/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230108.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, January 8, 2023, Vol. 27, No. 7 Headlines ALLIANCE NIM 2007-OA1: DBRS Confirms C Rating on 3 Classes APIDOS CLO XLII: Fitch Assigns 'BB+sf' Rating on Class E Notes AVANT CREDIT 2021-1: DBRS Confirms BB(low) Rating on Class D Notes BANK 2020-BNK26: Fitch Affirms 'B-sf' Rating on Two Tranches BRIDGE STREET III: Fitch Assigns 'BB-sf' Rating on Class E Notes BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Tranches CANADIAN COMMERCIAL 2022-5: DBRS Finalizes B Rating on G Certs CAPITAL FOUR III: Fitch Assigns 'BB-sf' Rating on Class E Notes CIM TRUST 2018-INV1: DBRS Hikes Class B-5 Certs Rating to BB CITIGROUP MORTGAGE 2006-HE3: Moody's Ups A-1 Bond Rating From Ba1 COMMERCIAL MORTGAGE 2021-GATE: DBRS Confirms B(low) on F Certs CPS AUTO 2019-C: DBRS Confirms BB(high) Rating on Class F Notes EMFT 2022-4: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs GOLDENTREE LOAN 16: Fitch Gives 'B+sf' Final Rating on Cl. F Notes GS MORTGAGE 2021-STAR: DBRS Confirms B(low) Rating on G Certs HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs IMSCI 2012-2: DBRS Confirms BB(low) Rating on Class F Certs JP MORGAN 2012-C8: DBRS Cuts Class G Certs Rating to B(low) JP MORGAN 2013-C16: Fitch Alters Outlook on 'Bsf' Rating to Stable KKR CLO 43: Fitch Assigns 'BB-sf' Final Rating on Class E Notes MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs PRIME STRUCTURED 2021-1: DBRS Confirms B Rating on Class F Certs PRMI 2022-CMG1: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Notes PRMI SECURITIZATION 2022-CMG1: Fitch Assigns B Rating on B-2 Notes SALUDA GRADE 2022-INV1: DBRS Gives Prov. B Rating on B-2 Certs SOUND POINT 35: Fitch Assigns 'BB-sf' Rating on Class E Notes SREIT COMMERCIAL 2021-MFP2: DBRS Confirms B(low) Rating on G Certs TRINITAS CLO XXI: S&P Assigns Prelim BB-(sf) Rating on Cl. F Notes VERUS SECURITIZATION 2022-2: DBRS Give Prov. BB Rating on B-1 Notes WESTLAKE 2023-1: S&P Assigns Prelim BB(sf) Rating on Class E Notes ********* ALLIANCE NIM 2007-OA1: DBRS Confirms C Rating on 3 Classes ---------------------------------------------------------- DBRS, Inc. reviewed 1,339 classes from 130 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 1,339 classes reviewed, DBRS Morningstar upgraded 496 ratings, confirmed 839 ratings, downgraded one rating, and discontinued three ratings. Alliance NIM Trust 2007-OA1 -- Series 2007-OA1 Class N-2 C (sf) Confirmed -- Series 2007-OA1 Class N-3 C (sf) Confirmed -- Series 2007-OA1 Class N-4 C (sf) Confirmed The Affected Ratings Are Available at https://bit.ly/3WBBZ3t The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating downgrade reflects the delayed recovery of the bonds' interest shortfall amount. The discontinued ratings reflect the full repayment of principal to bondholders. The RMBS transactions reviewed consist of securitizations of non-QM, seasoned, net interest margin, small balance commercial, and prime mortgages. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or actual deal or tranche performance is not fully reflected in projected cash flows/model output. Notes: The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and North American CMBS Surveillance Methodology (October 3, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. APIDOS CLO XLII: Fitch Assigns 'BB+sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XLII Ltd. Entity/Debt Rating Prior ----------- ------ ----- Apidos CLO XLII Ltd A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Apidos CLO XLII Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.1% first lien senior secured loans and has a weighted average recovery assumption of 75.93%. 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 constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with that of other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 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 adjusting 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 rated notes can withstand default and recovery assumptions consistent with their assigned ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BBsf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to 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 'AAsf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E notes. DATA ADEQUACY A majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. AVANT CREDIT 2021-1: DBRS Confirms BB(low) Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc. confirmed its ratings on Avant Credit Card Master Trust, Series 2021-1 Asset-Backed Notes as follows: -- Class A Notes at AA (low) (sf) -- Class B Notes at A (sf) -- Class C Notes at BBB (low) (sf) -- Class D Notes at BB (low) (sf) The rating confirmations are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update," published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020. -- The currently available hard credit enhancement in the form of overcollateralization, subordination, and amounts of deposit in the reserve account, as well as the change in the level of protection afforded by each form of credit enhancement since the closing of this transaction. -- The ability of the transaction to perform within DBRS Morningstar's base-case assumptions. -- The transaction parties' capabilities regarding origination, underwriting, and servicing. Notes: All figures are in U.S. dollars unless otherwise noted. BANK 2020-BNK26: Fitch Affirms 'B-sf' Rating on Two Tranches ------------------------------------------------------------ Fitch Ratings has affirmed 29 classes of BANK 2020-BNK26 commercial mortgage pass-through certificates, series 2020-BNK26. Entity/Debt Rating Prior ----------- ------ ----- BANK 2020-BNK26 A-1 06540JAY8 LT AAAsf Affirmed AAAsf A-2 06540JAZ5 LT AAAsf Affirmed AAAsf A-3 06540JBB7 LT AAAsf Affirmed AAAsf A-3-1 06540JBC5 LT AAAsf Affirmed AAAsf A-3-2 06540JBD3 LT AAAsf Affirmed AAAsf A-3-X1 06540JBE1 LT AAAsf Affirmed AAAsf A-3-X2 06540JBF8 LT AAAsf Affirmed AAAsf A-4 06540JBG6 LT AAAsf Affirmed AAAsf A-4-1 06540JBH4 LT AAAsf Affirmed AAAsf A-4-2 06540JBJ0 LT AAAsf Affirmed AAAsf A-4-X1 06540JBK7 LT AAsf Affirmed AAAsf A-4-X2 06540JBL5 LT AAAsf Affirmed AAAsf A-S 06540JBP6 LT AAAsf Affirmed AAAsf A-S-1 06540JBQ4 LT AAAsf Affirmed AAAsf A-S-2 06540JBR2 LT AAAsf Affirmed AAAsf A-S-X1 06540JBS0 LT AAAsf Affirmed AAAsf A-S-X2 06540JBT8 LT AAAsf Affirmed AAAsf A-SB 06540JBA9 LT AAAsf Affirmed AAAsf B 06540JBU5 LT AA-sf Affirmed AA-sf C 06540JBV3 LT A-sf Affirmed A-sf D 06540JAJ1 LT BBBsf Affirmed BBBsf E 06540JAL6 LT BBB-sf Affirmed BBB-sf F 06540JAN2 LT BB-sf Affirmed BB-sf G 06540JAQ5 LT B-sf Affirmed B-sf X-A 06540JBM3 LT AAAsf Affirmed AAAsf X-B 06540JBN1 LT A-sf Affirmed A-sf X-D 06540JAA0 LT BBB-sf Affirmed BBB-sf X-F 06540JAC6 LT BB-sf Affirmed BB-sf X-G 06540JAE2 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and base case loss expectations remained relatively stable since Fitch's prior rating action. Fitch has identified three Fitch Loans of Concern (FLOCs; 4.6% of the pool balance). Eight loans (13.5%) are on the master servicer's watchlist for declines in occupancy, performance declines as a result of the pandemic, upcoming rollover and/or deferred maintenance. Fitch's current ratings incorporate a base case loss of 3.5%. The largest contributor to overall loss expectations is the 200 West 57th Street (5.9%), which is secured by a 16 story, 171,395 sf boutique office building located in Manhattan. Major tenants include St. Luke's Roosevelt Hospital (20.9% of