/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221218.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 18, 2022, Vol. 26, No. 351 Headlines 720 EAST 2022-I: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ADAMS OUTDOOR 2018-1: Fitch Affirms 'BBsf' Rating on Class C Notes AGL CLO 23: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable AMERICREDIT 2019-2: Fitch Affirms BB Rating on Class E Debt AMMC CLO 27: S&P Assigns BB- (sf) Rating on Class E Notes ARES LXVII: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable BANK 2019-BNK17: Fitch Affirms 'B-sf' Rating on Two Tranches BBCMS MORTGAGE 2022-C18: Fitch Gives 'B-' Rating on Cl. H-RR Certs BOMBARDIER CAPITAL 1999-A: S&P Raises A-5 Certs Rating to BB+ (sf) BX TRUST 2022-FOX2: Fitch Assigns 'B-sf' Rating on Class F Certs CARLYLE US 2022-6: Fitch Assigns 'BB-sf' Rating on Class E Notes CD 2017-CD6: Fitch Affirms 'B-sf' Rating on Class G-RR Certs COMM 2012-LC4: Fitch Cuts Rating on Class C Certs to Bsf DBJPM MORTGAGE 2016-C1: Fitch Affirms 'Bsf' Rating on Two Tranches EXETER AUTOMOBILE 2022-6: Fitch Gives 'BBsf' Rating on Cl. E Notes GS MORTGAGE 2012-GCJ7: Moody's Lowers Rating on 2 Tranches to C GS MORTGAGE 2017-SLP: S&P Affirms B (sf) Rating on Class E Certs JP MORGAN 2014-DSTY: S&P Lowers Class A Certs Rating to 'D (sf)' JPMCC COMMERCIAL 2019-COR4: Fitch Cuts Rating on H-RR Certs to CCC MORGAN STANLEY 2013-C7: Moody's Cuts Rating on Cl. C Certs to Ba1 MORGAN STANLEY 2015-C22: Fitch Affirms 'BBsf' Rating on Cl. D Certs MOSAIC SOLAR 2022-3: Fitch Gives 'BB(EXP)sf' Rating on Cl. D Notes NEUBERGER BERMAN 52: Fitch Gives 'BB+(EXP)' Rating on Cl. E Notes OBX TRUST 2022-NQM9: Fitch Assigns 'Bsf' Rating on Class B-2 Notes PALISADES CENTER 2016-PLSD: S&P Affirms 'CCC-' Rating on D Notes SHAWBROOK MORTGAGE 2022-1: Fitch Gives 'CCsf' Rating on Cl. F Notes SOUND POINT 35: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes TABERNA PREFERRED III: Fitch Affirms B-sf Rating on Cl. A-2A Notes VNDO TRUST 2016-350P: S&P Affirms B (sf) Rating on Class E Certs WELLS FARGO 2016-NXS5: Fitch Cuts Rating on Two Tranches to 'CCCsf' [*] S&P Takes Various Actions on 131 Classes From 33 US RMBS Deals [*] S&P Takes Various Actions on 46 Classes From 13 US RMBS Deals ********* 720 EAST 2022-I: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to 720 East CLO 2022-I Ltd./720 East CLO 2022-I LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Northwestern Mutual Investment Management Co. LLC, a subsidiary of The Northwestern Mutual Life Insurance Co. The preliminary ratings are based on information as of Dec. 15, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned 720 East CLO 2022-I Ltd./720 East CLO 2022-I LLC Class A, $272.00 million: AAA (sf) Class B, $51.00 million: AA (sf) Class C (deferrable), $25.50 million: A (sf) Class D (deferrable), $25.50 million: BBB- (sf) Class E (deferrable)(i), $12.75 million: BB- (sf) Subordinated notes, $51.10 million: Not rated (i)The class E notes may be issued as a delayed funding note. The notional balance represents the maximum principal amount permitted under such notes, which amount is expected to be undrawn as of the closing date. The interest rate on the class E notes will be negotiated at the time of the one-time funding and is not expected to be greater than the interest rate listed above. ADAMS OUTDOOR 2018-1: Fitch Affirms 'BBsf' Rating on Class C Notes ------------------------------------------------------------------ Fitch Ratings has affirmed three classes of Adams Outdoor Advertising Limited Partnership (LP) Secured Billboard Revenue Notes Series 2018-1 and one class of Series 2021-1. Entity/Debt Rating Prior ----------- ------ ----- Adams Outdoor Advertising LP 2018-1 A 006346AS9 LT Asf Affirmed Asf B 006346AU4 LT BBBsf Affirmed BBBsf C 006346AV2 LT BBsf Affirmed BBsf Adams Outdoor Advertising LP, 2021 A-1 LT Asf Affirmed Asf TRANSACTION SUMMARY The transaction represents a securitization in the form of notes backed by approximately 9,600 outdoor advertising displays. As this transaction isolates the assets from the parent company, the ratings reflect a structured finance analysis of the cash flows from advertising structures, not an assessment of the corporate default risk of the ultimate parent, Adams Outdoor Advertising (AOA). The 2021-1 series of securities was issued as a variable funding note (VFN) pursuant to a supplement to the existing indenture in conjunction with a supplemental indenture on the closing date of the 2021 transaction. The 2021-1 class A-1 VFN rate is benchmarked to the term Secured Overnight Financing Rate (SOFR) while the outstanding 2018-1 notes are fixed rate. The SOFR is uncapped, but 2021 class A-1 will represent only 11.3% of the trust debt amount at closing and scheduled principal reductions will represent only 4.9% of the trust debt at the anticipated repayment date in November 2025 (coterminous with the outstanding 2018-1 classes). KEY RATING DRIVERS Continued Cash Flow Growth/Fitch Leverage: Fitch's net cash flow (NCF) for the pool is $70.1 million as of September 2022, implying a Fitch stressed debt service coverage ratio (DSCR) of 1.63x. The debt multiple relative to Fitch's NCF is 7.1x, which equates to a debt yield of 14.1%. Non-Traditional Asset Type; Rating Cap: Due to the specialized nature of the collateral consisting primarily of outdoor advertising displays and lack of mortgages, the senior classes of this transaction do not achieve ratings above 'Asf'. Advertisers Tied to Economic, Retail Outlook: Fitch expects the outdoor industry to continue to track the overall macroeconomic environment, given the largely discretionary nature of the majority of advertising spend. AOA's management team has experience managing these assets in its respective markets through economic cycles. In addition, many of these markets are located in stable economic regions in which state governments and colleges/universities are the major employers. Dominant Market Share/Barriers to Entry: AOA primarily operates in midsize markets where it is the dominant provider of outdoor advertising. This dominant market share adds to the predictability of cash flow by minimizing pricing pressure from competition. AOA faces limited competition in its market as result of the billboard permitting process and significant federal, state and local regulations that limit supply and prohibit new billboards. Scheduled Amortization: Principal will be payable to the 2021-1 class A-1 note and the 2018-1 class A note to the extent funds are available equal to 66.7% of the 2021 class A-1 and 23.1% of the 2018-1 class A note over the remaining four years prior to the anticipated repayment date (ARD) in November 2025. Total amortization on the entire trust is scheduled to be 23.3%. Experienced Sponsorship and Management Team: AOA has been operating since 1983 and is currently one of the largest domestic billboard operators. AOA has shown consistent performance and demonstrated an ability to effectively manage its operations through the economic cycle, as it was able to reduce expenses in 2008 and 2009 during the financial crisis and more recently in 2020 and 2021 during the coronavirus pandemic to offset the declines in revenue. In September 2021, Searchlight Capital Partners and British Columbia Investment Management Corporation (BCI) announced the signing of a definitive agreement for a strategic investment into AOA. Searchlight is a global private investment firm and BCI is one of the largest asset managers in Canada. Fitch conducted a call with the management team at AOA and representatives from Searchlight, who stated that the existing AOA management team was expected to stay in place with no disruption to operations. Notes Not Secured by Mortgages: The security interest is perfected by a pledge of the membership interests of the issuer and its subsidiaries and the filing of financing statements under the Uniform Commercial Code (UCC). The issuer filed UCCs on the permits and the advertising contracts. The security interest in the equity of the issuer provides the noteholders with the ability to foreclose on the issuer in an event of default. The lack of mortgages is mitigated in this transaction as the value of billboard assets is heavily dependent on non-mortgageable permits and licenses, which have been secured by UCC filings. Issuance of Additional Notes: In addition to the upsize provision, AOA has the ability to issue additional notes in the future. However, additional issuance is subject to the following conditions, among others: if additional billboard assets are being contributed to the trust, the pro forma interest-only (IO) DSCR after such issuance is not less than the IO DSCR before issuance and ratings confirmation is obtained; and if no additional billboard assets are being contributed to the trust, the pro forma IO DSCR after such issuance is not less than 2.25x. As Fitch monitors the transaction, the possibility of upgrades may be limited due to the provision that allows additional notes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Downgrades are limited due to the high barriers of entry and limited competition, and the sponsors ability to manage expenses to offset declines in revenue during periods of economic downturns. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Upgrades are limited due to the provision allowing the issuance of additional notes, and the non-traditional asset type and rating cap. 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. AGL CLO 23: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to AGL CLO 23, Ltd. Entity/Debt Rating ----------- ------ AGL CLO 23, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY AGL CLO 23 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by AGL CLO Credit Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.5 versus a maximum covenant, in accordance with the initial 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 (CE) and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 100.0% first lien senior secured loans and has a weighted average recovery assumption of 74.5% versus a minimum covenant, in accordance with the initial matrix point of 72.4%. 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 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch Ratings' analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In its stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class A and B notes, between 'A+sf' and 'AA-sf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. AMERICREDIT 2019-2: Fitch Affirms BB Rating on Class E Debt ----------------------------------------------------------- Fitch has taken various actions on the outstanding notes issued by AmeriCredit Automobile Receivables Trusts (AMCAR) 2018-2, 2019-1, 2019-2, 2020-1, 2020-2, 2021-1 and 2022-1 and revised the Rating Outlook on five classes. Entity/Debt Rating Prior ----------- ------ ----- AmeriCredit Automobile Receivables Trust 2019-2 C 03066KAG5 LT AAAsf Affirmed AAAsf D 03066KAH3 LT Asf Affirmed Asf E 03066KAA8 LT BBsf Affirmed BBsf AmeriCredit Automobile Receivables Trust 2022-1 A-2 03066TAB7 LT AAAsf Affirmed AAAsf A-3 03066TAC5 LT AAAsf Affirmed AAAsf B 03066TAD3 LT AAsf Affirmed AAsf C 03066TAE1 LT Asf Affirmed Asf D 03066TAF8 LT BBBsf Affirmed BBBsf E 03066TAG6 LT BBsf Affirmed BBsf AmeriCredit Automobile Receivables Trust 2020-1 B 03067DAE5 LT AAAsf Affirmed AAAsf C 03067DAF2 LT AAsf Affirmed AAsf D 03067DAG0 LT BBBsf Affirmed BBBsf AmeriCredit Automobile Receivables Trust 2021-1 A-3 03063FAC8 LT AAAsf Affirmed AAAsf B 03063FAD6 LT AAAsf Upgrade AAsf C 03063FAE4 LT Asf Affirmed Asf D 03063FAF1 LT BBBsf Affirmed BBBsf E 03063FAG9 LT BBsf Affirmed BBsf AmeriCredit Automobile Receivables Trust 2020-2 A-3 03066EAD6 LT AAAsf Affirmed AAAsf B 03066EAE4 LT AAAsf Affirmed AAAsf C 03066EAF1 LT AAsf Upgrade Asf D 03066EAG9 LT BBBsf Affirmed BBBsf E 03066EAH7 LT BBsf Affirmed BBsf AmeriCredit Automobile Receivables Trust 2018-2 C 03066LAF5 LT AAAsf Affirmed AAAsf D 03066LAG3 LT AAsf Upgrade Asf E 03066LAH1 LT BBBsf Affirmed BBBsf AmeriCredit Automobile Receivables Trust 2019-1 C 03066GAF6 LT AAAsf Affirmed AAAsf D 03066GAG4 LT Asf Affirmed Asf E 03066GAH2 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS The affirmations and upgrades of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking inside the initial base case proxies and hard CE levels have grown for all classes in each transaction since close. The Stable Outlooks on 'AAAsf'-rated notes reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in credit quality of the portfolio in stress scenarios and that loss coverage will continue to increase as the transactions amortize. The Positive Outlooks on the applicable classes reflect the possibility for an upgrade in the next one to two years. The Stable Outlooks on the most subordinate notes reflect the expectation of slower upgrades compared to less subordinate notes. As of the November 2022 distribution date, 61+ day delinquencies were 2.72%, 2.69%, 2.81%, 1.73%, 1.71%, 1.79%, and 1.22% of the remaining collateral balance for 2018-2, 2019-1, 2019-2, 2020-1, 2020-2, 2021-1, and 2022-1, respectively. CNLs were 5.49%, 4.71%, 4.48%, 2.45%, 1.75%, 1.11%, and 0.59%, tracking below Fitch's initial base cases of 10.50%, 10.75%, 11.00%, 10.75%, 11.25%, 11.00% and 10.00%. Furthermore, hard CE has grown for all transactions since close. The revised lifetime CNL proxies consider the transactions' remaining pool factors, pool compositions, and performance to date. Furthermore, they consider current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates and ultimately transaction losses. To account for potential increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated base case loss proxies, but reduced the base case proxies from the prior rating action in acknowledgement of the strong performance to date. However, for the most recent 2022-1 transaction, it was too early in its life to produce meaningful projections, so Fitch accounted for strong performance so far with a measured reduction. The base case proxies were lowered to 7.00%, 7.00%, 7.00%, 7.00%, 7.00%, 8.00%, and 9.50% for 2018-2, 2019-1, 2019-2, 2020-1, 2020-2, 2021-1 and 2022-1 respectively. Given the performance to date, driven by strong recoveries from the used vehicle market, Fitch deemed it appropriately conservative to utilize these approaches for the transactions. For the outstanding transactions, modeled loss coverage multiples for the rated notes are consistent with or in excess of 3.25x for 'AAAsf', 2.75x for 'AAsf', 2.25x for 'Asf', 1.75x for 'BBBsf' and 1.50x for 'BBsf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected base case default proxy, and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have some sensitivity to a 1.5x and 2.0x increase of Fitch's base case loss expectation for each transaction. For outstanding transactions, this scenario suggests a possible downgrade of up to three categories for all classes of notes. However, this is based on a very conservative proxy. To date, the transactions have strong performance with losses within Fitch's initial expectations with adequate loss coverage and multiple levels. Therefore, a material deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding ratings. 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 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 Global Stagflation Would Mean for Structured Finance and Covered Bond Ratings"). Fitch expects the North American subprime auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations, and a 25% chance of sector outlook revision by YE 2023. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above that increases the default expectation by 2.0x. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected CNL proxy, the ratings could be maintained or upgraded. 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. AMMC CLO 27: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to AMMC CLO 27 Ltd./AMMC CLO 27 LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by American Money Management Corp. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned AMMC CLO 27 Ltd./AMMC CLO 27 LLC Class A-1A, $178.480 million: NR Class A-1F, $41.000 million: NR Class A-J, $7.080 million: NR Class B-1, $23.500 million: AA (sf) Class B-F, $17.210 million: AA (sf) Class C (deferrable), $18.585 million: A (sf) Class D (deferrable), $18.600 million: BBB- (sf) Class E (deferrable), $13.275 million: BB- (sf) Subordinated notes, $32.100 million: NR NR--Not rated. N/A--Not applicable. ARES LXVII: Fitch Gives BB-sf Rating on Cl. E Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Ares LXVII CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXVII CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT NRsf New Rating NR(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 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. BANK 2019-BNK17: Fitch Affirms 'B-sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has affirmed 51 classes from three multiborrower transactions from the 2019 vintage. The Rating Outlooks remain Stable for all of these classes. Entity/Debt Rating Prior ----------- ------ ----- BANK 2019-BNK17 A-1 065403AY3 LT AAAsf Affirmed AAAsf A-2 065403AZ0 LT AAAsf Affirmed AAAsf A-3 065403BB2 LT AAAsf Affirmed AAAsf A-4 065403BC0 LT AAAsf Affirmed AAAsf A-S 065403BF3 LT AAAsf Affirmed AAAsf A-SB 065403BA4 LT AAAsf Affirmed AAAsf B 065403BG1 LT AA-sf Affirmed AA-sf C 065403BH9 LT A-sf Affirmed A-sf D 065403AJ6 LT BBBsf Affirmed BBBsf E 065403AL1 LT BBB-sf Affirmed BBB-sf F 065403AN7 LT BB-sf Affirmed BB-sf G 065403AQ0 LT B-sf Affirmed B-sf X-A 065403BD8 LT AAAsf Affirmed AAAsf X-B 065403BE6 LT AA-sf Affirmed AA-sf X-C 065403BJ5 LT A-sf Affirmed A-sf X-D 065403AA5 LT BBB-sf Affirmed BBB-sf X-F 065403AC1 LT BB-sf Affirmed BB-sf X-G 065403AE7 LT B-sf Affirmed B-sf BANK 2019-BNK16 A-2 065405AB8 LT AAAsf Affirmed AAAsf A-3 065405AD4 LT AAAsf Affirmed AAAsf A-4 065405AE2 LT AAAsf Affirmed AAAsf A-S 065405AF9 LT AAAsf Affirmed AAAsf A-SB 065405AC6 LT AAAsf Affirmed AAAsf B 065405AG7 LT AA-sf Affirmed AA-sf C 065405AH5 LT A-sf Affirmed A-sf D 065405AL6 LT BBBsf Affirmed BBBsf E 065405AN2 LT BBB-sf Affirmed BBB-sf F 065405AQ5 LT BB-sf Affirmed BB-sf G 065405AS1 LT B-sf Affirmed B-sf X-A 065405AJ1 LT AAAsf Affirmed AAAsf X-B 065405AK8 LT A-sf Affirmed A-sf X-D 065405AY8 LT BBB-sf Affirmed BBB-sf X-F 065405BA9 LT BB-sf Affirmed BB-sf X-G 065405BC5 LT B-sf Affirmed B-sf BANK 2019-BNK18 A-1 065402AY5 LT AAAsf Affirmed AAAsf A-2 065402AZ2 LT AAAsf Affirmed AAAsf A-3 065402BB4 LT AAAsf Affirmed AAAsf A-4 065402BC2 LT AAAsf Affirmed AAAsf A-S 065402BF5 LT AAAsf Affirmed AAAsf A-SB 065402BA6 LT AAAsf Affirmed AAAsf B 065402BG3 LT AA-sf Affirmed AA-sf C 065402BH1 LT A-sf Affirmed A-sf D 065402AJ8 LT BBBsf Affirmed BBBsf E 065402AL3 LT BBB-sf Affirmed BBB-sf F 065402AN9 LT BBsf Affirmed BBsf G 065402AQ2 LT Bsf Affirmed Bsf X-A 065402BD0 LT AAAsf Affirmed AAAsf X-B 065402BE8 LT A-sf Affirmed A-sf X-D 065402AA7 LT BBB-sf Affirmed BBB-sf X-F 065402AC3 LT BBsf Affirmed BBsf X-G 065402AE9 LT Bsf Affirmed Bsf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and have remained relatively stable since issuance. As there have been no material changes to the pools since issuance, the original rating analysis was considered in affirming the transactions. Fitch Loans of Concern: Across these three transactions, Fitch has identified 13 loans as Fitch Loans of Concern (FLOCs) due to pandemic-related performance declines, borrower-related issues and lease rollover concerns; the FLOCs account for a range from 8.1% to 17.3% of their individual respective pools. Minimal Changes in Credit Enhancement (CE): As of the November 2022 distribution date, these pools' aggregate balances have been paid down an average of 1.76% (ranging between 1.13% and 2.82%). There have been no realized losses incurred on these pools to date. Defeasance total four loans, ranging from 0.4% to 9.1% of their respective pools; the largest concentration of defeasance is in BANK 2019-BNK17 (9.1% of pool; two loans). