. Due to the sustained decline in performance and large non-collateral anchor space vacancies, Moody's considers this as a troubled loan. WILLIS ENGINE III: Fitch Cuts Rating on 2017-A Series B Notes to BB ------------------------------------------------------------------- Fitch Ratings has downgraded the ratings on the series A and B notes issued by Willis Engine Structured Trust III (WEST III), affirmed the series A and B notes issued by Willis Engine Structured Trust IV (WEST IV), and affirmed the series A, B and C notes issued by Willis Engine Structured Trust V (WEST V). The Rating Outlook for all of the notes is Stable. Entity/Debt Rating Prior ----------- ------ ----- Willis Engine Structured Trust IV Series A 97064EAA6 LT Asf Affirmed Asf Series B 97064EAC2 LT BBBsf Affirmed BBBsf Willis Engine Structured Trust V Series A 97064FAA3 LT Asf Affirmed Asf Series B 97064FAB1 LT BBBsf Affirmed BBBsf Series C 97064FAC9 LT BBsf Affirmed BBsf Willis Engine Structured Trust III Series A 2017-A 97063QAA0 LT BBBsf Downgrade A-sf Series B 2017-A 97063QAB8 LT BBsf Downgrade BBB-sf TRANSACTION SUMMARY The rating actions 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 engine values, and Fitch's assumptions and stresses, which inform its modelled cash flows and coverage levels. Willis Lease Finance Corp. (WLFC, not rated by Fitch) acts as sponsor, servicer and administrative agent to the transactions. Fitch believes WLFC is an adequate servicer to service these transactions based on its experience as a lessor, and overall servicing capabilities of its owned and managed portfolio including prior ABS transactions. KEY RATING DRIVERS Stable-to-Improving Lessee Credit The credit profiles of the airline and other engine lessees in the pools have remained stable or improved since the prior review in January 2022. Nevertheless, many lessees remain under stress due to the negative ongoing effects of the pandemic on air travel. The proportion of lessees with assumed Issuer Default Ratings (IDRs) of 'CCC' or below in WEST III improved to 25% from 47%; in WEST IV it improved to 27% from 43%. The 'CCC' and below exposure for WEST V increased to 40% from 32%, although the rating composition shifted away from 'D' credits so the overall pool credit quality has remained stable. The IDR assumptions reflect the lessees' ongoing credit profiles and fleets in the current operating environment. Ratings for lessees in the pool were updated for this review. Asset Quality and Appraised Pool Value WEST III, IV and V each include mostly in-demand engines that support narrow body (NB) airframes representing 87%, 71% and 71% of their respective pools. The remaining portion of each pool is split between engines that support widebody (WB) and regional jet (RJ) airframes, with WB engines representing 7%, 20% and 24% of each respective pool, and RJs engines representing 6%, 8% and 5% in each respective pool. Off-lease assets for WEST III and V total 26% and 17% respectively, which is similar to the prior review in which off-lease assets totaled 28% and 20%. Off-lease assets in WEST IV increased to 36% from 31% versus the prior review. The appraisers for the three transactions include IBA Group Limited (IBA) and AVITAS, Inc. (Avitas), while WEST III and IV also include BK Associates Inc. (BK), and WEST V includes Morten Beyer & Agnew Inc. (MBA). The maintenance-adjusted base values (MABVs) are $312.0 million for WEST III, $391.3 million for WEST IV and $410.3 million for WEST V, based on December 2021 appraisals. When controlling for asset sales since the last appraisals, the pool values declined by approximately 2.1%, 1.2% and 1.7% per annum for WEST III, IV and V respectively. Transaction Performance Lease collections have fluctuated in 2022 but remained rangebound since the prior review despite slight declines for WEST III and IV. Based on the November 2022 servicer report (October collection period), WEST III, IV and V received $1.5 million, $1.8 million and $3.3 million in basic rent, respectively, which were higher for West IV & West V compared to their LTM average monthly receipts of $1.7 million, and $2.5 million, respectively. West III basic rent collections were lower than their LTM average monthly receipts ($1.5 million vs. $1.7 million). LTVs on WEST IV and V outstanding notes improved from the prior review as note amortization was larger than collateral value declines, while the LTV for the West III notes increased. The debt-service coverage ratios for WEST III, IV and V are currently at 1.24x, 1.13x and 1.9x. The DSCR is above the rapid amortization trigger, which is 1.1x for all of the transactions. The DSCR is above the cash trapping trigger for West III: 1.24x vs 1.15x and West V: 1.90x vs 1.15x. West IV has a trigger level of 1.15x and a current DSCR of 1.13x. The West III notes have fallen further behind scheduled principal balances vs. the prior review with the A notes $17.5 million (approximately 8%) and the B notes $4.2 million (approximately 13%) behind schedule. 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. DATA ADEQUACY The data used for the development of the rating included information from the following sources: Issuer and Servicer reports as of interest payment date on November 2022 provided by Willis Engine Structured Trust. 