NRA, expiring October 2023 and January 2026), Extended Fertility (19.3%, expiring January 2029 and August 2029), Orthology (4.1%, expiring December 2029) and Reproductive Medicine Assoc. (3.5%, expiring October 2031). March 2022 NOI DSCR was 1.51x, compared with 1.55x at YE 2021, 1.33x at YE 2020, and 2.11x at issuance. Portfolio occupancy was 86% as of June 2022 compared with 86% at YE 2021, 85% at YE 2020, and 92% at issuance. Near-term rollover includes 3.3% of the collateral NRA in 2022, 11% in 2023 and 8.4% in 2024. Fitch's analysis reflects an 8% cap rate and a 5% stress to the Fitch Issuance NOI to account for the declining occupancy and results in an 8% modeled loss. The second largest contributor to overall loss expectations is the Forsyth Multifamily Portfolio loan (1.6%), which is secured by a portfolio of 3 multifamily properties consisting of 56 units and located in New York, NY. The loan was previously transferred to the special servicer in December 2020 for payment default and returned to the master servicer in June 2022. The servicer-reported NOI DSCR as of March 2022 was 1.14x compared with 0.82x at YE 2021 and 1.85x at issuance. Collateral occupancy was 93% as of March 2022 compared with 95% as of YE 2021, and 97% at issuance. Fitch's analysis reflects a 8.25% cap rate and a 10% haircut to the Fitch Issuance NOI to account for the declining occupancy and results in a base case loss of 24%. Minimal Change to Credit Enhancement (CE): As of the December 2022 distribution date, the pool's aggregate balance has been paid down by 1.1% to $1.19 billion from $1.20 billion at issuance. One loan (0.2%) is fully defeased. Thirty-five loans representing 68.6% of the pool are full-term interest-only loans. Thirteen loans (14%) have a partial, interest-only component; four loans representing 6.2% of the pool have begun to amortize. Property Type Concentration: The highest concentration is office (37.7%), followed by retail (20.9%), hotel (18.9%), and multi-family (11.9%). Pari Passu Loans: Eight loans (35.8% of pool) are pari passu. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming loans/assets. - Downgrades to 'AAAsf' and 'AA-sf' are not likely due to the continued expected amortization, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. - Downgrades to 'A-sf', 'BBBsf', and 'BBB-sf' would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs and/or the transfer of loans to special servicing. - Downgrades to 'BB-sf' and 'B-' would occur should loss expectations increase as FLOC performance declines or fails 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 virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Sensitivity factors that could lead to upgrades include stable to improved asset performance, coupled with additional paydown and/or defeasance. - Upgrades to 'AA-sf' and 'A-sf' may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. - Upgrades to classes 'BBBsf' and 'BBB-sf' may occur as the number of FLOCs are reduced, and/or loss expectations for specially-serviced loans improve. - Upgrades to classes 'BB-sf' and 'B-sf' are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BRIDGE STREET III: Fitch Assigns 'BB-sf' Rating on Class E Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Bridge Street CLO III Ltd. Entity/Debt Rating ----------- ------ Bridge Street CLO III Ltd. A-1 LT NRsf New Rating A-1 Loans LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT NRsf New Rating D LT BBBsf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Bridge Street CLO III Ltd. is an arbitrage cash flow collateralized loan obligation that will be managed by FS Structured Products Advisor, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $350.0 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 recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.5, compared with a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.1% first-lien senior secured loans. The weighted average recovery assumption of the indicative portfolio is 75.65% compared with a minimum covenant, in accordance with the initial expected matrix point of 75.2%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate, while the top-five obligors can represent up to 12.5% of the portfolio balance in aggregate. However, under the Fitch Ratings' Test Matrix expected to be selected at transaction closing, the top-five obligors can represent up to 6.25% of the portfolio. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.8-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 at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'B+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. Results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class D notes and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. BX COMMERCIAL 2021-IRON: DBRS Confirms B(low) Rating on 2 Tranches ------------------------------------------------------------------ DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2021-IRON issued by BX Commercial Mortgage Trust 2021-IRON as follows: -- Class A at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) -- Class HRR at B (low) (sf) -- Class X-NCP at BBB (sf) All trends are Stable. The rating confirmations and Stable trends reflect DBRS Morningstar's unchanged credit opinion for the transaction since the previous rating action in January 2022. The transaction closed in February 2021. The $232.0 million loan is secured by a portfolio of 14 industrial properties with a combined 2.3 million square feet throughout California, New Jersey, Pennsylvania, Maryland, and Virginia, with the largest concentration in California. The floating-rate, interest-only (IO) loan has a two-year initial term, with five one-year extension options for a fully extended maturity date of February 2028. The loan sponsors, BREIT, are affiliated entities of the Blackstone Group. The entire portfolio consists of function bulk warehouse products and was part of a sale-leaseback to Iron Mountain Inc. and serves as secure document storage and tape storage facilities for Iron Mountain's record retention and storage clients. Iron Mountain is the sole tenant, occupying 100% of the NRA, on two triple-net leases that expire in November 2030. The leases are structured with four five-year renewal options with annual 3.0% rent escalations. The loan was added to the servicer's watchlist in November 2022 due to the upcoming initial loan maturity in February 2023. As of December 2022, according to the servicer, the borrower has not confirmed whether they intend to pay off the loan or execute the first one-year extension option. DBRS Morningstar expects that the borrower will be able to exercise the extension option as the loan meets the refinancing requirements. The servicer-reported net cash flow (NCF) for the year-to-date June 2022 period indicates a slight decline on an annualized basis from the DBRS Morningstar NCF linked to an increase in operating expenses such as Real Estate Taxes, Repairs and Maintenance, and Management Fees; however, given the triple-net nature of the lease, all these items should be ultimately reimbursed at year-end. The sponsor has the right to incur future mezzanine debt on the portfolio subject to a maximum appraisal loan-to-value ratio of 57.0% and an aggregate debt yield of 7.98% or greater. As of this review, the servicer has confirmed that no additional mezzanine debt has been incurred. The loan is also subject to prepayment premium for the release of individual assets at 105.0% for the first 30.0% of the original principal balance and 110.0% thereafter. Lastly, the loan is structured with a partial pro rata/sequential-pay structure, as the loan allows for pro rata paydowns for the first 30.0% of unpaid principal balance. As of November 2022, there have been no property releases, and the trust remains in a pro rata payment schedule. ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS General considerations include the following factors: (1) Emissions, effluents, and waste (2) Climate and weather risks Environmental (E) Factors Emissions, effluents, and waste were identified as a relevant factor with the current rating actions, and has remained a relevant factor since the transaction closed in February 2021. The factor is related to one of the properties, 2300 Newlins Mill Rd (6.3% of the allocated loan amount), which developed a sinkhole in a grassy area near the parking lot, as identified at issuance. This particular region of Pennsylvania is prone to forming sinkholes, and the cost of repairing the sinkhole is covered by the 2300 Newlins Mill Rd property's insurance policy. Climate and weather risks were identified as a relevant factor with the current rating actions, and has remained a relevant factor since the transaction closed in February 2021. This factor is related to one asset that is in a seismic zone and has a probable maximum loss in excess of 20%, 10 assets that are in hurricane-susceptible regions, and six assets that are in locations designated as Special Wind Areas. Social (S) Factor The social impact of products and services was identified as a relevant factor when the transaction closed in February 2021 and at the prior rating actions in January 2022. The rationale for this factor to be considered as relevant at the time was tied to the economic impact of the Coronavirus Disease (COVID-19) pandemic and the potential effect on tenants' ability to pay rent, and thus, the sponsors' ability to service debt. However, this factor is no longer a relevant consideration with the current rating actions given the general economic recovery from the pandemic in 2022. Notes: All figures are in U.S. dollars unless otherwise noted. CANADIAN COMMERCIAL 2022-5: DBRS Finalizes B Rating on G Certs -------------------------------------------------------------- DBRS Limited finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2022-5 issued by Canadian Commercial Mortgage Origination Trust 5 (CCMOT5): -- Class A at AAA (sf) -- Class A-J at AAA (sf) -- Class X at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. Classes A-J, X, B, C, D, E, F, and G will be privately placed. The collateral consists of 35 fixed-rate loans, including five pari passu pooled interests, secured by 52 commercial properties. The transaction is a sequential-pay pass-through structure. DBRS Morningstar modelled five pari passu hotel pooled interest loans, namely Vancouver Hotel Pooled Interest, Ottawa Hotel Pooled Interest, Edmonton DoubleTree Hotel Pooled Interest, Bessborough Hotel Pooled Interest, and Edmonton Home2Suites Hotel Pooled Interest (collectively Silverbirch Hotel Portfolio Pooled Interests) as one loan (representing 11.1% of the pool) and Synergy—Trail South, and Synergy—Parkdale Trail as one loan (representing 2.8% of the pool) because these two groups of loans are each cross-collateralized and cross-defaulted. Throughout the related presale report, the pool will be referred to as a 30-loan pool. The conduit pool was analyzed to determine the final ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Morningstar Stabilized net cash flow (NCF) and their respective actual constants, the initial DBRS Morningstar weighted-average (WA) debt service coverage ratio (DSCR) for the pool was 1.48 times (x). The WA DBRS Morningstar loan-to-value ratio (LTV) of the pool at issuance was 58.3%, and the pool is scheduled to amortize down to a DBRS Morningstar WA LTV of 54.4% at maturity. Five DBRS Morningstar modelled loans or nine issuer counted loans, representing 29.1% of the allocated pool balance, that exhibit a DBRS Morningstar Issuance LTV ratio in excess of 67.1%, a threshold generally indicative of above-average default frequency. These credit metrics are based on the A-note balances. Twenty two DBRS Morningstar modelled loans or 26 issuer counted loans, representing 85.3% of the pool, have been given full or partial recourse credit in the DBRS Morningstar CMBS Insight model because of some form of recourse to individuals and real estate investment trusts or established corporations. Recourse generally results in lower probability of default (POD) over the term of the loan. While it is generally difficult to quantify the impact of recourse, all else being equal, there is a small shift lowering the loan's POD for warm-body or corporate sponsors that give recourse. Recourse can also serve as a mitigating factor to other risks, such as single-tenant risk, by providing an extra incentive for the loan sponsor to make debt service payments if the sole tenant vacates. Additionally, five DBRS Morningstar modelled loans, representing 16.2% of the pool, were considered by DBRS Morningstar to have Strong sponsor strength. The DBRS Morningstar sample included 16 of the 30 DBRS Morningstar modelled loans or 21 of 35 issuer counted loans in the pool. Site inspections were performed on 34 of the 52 properties in the portfolio (67.3% of the pool by allocated loan balance). The DBRS Morningstar sample had an average NCF variance of -4.4% and ranged from -23.0% (100 Dundas, London) to +14.8% (Olymbec Industrial Portfolio). DBRS Morningstar notes that Royal Bank of Canada who serves as Fiscal Agent and provides backup P&I advancing, is only being held to a gross negligence standard with regard its obligations under the Pooling and Servicing Agreement. Notes: All figures are in Canadian dollars unless otherwise noted. CAPITAL FOUR III: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Capital Four US CLO III Ltd. Entity/Debt Rating ----------- ------ Capital Four US CLO III Ltd A-1 LT NRsf New Rating A-2 LT NRsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating TRANSACTION SUMMARY Capital Four US CLO III Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Capital Four US Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.1, versus a maximum covenant, in accordance with the initial expected matrix point of 25.8. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 97.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.0% versus a minimum covenant, in accordance with the initial expected matrix point of 74.8%. Portfolio Composition (Positive): The largest three industries may comprise up to 42.