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to 'AAAsf' and 'AAsf' category rated classes are not likely due to their position in the capital structure, overall stable performance and expected continued paydown, but may occur should interest shortfalls affect these classes. Downgrades to 'Asf' and 'BBBsf' category rated classes may occur should expected losses for the pool increase substantially, and all of the loans susceptible to the pandemic suffer losses, which would erode credit enhancement. Downgrades to 'BBsf' and 'Bsf' category rated classes would occur should overall pool loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default or transfer to special servicing and/or higher losses incur on the specially serviced loans than expected. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that could lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or defeasance. Upgrades to 'AAsf' and 'Asf' category rated classes may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs and/or the properties affected by the pandemic. Upgrades to 'BBBsf' category rated classes would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there were likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely unless resolution of the specially serviced loans is better than expected and performance of the remaining pool is stable, and/or properties vulnerable to the pandemic return to pre-pandemic levels and there is sufficient CE to the classes. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BBCMS MORTGAGE 2022-C18: Fitch Gives 'B-' Rating on Cl. H-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2022-C18, commercial mortgage pass-through certificates, series 2022-C18 as follows: - $10,600,000 class A-1 'AAAsf'; Outlook Stable; - $73,000,000 class A-2 'AAAsf'; Outlook Stable; - $42,100,000 class A-3 'AAAsf'; Outlook Stable; - $175,000,000a class A-4 'AAAsf'; Outlook Stable; - $248,200,000a class A-5 'AAAsf'; Outlook Stable; - $16,826,000 class A-SB 'AAAsf'; Outlook Stable; - $636,441,000b class X-A 'AAAsf'; Outlook Stable; - $70,715,000 class A-S 'AAAsf'; Outlook Stable; - $34,348,000 class B 'AA-sf'; Outlook Stable; - $38,389,000 class C 'A-sf'; Outlook Stable; - $20,204,000bc class X-D 'BBBsf'; Outlook Stable; - $20,204,000c class D 'BBBsf'; Outlook Stable; - $19,194,000cd class E-RR 'BBB-sf'; Outlook Stable; - $11,113,000cd class F-RR 'BB+sf'; Outlook Stable; - $10,102,000cd class G-RR 'BB-sf'; Outlook Stable. - $9,092,000cd class H-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $29,297,236cd class J-RR 'NR'. a) Since Fitch published its expected ratings on Nov. 11, 2022, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $423,200,000 in the aggregate, subject to a 5% variance. The classes above reflect the final ratings and deal structure. b) Notional amount and interest only (IO); c) Privately placed and pursuant to Rule 144A; d) Horizontal risk retention interest. Entity/Debt Rating Prior ----------- ------ ----- BBCMS 2022-C18 A-1 054975AA5 LT AAAsf New Rating AAA(EXP)sf A-2 054975AB3 LT AAAsf New Rating AAA(EXP)sf A-3 054975AC1 LT AAAsf New Rating AAA(EXP)sf A-4 054975AD9 LT AAAsf New Rating AAA(EXP)sf A-5 054975AE7 LT AAAsf New Rating AAA(EXP)sf A-S 054975AJ6 LT AAAsf New Rating AAA(EXP)sf A-SB 054975AF4 LT AAAsf New Rating AAA(EXP)sf B 054975AK3 LT AA-sf New Rating AA-(EXP)sf C 054975AL1 LT A-sf New Rating A-(EXP)sf D 054975AP2 LT BBBsf New Rating BBB(EXP)sf E-RR 054975AR8 LT BBB-sf New Rating BBB-(EXP)sf F-RR 054975AT4 LT BB+sf New Rating BB+(EXP)sf G-RR 054975AV9 LT BB-sf New Rating BB-(EXP)sf H-RR 054975AX5 LT B-sf New Rating B-(EXP)sf J-RR 054975AZ0 LT NRsf New Rating NR(EXP)sf X-A 054975AG2 LT AAAsf New Rating AAA(EXP)sf X-B 054975AH0 LT WDsf Withdrawn A-(EXP)sf X-D 054975AM9 LT BBBsf New Rating BBB(EXP)sf TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 114 commercial properties with an aggregate principal balance of $808,180,236 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Bank of Montreal, Societe Generale Financial Corporation, UBS AG, BSPRT CMBS Finance, LLC, LMF Commercial, LLC, KeyBank National Association, Argentic Real Estate Finance LLC and Starwood Mortgage Capital LLC. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is Rialto Capital Advisors, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 34.0% of the loans by balance, cash flow analysis of 92.0% of the pool and asset summary review on 100.0% of the pool. Fitch has withdrawn the expected rating for class X-B because the class was removed from the final deal structure. The classes above reflect the final ratings and deal structure. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool's Fitch Ratings loan-to-value ratio (LTV) of 90.6% is lower than both the YTD 2022 and 2021 averages of 100.0% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.27x is lower than the YTD 2022 and 2021 averages of 1.31x and 1.38x, respectively, driven in large part by a higher average mortgage rate. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 93.8% and 1.25x, respectively. Investment Grade Credit Opinion Loans: The pool includes three loans, representing 10.95% of the total cutoff balance, that received an investment grade credit opinion. This is below both the YTD 2022 and 2021 averages of 16.0% and 14.9%, respectively. The Liberty Park at Tysons loan (5.6% of the pool) received a standalone credit rating of 'A-sf*'. The 70 Hudson Street loan (4.5% of the pool) received a standalone credit rating of 'BBBsf*'. The Park West Village loan (0.9% of the pool) received a standalone credit rating of 'BBB-sf*'. Minimal Amortization: Based on scheduled balances at maturity, the pool is scheduled to pay down by only 3.9%, which is slightly above the YTD 2022 average of 3.3% and below the 2021 average of 4.8%. Twenty-four loans (65.9% of the pool) are full-term IO loans and four loans (19.0% of the pool) are partial IO. Nine loans (15.1% of the pool) are amortizing balloon loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch net cash flow (NCF): - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB+sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'A+sf'/'A-sf'/'BBB-sf'/'BBB-sf'/'BBsf'/'Bsf'/'CCCsf'/'CCCsf'; - 20% NCF Decline: 'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'; - 30% NCF Decline: 'BBBsf'/'BB+sf'/'B-sf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'/'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BBsf'/'Bsf'; - 20% NCF Increase: 'AAAsf'/'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB+sf'/'BBB-sf'/'BBB-sf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BOMBARDIER CAPITAL 1999-A: S&P Raises A-5 Certs Rating to BB+ (sf) ------------------------------------------------------------------ S&P Global Ratings raised its ratings on Bombardier Capital Mortgage Securitization Corp.'s series 1998-C's class A and series 1999-A's class A-4 and A-5 certificates. Series 1998-C and 1999-A are ABS transactions backed by manufactured housing loans originated by Bombardier Capital Inc. Today's rating actions reflect the transactions' collateral performance to date and structure, our views regarding future collateral performance, and the credit enhancement available. Furthermore, our analysis incorporated secondary credit factors such as payment priorities under certain scenarios, and sector- and issuer-specific analysis. The pace of losses over the past few years has generally remained stable, and as such, we are maintaining our expected lifetime cumulative net loss range for both transactions. COLLATERAL PERFORMANCE (As of the November 2022 distribution) Expected Pool factor Current lifetime Series Mo. (%) CNL (%) CNL(i)(%) 1998-C 288 3.68 44.12 45.00-48.00 1999-A 286 3.96 44.71 45.00-48.00 (i)Lifetime CNL expectation based on current performance data. CNL--Cumulative net loss. Both transactions were initially structured with overcollateralization and subordination. Because of higher-than-expected losses, both series' overcollateralization has been depleted. The only other hard support for both transactions is the subordinated class M-1 certificates, which continue to experience monthly principal write-downs. However, the pace of class A principal payments currently outperforms the speed of the principal write-downs. This has helped maintain sufficient credit enhancement for the class A certificates, which are senior in priority to the class M-1 certificates. Compared to S&P's August 2021 review, credit support as a percentage of the current collateral balance increased to 91.06% from 70.65% for the series 1998-C's class A certificates and to 91.34% from 67.96% for series 1999-A's class A-4 and A-5 certificates. S&P Global Ratings will continue to monitor the performance of these transactions and take rating actions as we consider appropriate. RATINGS AFFIRMED Bombardier Capital Mortgage Securitization Corp. Rating Series Class To From 1998-C A BB+ (sf) B (sf) 1999-A A-4 BB+ (sf) B- (sf) 1999-A A-5 BB+ (sf) B- (sf) BX TRUST 2022-FOX2: Fitch Assigns 'B-sf' Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to BX Trust 2022-FOX2 commercial mortgage pass-through certificates series 2022-FOX2. Entity/Debt Rating Prior ----------- ------ ----- BX Trust 2022- FOX2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT B-sf New Rating B-(EXP)sf G LT NRsf New Rating NR(EXP)sf HRR LT NRsf New Rating NR(EXP)sf Fitch has assigned final ratings and Rating 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. CARLYLE US 2022-6: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2022-6, Ltd. Entity/Debt Rating ----------- ------ Carlyle US CLO 2022-6, Ltd. A LT NRsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Carlyle US CLO 2022-6, Ltd., is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle CLO Management L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. The weighted average rating factor (WARF) of the indicative portfolio is 25.46 versus a maximum covenant, in accordance with the initial expected matrix point of 28.0; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.8% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.04% versus a minimum covenant, in accordance with the initial expected matrix point of 73.40%. 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 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, and all other matrix points, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B-1, between 'BB+sf' and 'AA+sf' for class B-2, between 'B-sf' and 'Asf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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 'AAsf' 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, 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. CD 2017-CD6: Fitch Affirms 'B-sf' Rating on Class G-RR Certs ------------------------------------------------------------ Fitch Ratings has affirmed 15 classes of CD 2017-CD6 Mortgage Trust. The Outlook on class G-RR remains Negative and the Outlook remains Stable for all other classes. Fitch has also affirmed the MOA 2020-CD6 E-RR horizontal risk retention pass through certificate of 2017 CD6 III Trust based on the underlying CD 2017-CD6 transaction. Entity/Debt Rating Prior ----------- ------ ----- CD 2017-CD6 A-2 125039AB3 LT AAAsf Affirmed AAAsf A-3 125039AC1 LT AAAsf Affirmed AAAsf A-4 125039AE7 LT AAAsf Affirmed AAAsf A-5 125039AF4 LT AAAsf Affirmed AAAsf A-M 125039AH0 LT AAAsf Affirmed AAAsf A-SB 125039AD9 LT AAAsf Affirmed AAAsf B 125039AJ6 LT AA-sf Affirmed AA-sf C 125039AK3 LT A-sf Affirmed A-sf D 125039AQ0 LT BBBsf Affirmed BBBsf E-RR 125039AS6 LT BBB-sf Affirmed BBB-sf F-RR 125039AU1 LT BB-sf Affirmed BB-sf G-RR 125039AW7 LT B-sf Affirmed B-sf X-A 125039AG2 LT AAAsf Affirmed AAAsf X-B 125039AL1 LT AA-sf Affirmed AA-sf X-D 125039AN7 LT BBBsf Affirmed BBBsf MOA 2020-CD6 E E-RR 90214VAA2 LT BBB-sf Affirmed BBB-sf The MOA 2020-CD6 E-RR class represents horizontal credit risk retention interests in the underlying transaction, CD 2017-CD6. The final ratings and Rating Outlooks reflect the ratings and Outlooks of the underlying E-RR class. KEY RATING DRIVERS Stable Loss Expectations: Fitch's base case loss has remained relatively stable since the prior rating action as the pool continues to stabilize post-pandemic. Fitch's ratings incorporate a base case loss of 3.8% compared to 3.5% at the prior rating action. There are 13 Fitch Loans of Concern (FLOCs) (26.5%), including one loan (1.2%) in special servicing; nine loans (19.4%) have been flagged for declining occupancy, upcoming lease expirations and/or hotels with pandemic-related underperformance. The Stable Outlooks reflect the stable performance of the majority of the pool. The Negative Outlook on class G-RR primarily reflects concerns with the continuing underperformance of the Headquarters Plaza (8.0%) and Gurnee Mills (1.5%) loans. Two loans (12%) that were in special servicing at the last rating action have been returned to the master servicer as corrected loans. The largest contributor to modeled losses is Headquarters Plaza (8%), the largest loan in the pool. The property is a mixed-use office, hotel, and retail complex located in Morristown, NJ. This loan transferred to special servicing in June 2020 for payment default as a result of coronavirus pandemic related hardship. The borrower completed a $15 million PIP renovation for the hotel and approximately $4.8 million renovation for the commercial portion of the property in late 2021. The loan was brought current in May 2021 following the execution of a forbearance agreement and returned to the Master Servicer in October 2021. Property performance declined in 2021 and the first half of 2022 due to ongoing renovations at the hotel and some vacating tenants at the office property. As of June 2022 the property was 86% occupied with an NOI DSCR of 0.78x. This compares to 92% and 2.26x respectively at YE 2019. Fitch modeled a loss of approximately 9% on the loan and will continue to monitor it. The second largest contributor to overall loss expectations, Gurnee Mills (2.3%), is secured by a 1.7 million-sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. The mall is anchored by Marcus Cinema (non-collateral), Burlington Coat Factory (non-collateral), Value City Furniture (non-collateral), Bass Pro Shops Outdoor World, Floor & Decor, Kohl's and Macy's. The loan was previously transferred to the special servicer in June 2020 for imminent monetary default and returned to the master servicer in May 2021 after receiving a forbearance. Per the servicer's June 2022 reporting occupancy is up to 83% from 77% at YE 2021, but still below 86.7% at YE 2020 and 93% at issuance. The property faces near-term rollover, with leases totaling 13.6% of the NRA scheduled to expire in 2023, including Bed Bath & Beyond (3.3% of NRA; January 2023 lease expiration), Lee Wrangler (1.3%; January 2023), Off Broadway Shoes (1.2%; January 2023) and Rainforest Cafe (1.1%; December 2023). Fitch's base case loss of 30% reflects a 12% cap rate and 5% stress to the YE 2021 NOI, and factors in an increased loss recognition to account for the likelihood of maturity default. Specially Serviced Loans: There is one loan in special servicing which transferred when it failed to repay at its July 2022 maturity date. Special Servicer and Borrower completed a modification of the loan on Oct. 14, 2022, which extends maturity to July 2024 with two additional one-year extension options to July 2025 and July 2026, in exchange for an equity injection by the sponsor to facilitate future leasing at the property. The loan is expected to transfer back to the master servicer. Increasing Credit Enhancement: As of the November 2022 distribution date, the pool's aggregate balance has been reduced by 11.5% to $940 million from $1.062 billion at issuance. Three loans (5.4%) repaid since the last rating action. Fifteen loans (36%) are classified as interest only for the entire loan term. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The Negative Outlook on classes G-RR reflect the potential for downgrades due to concerns surrounding the underperformance of the Headquarters Plaza and Gurnee Mills mall loans. Downgrades could be triggered by an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the classes rated 'AAAsf' are not considered likely due to position in the capital structure, but may occur at 'AAAsf' or 'AA-sf' should interest shortfalls occur. Downgrades to classes C through E-RR may occur if overall pool performance declines or loss expectations increase. Downgrades to classes F-RR and G-RR may occur if loans in special servicing fail to become corrected as expected or resolve with higher than anticipated losses, or if 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 could be triggered by significantly improved performance coupled with paydown and/or defeasance. An upgrade to classes B and C could occur with continued increases in credit enhancement along with stabilization of the FLOCs, but would be limited as concentrations increase. Classes would not be upgraded above 'Asf' if there is likelihood of interest shortfalls. Upgrades of classes C, D and E-RR would only occur with significant improvement in credit enhancement and stabilization of the FLOCs. An upgrade to classes F-RR and G-RR is not likely unless performance of the FLOCs improves, and if performance of the remaining pool is stable. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2012-LC4: Fitch Cuts Rating on Class C Certs to Bsf -------------------------------------------------------- Fitch Ratings has downgraded two and affirmed three classes of German American Capital Corp.'s COMM 2012-LC4 (COMM 2012-LC4) commercial mortgage pass-through certificates. The Rating Outlook on classes B and C is Negative following the downgrade. Entity/Debt Rating Prior ----------- ------ ----- COMM 2012-LC4 B 126192AF0 LT BBBsf Downgrade Asf C 126192AG8 LT Bsf Downgrade BBsf D 126192AK9 LT CCsf Affirmed CCsf E 126192AL7 LT Csf Affirmed Csf F 126192AM5 LT Csf Affirmed Csf KEY RATING DRIVERS Increased Loss Expectations; Pool Concentration and Adverse Selection: Loss expectations for the pool have increased since Fitch's last rating action, primarily due to higher losses on the Alamance Crossing loan, which defaulted at its July 2021 maturity, and performance has further deteriorated and workout is expected to be prolonged. Additionally, losses on the Square One Mall loan remain high, where cash flow has declined further despite occupancy having improved. Four loans/assets remain in the pool, of which three (47% of the pool) are specially serviced, including two regional mall loans/assets (42.4%), one of which is REO (14.8%), and one multifamily loan (4.9%) that transferred in February 2022. The only non-specially serviced loan is the largest loan (52.7%), which had been previously modified. The largest increase in loss since the last rating action is the specially serviced Alamance Crossing loan (27.6% of the pool), which is secured by a 649,989-sf open-air lifestyle center located in Burlington, NC. The loan transferred to special servicing in November 2020 due to the bankruptcy of the sponsor, CBL & Associates. Occupancy has declined to 89.5% as of June 2022 from 90.2% as of December 2021, 91.4% as of September 2020 and 91.3% as of September 2019. Per the special servicer, prior modification discussions on a possible extension have not materialized, and they are working through a receiver/foreclosure action. The property is anchored by Dillard's, JC Penney, and Belk, along with a 16-screen Carousel Cinemas theater. The lifestyle component of the center contains 198,740-sf of in-line retail space and four freestanding restaurant pads. The most recent servicer-reported NOI debt service coverage ratio (DSCR) was 1.42x as of September 2020 compared with 1.48x at YE 2019 and 1.46x at YE 2018. There is upcoming rollover of 2% of the NRA in 2022, 3.7% in 2023, 8.4% in 2024 and 1.6% in 2025. Updated sales were requested of the master servicer but unavailable. Fitch's base case loss expectation of 52% reflects an implied cap rate of 22% on the YE 2019 NOI. The largest contributor to loss is the Square One Mall loan (52.7% of the pool), secured by a 542,751-sf portion of a 928,667sf regional mall located in Saugus, MA, which transferred to special servicing in July 2020 for imminent monetary default related to the pandemic. The loan was modified in early September 2021, with terms that included a five-year maturity extension to January 2027, the conversion of payments to interest-only and the implementation of cash management and excess cash trap. The loan remains a Fitch Loan of Concern as property performance has yet to stabilize, and cash flow has declined further despite occupancy improving. Non-collateral anchors include Macy's and a former Sears box that went dark in September 2020. Major collateral tenants include BD's Furniture, Dick's Sporting Goods, T.J. Maxx and Best Buy. Inline tenants include Old Navy, American Eagle Outfitters, Victoria's Secret, Hollister Co. and Aeropostale. As of June 2022, the owned portion of the subject mall is 84.4% leased up from 77% leased as of August 2021. The small inline space (greater than 10,000 sf) was 59.7% leased. Per master servicer commentary, the borrower is negotiating a 10-year lease with MOOYAH Burgers, five-year lease with Ultra Flex Gym and three-year lease with Urban Planet for the former H&M space. Several tenants have also renewed their leases including Old Navy, Best Buy, and BD's Furniture. Fitch's loss expectation of 51%, consistent with the prior rating action, reflects a 20.00% cap rate on the YE 2021 NOI to account for tertiary location and declining sales. The last largest contributor to loss is the REO Susquehanna Valley Mall asset (14.8% of the pool), a 628,063-sf portion of a regional mall located in Selinsgrove, PA, a tertiary market approximately 50 miles north of Harrisburg and 40 miles east of State College, PA, which transferred to special servicing in March 2018 for imminent monetary default. The asset became REO in late 2019. The mall has been negatively impacted by superior competition from another power center which offers a strong mix of national tenants. Sears (non-collateral), JCPenney and Bon-Ton were in place at the mall at issuance, but have closed. Only Boscov's and AMC Theatres remain as the anchors. A grocery-anchored outparcel on site also closed in October 2018. The former Sears box was leased to Family Practice, a medical clinic, through 2049. After closing temporarily due to the pandemic, the mall re-opened in late May 2020. The total mall is 74.3% occupied as of June 2022; 81.9% leased and 48.4% leased (in-line w/temp tenants) compared to 64% leased as of March 2020, compared to 62% as of December 2018, compared to 81% as of December 2017. Per the most recent appraisal, TTM in-line sales are reported at $309 per square foot and the Boscov's anchor reported sales in excess of $29.5 million, or $189 per square foot. The latest provided available sales from the master servicer were from TTM September 2019, where comparable in-line sales were only $266 psf, with total mall sales of $153 psf. The last reported financials were from YE 2017. Fitch requested an updated tenant sales report from the servicer, but it was not provided. Fitch's loss expectations remain high at 83%, reflecting minimal recovery prospects on the mall. Alternative Loss Consideration: Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on the likelihood of repayment and recovery prospects. Fitch's sensitivity analysis assumes the transaction's remaining loans are Square One Mall, and the specially serviced Susquehanna Mall, Alamance Crossing and Hickory Glen Apartments. The Negative Outlooks on classes B and C reflect this scenario. Improved Credit Enhancement: Credit enhancement has increased since Fitch's last rating action due to continued scheduled amortization and the payoff of five loans $114.9 million at maturity. As of November 2022, the pool's aggregate principal balance has been reduced by 83.8% to $152.3 million from $941.3 million at issuance. Since Fitch's last rating action, one previously specially serviced loan was liquidated and $13.6 million in realized losses was incurred. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that may lead to downgrades to classes B and C are declining performance of the remaining loans and/or valuations on the specially serviced loans, as well as further defaults and/or additional transfers to special servicing. If workouts are prolonged on the specially serviced loans/assets, fees and expenses could continue to increase loan exposures and loss expectations will continue to increase. The distressed classes could be further downgraded should losses be realized or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity Factors that lead to upgrades would include stable to improved asset performance coupled with further pay down. Upgrade of class B is unlikely due to the increased pool concentration and adverse selection, but may be possible if any of the regional malls pay in full or liquidate with minimal losses. Further, classes would not be upgraded above 'Asf' given the likelihood of interest shortfalls from the specially serviced loans. An upgrade to the 'Bsf' category and below is not expected but may be possible should the regional mall loans liquidate at a considerably smaller loss than is expected. 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. DBJPM MORTGAGE 2016-C1: Fitch Affirms 'Bsf' Rating on Two Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of DBJPM 2016-C1 Mortgage Trust commercial mortgage pass-through certificates, series 2016-C1 (DBJPM 2016-C1). In addition, the Rating Outlooks on five classes have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- DBJPM 2016-C1 A-3A 23312LAR9 LT AAAsf Affirmed AAAsf A-3B 23312LAA6 LT AAAsf Affirmed AAAsf A-4 23312LAS7 LT AAAsf Affirmed AAAsf A-M 23312LAT5 LT AAAsf Affirmed AAAsf A-SB 23312LAQ1 LT AAAsf Affirmed AAAsf B 23312LAU2 LT AA-sf Affirmed AA-sf C 23312LAV0 LT A-sf Affirmed A-sf D 23312LAG3 LT Bsf Affirmed Bsf E 23312LAH1 LT CCCsf Affirmed CCCsf F 23312LAJ7 LT CCsf Affirmed CCsf X-A 23312LAW8 LT AAAsf Affirmed AAAsf X-B 23312LAB4 LT A-sf Affirmed A-sf X-C 23312LAC2 LT Bsf Affirmed Bsf X-D 23312LAD0 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectations: Overall pool loss expectations remain relatively in-line with Fitch's prior rating action. Fitch's current ratings reflect a base case loss of 7.00%. Three loans (13.0% of pool) were designated as Fitch Loans of Concern (FLOCs), including one specially serviced loan (5.1%). The Outlook revisions to Stable from Negative on classes, A-M, X-A, B, C and X-B reflect the performance stabilization of loans that were negatively affected by the pandemic, including UA Sheepshead Bay Theater (3.4%), which received a loan modification and returned to the master servicer in July 2022. The loan continues to perform under the terms of the modification. The Negative Outlooks on classes D and X-C reflect possible future downgrade with continued performance declines of the Hagerstown Premium Outlets loan (FLOC; 3.9%) which has an increased likelihood for a term default, in addition to significant recovery concerns for the specially serviced Sheraton North Houston loan (5.1%). Fitch Loans of Concern: The largest contributor to Fitch's loss expectations and largest increase in losses since Fitch's prior rating action, Hagerstown Premium Outlets (3.9%), is secured by a 484,994-sf outlet center located in Hagerstown, MD. The loan, which is sponsored by Simon Property Group, transferred to special servicing in June 2020 to document a coronavirus-related modification and forbearance and returned to the master servicer in April 2021 as a corrected mortgage loan. Despite the loan modification, performance continues to deteriorate with low occupancy and debt service coverage ratio (DSCR). The YE 2021 NOI fell 24% from YE 2020 and is 57% below the issuer's underwritten NOI. Occupancy has fallen further and is currently low at 42% as of June 2022, and cash flow is limited with the servicer-reported NOI DSCR at 0.82x as of the YTD June 2022. Occupancy and servicer-reported NOI DSCR were 44% and 1.06x at YE 2021, 51% and 1.37x at YE 2020 and 90% and 2.47x at issuance. The loan is currently amortizing after the initial two-year interest-only (IO) period expired in February 2018. The property also faces significant near-term rollover risks, including 16.7% of the NRA by YE 2023. Fitch's base case loss of 62% reflects an 18% cap rate to the YE 2021 NOI. Fitch recognized 100% of the modeled loss for this loan to account for the high likelihood of default and/or transfer to special servicing. The second largest contributor to Fitch's loss expectations, Columbus Park Crossing (4.0%), is secured by a 638,028-sf anchored retail center located in Columbus, GA, approximately 100 miles from Atlanta. The loan, which is sponsored by Allan V. Rose, was designated a FLOC due to occupancy declines and performance concerns. Occupancy and servicer-reported NOI DSCR were low at 69% and 1.15x as of the YTD June 2022 compared with 63% and 1.00x at YE 2021 and 68% and 1.13x at YE 2020. Occupancy and servicer-reported NOI DSCR were 100% and 1.34x at issuance. The loan, which had an initial two-year IO period, began amortizing in January 2018. Sears (previously 22.2% NRA) and Toys R Us (7.7%) vacated in 2017 and 2018, respectively. Burlington and Conn's have backfilled the former Toys R Us space with 10-year leases through May 2032. Per servicer updates, there are multiple tenants interested in the vacant Sears space. Additionally, while near-term rollover includes approximately 25% of the NRA by YE 2023 and is primarily concentrated with the largest tenant, AMC Classic Columbus Park, which leases 13.2% of the NRA through September 2023, the property has benefited from several recent lease renewals. Leases for approximately 25% of the NRA, which includes Ross Dress for Less, Bed Bath & Beyond and Staples, were recently renewed. Fitch's base case loss of 39% reflects a 15% cap rate and a 5% positive adjustment to the YE 2021 NOI. Fitch's analysis gives credit for the recent positive leasing activity. The third largest contributor to Fitch's loss expectations, Sheraton North Houston (5.1%), is secured by a 419-key, full service hotel property located in Houston, TX. The loan, which is sponsored by National Hotel Investor, transferred to special servicing in November 2020 for payment default. The borrower indicated they are not willing to fund cash flow shortfalls going forward. GF hotels was appointed as the receiver in April 2021 and is working to stabilize operations. Midland is evaluating ongoing capex projects, receivership performance of the hotel, and potential timing for a receivership sale. As of the most recently available performance metrics, TTM September 2020 occupancy and servicer-reported NOI DSCR for this amortizing loan were 56% and 0.80%, down from 73% and 1.57x at YE 2019. Occupancy and servicer-reported NOI DSCR were 81% and 2.71% at issuance. The loan was already considered a FLOC prior to the pandemic due to significant performance declines from issuance. Hotel performance had declined due to lost contract revenue after United Airlines relocated its pilot training program to Denver. Per STR and as of the TTM August 2021, the hotel was underperforming its competitive set with a RevPAR penetration rate of 56.4%. Performance updates and a recent STR remain outstanding. Fitch's base case loss of 20% reflects a discount to the recent servicer provided value. This equates to approximately $91,000 per key and implies a cap rate of 10.6% off the YE 2019 NOI. Change in Credit Enhancement (CE): As of the November 2022 distribution date, the pool's aggregate balance has been reduced by 13.4% to $708.5 million from $818.0 million at issuance. Since Fitch's prior rating action, one loan with a $7.6 million balance was disposed with a $5.3 million loss to the trust resulting in a decline in CE for classes A-M through G. Five loans (34.0%) are full-term IO, and 11 loans (38.8%) that were structured with a partial-term IO component at issuance are in their amortization periods. Four loans (9.8%) are fully defeased. Realized losses to date total $5.3 million or 0.7% of the original pool balance. Cumulative interest shortfalls of $846,713 are currently affecting the non-rated class H. Pool Concentration: The top 10 loans comprise 61.1% of the pool. Loan maturities are concentrated in 2026 (89.1%), with three loans (10.9%) maturing in 2025. Based on property type, the largest concentrations are office at 36.6%, retail at 33.6% and hotel at 17.7%. Credit Opinion Loans: Two loans (17.0%) received stand-alone investment grade credit opinions at issuance: 787 Seventh Avenue (11.3%; BBB+sf) and 225 Liberty Street (5.7%; BBBsf). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes rated in the 'AAAsf and 'AAsf' categories are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect these classes. Classes C and X-B may be downgraded if pool loss expectations increase significantly from additional loans becoming FLOCs and/or one or more of the FLOCs have an outsized loss, which would erode CE. Classes D, X-C, E, X-D and F would be downgraded as losses are realized or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades of classes B, C, and X-B would only occur with significant improvement in CE and/or defeasance; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. Upgrades of classes D and X-C may occur in the later years of a transaction if performance of the remaining pool is stable and with sufficient CE to these classes, but would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades of classes E, X-D and F are unlikely to be upgraded absent significant performance improvement on the FLOCs and 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. EXETER AUTOMOBILE 2022-6: Fitch Gives 'BBsf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Outlooks to Exeter Automobile Receivables Trust (EART) 2022-6. Entity/Debt Rating Prior ----------- ------ ----- Exeter Auto Receivables Trust 2022-6 A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral Performance — Subprime Credit Quality: EART 2022-6 is backed by collateral with subprime credit attributes, including a weighted average (WA) FICO score of 579, a WA loan-to-value (LTV) ratio of 114.72%, and a WA annual percentage rate (APR) of 20.78%. In addition, 98.78% of the loans are backed by used cars and the WA payment-to-income (PTI) ratio is 12.38%. Forward-Looking Approach to Derive Base-Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series loss proxy. Although recessionary performance data from Exeter are not available, the initial base-case credit net loss (CNL) proxy was derived utilizing 2006-2010 data from Santander Consumer as proxy recessionary static managed portfolio data and 2016-2017 vintage data from Exeter to arrive at a forward-looking base-case cumulative net loss expectation of 19.00%. Payment Structure — Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 59.10%, 44.10%, 31.00%, 20.40% and 10.70% for classes A, B, C, D and E, respectively, in line with 2022-5, and generally in range of recent transactions. Excess spread is expected to be 9.97% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base-case CNL proxy of 19%. Seller/Servicer Operational Review — Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter, but deems the company as capable to service this transaction. In addition, Citibank, N.A., which Fitch rates 'A+'/'F1'/Stable, has been contracted as backup servicer for this transaction. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base-case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade ('BBsf') and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's 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, and 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 Global Stagflation Would Mean for Structured Finance and Covered Bond Ratings"). Fitch expects the North American subprime auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Rating Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations, and a 25% chance of sector outlook revision by YE 2023. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above that increases the default expectation by 2.0x. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. ESG CONSIDERATIONS The concentration of electric and hybrid vehicles in the pool is low and did not have an impact on Fitch's ratings analysis or conclusion of this transaction and has no impact on Fitch's ESG Relevance Score. 