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. [*] Moody's Takes Action on $90MM US RMBS Deals Issued 2003-2007 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 10 bonds and downgraded the ratings of two bonds from nine US residential mortgage-backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. Complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Trust 2005-D Cl. A-PO, Upgraded to Aa2 (sf); previously on Aug 28, 2018 Upgraded to A1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Jul 20, 2012 Downgraded to B3 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-2 Cl. M-5, Downgraded to B2 (sf); previously on Oct 16, 2018 Upgraded to B1 (sf) Cl. M-7, Upgraded to Ca (sf); previously on Feb 4, 2013 Affirmed C (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2007-2 Cl. A-3, Upgraded to Baa2 (sf); previously on Mar 7, 2022 Upgraded to Ba1 (sf) Issuer: GSAMP Trust 2003-SEA Cl. A-1, Downgraded to Caa1 (sf); previously on Jul 3, 2012 Downgraded to B3 (sf) Underlying Rating: Downgraded to Caa1 (sf); previously on Jul 3, 2012 Downgraded to B3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: MASTR Specialized Loan Trust 2006-03 Cl. A, Upgraded to B3 (sf); previously on May 24, 2011 Downgraded to Caa2 (sf) Issuer: RAAC Series 2005-RP2 Trust Cl. M-5, Upgraded to Aa2 (sf); previously on Mar 7, 2022 Upgraded to A1 (sf) Issuer: RAAC Series 2007-RP1 Trust Cl. A, Upgraded to Aaa (sf); previously on Mar 7, 2022 Upgraded to Aa1 (sf) Cl. M-1, Upgraded to B1 (sf); previously on Mar 7, 2022 Upgraded to B3 (sf) Issuer: RAAC Series 2007-RP2 Trust Cl. A, Upgraded to Aa3 (sf); previously on Mar 7, 2022 Upgraded to A2 (sf) Issuer: Structured Asset Securities Corporation 2006-GEL4 Cl. M1, Upgraded to Ba2 (sf); previously on Mar 7, 2022 Upgraded to B1 (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 an increase in credit enhancement available to the bonds. The rating downgrade of GSAMP Trust 2003-SEA Cl. A-1 is primarily due to a deterioration in collateral performance. The rating downgrade of Bear Stearns Asset Backed Securities Trust 2006-2 Cl. M-5 is due to outstanding interest shortfalls that are not expected to be recouped as the bond has a weak structural mechanism to reimburse unpaid interest. Principal Methodologies 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 110 Classes From 41 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 110 classes from 41 U.S. RMBS transactions issued between 2003 and 2007. All of these transactions are backed by subprime and negative amortizing collateral. The review yielded 25 upgrades, nine downgrades, 69 affirmations, and seven withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3BbA9NS Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; -- Expected short duration; -- Small loan count; -- Historical and/or outstanding missed interest payments; and -- Assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria relevant to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections." The upgrades are primarily due to increased credit support. Most of these transactions have failed their cumulative loss trigger, which provides a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the class' exposure to losses. As a result, the ratings upgrades on these classes reflect their ability to withstand a higher level of projected losses than previously anticipated. Additionally, most of these classes are receiving all the principal payments or are next in payment priority when the more senior class pays down. Some of the downgrades reflect S&P's view of the impact of performance triggers that are passing, allowing principal payments to be made to more subordinate classes and eroding projected credit support for the affected classes. S&P said, "We lowered our ratings on three classes due to interest shortfalls, which is consistent with our "S&P Global Ratings Definitions," published Nov. 10, 2021, which imposes a maximum rating threshold on classes that have incurred missed interest payments resulting from credit or liquidity erosion. In applying our ratings definitions, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payments (e.g., interest on interest) and if the missed interest payments will be repaid by the maturity date. "We also lowered our rating on the RASC Series 2004-KS5 Trust's class A-I-5 certificates due to the impact of reductions in interest payments to security holders that have been realized (the realized cumulative interest reduction amount [CIRA]) due to loan modifications and other credit-related events. To determine the maximum potential rating (MPR) for this class, we consider the amount of interest the security has received to date versus how much it would have received absent such credit-related events, as well as interest reduction amounts that we expect over the remaining term of the security (expected CIRA). However, when the realized CIRA exceeds 4.5% of the original security balance, we consider the MPR to be 'D' irrespective of the expected CIRA. Class A-I-5 has a realized CIRA that exceeds 4.5%, which thus corresponds to an MPR of 'D'. "Our assessment of counterparty risk may constrain the rating assigned to a class if the maximum supported rating, as determined under these criteria, is lower than what would be supported under other applicable criteria in our analysis of that class. We lowered our ratings on classes A-1 and A-2 from Chevy Chase Funding LLC's series 2004-1, because of our assessment of our counterparty criteria on these ratings. The maximum supported rating for these classes is constrained by the rating of the counterparty based on our assessment of the related transaction's replacement commitment and collateral posting framework, as described in our counterparty criteria. "We withdrew our ratings on six classes from four transactions due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, we believe there is a high degree of credit instability that is incompatible with any rating level. Consequently, we applied our interest-only criteria, "Global Methodology For Rating Interest-Only Securities," published April 15, 2010, which resulted in withdrawing one rating from one transaction." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2022. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***