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.0% 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 4.1-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 target initial matrix point, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as 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 the class B notes, 'A+sf' for the class C notes, between 'Asf' and 'A+sf' for the class D-1 and D-2 notes, and 'BBB+sf' for the class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: 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 the class B notes, between 'B-sf' and 'A-sf' for the class C notes, between less than 'B-sf' and 'BB+sf' for the class D-1 and D-2 notes, and between less than 'B-sf' and 'B+sf' for the 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. CIM TRUST 2018-INV1: DBRS Hikes Class B-5 Certs Rating to BB ------------------------------------------------------------ DBRS, Inc. reviewed 1,235 classes from 48 U.S. residential mortgage-backed security (RMBS) transactions. Of the 1,235 classes reviewed, DBRS Morningstar upgraded 108 ratings, confirmed 1,104 ratings, and discontinued 23 ratings. The Affected Ratings are available at https://bit.ly/3jvUKXh CIM Trust 2018-INV1 -- Mortgage Pass-Through Certificates Class B-5 BB (sf) Upgraded The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the full repayment of principal to bondholders. The pools backing the reviewed RMBS transactions consist of prime mortgage collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output. CITIGROUP MORTGAGE 2006-HE3: Moody's Ups A-1 Bond Rating From Ba1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of Class A-1 issued by Citigroup Mortgage Loan Trust 2006-HE3. The collateral backing this deal consists of subprime mortgages. Complete rating action is as follows: Issuer: Citigroup Mortgage Loan Trust 2006-HE3 Cl. A-1, Upgraded to Baa3 (sf); previously on Dec 28, 2017 Upgraded to Ba1 (sf) RATING RATIONALE The rating action reflects the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrade is a result of the improving performance of the related pool and an increase in credit enhancement available to the bond. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. COMMERCIAL MORTGAGE 2021-GATE: DBRS Confirms B(low) on F Certs -------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, 2021-GATE (CSMC 2021-GATE) as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect a deal that is early in its lifecycle with limited reporting and minimal changes to the underlying performance of the transaction since issuance. The collateral consists of three Class A office buildings totalling 1.7 million square feet (sf), including Gateway Center I, Gateway Center II, and Gateway Center IV; an 86,400-sf retail concourse; and two parking garages and a surface lot in downtown Newark, New Jersey, with access to Newark Penn Station, which serves as a hub for Amtrak, NJ Transit, and the PATH trains to Manhattan and is close to the Prudential Center arena and the New Jersey Performing Arts Center. The properties are part of a larger complex known as the Gateway Center. The sponsors, Onyx, Garrison, Taconic, and Axonic, all of which are real estate investment companies, began acquiring the assets in 2019 with the aim of unifying the ownership and renovating the buildings and concourse. Whole loan proceeds of $325.0 million consist of a $285.0 million mortgage loan, and a $40.0 million mezzanine loan that is not part of the trust. The $285.0 million mortgage loan was used to refinance the property and pay closing costs. The two-year floating-rate loan is interest only for the full term, with an initial scheduled maturity of December 2023, and three, one-year extension options available for a fully extended maturity date of December 2026. The deal closed in December 2021, and there has been minimal updated financial reporting since then. As of October 2022, the weighted average occupancy of the portfolio was 68.7%, remaining in line with 67.9% at issuance. The largest tenants include Broadridge Securities (9.4% of net rentable area (NRA)), Prudential Insurance (9.3% of NRA), and McCarter & English, LLP (6.8% of NRA). There is minimal rollover risk within the next 12 months, with 3.5% of NRA expected to expire. According to the servicer's June 2022 reporting, the annualized net cash flow (NCF) was $9.1 million, and the debt service coverage ratio (DSCR) was 0.74 times (x), compared with the DBRS Morningstar NCF and DSCR of $17.2 million and 1.50x on the mortgage loan, respectively. The decrease is largely a result of debt service payments increasing, as the loan is structured with a floating interest rate. DBRS Morningstar's NCF includes straight-line rent credit given to both Broadridge Securities and the GSA Small Business Administration, given their status as long-term credit tenants. These figures are not reflected in the most recent financial reporting. DBRS Morningstar did not give credit to the property's upside potential, which includes the borrower's plans for building renovations, increased occupancy, and higher rents. As of November 2022, there was $34.6 million in reserves allocated to capital expenditures and tenant improvements for current and future tenants. DBRS Morningstar's concluded value of $229.8 million reflects a high loan-to-value (LTV) ratio of 124.0% based on the $285.0 million mortgage loan, which increases substantially to an all-in DBRS Morningstar LTV of 141.4% when factoring in the mezzanine debt. However, the portfolio is well positioned to take advantage of improving market fundamentals, with a strong sponsorship group in place that has invested heavily in the portfolio. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2019-C: DBRS Confirms BB(high) Rating on Class F Notes --------------------------------------------------------------- DBRS, Inc. upgraded nine ratings, confirmed 38 ratings, and discontinued nine ratings as a result of repayment from 14 CPS Auto Receivables Trust transactions. The Affected Ratings Are Available at https://bit.ly/3IgeEA4 CPS Auto Receivables Trust 2019-C -- Class D Notes AAA (sf) Confirmed -- Class E Notes BBB (high) (sf) Confirmed -- Class F Notes BB (high) (sf) Confirmed -- Class C Notes Discontinued Disc. The rating actions are based on the following analytical considerations: -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary Baseline Macroeconomic Scenarios For Rated Sovereigns: September 2022 Update, published on September 19, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The collateral performance to date, DBRS Morningstar's assessment of future performance assumptions, and the increasing levels of credit enhancement. -- The transactions' capital structure and form and sufficiency of available credit enhancement. The current level of hard credit enhancement and estimated excess spread are sufficient to support the DBRS Morningstar-projected remaining cumulative net loss assumption at a multiple of coverage commensurate with the ratings. Notes: The principal methodology is DBRS Morningstar Master U.S. ABS Surveillance (November 8, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. EMFT 2022-4: Fitch Assigns 'Bsf' Final Rating on Class B-2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to EFMT 2022-4. Entity/Debt Rating Prior ----------- ------ ----- EFMT 2022-4 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by EFMT 2022-4, Mortgage Pass-Through Certificates, Series 2022-4 (EFMT 2022-4), as indicated above. The certificates are supported by 897 loans with a balance of $365.26 million as of the cutoff date. This will be the seventh EFMT rated by Fitch and the fourth EFMT transaction in 2022. The certificates are secured mainly by non-qualified mortgages (non-QM) as defined by the Ability to Repay (ATR) rule (the Rule). Approximately 60.6% of the loans were originated by LendSure Mortgage Corporation, a joint venture between LendSure Financial Services, Inc. (LFS) and Ellington Financial, Inc. (EFC). Approximately 13.2% of the loans were originated by American Heritage Lending, and 11.6% of the loans were originated by HomeXpress Mortgage Corp. The remaining 14.6% of the loans were originated by various other third-party originators. Of the pool, 50% of the loans are designated as non-QM, and the remaining 50% are investment properties not subject to ATR. Rushmore Loan Management Services LLC (Rushmore) will be the servicer and Nationstar Mortgage LLC (Nationstar) will be the master servicer for the transaction. There is no Libor exposure in this transaction. While the majority of the loans in the collateral pool comprise fixed-rate mortgages, 0.14% of the pool comprises loans with an adjustable rate. These two ARM loans are based on SOFR. The offered certificates have the following coupon rates: classes A-1, A-2 and A-3 are fixed rate with a step-up coupon at year four and capped at the net weighted average coupon (WAC), while classes M-1, B-1, B-2 and B-3 pay the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 12.5% above a long-term sustainable level (vs. 