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 2012-GCJ7: Moody's Lowers Rating on 2 Tranches to C --------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on two classes in GS Mortgage Securities Trust 2012-GCJ7, Commercial Pass-Through Certificates, Series 2012-GCJ7 as follows: Cl. E, Downgraded to C (sf); previously on May 31, 2022 Downgraded to Ca (sf) Cl. X-B*, Downgraded to C (sf); previously on May 31, 2022 Downgraded to Ca (sf) * Reflects interest-only classes RATINGS RATIONALE The rating on the P&I class Cl. E was downgraded due to an increase in realized losses as a result of recently liquidated loan. As of the November 2022 remittance statement Cl. E has already experienced a realized loss of 66% of its original certificate balance. The rating on the IO Class (Class X-B) was downgraded based on the credit quality of its referenced classes. 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. 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 100% of the pool is in special servicing. 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 to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the November 2022 distribution date, the transaction's aggregate certificate balance has decreased by 99.8% to $2.5 million from $1.62 billion at securitization. The certificates are collateralized by one mortgage loan that is currently in special servicing. Five loans have been liquidated from the pool, resulting in an aggregate realized loss of $92.5million (for an average loss severity of 69%). The remaining outstanding P&I class, Cl. E, has already experienced a realized loss of 66% of its original certificate balance. The loan that has been liquidated with a loss since Moody's last review was the Bellis Fair Mall loan, which was secured by a 538,000 square feet (SF) component of a regional mall located in Bellingham, Washington. After being transferred to special servicing in February 2022 due to imminent maturity default, the loan was liquidated in October 2022 with a loss of $26.2 million and a loss severity of 36.4% based on its balance at disposition. The remaining specially serviced loan is the 25 West 51st Street loan, which is secured by a 6,000 SF retail property located in Manhattan, New York. After the single tenant vacated their space at the lease expiration in June 2021, the loan was unable to pay off at its scheduled maturity in March 2022 and transferred to special servicing in July 2022 for maturity default. The loan has amortized nearly 17% since securitization and has remained current on its debt service payment as of the November 2022 remittance report. Moody's has estimated a moderate loss from this specially serviced loan. GS MORTGAGE 2017-SLP: S&P Affirms B (sf) Rating on Class E Certs ---------------------------------------------------------------- S&P Global Ratings affirmed its ratings on eight classes of commercial mortgage pass-through certificates from GS Mortgage Securities Corp. Trust 2017-SLP, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a portion of a fixed-rate, interest-only (IO) mortgage whole loan secured by the borrowers' fee simple and leasehold interests in a portfolio of 129 limited-service, full-service, and extended-stay hotels totaling 10,009 guestrooms in 26 U.S. states. Rationale S&P said, "The affirmations of the class A, B, C, D, E, and F certificates reflect our re-evaluation of the lodging portfolio that secures the sole loan in the transaction. Our analysis included a review of the most recent available financial performance data provided by the servicer, particularly the improvement in the servicer-reported net cash flow (NCF) following the COVID-19 pandemic, when NCF (after adjusting for properties released as of the November 2022 trustee remittance report) dropped to $20.6 million in 2020, down 74.0% from $79.3 million in 2019." The affirmations also reflect that the whole loan was recently modified and extended. The modification terms include the borrowers to begin amortizing the whole loan balance. The servicer-reported NCF for the 129-lodging-properties portfolio rebounded to $56.2 million in 2021 and $61.7 million as of the trailing-12-months (TTM) ended June 30, 2022. In addition, the borrower's budget projected that NCF would reach about $63.0 million this year for the remaining 129-property portfolio. As leisure and corporate transient demand strengthens, S&P expects that the portfolio's NCF will continue to steadily recover. S&P said, "Assuming a 68.0% occupancy rate, $110.00 average daily rate (ADR), $74.80 revenue per available room (RevPAR), and 24.3% NCF margin, we derived an S&P Global Ratings NCF of $68.2 million, which is 10.5% higher than the NCF for the TTM ended June 30, 2022, but still 14.0% below 2019 pre-pandemic levels. Utilizing a 10.07% S&P Global Ratings capitalization rate (unchanged from our last review in September 2020) and deducting $2.9 million for properties that have ground leases without certain standard lender protections, we arrived at an S&P Global Ratings expected-case value of $674.1 million or $67,350 per guestroom. This yielded an S&P Global Ratings loan-to-value (LTV) ratio of 114.6% on the whole loan balance." Although the model-indicated ratings were lower than the current ratings on classes B, C, and D, and higher than the rating on class E, S&P affirmed the ratings because it weighed certain qualitative considerations. For classes B, C, and D, these included: -- Amortization payments by the sponsor and additional property releases that would further deleverage the whole loan balance; -- The potential that the operating performance of the lodging portfolio could improve above our expectations; -- The significant market value decline that would be needed before these classes experience losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of these classes in the payment waterfall. S&P said, "For class E, we considered the subordinate position of the class in the payment waterfall and the potential that the portfolio's performance and remaining loan balance may take longer to recover and payoff, respectively, than we anticipate. "The loan, which has a performing matured balloon payment status, was transferred to the special servicer on Oct. 14, 2022, due to imminent maturity default. The loan matured on Oct. 5, 2022. It has since been modified and extended to February 2024. According to the special servicer, Wells Fargo Bank N.A., updated appraisal reports have been ordered but are still in progress. The portfolio (excluding the nine released properties) was appraised at $1.1 billion ($105,595 per guestroom) on an as-is aggregate basis at issuance. We will continue to monitor the release of the updated appraisal values. To the extent future developments differ meaningfully from our underlying assumptions, we may revisit our analysis and take rating actions as we deem necessary. "The affirmation on class F also reflects our view that, based on an S&P Global Ratings LTV ratio greater than 100%, the class remains susceptible to reduced liquidity support, and the risk of default and losses remain elevated under today's market conditions. "The affirmations on the class X-A and X-B IO certificates are based on our criteria for rating IO securities, which states that the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of class X-A references class A, while class X-B references classes B, C, and D." Portfolio-Level Analysis The portfolio currently comprises 129 limited-service, full-service, and extended-stay hotels totaling 10,009 guestrooms, down from 138 hotel properties totaling 10,576 guestrooms at issuance and our last review. The remaining properties, which were built between 1987 and 2013, are geographically diverse in 26 U.S. states, with the highest concentration in Texas (32 hotels; 17.7% of allocated loan balance [ALA]), Illinois (15; 10.0%), Connecticut (5; 8.3%), and Minnesota (8; 8.2%). No other state accounts for more than 7.7% by ALA. The properties are located in various markets, as defined by S&P Global Ratings: -- Twenty-one (14.0% of ALA) are in primary markets such as Houston, Chicago, and Dallas; -- Thirty-two properties (30.5%) are in secondary markets, such as Minneapolis, Cleveland, and Hartford, Conn.; and -- Seventy-six (55.5%) are in tertiary markets such as Springfield, Ill.; Amarillo, Texas; and Corpus Christi, Texas. Five properties (3.7% of ALA) are subject to ground leases, two of which do not have typical lender protections, which S&P accounted for in its valuation. The remaining 129 hotels are currently operated under 15 different brands that are affiliated with Marriott, Hilton, IHG, Choice, or Carlson. Approximately 92.3% of the keys (9,235 keys) are under a Marriott or Hilton flag. The three largest brands in the portfolio are Fairfield Inn (53 hotels; 29.2% by ALA); Residence Inn (20 hotels; 23.3%); and Hampton Inn (20 hotels, 13.8%). The franchise agreements currently expire between 2022 and 2035 (the sponsor did not provide an update on any expiries this year). The related franchise fees generally consist of a monthly royalty fee of 4.0% to 6.0% of rooms revenue, a monthly program fee of 1.0% to 2.5% of gross rooms sales or 3.5% to 4.3% of rooms revenue, and certain other monthly fees related to marketing, services, reservation, and other systems. Franchisors can generally terminate the franchise agreements if the borrowers default on the agreement. Each property is currently managed by Schulte Hospitality Group Inc., Hersha Hospitality Management L.P., or Aimbridge Hospitality. The base management fee is generally no greater than 3.0% of gross revenue. The management agreements may include additional fees associated with specific services and/or projects. According to the special servicer (Wells Fargo Bank N.A.), the sponsor (SCG Hotel Investors Holdings L.P., an affiliate of Starwood Capital Group) spent $98.0 million to renovate the original 138-property portfolio between 2014 and 2016 and planned to invest an additional $40.2 million through 2022, of which $32.2 million was reserved at issuance. While S&P did not get an update from the sponsor on recent renovation work, the special servicer noted that performance improvement plans (PIPs) for 61 properties were completed to date for approximately $65.0 million and that no other contractual PIPs are currently outstanding. According to the servicer-provided November 2022 reserve report, $26.7 million was outstanding in other reserve accounts. In addition to the servicer-provided performance data, S&P's property-level analysis included a review of the June 2022 STR reports and the borrowers' 2022 budget. The reported occupancy, ADR, and RevPAR for the 129-property portfolio were 71.7%, $108.95, and $78.73, respectively, in 2019 and then fell to 47.5%, $88.04, and $43.51 at the onset of the pandemic in 2020. They increased to 63.2%, $100.19, and $64.61 in 2021 and 65.5%, $108.40, and $73.46 for the TTM ended June 30, 2022. The borrowers' 2022 budget projects an overall 68.9% occupancy rate, $106.03 ADR, and $73.27 RevPAR. According to the STR reports as of June 2022, the 129-property portfolio had a weighted average RevPAR penetration rate of 112.0%, of which 92 properties had RevPAR penetration rates over 100.0%, 12 had RevPAR penetration rates between 90.0% and 100%, and 25 had RevPAR penetration rates below 90.0%. S&P said, "As previously mentioned, based on our review of the most recent available performance data and current market conditions, our view is that the properties' performance is slowly rebounding and will take more time to recover to 2019 pre-pandemic levels. As a result, we revised our S&P Global Ratings NCF to $68.2 million, which is between the levels in 2019 and the TTM period ended June 2022." Transaction Summary The five-year, fixed-rate IO mortgage whole loan had a current balance of $772.6 million, down from $800.0 million at issuance. The whole loan pays an annual fixed interest rate of 4.60% and originally matured on Oct. 5, 2022. The whole loan is split into three senior A notes totaling $305.3 million, down from $332.7 million at issuance and a subordinate B note totaling $467.3 million, the same as at issuance. The $703.8 million trust balance (down from $725.0 million at issuance, according to the Nov. 14, 2022, trustee remittance report) comprises the senior note A-1 totaling $236.5 million, and the subordinate B note totaling $467.3 million. The $45.9 million senior note A-2 is in GS Mortgage Securities Trust 2017-GS8 and the $22.9 million senior note A-3 is in GS Mortgage Securities Trust 2018-GS9, both U.S. CMBS transactions. The A notes are pari passu to each other and senior to the B note. To date, the trust has not incurred any principal losses. As S&P discussed earlier, the whole loan transferred to special servicing on Oct. 14, 2022, due to imminent maturity default. The loan was subsequently modified in November 2022, with terms that include, among other items, the following: -- Extending the loan's Oct. 5, 2022, maturity date by 16 months to Feb. 5, 2024, with an additional one-year extension option to Feb. 5, 2025. To exercise the extension option, the sponsor is required to make a 10.0% principal curtailment of the then-outstanding principal balance; -- The borrowers making monthly principal payments equal to the amount of interest accrued on the loan balance at the following rates: 0.9% from the original maturity date to the first extended maturity date in 2024, and 1.40% after the first extended maturity date; -- The borrowers providing $15.0 million of additional equity that will be used to pay down the loan's balance before Jan. 1, 2023; -- Allowing the borrowers to sell and release 49 additional properties and paying down the loan balance at the ALAs, at minimum. In addition, any PIP/furniture, fixtures, and equipment (FF&E) reserves earmarked for any released assets will be used to pay down the principal balance; -- Depositing excess cash flow into the excess cash flow reserve account up to $5.0 million. The funds may be used for working capital, operating expenses, and capital expenditures. Any funds in the excess cash flow reserve account that exceeds the $5.0 million cap will be applied to pay down principal on a monthly basis; and -- The borrowers paying the costs and fees associated with the special servicing transfer and loan modification and extension. -- The special servicer expects, after applying proceeds from the sales of the 49 properties, various reserve accounts, and borrowers' equity contribution, the whole loan balance will be reduced to approximately $550.8 million. -- At the onset of the pandemic in mid-2020, the borrowers requested relief, resulting in a standstill agreement whereby FF&E reserve payments for June through December 2020 were suspended. Ratings Affirmed GS Mortgage Securities Corp. Trust 2017-SLP Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: B (sf) Class F: CCC (sf) Class X-A: AAA (sf) Class X-B: BBB- (sf) JP MORGAN 2014-DSTY: S&P Lowers Class A Certs Rating to 'D (sf)' ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on five classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY to 'D (sf)' from 'CCC- (sf)'. This U.S. stand-alone (single-borrower) CMBS transaction is backed by two uncrossed fixed-rate interest-only (IO) mortgage loans, each secured by a different phase of the Destiny USA regional mall property in Syracuse, N.Y. Rating Actions The downgrades on classes A, B, and C to 'D (sf)' from 'CCC- (sf)' reflect the accumulated interest shortfalls that S&P expects will remain outstanding for a prolonged period. The loans were transferred to special servicing on April 1, 2022, due to imminent payment default. At that time, the loans matured on June 6, 2022. The loans were modified and extended effective June 22, 2022. The modification terms included, among other items, extending the loans' maturity date to June 6, 2023, with four one-year extension options and reducing the loans' coupon to 1.000% per annum from 3.814%. According to the Nov. 10, 2022, trustee remittance report, the trust experienced $1.0 million of monthly interest shortfalls ($4.1 million in accumulated interest shortfalls) due to reduced debt service payments from the loan sponsor, The Pyramid Co. Consequently, the class B and C certificates received none of their accrued certificate interest amounts in November, while the class A certificates received 51.6% of its accrued interest amount. To date, these three classes have shorted for four consecutive months. In addition, the downgrades consider that, based on the revised May 2022 appraisal values aggregating to $161.1 million, these classes would incur principal losses upon the eventual resolution of the pool's two specially serviced loans totaling $430.0 million. The downgrades on the class X-A and X-B IO certificates are based on S&P's criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. Class X-A's notional amount references class A and class X-B's notional amount references class B. Transaction Summary This is a U.S. stand-alone (single-borrower) CMBS transaction backed by two fixed-rate IO mortgage loans, each secured by a different phase of the Destiny USA Mall in Syracuse, N.Y. The Destiny USA Phase I and the Destiny USA Phase II loans have a current balance of $300.0 million and $130.0 million, respectively (as of the Nov. 10, 2022, trustee remittance report), which are the same as at issuance. Per the loan modification described above, the loans have an annual fixed interest rate of 3.814%, of which, the sponsor currently pays 1.000%. The difference in interest of 2.814% per annum is accrued. Following the recent modification, the loans currently mature on June 6, 2023. The Destiny USA Phase I loan has a total reported exposure of $307.2 million (as of the Nov. 10, 2022, trustee remittance report). The loan is secured by 1.24 million sq. ft. of a 1.51 million-sq.-ft. super regional mall in Syracuse. We derived an S&P Global Ratings expected case value of $65.5 million in our last review in August 2022. This compares to the May 2022 appraisal value of $79.1 million, which was up 18.1% from the July 2021 appraisal value of $67.0 million, but still down 33.0% from the November 2020 appraisal value of $118.0 million, and down 83.9% from the appraisal value of $490.0 million at issuance. The Destiny USA Phase II loan has a total reported exposure of $132.5 million. The loan is secured by an 874,200-sq.