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): Collateral consists mainly of 30-year fully amortizing loans, either fixed rate or adjustable rate, and 26% of the loans have an interest-only (IO) period. The pool is seasoned at about eight months in aggregate, as determined by Fitch. The borrowers in this pool have relatively strong credit profiles with a 735 weighted average (WA) FICO score (737 WA FICO per the transaction documents) and a 45.6% debt-to-income ratio (DTI), both as determined by Fitch, as well as moderate leverage, with an original combined loan-to-value ratio (CLTV) of 71.1%, translating to a Fitch-calculated sustainable loan-to-value ratio (sLTV) of 78.7%. Fitch considered 42.4% of the pool to consist of loans where the borrower maintains a primary residence, while 50.3% comprises investor property and 7.2% represents second homes. There were 4 loans made to foreign nationals in the pool. If the co-borrower is a U.S. citizen or permanent resident, Fitch does not count those loans as loans to foreign nationals. Fitch does not make adjustments for loans to nonpermanent residents since historical performance has shown they perform the same or better than those to U.S. citizens. For foreign nationals, Fitch treated them as investor occupied, and made no documentation for income and employment. If a FICO was not provided for the foreign national, a FICO of 650 was assumed. Approximately, 99% of the loans were originated through a nonretail channel. Additionally, 50% of the loans are designated as non-QM, while the remaining 50% are exempt from QM status. The pool contains 50 loans over $1.0 million, with the largest loan at $2.85 million. The largest loan in the pool is a purchase loan for an owner-occupied planned unit development home in Rancho Santa Fe, CA and has the following collateral attributes: 724 borrower FICO and 75% LTV. Fitch's analysis of the pool determined that self-employed, non-debt service coverage ratio (non-DSCR) borrowers make up 43.0% of the pool; salaried non-DSCR borrowers make up 17.3%; and 39.7% comprises investor cash flow DSCR loans. About 50.3% of the pool comprises loans for investor properties (10.6% underwritten to borrowers' credit profiles and 39.7% comprising investor cash flow loans). There are no second liens in the pool, and three loans have subordinate financing. Around 30% of the pool is concentrated in California with relatively low MSA concentration. The largest MSA concentration is in the Los Angeles MSA (10.1%), followed by the Miami MSA (6.4%) and the San Diego MSA (4.8%). The top three MSAs account for 21.3% of the pool. As a result, there was no adjustment for geographic concentration. All loans are current as of Dec. 1, 2022. Overall, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Loan Documentation: Bank Statement, Asset Depletion, DSCR Loans (Negative): Fitch determined that about 79.6% of the pool was underwritten to less than full documentation and 35.8% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule. This reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the rule's mandates with respect to underwriting and documentation of the borrower's ATR. Additionally, 4.1% comprises an asset depletion product, 0.0% is a CPA or P&L product and 39.7% is a DSCR product. Fitch increased the PD on the non-full documentation loans to reflect the additional risk. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates, and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is additional stress on the structure, as liquidity is limited in the event of large and extended delinquencies. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding subordinate bonds from principal until classes A-1, A-2 and A-3 are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to classes A-1, A-2 and A-3 until they are reduced to zero. The transaction has excess spread that will be available to reimburse the certificates for losses or interest shortfalls. The excess spread may be reduced on and after January 2027, since classes A-1, A-2 and A-3 have a step-up coupon feature that goes into effect on that distribution date. To mitigate the impact of the step-up feature, interest payments are redirected from class B-3 to pay any cap carryover interest for the A-1, A-2 and A-3 classes on and after January 2027. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 43.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned 'AAAsf' ratings. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Canopy, Clayton, Evolve, Infinity, Opus, and Selene were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades, and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the Third-Party Due Diligence section for more detail. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the American Securitization Forum's (ASF) data layout format, and the data are considered to be comprehensive. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the ASF layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. ESG CONSIDERATIONS EFMT 2022-4 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk. Operational risk is well controlled for in EFMT 2022-4, including strong transaction due diligence as well as 'RPS1-' Fitch-rated servicer, which resulted in a reduction in expected losses. This has a positive impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. GOLDENTREE LOAN 16: Fitch Gives 'B+sf' Final Rating on Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to GoldenTree Loan Management US CLO 16, Ltd. Entity/Debt Rating Prior ----------- ------ ----- GoldenTree Loan Management US CLO 16, Ltd. X LT NRsf New Rating NR(EXP)sf A LT AAAsf New Rating AAA(EXP)sf A-J LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT B+sf New Rating B-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf GoldenTree Loan Management US CLO 16, Ltd. has upsized the transaction by approximately $100 million since expected ratings were assigned in November. Credit enhancement for the class F notes increased to 8.65% from 7.25%, resulting in improved loss coverage that is now commensurate with a 'B+sf' rating. TRANSACTION SUMMARY GoldenTree Loan Management US CLO 16, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Loan Management II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.46, versus a maximum covenant, in accordance with the initial expected matrix point of 25.75. 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 99.6% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 76.37%, versus a minimum covenant, in accordance with the initial expected matrix point of 74.3%. Portfolio Composition (Positive): The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, each class of notes are able to withstand appropriate default rates for their respective rating scenarios. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A, between 'BBB+sf' and 'AAAsf' for class A-J, between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'Asf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, between less than 'B-sf' and 'BBsf' for class E, and between less than 'B-sf' and 'B+sf' for class F. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A and A-J notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, 'BBB+sf' for class E notes, and 'BBB+sf' for class F notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. GS MORTGAGE 2021-STAR: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------- DBRS Limited confirmed its ratings on the Commercial Mortgage Pass-Through Certificates, Series 2021-STAR issued by GS Mortgage Securities Corporation Trust 2021-STAR as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. Classes H, HRR, P, and ELP are not rated by DBRS Morningstar. The rating confirmations reflect a deal that is early in its lifecycle with limited reporting and minimal changes to the underlying performance of the transaction since issuance. The loan is secured by the fee-simple interest in seven Class A suburban properties totaling 2,494 units across five states and five distinct multifamily submarkets throughout the U.S. The portfolio is primarily concentrated in Florida (three properties, 1,004 units, 37.0% of net cash flow (NCF)), Texas (one property, 583 units, 25.6% of NCF), and Arizona (one property, 360 units, 16.0% of NCF). The transaction sponsorship is a joint venture between Starlight Group Property Holdings Inc (Starlight), Public Sector Pension Investment Board (PSPIB), and Future Fund Board of Guardians (Future Fund). The two-year floating-rate loan is interest-only for the full term, with an initial two-year term and three one-year extension options available for a fully extended maturity date of December 2026. The sponsor's current business plan features an estimated capital expenditure of $29.08 million, which includes the renovation of 1,214 units across the portfolio during the first three years of the loan term, and improvements to common areas including renovated clubhouses, common rooms, gyms, and dog parks. While DBRS Morningstar did not give any credit to potential upside in cash flow from the sponsor's business plan, the portfolio's generally favorable asset quality and location in high-growth markets make it well positioned to maintain stable operating performance through the loan term. DBRS Morningstar requested but did not receive updated site inspections for the underlying properties. As per June 2022 financial reporting, the portfolio's consolidated occupancy was 93.02%, slightly below the occupancy of 94.33% at issuance. The annualized Q2 2022 NCF and debt service coverage ratio (DSCR) were $27.3 million and 4.03 times (x), respectively, as reported by the servicer, compared with DBRS Morningstar's NCF and DSCR of $25.4 million and 3.33x. Three of the underlying properties, representing 37.3% of the allocated loan amount (ALA) ($175.6 million of total ALA), are in Tampa, Florida, near an area recently affected by Hurricane Ian. The loan agreement requires the borrower to insure the mortgaged properties and DBRS Morningstar's issuance analysis included a review of insurance coverage. DBRS Morningstar will continue to review servicer reporting to determine if the properties have sustained damage. Notes: All figures are in U.S. dollars unless otherwise noted. HOME PARTNERS 2021-3: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. reviewed 14 classes from two U.S. single-family rental transactions. Of the 14 classes reviewed, DBRS Morningstar confirmed all 14 ratings. The Affected Ratings Are Available at https://bit.ly/3WW2znH Home Partners of America 2021-3 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E1 confirmed at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E2 confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (sf) STAR 2021-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B confirmed at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C confirmed at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D confirmed at A (sf) -- Single-Family Rental Pass-Through Certificate, Class E confirmed at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F confirmed at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G confirmed at B (low) (sf) The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. DBRS Morningstar's rating actions are based on the following analytical consideration: -- Key performance measures as reflected in month-over-month changes in vacancy and delinquency, quarterly analysis of the actual expenses, credit enhancement increases since deal inception, and bond paydown factors. Notes: The principal methodology is Rating and Monitoring U.S. Single-Family Rental Securitizations (November 23, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria. IMSCI 2012-2: DBRS Confirms BB(low) Rating on Class F Certs ----------------------------------------------------------- DBRS Limited downgraded its rating on one class of Commercial Mortgage Pass-Through Certificates, Series 2012-2 issued by Institutional Mortgage Securities Canada Inc., 2012-2 as follows: -- Class G to CCC (sf) from B (low) (sf) DBRS Morningstar also upgraded its ratings on two classes as follows: -- Class C to AAA (sf) from AA (low) (sf) -- Class D to AAA (sf) from BBB (high) (sf) In addition, DBRS Morningstar confirmed its ratings on two classes as follows: -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) The rating on Class XC has been withdrawn as one reference class now has a CCC (sf) rating. Class F continues to carry a Negative trend. All other trends are Stable, excluding Class G, which has a rating that does not carry a trend. The rating upgrades and confirmations reflect the overall stable performance of the pool as illustrated by the significant paydown since issuance that has significantly increased credit support for the most senior classes remaining in the transaction. As of the November 2022 reporting, three of the original 31 loans remain in the trust with an outstanding trust balance of $18.3 million, reflecting a collateral reduction of 92.4% since issuance as a result of loan repayments, scheduled loan amortization, and proceeds from the liquidation of one loan. Since DBRS Morningstar's previous review, eight loans have repaid in full (30.9% of the issuance trust balance), including the $21.9 million note of the Cedars Apartments loan (Prospectus ID#1). The three remaining loans are current but are being monitored on the servicer's watchlist for upcoming loan maturity and/or reported low debt service coverage ratios (DSCRs). These loans have all received loan modifications and/or maturity extensions, with extended maturities between November 2022 and January 2023. The rating downgrade on Class G and the Negative trend on Class F are reflective of the uncertain resolution of the remaining loans in the pool, most notably Lakewood Apartments (Prospectus ID#3, 43.2% of the trust). The loan is secured by a 111-unit multifamily property in Fort McMurray, Alberta, which has had performance declines since the downturn in the oil and gas industry that began in late 2014. The sponsor, Lanesborough REIT, has worked with the servicer several times to paper loan modifications that allowed for various forms of payment relief and extensions to the maturity date, which was in November 2022. With each extension, the borrower was required to make principal curtailment payments and, according to the servicer, $4.6 million in curtailment payments have been made since 2017. According to the servicer, another forbearance extension is currently being discussed. According to the