-ft. regional shopping mall in Syracuse. S&P derived an S&P Global Ratings expected case value of $77.6 million in our August 2022 review. This compares to the May 2022 appraisal value of $82.0 million, which is on par with the July 2021 appraisal value of $80.0 million, down 3.5% from the November 2020 appraisal value of $85.0 million and 62.7% from the $220.0 million appraisal value at issuance. Ratings Lowered J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY Class A to 'D (sf)' from 'CCC- (sf)' Class B to 'D (sf)' from 'CCC- (sf)' Class C to 'D (sf)' from 'CCC- (sf)' Class X-A to 'D (sf)' from 'CCC- (sf)' Class X-B to 'D (sf)' from 'CCC- (sf)' JPMCC COMMERCIAL 2019-COR4: Fitch Cuts Rating on H-RR Certs to CCC ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed 15 classes of JPMCC Commercial Mortgage Securities Trust 2019-COR4 commercial mortgage pass-through certificates, series 2019-COR4 (JPMCC 2019-COR4). In addition, the Rating Outlooks for classes A-S through F-HRR have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2019-COR4 A-1 48128YAS0 LT AAAsf Affirmed AAAsf A-2 48128YAT8 LT AAAsf Affirmed AAAsf A-3 48128YAU5 LT AAAsf Affirmed AAAsf A-4 48128YAV3 LT AAAsf Affirmed AAAsf A-5 48128YAW1 LT AAAsf Affirmed AAAsf A-S 48128YBA8 LT AAAsf Affirmed AAAsf A-SB 48128YAX9 LT AAAsf Affirmed AAAsf B 48128YBB6 LT AA-sf Affirmed AA-sf C 48128YBC4 LT A-sf Affirmed A-sf D 48128YAC5 LT BBBsf Affirmed BBBsf E 48128YAE1 LT BBB-sf Affirmed BBB-sf F-RR 48128YAG6 LT BBB-sf Affirmed BBB-sf G-RR 48128YAJ0 LT B-sf Downgrade BB-sf H-RR 48128YAL5 LT CCCsf Downgrade B-sf X-A 48128YAY7 LT AAAsf Affirmed AAAsf X-B 48128YAZ4 LT A-sf Affirmed A-sf X-D 48128YAA9 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Increased Loss Expectations: The downgrades reflect increased loss expectations for the pool since Fitch's last rating action, primarily driven by continued underperformance of the larger Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 6.5%. The Negative Outlook on class G-RR reflects possible downgrade should performance of the FLOCs deteriorate further or fail to stabilize. There are seven FLOCs (28.7% of pool), compared with 12 (35.2%) at the prior rating action. The Outlook revision to Stable from Negative on classes A-S, B, C, D, E, F-RR, X-A, X-B and X-D reflects performance stabilization of some properties that had been negatively affected by the pandemic. These classes had been assigned Negative Outlooks due to additional coronavirus-related stresses applied on four hotel loans, including two located in Seattle. All loans in the pool have remained current and there are currently no loans in special servicing. The largest FLOC is the largest loan in the pool, Renaissance Seattle (10.1% of the pool), which is secured by a 557-room full-service hotel in downtown Seattle, WA and located approximately one-half mile from the Washington State Convention Center. Cash flow performance during 2020 and 2021 was significantly lower than prior years due to the impact of the pandemic on business and convention demand. The sponsor received a forbearance that allowed for the deferral of reserve deposits and access to reserve funds to keep the loan current. Performance has recovered in 2022, with occupancy, ADR and RevPAR for TTM July 2022 improving to 61%, $182.85 and $111.39, respectively, from 27%, $157.55 and $42.83 for TTM September 2021. It remains below issuance levels of 82%, $209 and $170, respectively. As of TTM June 2022, the servicer-reported NOI debt service coverage ratio (DSCR) was 1.41x. Fitch's loss expectations of 9% reflects an 11% cap rate and a 20% stress to the YE 2019 NOI, indicating a stressed value of approximately $188,000 per key. The second largest FLOC and largest contributor to overall loss expectations is the Saint Louis Galleria loan (6.1%), which is secured by a 466,000-sf portion of a 1.18 million sf regional mall located in Saint Louis, MO. The non-collateral anchors are Dillard's, Macy's and Nordstrom. The largest collateral tenants are Galleria-6 Cinemas (4.2% NRA) and H&M (2.8% NRA). Total mall occupancy has recently improved to 95% as of June 2022, after temporarily falling to 87% as of September 2021 from 95.7% at YE 2020. Property NOI has declined since issuance, with YE 2021 NOI approximately 29% below the issuers underwritten NOI and 12% below YE 2020. The NOI declines are mainly attributed to lower revenues since the pandemic, with YE 2021 revenues 19.5% below YE 2019. The partial IO loan (60-months) reported a NOI DSCR of 1.68x as of YE 2021. Based on fully amortizing payments and the YE 2021 NOI, DSCR equates to 1.22x. According to Green Street, in-line tenant sales were $728psf (including Apple)/$615psf (excluding Apple) as of July 2022, exceeding pre-pandemic levels. This is an improvement from the most recent servicer-provided tenant sales for TTM ended September 2021 of $523psf/$401psf and for YE 2020 of $364psf/$294psf. Fitch has an outstanding request to the servicer for a more recent tenant sales report. Fitch's base case loss of 17% reflects an 11.50% cap rate and a 5% stress to the YE 2021 NOI. The third largest FLOC is the sixth largest loan, Grand Hyatt Seattle (4.3%), which is secured by a 457-room full-service hotel in downtown Seattle, WA and located across the street from the Washington State Convention Center. This loan has the same sponsor as the Renaissance Seattle loan. Coronavirus-related debt relief was also granted on this loan, similar to the terms of the Renaissance Seattle loan, and the loan has remained current. Occupancy, ADR and RevPAR for TTM June 2022 was 40%, $219.62 and $87.14, respectively. This compares to 22%, $202.81 and $44.62, respectively at September 2021 and 85.8%, $239.09 and $205.24, respectively, at issuance. As of TTM June 2022, the servicer-reported NOI DSCR was 0.73x. Fitch's loss expectations of 18% reflects an 11% cap rate and a 20% stress to the YE 2019 NOI, indicating a stressed value of approximately $188,000 per key. Minimal Change to Credit Enhancement (CE): As of the November 2022 distribution date, the pool's aggregate balance has been reduced by 1.2% to $765 million, from $774.1 million at issuance. Fifteen full-term, IO loans account for 49.8% of the pool, and six loans representing 11.6% of the pool are partial IO that have not started to amortize. The remainder of the loans in the pool are amortizing. Interest shortfalls are currently affecting class NR-RR. Geographic Concentration: There are four loans in the top 15 that are secured by properties located in Seattle, WA, including two hotels, one mixed-use and one multi-family. Performance for all of these loans have been impacted by the pandemic and have been slow to recover. The Pier 54 Seattle loan (6.4%) is secured by a 65,749-sf mixed-use (retail/office) property located in downtown Seattle's 1.6-acre historic waterfront district. The property's anchor tenant is restaurant group Ivar's, Inc., which leases, via four separate leases, 54.8% of the NRA. The property has been about 65% occupied since issuance and the vacancy consists of a 21,941-sf second-floor office suite. The loan's NOI DSCR has been below 1.0x since the start of the pandemic, but the borrower has kept the loan current. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-1, A-2, A-3, A-4, A-5, A-SB, A-S and X-A are not likely due to sufficient CE and expected continued amortization, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C and X-B may occur should expected pool losses increase significantly and/or the FLOCs suffer losses. Downgrades to classes D, E, F-RR, X-B and X-D are possible should loss expectations increase from continued performance decline of the FLOCs and/or loans default or transfer to special servicing. Further downgrades to classes G-RR and H-RR would occur as losses are realized and/or become more certain. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, particularly of the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, E, F-RR, G-RR, X-B and X-D may occur as the number of FLOCs are reduced and there is sufficient CE to the classes. Upgrades to class H-RR are unlikely absent significant performance improvement of the FLOCs and there is sufficient CE to the class. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MORGAN STANLEY 2013-C7: Moody's Cuts Rating on Cl. C Certs to Ba1 ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on five classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 ("MSBAM 2013-C7"), Commercial Mortgage Pass-Through Certificates as follows: Cl. A-S, Affirmed Aaa (sf); previously on Sep 8, 2021 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Sep 8, 2021 Affirmed Aa3 (sf) Cl. C, Downgraded to Ba1 (sf); previously on Sep 8, 2021 Downgraded to Baa3 (sf) Cl. D, Downgraded to Caa2 (sf); previously on Sep 8, 2021 Downgraded to B3 (sf) Cl. E, Downgraded to Caa3 (sf); previously on Sep 8, 2021 Downgraded to Caa2 (sf) Cl. F, Affirmed Caa3 (sf); previously on Sep 8, 2021 Downgraded to Caa3 (sf) Cl. G, Affirmed C (sf); previously on Sep 8, 2021 Affirmed C (sf) Cl. PST, Downgraded to Baa1 (sf); previously on Sep 8, 2021 Downgraded to A3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Sep 8, 2021 Affirmed Aaa (sf) Cl. X-B*, Downgraded to Baa2 (sf); previously on Sep 8, 2021 Downgraded to Baa1 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The ratings on two P&I classes, Cl. A-S and Cl. B, were affirmed because of their significant credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR) are within acceptable ranges. The ratings on Cl. F and Cl. G were affirmed because the ratings are consistent with Moody's expected loss. The ratings on three P&I classes, Cl. C, Cl D and Cl. E, were downgraded due to higher anticipated losses and increased risk of interest shortfalls due to the exposure to specially serviced and troubled loans and the potential refinance challenges for certain poorly performing loans with upcoming maturity dates. Four loans, representing 45% of the pool are in special servicing, and the two largest Solomon Pond Mall (23.6% of the pool) and Valley West Mall (10.8% of the pool) are secured by regional mall properties that have suffered significant declines in performance in recent years. Furthermore, nearly all the remaining loans mature by January 2023 and if certain loans are unable to pay off at their maturity date, the outstanding classes may face increased interest shortfall risk. The rating on one IO class, Cl. X-A, was affirmed based on the credit quality of its referenced classes. The rating on one IO Class, Cl. X-B, was downgraded due to a decline in the credit quality of its referenced classes. The rating on the exchangeable class, (PST), was downgraded due to a decline in the credit quality of its referenced exchangeable classes. Moody's regard e-commerce competition as a social risk under Moody's ESG framework. The rise in e-commerce and changing consumer behavior presents challenges to brick-and-mortar discretionary retailers. Moody's rating action reflects a base expected loss of 28.2% of the current pooled balance, compared to 10% at Moody's last review. Moody's base expected loss plus realized losses is now 7.7% of the original pooled balance, compared to 7.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or a significant improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in July 2022. DEAL PERFORMANCE As of the November 15, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 73.4% to $371.1 million from $1.4 billion at securitization. The certificates are collateralized by 25 mortgage loans ranging in size from less than 1% to 23.6% of the pool. One loan, constituting 0.3% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 9, down from 14 at Moody's last review. As of the November 2022 remittance report, loans representing 60.7% were current on their debt service payments and 39.3% were more than 90 days delinquent, in foreclosure or past their maturity date. Fourteen loans, constituting 51.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $2.7 million (for a loss severity of 17.2%). Four loans, constituting 45% of the pool, are currently in special servicing. Two of the specially serviced loans, representing 29.3% of the pool, have transferred to special servicing since March 2020. The largest specially serviced loan is the Solomon Pond Mall ($87.4 million – 23.6% of the pool), which is secured by a 399,200 square foot (SF) portion of an 884,700 SF regional mall in Marlborough, MA. The mall is anchored by non-collateral Macy's and JC Penny, with a Sears that closed in 2021. The collateral is anchored by a 15 screen Regal Cinemas theatre. The mall transferred to the special servicer in May 2020 for imminent default and a receiver was appointed in September 2021 after modification terms were not able to be reached. The loan remained current on its debt service payments but has now passed its maturity date in November 2022. The property's NOI has declined annually since 2017 due to lower rental revenues. The 2021 NOI was 48% lower than in 2013 and the March 2022 DSCR fell below 1.00X. The loan sponsor, Simon Property Group, has identified this property under their "Other Properties" designation. Special servicer commentary indicates the receiver is working to stabilize the property and all options for dispositions are being considered. The second largest specially serviced loan is the Valley West Mall ($39.9 million – 10.8% of the pool), which is secured by an 856,400 SF regional mall in Des Moines, IA. The property had been anchored by Younkers and Von Maur, which closed in 2018 and 2022 respectively, leaving JC Penny as the only remaining anchor. The loan transferred to the special servicer in August 2019 and is last paid through its July 2022 payment date. The property's NOI has declined annually since 2015 and the NOI DSCR has been below 1.00X since 2020. An updated property appraisal value has not been reported and the master servicer has identified a 25% appraisal reduction as of the November 2022 remittance report. Special servicer commentary indicates a receiver has been appointed and foreclosure has been filed. Due to the recent performance trends, Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the 3555 Timmons ($21.3 million – 5.7% of the pool), which is secured by a 225,900 SF office property located in Houston, TX. The property's NOI has declined annually since securitization and the NOI DSCR as of June 2022 was 1.02X. As of June 2022, the property's occupancy was 63% compared to 65% during 2021 and 94% at securitization. The loan transferred to the special servicer in August 2022 due to imminent maturity default ahead of its December 2022 maturity date. Special servicer commentary indicates a contract to sell the property fell through and they are negotiating a possible extension option for the loan as the borrower continues to pursue other buyers. The loan has remained current on its debt service payments through November 2022 and has amortized 20% since securitization. The remaining specially serviced loan is secured by a mixed use property in New York, NY, constituting 5% of the pool. This loan is in foreclosure and has had an NOI DSCR of below 0.10X since 2020. Moody's has also assumed a high default probability for one poorly performing loan, constituting 1.6% of the pool. This loan is secured by a mixed use property in New York, NY that has suffered from high vacancy in recent years leading to an NOI DSCR of below 1.00X. Moody's has estimated an aggregate loss of $98.7 million (a 57% expected loss on average) from these specially serviced and troubled loans. As of the November 15, 2022 remittance statement cumulative interest shortfalls were $2.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2021 operating results for 100% of the pool, and full or partial year 2022 operating results for 76% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 86%, compared to 101% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16.1% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.3%. Moody's actual and stressed conduit DSCRs are 2.31X and 1.30X, respectively, compared to 1.73X and 1.04X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 28.4% of the pool balance. The largest loan is the Storage Post Portfolio Loan ($52.2 million – 14.1% of the pool), which is secured by a portfolio of six self storage properties in the NYC metro area. The portfolio totals nearly 7,000 units across 512,500 SF. The property's occupancy has ranged from 90% to 94% since securitization and the portfolio's NOI has increased significantly since securitization. The loan is interest only for its entire term and matures in January 2023. Moody's LTV and stressed DSCR are 57% and 1.72X, respectively, same as at the last review. The second largest loan is the Westborough Shopping Center Loan ($29.7 million -- 8% of the pool), which is secured by a 357,000 SF grocery anchored shopping center in Westborough, MA. The center is anchored by a Super Stop & Shop, Pro Wine and Westborough Books. The property's occupancy has ranged between 77% and 83% since securitization and property performance has remained lower than expectations at securitization. The December 2021 NOI was 7% below the NOI in 2013. The annualized September 2022 NOI has declined further due to increased operating expenses. The loan has amortized 15% since securitization and matures in January 2023. Moody's LTV and stressed DSCR are 117% and 0.85X, respectively, compared to 119% and 0.83X at the last review. The third largest loan is the Agree Retail Portfolio Loan ($23.6 million – 6.4% of the pool), which is secured by a portfolio of 12 single-tenant retail properties located throughout the US. Tenants include CVS, Chase Bank, and Kohl's. The property's lease expirations are staggered, and the portfolio has a weighted average lease term remaining of over 8 years. The portfolio is 100% leased and the full year 2021 and June 2022 annualized NOI was slightly higher than at securitization. The loan is interest only for its entire term and matures in January 2023. Moody's LTV and stressed DSCR are 86% and 1.16X, respectively, same as at the last review. MORGAN STANLEY 2015-C22: Fitch Affirms 'BBsf' Rating on Cl. D Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Commercial Mortgage Pass-Through Certificates, series 2015-C22. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2015-C22 A-2 61690FAJ2 LT AAAsf Affirmed AAAsf A-3 61690FAL7 LT AAAsf Affirmed AAAsf A-4 61690FAM5 LT AAAsf Affirmed AAAsf A-S 61690FAP8 LT AAAsf Affirmed AAAsf A-SB 61690FAK9 LT AAAsf Affirmed AAAsf B 61690FAQ6 LT AA-sf Affirmed AA-sf C 61690FAS2 LT A-sf Affirmed A-sf D 61690FAB9 LT BBsf Affirmed BBsf E 61690FAC7 LT CCCsf Affirmed CCCsf F 61690FAD5 LT CCsf Affirmed CCsf PST 61690FAR4 LT A-sf Affirmed A-sf X-A 61690FAN3 LT AAAsf Affirmed AAAsf X-B 61690FAA1 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect stable loss expectations for the pool since Fitch's prior rating action. Three loans were flagged as Fitch Loans of Concern (FLOCs; 14%), including the second largest loan, Waterfront at Port Chester (8.5%) and one specially serviced loan (4.3%) Hilton Houston Westchase due to continued declining performance or tenant concerns. Fitch's current ratings incorporate a base case loss of 7.7%. Fitch Loans of Concern: The largest contributor to loss expectations, Hilton Houston Westchase (4.3%), is secured by a 297-key, full-service hotel located in energy corridor of Houston, TX. Expected losses have increased since the prior rating action due to higher total loan exposure. The loan transferred to special servicing in February 2020 for imminent maturity default and subsequently defaulted at its March 2020 scheduled maturity. Existing performance declines driven by lower oil and gas prices, coupled with oversupply in the Houston hotel market, were exacerbated by the coronavirus pandemic. The hotel reported TTM September 2021 occupancy, ADR and RevPAR of 46.7%, $91.90 and $42.87, respectively, compared with 38.1%, $102 and $39 as of TTM October 2020, 72.4%, $115 and $83 as of YE 2019 and 80%, $144 and $115 at issuance. LNR replaced the prior special servicer in September 2022 and it continues to work with the receiver on potential resolution options. Fitch's base case loss of 81% factors a stress to the most recently available appraisal, reflecting increasing exposure and a stressed value of $53,939 per key. The second largest contributor to loss expectations, Waterfront at Port Chester (8.5%), is secured by a 349,743-sf anchored retail property in Port Chester, NY. It was flagged as a FLOC due to continued declining cash flow. The loan previously transferred to special servicing in June 2020 for payment default and was brought current and returned to the master servicer in August 2021 after the borrower was granted forbearance. The property is anchored by Super Stop & Shop (20.3% of NRA leased through August 2030) and AMC (19.9%; December 2030). Other major tenants include Marshalls (8.6%; January 2036) and Crunch Fitness (6.7%; February 2025). There is minimal rollover of less than 1% through 2024. Servicer reported occupancy and NOI debt service coverage ratio (DSCR) were 98.1% and 1.38x respectively, as of YE 2021. Fitch's base case loss of 25.2% reflects an 8.75% cap rate and YE 2021 NOI. The remaining FLOC, 1400 Howard Boulevard (1.4%), is secured by a 75,580sf office property built in 2005 and located in Mount Laurel, NJ. The loan was added to the watch list for upcoming lease expirations and past due payments. The sole tenant's rent is expected to reduce to $1,114,952.52 per year ($14.75/SF) from $1,662,224 per year ($21.99/SF). Per the servicer, it is working with borrower to submit past due financials; 2020 is the most recent reporting period. The loan is expected to be removed from watchlist after a revised rent roll is received. While Fitch' analysis reflects a 15% stress to 2020 NOI, no loss was modeled. Increased Credit Enhancement (CE): As of the November 2022 distribution date, the pool's principal balance has been reduced by down by 14.6% to $945.2 million from $1.1 billion at issuance. Since Fitch's prior rating action, two loans ($13 million) were repaid ahead of their February 2025 maturity and one loan ($3.1 million) repaid during its open period. Thirteen loans (12/2%) are defeased, up from nine loans (8.4%) at the prior rating action. Six loans (31.7%) are full-term IO, and the remainder of the pool is now amortizing. Three loans (5%) mature in 2024 and 64 loans (90.7%) mature in 2025. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to classes A-2, A-3, A-4, A-SB, A-S and X-A are not likely due to the increasing CE, expected continued paydown and overall stable to improving performance, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C, X-B and PST may occur should pool loss expectations increase significantly and should all of the FLOCs suffer losses, which would erode CE. The Negative Outlook on class D reflects that downgrades would occur with further performance deterioration of the FLOCs, most notably Waterfront at Port Chester, and/or should additional loans default or transfer to special servicing. Downgrades to classes E and F would occur as losses are realized and/or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to classes B, C, X-B and PST may occur with stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to class D may occur as the number of FLOCs are reduced and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes E and F are not likely until the later years of the transaction and only if the performance of the remaining pool is stable, FLOCs stabilize and there is sufficient CE to the classes. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. MOSAIC SOLAR 2022-3: Fitch Gives 'BB(EXP)sf' Rating on Cl. D Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to notes issued by Mosaic Solar Loan Trust 2022-3 (Mosaic 2022-3). Entity/Debt Rating ----------- ------ Mosaic Solar Loan Trust 2022-3 A LT AA-(EXP)sf Expected Rating B LT A-(EXP)sf Expected Rating C LT BBB(EXP)sf Expected Rating D LT BB(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Mosaic 2022-3 is a securitization of consumer loans backed by residential solar equipment. The originator is Solar Mosaic, LLC, one of the longest-established solar lenders in the U.S.; it has advanced solar loans since 2014 and financed them through public securitizations since 2017. KEY RATING DRIVERS LIMITED HISTORY DETERMINES 'AAsf' CAP Residential solar loans in the U.S. have long terms, many of which are now at 25 years (and a small portion at 30 years). For Mosaic, more than seven years of performance data are available, which compares favorably with the other solar ABS that Fitch currently rates and the solar industry at large. EXTRAPOLATED ASSET ASSUMPTIONS Fitch considered both originator-wide data and previous Mosaic transactions to set a lifetime default expectation of 8.3%. Fitch has also assumed a 30% base case recovery rate. Fitch's Rating Default Rates (RDRs) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are, respectively, 33.5%, 24.9%, 20% and 13.7%. Fitch's Rating Recovery Rates (RRRs) for 'AA-sf', 'A-sf', 'BBBsf', 'BBsf' are, respectively, 19%, 21.8%, 23.3% and 25.5%. TARGET OC AND AMORTIZATION TRIGGER The class A and B notes will amortize based on target overcollateralization (OC) percentages. The target OC is 100% of the outstanding adjusted balance for the first 16 months, ensuring that there is no leakage of funds initially, irrespective of the collateral performance; then it falls to 10.5%. Should the asset performance deteriorate and the escalating cumulative loss trigger be breached, the payment waterfall will switch to turbo sequential, deferring any interest payments for class C and D and thus accelerating the senior note deleveraging. The repayment timings of classes C and D are highly sensitive to the timing of a trigger breach. STANDARD, REPUTABLE COUNTERPARTIES; NO SWAP The transaction accounts are with Wilmington Trust (A/Negative/F1) and the servicer's collection account is with Wells Fargo Bank (AA-/Stable/F1+). Commingling risk with regard to the latter is mitigated by transfer of collections within two business days, the high initial ACH share and Wells Fargo's ratings. A reserve fund can be used, in certain cases, to cover defaults and provides the notes with liquidity, although it would not be replenished, if used, as long as the cumulative loss trigger is breached. As both assets and liabilities pay a fixed coupon, there is no need for an interest rate hedge and, thus, no exposure to swap counterparties. ESTABLISHED SPECIALIZED LENDER Mosaic is one of the first-movers among U.S. solar loan lenders, with the longest track record among the originators of the solar ABS that Fitch rates. Underwriting is mostly automated and in line with that of other U.S. ABS originators. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Asset performance that indicates an implied annualized default rate (ADR) above 1.2% and a simultaneous fall in prepayments activity may put pressure on the rating or lead to a Negative Rating Outlook. Material changes in policy support, the economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the rating. Below, Fitch shows model-implied rating sensitivities to changes in default and/or recovery assumptions. Increase of defaults (Class A / B / C / D): +10%: 'AA-sf' / 'Asf' / 'A-sf'/ 'BBB-sf'; +25%: 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf'; +50%: 'Asf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'. Decrease of recoveries (Class A / B / C / D): -10%: 'AAsf' / 'A+sf' / 'Asf' / 'A-sf'; -25%: 'AAsf' / 'Asf' / 'Asf' / 'BBB+sf'; -50%: 'AA-sf' / 'Asf' / 'A-sf' / 'BBB+sf'. Increase of defaults and decrease of recoveries (Class A / B / C / D): +10% / -10%: 'AA-sf' / 'Asf' / 'A-sf' / 'BBB+sf'; +25% / -25%: 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf'; +50% / -50%: 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch currently caps ratings in the 'AAsf' category due to limited performance history, while the assigned rating of 'AA-sf' is further constrained by the sensitivity of model results. As a result, a positive rating action could result from an increase in CE due to class A deleveraging, underpinned by good transaction performance, for example, through high prepayments and ADR below 1.2%. Below Fitch shows model-implied rating sensitivities, capped at 'AA+sf', to changes in default and/or recovery assumptions. Decrease of defaults (Class A / B / C / D): -10%: 'AA+sf' / 'A+f' / 'A+sf' / 'Asf'; -25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'A+sf'; -50%: 'AA+sf' / 'AA+sf' / 'AA-sf' / 'AA-sf'. Increase of recoveries (Class A / B / C / D): +10%: 'AAsf' / 'A+sf' / 'Asf' / 'A-sf'; +25%: 'AA+sf' / 'A+sf' / 'A+sf' / 'A-sf'; +50%: 'AA+sf' / 'AA-sf' / 'A+sf' / 'Asf'. Decrease of defaults and increase of recoveries (Class A / B / C / D): -10% / +10%: 'AA+sf' / 'AA-sf' / 'A+sf' / 'Asf'; -25% / +25%: 'AA+sf' / 'AAsf' / 'A+sf' / 'A+sf'; -50% / +50%: 'AA+sf' / 'AA+sf' / 'AA-sf' / 'AA-sf'. CRITERIA VARIATION This analysis includes a criteria variation due to model-implied rating (MIR) variations in excess of the limit stated in the consumer ABS criteria report for new ratings. According to the criteria, the committee can decide to deviate from the MIRs, but, if the MIR variation is greater than one notch, this will be a criteria variation. The MIR variations for classes B to D are greater than one notch. Given the sensitivity of ratings to model assumptions and conventions, repayment timing, and tranche thickness, the ultimate ratings were constrained by sensitivity analysis. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on comparing or re-computing certain information with respect to 150 relevant loan contracts. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DATA ADEQUACY The historical information available for this originator did not cover the asset tenor of up to 30 years, as originations began in 2014. Fitch applied a rating cap at the 'AAsf' category to address this limitation. The amortizing nature of the assets, the data available from previous Mosaic transactions and the application of an ADR to the static portfolio allowed us to determine lifetime default assumptions. Taking into account this analytical approach, the rating committee considered the available data sufficient to support a rating in the 'AAsf' category. 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. NEUBERGER BERMAN 52: Fitch Gives 'BB+(EXP)' Rating on Cl. E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Ratings Outlooks to Neuberger Berman Loan Advisers NBLA CLO 52, Ltd. Entity/Debt Rating ----------- ------ Neuberger Berman Loan Advisers NBLA CLO 52, Ltd. A-1A LT NR(EXP)sf Expected Rating A-1B LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Neuberger Berman Loan Advisers NBLA CLO 52, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers II LLC. Net proceeds from the issuance of secured and subordinated notes will provide financing on a portfolio of approximately $485 million of primarily first lien senior secured loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.5% first-lien senior secured loans and has a weighted average recovery assumption of 74.38%. 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 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.8-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 class A-2, B, C, D, and E notes can withstand default rates of up to 55.9%, 50.5%, 45.6%, 36.3%, and 34.2%, respectively, assuming portfolio recovery rates of 37.5%, 46.2%, 55.6%, 65.0%, and 70.4% in Fitch's 'AAAsf', 'AAsf', 'Asf', 'BBB-sf', and 'BB+sf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BBsf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA-sf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. OBX TRUST 2022-NQM9: Fitch Assigns 'Bsf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to OBX 2022-NQM9 Trust. Entity/Debt Rating Prior ----------- ------ ----- OBX 2022-NQM9 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by the OBX 2022-NQM9 Trust as indicated above. The notes are supported by 643 loans with an unpaid principal balance of approximately $359.4 million as of the cutoff date. The pool consists of fixed-rate mortgages and adjustable-rate mortgages acquired by Annaly Capital Management, Inc. (Annaly) from various originators and aggregators. Distributions of 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% debt service coverage ratio 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. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal 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 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 loss severity is 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 cash flow 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; therefore, Fitch's losses and credit enhancement 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 market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 42.2% 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. PALISADES CENTER 2016-PLSD: S&P Affirms 'CCC-' Rating on D Notes ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from Palisades Center Trust 2016-PLSD, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its 'CCC (sf)' ratings on classes D and X-NCP from the same transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a portion of a fixed-rate, interest-only (IO) mortgage whole loan secured by the borrower's fee simple and leasehold interests in a portion of a super-regional mall and entertainment center known as Palisades Center in West Nyack, N.Y. Rating Actions S&P said, "Classes A, B, and C and the affirmation on class D reflect our reevaluation of Palisades Center that secures the sole loan in the transaction, based on our review of the updated August 2022 appraisal value released by the servicer in November 2022 and the performance data for the trailing 12 months (TTM) period ending Sept. 30, 2022. "In our last review in October 2022, we revised and lowered our long-term sustainable net cash flow (NCF) to $24.8 million, which aligned to the 2021 servicer-reported figures. Using a 9.00% S&P Global Ratings' capitalization rate, we arrived at an expected-case valuation of $275.0 million. Our current analysis considers the $24.0 million NCF for the TTM ending Sept. 30, 2022, which we calculated using the servicer-provided operating statements for the nine months ended Sept. 30, 2022, and quarter-ended Dec. 31, 2022, and the September 2022 rent roll. As a result, we revised and lowered our NCF slightly to $23.8 million. We also increased the S&P Global Ratings' capitalization rate to 12.00%, which follows the high implied market capitalization rate based on the August 2022 appraisal value of $217.0 million. Our current revised expected case value of $198.1 million represents a 28.0% decline from our last review. "The downgrades on classes B and C to 'CCC- (sf)' and the affirmation on class D at 'CCC- (sf)' reflect our view of the increased susceptibility to liquidity interruption and losses based on our revised lower expected case value, the lower appraisal value of $217.0 million (down from $425.0 million as of August 2020), as well as the transfer of the whole loan to special servicing on Sept. 27, 2022, due to imminent maturity default. The loan matured on Oct. 9, 2022 (details below). Specifically, the downgrades and affirmation on the classes reflect our view that, based on S&P Global Ratings' loan-to-value (LTV) ratio of over 100% on the whole loan, these classes are more or continued to be susceptible to reduced liquidity support and exhibit an elevated risk of default and loss due to current market conditions. "The downgrade on class A to 'B- (sf)' also reflects our qualitative consideration of the class' senior position in the payment waterfall. "The affirmation on the class X-NCP IO certificates is based on our criteria for rating IO securities, which states that the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of class X-NCP references classes A, B, C and D." Property-Level Analysis Palisades Center is a 2.2 million-sq.