most recent servicer report, the property was 84.0% occupied in August 2022, an increase over the November 2021 rate of 76.0% but well below the rate of 97.0% at issuance. According to Canada Mortgage and Housing Corporation, multifamily properties in the Wood Buffalo census metropolitan area of Alberta reported an October 2021 vacancy rate of 20.3% and average rental rate of $1,274 per unit, compared with the subject's average rental rate of $1,484 per unit according to the April 2022 rent roll. As of YE2021, the loan reported a DSCR of 0.65 times (x), the seventh-consecutive year of reporting a coverage below break-even. Although the borrower's commitment to the loan is apparent and has been frequently demonstrated with principal curtailments and debt service funded despite significant shortfall at the collateral property, the sustained cash flow is well below the issuance level and will continue to present significantly increased risk for this loan, particularly given the lack of meaningful recovery in the area markets since the downturn began in 2014. To gauge the bonds most exposed to this risk, DBRS Morningstar analyzed a hypothetical liquidation scenario based on a stressed value the collateral property that suggested Class G would be the most exposed to reduced credit support and/or losses should a default and liquidation ultimately occur within the near to moderate term. The largest loan in the pool, Mont-Tremblant Retail (Prospectus ID#9, 43.7% of the pool), is secured by the fee interest in a 49,616-square-foot (sf) anchored retail property in the Northern Laurentian Mountains in Mont-Tremblant, Québec. This area is a popular tourist destination, attracting visitors with its local ski resorts and numerous year-round outdoor activities. The loan has been on the servicer's watchlist since July 2016 for low DSCR, decreasing occupancy, and concerns with tenant rollover. Following the initial Coronavirus Disease (COVID-19)-related forbearance, the servicer has approved three additional loan modifications, converting the loan to interest only (IO) through October 2022 and extending the loans maturity through January 2023 to allow the borrower to further stabilized occupancy and attempt to obtain permanent term financing. As of the August 2022 rent roll, the property reported an occupancy rate of 70.0%, a decline from the December 2021 rate of 83.8% following the departure of White Wave Sportswear Inc. (10.0% of the former net rentable area (NRA)) upon its lease expiration in September 2022. Two tenants, representing 23.7% of the NRA, are scheduled to expire in the next 12 months, including the largest tenant, CISSS des Laurentides (18.5% of NRA, expiring in October 2023). The tenant is subject to an automatic lease renewal at a base rent of $17.50 per square foot (psf), should the tenant fail to present a written notice at least three months prior to the expiration date. As of YE2021, the loan reported a net cash flow (NCF) of $0.4 million (a DSCR of 0.53x), an increase from the YE2020 figure of $0.3 million (a DSCR of 0.35x), but still well below the DBRS Morningstar NCF derived at issuance of $0.9 million (a DSCR of 1.16x). The loan is sponsored by Brookline Developments, which provides 25% recourse for this loan. Notes: All figures are in Canadian dollars unless otherwise noted. JP MORGAN 2012-C8: DBRS Cuts Class G Certs Rating to B(low) ----------------------------------------------------------- DBRS Limited downgraded ratings on two classes of Commercial Mortgage Pass-Through Certificates, Series 2012-C8 issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 as follows: -- Class X-B to B (sf) from B (high) (sf) -- Class G to B (low) (sf) from B (sf) The trends on both classes were changed to Stable from Negative. The rating downgrades are reflective of increased concentration and exposure to underperforming assets following the repayment of all but one loan in 2022. Since the last rating action, 26 loans have repaid from the trust, contributing $606.2 million in principal, which paid down classes A-3 through F in addition to the notional class X-A certificate. One loan remains outstanding. Ashford Office Complex (Prospectus ID#5, 100% of the current pool), transferred to special servicing in August 2022 after failing to repay at its scheduled maturity date. As of the November 2022 remittance, the loan remains current, and an updated appraisal has not yet been ordered; however, DBRS Morningstar believes the current collateral value is below the loan balance. The loan is secured by three Class B office buildings in the heart of the Energy Corridor of Houston. Performance has been on the decline since 2017 as a result of volatility within the oil and gas industry, reporting debt service coverage ratios (DSCR) less than 1.0 times (x) since 2018. Occupancy declined in 2018 to 51% following the departure of several major tenants, and soft submarket conditions have been exacerbated by the pandemic, with occupancy falling further to 47.2% as of YE2021. The borrower has reportedly made progress on lease signings in 2022, resulting in occupancy increasing to 62.0% as of Q2 2022; however, the collateral's submarket has historically experienced high availability, most recently reporting an average vacancy of 27.7% as of Q3 2022, according to Reis. The borrower has been covering operating shortfalls for several years as well as funding various capital expenditure projects and, according to special servicer commentary, is in the process of finalizing a maturity extension proposal. With over $36.0 million remaining in the unrated first-loss piece, a minimum sale price of $22 per square foot would be required to repay Class G in full. With demand in the office sector weakening, DBRS Morningstar performed an in-depth analysis of the collateral value, using sales comparables from transactions completed over the past two years for comparable properties within the same submarket. DBRS Morningstar has concluded that, even though a loss to the loan is likely, Class G is sufficiently insulated. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2013-C16: Fitch Alters Outlook on 'Bsf' Rating to Stable ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of J.P. Morgan Chase Commercial Mortgage Securities Trust (JPMCC) commercial mortgage pass-through certificates series 2013-C16. Fitch has also revised the rating outlooks on class B to Positive from Stable and class E to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMCC 2013-C16 A-3 46641BAC7 LT AAAsf Affirmed AAAsf A-4 46641BAD5 LT AAAsf Affirmed AAAsf A-S 46641BAH6 LT AAAsf Affirmed AAAsf A-SB 46641BAE3 LT AAAsf Affirmed AAAsf B 46641BAJ2 LT AA-sf Affirmed AA-sf C 46641BAK9 LT A-sf Affirmed A-sf D 46641BAP8 LT BBB-sf Affirmed BBB-sf E 46641BAR4 LT Bsf Affirmed Bsf EC 46641BAL7 LT A-sf Affirmed A-sf F 46641BAT0 LT CCCsf Affirmed CCCsf X-A 46641BAF0 LT AAAsf Affirmed AAAsf X-B 46641BAG8 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS Improved Credit Enhancement: The improved Rating Outlooks largely reflect increased credit enhancement due to loan payoffs, continued scheduled amortization and additional defeasance since Fitch's last rating action. As of December 2022, the pool's aggregate principal balance has been reduced by 39.2% to $690.0 million from $1.136 billion at issuance. There are 24 loans (37%) that are fully defeased, including five loans (7.7%) which have defeased since the last rating action. One loan, 1615 L Street (5.0%), is full-term, interest only. Approximately 56% of the pool had partial