-ft. (of which 1.9 million sq. ft. serves as collateral) super-regional mall and entertainment center in West Nyack, N.Y. The property is anchored by Macy's ('BB+/Stable/B' by S&P Global Ratings; 201,000 sq. ft., noncollateral); Home Depot ('A/Stable/A-1'; 132,800 sq. ft.; January 2029 expiration); Target ('A/Stable/A-1'; 130,140 sq. ft.; January 2024); and BJ's Wholesale Club ('BB+/Stable'; 118,076 sq. ft.; February 2033). There are also two vacant anchor boxes (157,000 sq. ft. [collateral] formerly occupied by J.C. Penney and 120,000 sq. ft. [noncollateral] formerly occupied by Lord & Taylor) at the property. In S&P's current review, it received and reviewed the year-to-date September 2022 operating statements and September 2022 rent roll, which aligned to our expectations in our last review. According to the Sept. 30, 2022, rent roll, the collateral property was 74.4% leased, compared with 74.8% using the June 30, 2022, rent roll in our last review. The five-largest tenants made up 29.0% of the collateral net rentable area (NRA) and include: -- Home Depot (7.0% of NRA, 5.9% of in place gross rent as calculated by S&P Global Ratings, January 2029 lease expiration); -- Target (6.9%, 3.1%, January 2024); -- BJ's Wholesale Club (6.2%, 4.5%, February 2023); -- Dick's Sporting Goods (5.0%, 3.6%, January 2028); and -- AMC Palisades Center 21 (3.9%, 9.5%, December 2028). The mall faces elevated tenant rollover risk in 2023 (10.8% of in-place gross rent, as calculated by S&P Global Ratings), 2024 (16.3%), 2025 (11.0%), 2026 (10.2%), 2028 (17.6%), and 2029 (11.4%). The rollover risk during this time is generally diversified with various tenants; however, the major tenants noted above are among the expiring tenants. S&P said, "Similar to the October 2022 review, we excluded income from those tenants no longer listed on the respective mall directory websites or those that have filed for bankruptcy protection or announced store closures. As such, our current analysis assumed a collateral occupancy rate of 73.1%, in-place gross rent of $28.44 per sq. ft., and operating expense ratio of 56.1% to derive a long-term sustainable NCF of $23.8 million. Our expected-case value of $198.1 million is 8.7% lower than the $217.0 million August 2022 appraisal value. The revised 2022 appraisal value represents a decline of 75.4% from the issuance appraisal value of $881.0 million and 48.9% from the August 2020 appraisal value of $425.0 million." Transaction Summary The IO mortgage whole loan had an initial and current balance of $418.5 million, pays an annual fixed interest rate of 4.188%, and matured on Oct. 9, 2022. The whole loan is split into three senior A notes totaling $259.1 million and six subordinate junior B, C, and D notes totaling $159.4 million. The $388.5 million trust balance (according to the Nov. 16, 2022, trustee remittance report), comprises two senior A notes totaling $229.1 million and six subordinate junior notes totaling $159.4 million. The other senior A note totaling $30.0 million is in JPMDB Commercial Mortgage Securities Trust 2016-C2, a U.S. CMBS transaction. The senior A notes are pari passu to each other and senior to the subordinate junior B, C, and D notes. The master servicer reported a 1.27x debt service coverage on the whole loan balance for the six months ended June 30, 2022. To date, the trust has not incurred any principal losses. The loan originally transferred to special servicing on April 10, 2020, due to imminent monetary default because the borrower requested COVID-19-related relief. The loan was modified and returned to the master servicer on May 24, 2021. The final modification terms included, among other items, deferring six months of debt service payments (April to September 2020) and extending the loan's original maturity date from April 9, 2021 to Oct. 9, 2022. According to the November 2022 trustee remittance report, $8.4 million of principal and interest advances remain outstanding. Per the servicer's report, $12.3 million is currently held in various reserve accounts. As previously mentioned, the loan was transferred back to special servicing on Sept. 27, 2022, due to imminent maturity default. The sponsor, Pyramid Management Group LLC, also had three other retail mall loans in two U.S. CMBS transactions (J.P. Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY and J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN) transferred to special servicing in early 2022 because of maturity default. These loans have since been modified and extended. We will continue to monitor the resolution strategy of the subject loan and update our analysis, as necessary. Ratings Lowered Palisades Center Trust 2016-PLSD Class A to 'B- (sf)' from 'BB (sf)' Class B to 'CCC- (sf)' from 'B- (sf)' Class C to 'CCC- (sf)' from 'CCC (sf)' Ratings Affirmed Palisades Center Trust 2016-PLSD Class D: 'CCC- (sf)' Class X-NCP: 'CCC- (sf)' SHAWBROOK MORTGAGE 2022-1: Fitch Gives 'CCsf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned Shawbrook Mortgage Funding 2022-1 PLC (SMF 22-1) final ratings as detailed below. Entity/Debt Rating ----------- ------ Shawbrook Mortgage Funding 2022-1 PLC Class A XS2562973615 LT AAAsf New Rating Class B XS2562973706 LT AAsf New Rating Class C XS2562973888 LT Asf New Rating Class D XS2562973961 LT BBB-sf New Rating Class E XS2562974001 LT B-sf New Rating Class F XS2562974183 LT CCsf New Rating Class X1 XS2562974266 LT NRsf New Rating Class X2 XS2562974340 LT NRsf New Rating RC1 Certificates XS2562949151 LT NRsf New Rating RC2 Certificates XS2562950670 LT NRsf New Rating TRANSACTION SUMMARY SMF 22-1 is a static securitisation of buy-to-let (BTL) mortgages originated between 2016 and 2022 by Shawbrook Bank Limited (Shawbrook), in England, Scotland and Wales. KEY RATING DRIVERS Specialist Products: The pool comprises a majority of specialist BTL products, mainly house in multiple occupation (HMO) properties (64.4%), multi-unit properties (11.4%) and flexible loans to professional landlords backed by several properties (26.9%). Loans to professional landlords provide the flexibility to sell properties and only partially prepay as long as the original loan covenants are complied with (loan-to-value (LTV) and debt service coverage ratio (DSCR) mainly). Fitch has applied an originator adjustment of 1.2x due to the high concentration of specialist properties and products in the portfolio. Prudent Underwriting: Shawbrook has a prudent underwriting approach with maximum LTV at origination lower than at some peers at 75%, stricter DSCR for HMO than comparable lenders and HMO not being available for first-time landlords. The weighted average (WA) original LTV (OLTV) is in line with peers' (72.3%) while the interest coverage ratio (ICR) is significantly stronger (146.1%). The portfolio has some seasoning with loans originated from 2016 onwards, resulting in a WA indexed current LTV of 67.2%. HMO Rental Yield Haircut: The high ICR is linked to the higher rental yield of HMO properties. However, such properties are complex to manage and may require higher maintenance costs. Fitch has therefore applied an approximately 25% haircut to the rental income of HMO properties. This broadly aligns with the stricter DSCR requirement from Shawbrook than for standard properties, resulting in an adjusted ICR of 120.3%. This is a variation to Fitch criteria. HMO Valuation Haircut: Fitch has adjusted the valuation of large HMO properties (seven occupants or more) by applying a 10% haircut. This is a variation to Fitch criteria. These properties are typically valued with a yield-based approach which may result in higher volatility depending on factors such as the occupation rate. Fitch believes the attractiveness of these properties may be driven by other factors than the typical drivers of housing demand such as the evolution of a specific population (students, care workers, seasonal workers). Lastly, this market has a limited size and conversion costs may be needed to adapt these properties to more standard properties that could be sold to an owner occupier or non-HMO-investor. Most properties (including large HMO properties) were subject to full valuations, and HMO properties are valued by third-party expert appraisers. With the exception of large HMO properties, a standard valuation approach was used, based on property characteristics with comparables. A small proportion of properties were valued via an automated valuation model (3.7%). Regional Concentration: The pool contains a material concentration of loans originated in Scotland (16.2%), which is captured by Fitch's criteria around regional concentration. Loans in Scotland are mainly simpler BTL loans and properties, and there is no concentration of HMO properties in Scotland or in any other region. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The transaction performance may be affected by adverse changes in market conditions and the economic environment. Weakening economic performance is strongly correlated to increasing levels of delinquencies and defaults that could reduce credit enhancement (CE) available to the notes. Additionally, unanticipated declines in recoveries could result in lower net proceeds, which may make certain note ratings susceptible to negative rating action depending on the extent of the decline in recoveries. Fitch conducts sensitivity analyses by stressing both a transaction's base-case foreclosure frequencies (FF) and recovery rate (RR) assumptions, and examining the rating implications on all classes of issued notes. For example, a 15% WAFF increase and 15% WARR decrease would result in a downgrade of up to two notches. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and, potentially, an upgrade. A decrease in the WAFF of 15% and an increase in the WARR of 15% would result in an upgrade of up to two notches. CRITERIA VARIATION Fitch has adjusted the valuation of large HMO properties (seven occupants or more) by applying a 10% haircut. These properties are typically valued with a yield-based approach that may result in higher volatility depending on factors such as the occupation rate. Fitch believes the attractiveness of these properties may be driven by other factors than the typical drivers of housing demand such as the evolution of a specific population (students, care workers, seasonal workers). Lastly, this market has a limited size and conversion costs may be needed to adapt these properties to standard properties that could be sold to an owner occupier or non-HMO-investor. Rental income on HMO properties is multiplied by 125/165. This is necessary as rental income on HMO properties may also need to cover various additional costs compared with standard BTL properties and therefore may not be available to meet rental payments. As such the rental value input is reduced for Fitch's ICR calculation for this pool. This broadly aligns with Shawbrook's stricter DSCR requirement for HMO properties than for standard properties. The combined rating impact of these variations is up to a one notch reduction on the ratings assigned. DATA ADEQUACY Fitch reviewed the results of a third-party assessment conducted on the asset portfolio information, and concluded that there were no findings that affected the rating analysis. Fitch conducted a review of a small targeted sample of the originator's origination files and found the information contained in the reviewed files to be adequately consistent with the originator's policies and practices and the other information provided to the agency about the asset portfolio. Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG CONSIDERATIONS 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. SOUND POINT 35: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Sound Point CLO 35, Ltd. Entity/Debt Rating ----------- ------ Sound Point CLO 35, Ltd. 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 Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Sound Point CLO 35, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Point CLO C-MOA, LLC, acting through its Second Management Series. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.00 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.66 versus a maximum covenant, in accordance with the initial expected matrix point of 25.25. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.09% versus a minimum covenant, in accordance with the initial expected matrix point of 73.25%. 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 9.0% 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, each class of notes was able to withstand appropriate default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. 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 'BBBsf' and 'AAAsf' for class A-2 notes, between 'BB+sf' and 'AA+sf' for class B notes, between 'B-sf' and 'A-sf' for class C notes, between less than 'B-sf' and 'BBB-sf' for class D notes and between less than 'B-sf' and 'B+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1 and A-2 notes, as these notes are in the highest rating category of 'AAAsf'. At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA-sf' for class C notes, 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 the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. TABERNA PREFERRED III: Fitch Affirms B-sf Rating on Cl. A-2A Notes ------------------------------------------------------------------ Fitch Ratings has affirmed its ratings on 36 classes from four collateralized debt obligations (CDOs). Entity/Debt Rating Prior ----------- ------ ----- Taberna Preferred Funding VII, Ltd./Inc. Class A-1LA 873315AA3 LT BBB+sf Affirmed BBB+sf Class A-1LB 873315AB1 LT Dsf Affirmed Dsf Class A-2LA 873315AC9 LT Dsf Affirmed Dsf Class A-2LB 873315AD7 LT Csf Affirmed Csf Class A-3L 873315AE5 LT Csf Affirmed Csf Class B-1L 873315AF2 LT Csf Affirmed Csf Class B-2L 873314AA6 LT Csf Affirmed Csf Taberna Preferred Funding IX, Ltd./Inc. Class A-1LA 87331XAA2 LT A-sf Affirmed A-sf A-1LAD 87331BAB8 LT BB-sf Affirmed BB-sf A-1LB 87331BAC6 LT Dsf Affirmed Dsf A-2L 87331BAD4 LT Csf Affirmed Csf A-3FV 87331BAF9 LT Csf Affirmed Csf A-3FX 87331BAG7 LT Csf Affirmed Csf A-3L 87331BAE2 LT Csf Affirmed Csf B-1L 87331BAH5 LT Csf Affirmed Csf B-2FX 87331CAB6 LT Csf Affirmed Csf B-2L 87331CAA8 LT Csf Affirmed Csf Taberna Preferred Funding III, Ltd./Inc. A-1A 87330WAA5 LT BB-sf Affirmed BB-sf A-1C 87330WAC1 LT BB-sf Affirmed BB-sf A-2A 87330WAD9 LT B-sf Affirmed B-sf A-2B 87330WAL1 LT CCCsf Affirmed CCCsf B-1 87330WAE7 LT Dsf Affirmed Dsf B-2 87330WAF4 LT Dsf Affirmed Dsf C-1 87330WAG2 LT Csf Affirmed Csf C-2 87330WAH0 LT Csf Affirmed Csf D 87330WAJ6 LT Csf Affirmed Csf E 87330WAK3 LT Csf Affirmed Csf TRANSACTION SUMMARY The CDOs are collateralized by trust preferred securities (TruPS), senior and subordinated debt issued by real estate investment trusts (REITS), corporate issuers, tranches of structured finance CDOs and commercial mortgage-backed securities. KEY RATING DRIVERS The main driver behind the affirmations was the muted pace of deleveraging mainly from excess spread. The senior classes of notes received paydowns ranging from 4% to 22% of their last review note balances. All transactions are in acceleration, which diverts excess spread to the most senior classes outstanding while cutting off interest due on certain junior timely classes that are currently rated 'Dsf'. The ratings for class A-1A and A-1C in Taberna Preferred Funding III, Ltd./Inc. (Taberna III) and class A-1LA and A-1LAD in Taberna Preferred Funding V, Ltd./Inc. are one notch lower than their model-implied rating (MIR) based on the sector-wide migration sensitivity analysis. The ratings for class A-2A and A-2B in Taberna III are two notches lower than their MIR based on the same sensitivity analysis stated above. The MIR variations reflect Fitch's view that collateral's future performance may experience volatility, in the face of high portfolio concentration and weakening macroeconomic environment. For the class A-1LA and A-1LAD notes in Taberna Preferred Funding IX, Ltd./Inc. ratings were driven by the results of the interest shortfall risk analysis. The Stable Outlooks on eight tranches in this review reflect the outcome of Fitch's sector wide sensitivity. Non-rated collateral averaged 12% of performing pools, ranging 7%-18% across four reviewed CDOs. These assets are assumed to have default probability corresponding to the "CCC" quality. The non-rated assets reflect lack of information required to evaluate these assets via credit opinions. As transactions are deleveraging, Fitch expects increasing reliance on non-rated assets and will continue to evaluate the adequacy of information to maintain the ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factors that could, individually or collectively, lead to positive rating action/upgrade: Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. VNDO TRUST 2016-350P: S&P Affirms B (sf) Rating on Class E Certs ---------------------------------------------------------------- S&P Global Ratings affirmed its ratings on six classes of commercial mortgage pass-through certificates from VNDO Trust 2016-350P, a U.S. CMBS transaction. This U.S. stand-alone (single-borrower) CMBS transaction is backed by a portion of a fixed-rate interest-only (IO) mortgage whole loan secured by the borrower's fee simple interest in a class A office property located at 350 Park Avenue in Midtown Manhattan. Rating Actions The affirmations of classes A, B, C, D, and E reflect the recent announcement regarding the office property that secures the sole loan in the transaction. On Dec. 9, 2022, the loan sponsor, Vornado Realty Trust L.P. (BBB-/Stable), and the neighboring landlord, Rudin, disclosed that they have reached agreements on various transactions with Citadel Enterprise Americas LLC (currently a tenant at the property) and an affiliate of Kenneth C. Griffin, Citadel's founder and CEO. These agreements, subject to various third-party approvals, include Citadel or affiliates master leasing the entire subject property for 10 years, alleviating S&P's concerns over declining cash flows and occupancy at the subject collateral. S&P said, "Since our last review in April 2022, the second-largest tenant, Manufacturers & Traders Trust (M&T Bank; 17.5% of net rentable area [NRA]), announced that it will relocate its regional headquarters to 277 Park Avenue after its March 31, 2023, lease expiration date." The whole loan transferred to special servicing on Nov. 1, 2022, due to imminent monetary default. According to the Nov. 14, 2022, trustee remittance report, the borrower failed to make its November 2022 debt service payment, at which time the master servicer advanced the amount due. The special servicer, CWCapital Asset Management LLC, confirmed that the loan sponsor remitted its November 2022 payment. The Dec. 12, 2022, trustee remittance report, however, noted that the master servicer has also advanced the December 2022 debt service payment. S&P expects that the borrower will remit the overdue amount prior to the next payment date, like it did with the November payment. S&P said, "Despite a decline in the property's occupancy rate to 62.0% currently (from 75.5% in our last review in April 2022) and a further drop to 44.5% after M&T Bank vacates in early 2023, we maintained the $24.4 million net cash flow (NCF) and $391.0 million ($685 per sq. ft.) expected-case value that we derived in our last review in April 2022. Our current analysis considers that, based on recent news, the low occupancy is mainly attributable to Vornado strategically not backfilling vacancies to prepare the building for redevelopment. Specifically, Vornado and Rudin plan to raze the subject property as well as the adjacent 390,000-sq.-ft. BlackRock building located at 40 East 52nd Street (owned by Rudin) and a 10,974-sq.-ft. office building located at 39 East 51st Street (recently acquired by Vornado and Rubin for $40.0 million). They intend to construct an approximately 1,450-foot-tall, 1.7 million-sq.-ft. office tower, initially expected to be completed in 2027. "The affirmations also reflect our view that the loan will continue to perform as expected during its term, due to the proposed 10-year master lease set at an initial annual net rent of $36.0 million, and may defease or pay off in full ahead of the loan's January 2027 maturity date, as a result of the significant redevelopment plans for the asset." In addition to the master lease discussed above, the agreements detail that, from October 2024 to June 2030, Kenneth Griffin has the option to either: -- Acquire a 60.0% interest in the joint venture between Vornado and Rubin (which valued the development site at $1.2 billion), with Vornado and Rubin as developers of the new office tower; -- Execute a 15-year anchor lease with renewal options for approximately 850,000 sq. ft. at rent calculated based on a percentage return on the total project cost; -- Terminate the master leases at the scheduled commencement of demolition; or -- Exercise an option to purchase the site for $1.4 billion ($1.1 billion to Vornado and $315 million to Rudin), with Vornado and Rudin no longer involved with the redevelopment project. Vornado and Rubin also have the option from October 2024 to June 2030 to put the development site to Kenneth Griffin for $1.2 billion ($900 million to Vornado and $300 million to Rudin). On Nov. 18, 2022, the borrower submitted a request to CWCapital for consent to the following: -- The ability to enter into a master lease for the entirety of the property; -- Granting a purchase option to an affiliate of the tenant conditioned upon payment in full or defeasance prior to any transfer; -- Adding Vornado Realty L.P. as a guarantor for the borrower's recourse obligations under the loan documents; and -- Pre-approval for the master lease tenant to enter into a separate property management agreement with the current property manager (Vornado Office Management LLC). CWCapital is reviewing the request and the resolution timing is currently unknown. According to the master servicer, Midland Loan Services, the loan is currently trapping cash because it failed to achieve the minimum 7.25% debt yield test. Per the servicer's December 2022 reserve report, $9.1 million is currently held in various reserve accounts. Although the model-indicated ratings were lower than the classes' current rating levels, S&P affirmed its ratings on classes A, B, C, D, and E because S&P weighed qualitative considerations, including: -- The yet-to-be approved agreements with Citadel, including master leasing the entirety of the subject property for 10-years, roughly six years beyond the loan term, at an initial net rent of $36.0 million annually; -- The $25.0 million guarantee from the sponsor to facilitate re-leasing at the property; -- The property's desirable location in the Plaza District of midtown Manhattan; -- The 2016 appraised land value of $410.0 million; -- The significant market value decline that would be needed before these classes experience principal losses; -- The liquidity support provided in the form of servicer advancing; and -- The relative position of the classes in the payment waterfall. S&P said, "We affirmed our rating on the class X-A IO certificates based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates references class A. "We will continue to monitor the redevelopment plan and timing around the office collateral securing the loan. If there are reported negative changes beyond what we have already considered, we may revisit our analysis and adjust our ratings accordingly." Property-Level Analysis 350 Park Avenue is a 30-story, 585,460-sq.-ft., class A office building with ground floor retail space located on Park Avenue between West 51st and 52nd Streets in midtown Manhattan, within the Plaza District submarket. The property was built in 1961 and was acquired by the sponsor in 2006 for approximately $540.0 million. At issuance, the property was 97.2% occupied. We assumed a 7.5% vacancy rate based on market fundamentals at that time and an average gross rent of $103.21 per sq. ft., as calculated by S&P Global Ratings. In our last review in April 2022, occupancy at the property had declined to 75.5% and average gross rent was $110.53 per sq. ft. S&P said, "We noted that the sponsor was only able to partly backfill the former Ziff-Brothers' space (53.0% of NRA) with tenants on short-term leases, the property faces concentrated rollover this year and next, and the largest tenant, Citadel, is expected to relocate after its leases expire in December 2023. That said, we factored in the property's desirable location in midtown Manhattan, the property's strong occupancy history (averaging 97.4% between 2007 and 2018), the below 15.0% submarket vacancy rate, and strong sponsorship from Vornado, including its $25.0 million guarantee to aid in the lease-up of any vacant space at the property. Using in-place occupancy and gross rent, we arrived at an S&P Global Ratings NCF of $24.4 million. Using a 6.25% S&P Global Ratings capitalization rate, we derived a $391.0 million expected case value, or $685 per sq. ft." As of the Oct. 1, 2022, rent roll, the property was 80.0% leased. However, as previously discussed, the property's occupancy rate declined to 62.0%, after Citadel partly vacated at the end of October 2022. The property's largest remaining tenants are: -- Citadel (20.4% of NRA; December 2023 lease expiration). As noted in our last review, the tenant is expected to vacate upon its lease expiration; -- M&T Bank (17.5%; March 2023). This tenant is also expected to vacate upon its lease expiration; -- Marshall Wace North America (6.5%; September 2032); and -- CITCO Holdings (3.2%; June 2028). The Plaza District office submarket has experienced elevated direct vacancy and availability rates compared to historical averages, largely as a result of many companies embracing hybrid work arrangements. CoStar noted that the four- and five-star office properties' submarket asking rent, vacancy rate, and availability rate as of December 2022 were $94.61 per sq. ft., 14.3%, and 16.5%, respectively. CoStar projects the four- and five-star office properties' vacancy rate and asking rent in 2023 to be 15.6% and $93.73 per sq. ft., respectively. This compares with the subject property's 38.0% vacancy rate and $106.30 per sq. ft. gross rent, as calculated by S&P Global Ratings. S&P said, "Again, our view is that Vornado has strategically let tenants vacate without re-leasing to ready the property for redevelopment. As a result, we maintained the assumed NCF and value that we derived in our last review. This yielded an S&P Global Ratings' loan to value ratio of 102.3% on the whole loan balance." Transaction Summary The 10-year, fixed-rate IO mortgage whole loan had an initial and current balance of $400.0 million, pays an annual fixed interest rate of 3.92%, and matures on Jan. 6, 2027. The whole loan is split into four senior A notes totaling $296.0 million and two subordinate B notes totaling $104.0 million. The $233.3 million trust balance (according to the Nov. 14, 2022, trustee remittance report) comprises two senior A notes totaling $129.3 million and two subordinate B notes totaling $104.0 million. The $100.0 million senior note A-2 is in GS Mortgage Securities Trust 2017-GS5 and the $66.7 million senior note A-4 is in JPMDB Commercial Mortgage Securities Trust 2017-C5, both U.S. CMBS transactions. The A notes are pari passu to each other and senior to the B notes. The master servicer reported a 1.33x debt service coverage for the six months ended June 30, 2022. There is no additional debt. The trust has not incurred any principal losses to date. Ratings Affirmed VNDO Trust 2016-350P Class A: AAA (sf) Class B: AA- (sf) Class C: A- (sf) Class D: BBB- (sf) Class E: B (sf) Class X-A: AAA (sf) WELLS FARGO 2016-NXS5: Fitch Cuts Rating on Two Tranches to 'CCCsf' ------------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 16 classes of Wells Fargo Commercial Mortgage Trust Pass-Through Certificates, series 2016-NXS5 (WFCM 2016-NXS5). Fitch has also revised the Outlooks of affirmed classes D and E to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2016-NXS5 A-3 95000CAY9 LT AAAsf Affirmed AAAsf A-4 95000CAZ6 LT AAAsf Affirmed AAAsf A-5 95000CBA0 LT AAAsf Affirmed AAAsf A-6 95000CBB8 LT AAAsf Affirmed AAAsf A-6FL 95000CBK8 LT AAAsf Affirmed AAAsf A-6FX 95000CBM4 LT AAAsf Affirmed AAAsf A-S 95000CBD4 LT AAAsf Affirmed AAAsf A-SB 95000CBC6 LT AAAsf Affirmed AAAsf B 95000CBG7 LT AA-sf Affirmed AA-sf C 95000CBH5 LT A-sf Affirmed A-sf D 95000CBJ1 LT BBBsf Affirmed BBBsf E 95000CAJ2 LT BBB-sf Affirmed BBB-sf F 95000CAL7 LT CCCsf Downgrade B-sf G 95000CAN3 LT CCCsf Affirmed CCCsf X-A 95000CBE2 LT AAAsf Affirmed AAAsf X-B 95000CBF9 LT AA-sf Affirmed AA-sf X-F 95000CAC7 LT CCCsf Downgrade B-sf X-G 95000CAE3 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrade and Negative Outlooks reflect increased loss expectations since Fitch's last rating action primarily driven by deteriorating performance of three office loans within the top 15, including the largest loan in the pool, 10 South LaSalle Street, which transferred to special servicing in August 2022, 4400 Jenifer Street and Chase Corporate Center. Nine loans are considered Fitch Loans of Concern ([FLOCs] 28.1% of the pool) including five specially serviced loans (16% of the pool). Fitch's current ratings reflect a base case loss of 8.60%. Specially Serviced Loan: The largest change in losses since Fitch's last rating action is 10 South LaSalle Street (10.9%), which is secured by a 762,972 sf, 37-story office tower located in Chicago's Central Loop/Financial District. The loan was transferred to the special servicer in August 2022 due to imminent monetary default. The special servicer is in communication with the borrower and is evaluating the collateral in order to determine the appropriate next steps. The loan was reported to be in the 'Grace period' status as of November 2022 and per the November 2022 loan reserve report, the loan had $2.1 million in reserves. Occupancy as of the August 2022 rent roll was 74.3% up slightly from 71.9% at June 2021 and YE 2020 but below 86.4% at YE 2018. The occupancy declined after the former major tenant, Northern Trust (previously 10.2% of the NRA), vacated upon its 2020 lease expiration. Northern Trust had been paying an average rental rate of $23.25 psf which equates to approximately $1.9 million; the vacant Northern Trust space is yet to be backfilled. The property's major tenants include Chicago Title Insurance (13.9% of NRA; expiry 3/2025), Amwins Brokerage of Illinois (7.6%; 8/2027); Clausen Miller Etal (5.6%; expiry 12/2025); Housing Authority of Cook County (3.0%; expiry 6/2035) and Ruberry Stalmack & Garvey (3.0%; expiry 12/2022). According to CoStar, the property lies within the Central Loop Office Submarket of the Chicago market. As of 3Q 2022, the average asking rental rates for the submarket and market were $39.99 psf and $29.65 psf; respectively. The vacancy rates for the submarket and market were 19.2% and 15.0%; respectively. The property's average in-place gross rent as of August 2022 was below market at $28.07 psf. Fitch's base case loss of 8% on the loan is based on a 9.50% cap rate and 10% haircut to the YE 2020 NOI due to the departure of the second largest tenant and to account for upcoming lease rollover concerns. The next change in loss since Fitch's last rating action is 4400 Jenifer Street (3.8%), which is secured by an 83,047-sf office property located in the Uptown submarket of Washington, DC. The property is a three-story, mid-rise office building which was built in 1972 and renovated in 1999. According to the servicer, the property's largest tenant DC Radio Assets LLC is downsizing its space from 27.6% of NRA to 17.5% of NRA. As a result, approximately 8,349-sf (10.1% of NRA) is expected to be vacant effective January 2023 and the property's occupancy is expected to decline to approximately 63%. The property was 73.1% occupied as of October 2022 up from 65% at YE 2021 but below 78.7% at YE 2020 and 86% at YE 2018. The historical decline in occupancy is primarily related to the departure of the previous major tenant Sundance Getaways (formerly 8.8% of the NRA), which vacated upon lease expiration in June 2018. Additionally, another previous major tenant, Long & Foster, initially downsized its space at the property by 7.6% of the NRA upon lease expiration in 2019, and subsequently vacated the remainder of its space (previously 13.6% of NRA) in October 2021. A portion of the vacant space was partially backfilled by RGS Title, LLC (1.8% of NRA) in October 2021, paying a lower rental rate of $47.78 psf Long & Foster's rent of $52.99 psf. The property's major tenants include DC Radio Assets (17.5% of NRA; 6/2023); Counselor's Title (7.1%; 5/2030); District Still, LLC (5.2%; 2/2034); SAE Productions (4.1%; 10/2023) and The Center for Auto Safety (2.8%; 12/2025). Per CoStar, the property lies within the Uptown Office Submarket of the Washington DC market. As of 3Q 2022, the average asking rental rates for the submarket and market were $40.90 psf and $38.70 psf; respectively. The vacancy rates for the submarket and market were 9.2% and 15.5%; respectively. The property's average in-place gross rent for was $45.85 psf as of October 2022. Fitch's stressed value of $172 psf is based on a 9.75% cap rate. The third largest change in loss is Chase Corporate Center (3.3%), which is secured by a 211,257-sf suburban office building located in Birmingham, AL. The property is a five-story, office building which is located approximately 14.4 miles south of the Birmingham central business district and 1.1 mile south of the Riverchase Galleria. The property was built in 1985 and renovated in 1987. Occupancy as of the September 2022 rent roll was 78.1%, from 82% at YE 2021, 90.2% at YE 2020 and 90.9% at YE 2019. The declines in occupancy are primarily related to multiple tenants vacating either at or ahead of lease expiration. Per the September 2022 rent roll, four new leases 9,039 psf (4.2% of NRA) have been signed which were scheduled to commencing in October 2022 that would increase the property's occupancy to 82.2%. In addition, the property's largest tenant, Cigna (33.8% of the NRA) has renewed their lease through November 2024. The property's major tenants include Cigna (33.8% of NRA; 11/2024); Regus (10.9%; 3/2026); United State Pipe & Foundry (8.1%; 5/2024); Crown Castle (3.1%; 12/2022) and Trustmark National Bank (2.4%; 12/2022). According to CoStar, the property lies within the Hoover Office Submarket of the Birmingham market. As of 3Q22, the average asking rental rates for the submarket and market were $21.15 psf and $22.02 psf; respectively. The vacancy rates for the market and submarket were 11.0% and 11.8%; respectively. As of the rent roll dated September 2022, average in-place rent for the property was $23.79 psf. Fitch's base case loss of 10% on the loan reflects a higher cap rate of 10.0% and 15% stress to the YE 2021 NOI to account for potential upcoming lease rollover as well as co-working tenant exposure. Increasing Credit Enhancement: Credit enhancement (CE) has increased since the prior rating action due to amortization, prepayment and defeasance. The pool's outstanding certificate balance has been reduced by 21.6% since issuance. Since the prior rating action, one loan ($7.0 million) has been prepaid ahead of the scheduled maturity date. Nine loans (13.6%) are defeased up from four loans (3.0%) at the last review. To date, the trust has incurred $3.3 million in realized losses (0.4% of the original pool balance). 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-2 through A-S and X-A are not likely due to expected amortization and their position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C, and X-B may occur should pool level losses increase significantly, with continued performance declines of the larger FLOCs. Downgrades to classes D and E may occur if the three office loans; 10 South LaSalle Street, 4400 Jenifer Street and Chase Corporate Center do not stabilize and performance deteriorates further, and additional loans default or transfer to special servicing and/or higher realized losses than expected on the specially serviced loans/assets. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the class B and X-B certificates are not expected, but may occur with significant improvement in CE and/or defeasance. Upgrades to the 'Asf', 'BBBsf' and 'BBB-sf' category rated classes are considered unlikely, but may occur as the number of FLOCs are reduced, 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 class D and E may be revised back to Stable should the performance of the office FLOCs, 10 South LaSalle Street, 4400 Jenifer Street and Chase Corporate Center improve and/or, property valuations improve and recoveries are better 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. [*] S&P Takes Various Actions on 131 Classes From 33 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 131 ratings from 33 U.S. RMBS transactions issued between 2001 and 2005. The review yielded seven upgrades, five downgrades, 70 affirmations, and 49 withdrawals. 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; -- An increase or decrease in available credit support; -- Tail risk; -- Historical missed interest payments or interest shortfalls; and -- Reduced interest payments due to loan modifications Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationale associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We lowered our rating on class II-A-10 from Prime Mortgage Trust 2005-4 to 'D (sf)' from 'CCC (sf)' due to principal write-downs, and we subsequently withdrew the rating due to the small number of loans remaining within the related group or structure. "In addition, we withdrew our ratings on 48 classes from 18 transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level. Additionally, as a result, we applied our principal-only criteria "Methodology For Surveilling U.S. RMBS Principal-Only Strip Securities For Pre-2009 Originations," published Oct. 11, 2016, which resulted in withdrawing two ratings from two transactions." [*] S&P Takes Various Actions on 46 Classes From 13 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 46 classes from 13 U.S. RMBS transactions issued between 1997 and 2007. These transactions are backed by alternative-A, closed-end second-lien, negative amortization, small-balance commercial, and/or subprime collateral. The review yielded 12 upgrades, two downgrades, 28 affirmations, and four withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3Hv7XK1 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; -- Erosion of or increases in credit support; -- An expected short duration; -- Small loan count; and -- Historical and/or outstanding missed interest payments. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, as well as the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections. The upgrades are primarily due to increased credit support. The majority of these transactions have failed their cumulative loss triggers, which provide a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the class' exposure to losses. As a result, the upgrades on these classes reflect their ability to withstand a higher level of projected losses than previously anticipated." ********* 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. 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