interest-only payments, all of which are now amortizing. Stable Loss Expectations: Fitch's loss expectations remain in-line with the prior rating action with continued stable performance of the pool. While overall pool performance remains stable, refinance concerns remain given the uncertain capital markets environment as loans approach maturity. Seven loans (34.6%) are considered Fitch Loans of Concern (FLOCs), including four (30.3%) within the top 15 and two specially serviced loans (4.3%) due to occupancy declines, and/or upcoming lease rollover concerns and properties previously impacted by the pandemic which have yet to stabilize. Fitch's current ratings incorporate a base case loss of 6.80%. The analysis incorporated a full recognition of losses on loans in the pool flagged as maturity defaults to reflect imminent refinance risk as loans approach maturity. The largest change in loss since Fitch's last review is 1615 L Street (4.9%), which is secured by a 417,383sf office property in Washington, DC. The property's occupancy declined to 78.1 % as of September 2021 from 93.8% September 2020. This was largely due to the tenant Cardinia Real Estate, which previously occupied 15.1% of NRA (totaling 63,496 SF on the 10th and 11th floors), vacating in September 2020. Per the most recent servicer update, there is no leasing activity or prospects for the 10th and 11th floors vacated by Cardinia Real Estate. Servicer commentary had previously noted there was a proposed lease out for signature for the entire 10th floor (40,456 sf). However, per the servicer, the agreement was terminated in December 2022. It was a revenue share agreement and the tenant notified them earlier this year they were not going to fulfil their obligation due to deteriorating market conditions in Washington, DC CBD. They did not have any recourse other than to settle for their out-of-pocket cost to date. Fitch's loss expectation of 28% reflects a 9.00% cap rate and 5% stress to YE 2021 NOI and accounts for the occupancy decline at the property. The next largest change in loss since last review is the specially serviced loan, Riverview Office Tower (2.5%), which is secured by a 235,271 sf, 16-story, multi-tenant office property located in Bloomington, Minnesota. The tower was built in 1973 and renovated in 2006 & 2012. The loan was transferred to special servicing in August 2022 due to monetary default. A major tenant who occupied 30% of the property's NRA went dark in 2019 and stopped paying rent in 2022 which was the cause of the borrower's monetary default. The special servicer is dual-tracking foreclosure and receivership. The property was 51.9% as of June 2022 rent roll. The largest tenant Life Link III lease expired in July 2022; an update was requested, and per the special servicer the borrower has not been forthcoming on the leasing efforts, updated financial information, or current tenancy details. Fitch's base case expected loss of approximately 20% reflects a 10% cap rate and 30% stress to the YE 2021 NOI to reflect the rent loss. The next largest change in loss since the last rating action is the Hilton Richmond Hotel & Spa loan (5.5%), which is secured by a 254-key hotel in Richmond, VA. The loan was previously in special servicing for imminent monetary default due to the pandemic and the loan was brought current and returned to the master servicer in Q1 2022. However, property performance has yet to stabilize and remains below pre-pandemic levels. Per the September 2022 STR report, the property is lagging its competitive set in terms of occupancy and RevPAR with an occupancy, ADR, and RevPAR of 52.3%, $151 and $79 compared to 62.9%, $139, and $88 and a RevPAR penetration of 90%. Fitch's base case expected loss of approximately 6% is based on a 26% stress to YE 2019 NOI to account for pandemic related declines in performance given property performance has yet to stabilize and remains below pre-pandemic levels. The largest FLOC and largest loan in the pool, The Aire (17.2%), is secured by a 310-unit luxury, multifamily property located in the Upper West Side of Manhattan across the street from Lincoln Center and within walking distance of Central Park and Columbus Circle. Although the property's NOI DSCR improved to 0.77x as of September 2022 from 0.31x as of September 2021, 0.58x at YE 2020, 0.78x at YE 2019, 0.90x at YE 2018, 0.88x at YE 2017 and 1.05x at YE 2016, property performance has struggled since issuance. A cash flow sweep was triggered in 2017 for low DSCR. The performance declines are primarily related to higher operating expenses, mainly real estate taxes, which have increased by $3.3 million since issuance levels of $1.1 million and are expected to further increase to $6.6 million by 2023, when the 10-year tax abatement expires. Additionally, gross revenues and renewal rates have declined. Per servicer commentary, significant concessions are being offered at the property to offset soft market conditions. The multifamily occupancy declined to 93% as of September 2022 from 99% as of September 2021, compared to 70% at YE 2020 and 95% in March 2020. Additionally, retail occupancy improved to 85.7% as of September 2022 from 71.4% (as of June 2020). The borrower has funded debt service and operating shortfalls through 2022. Fitch's modeled losses are relatively in line with previous rating actions. The loan continues to amortize through the term. Alternative Loss Considerations: Due to the large concentration of loan maturities in 2023, Fitch performed a sensitivity and liquidation analysis, which grouped the remaining loans based on their current status and collateral quality and ranked them by their perceived likelihood of repayment and/or loss expectation. Fitch considered scenarios where only the specially serviced loans remain in the pool. Fitch assumed expected paydown from defeased loans, as well as loans with sufficient cash flow for assumed ability to refinance in a higher interest rate environment using Fitch's stressed refinance constants. The ratings and Outlooks reflect these scenarios. Maturity Concentration: All of the remaining loans mature between July and November 2023. 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 class A-3, A-4, A-SB, A-S, B, X-A and X-B are not expected given their high CE relative to expected losses and continued amortization, but may occur if interest shortfalls occur or if a high proportion of the pool defaults and expected losses increase considerably. Downgrades to classes C, D and EC are possible should additional defaults occur or loss expectations increase. A downgrade to class E would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans default or transfer to special servicing and/or higher losses than expected are incurred on the specially serviced loans. A downgrade to class F would occur as losses are realized or with a greater certainty of loss. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved performance of the overall pool coupled with additional paydown and/or increased defeasance. Upgrades to classes B, C, EC and X-B would only occur with significant improvement in CE, defeasance and/or performance stabilization of FLOCs and other properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D and E may occur as the number of FLOCs are reduced, properties vulnerable to the pandemic further stabilize and/or return to pre-pandemic levels and there is sufficient CE to the classes. An upgrade to class F is not likely absent significant improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans/assets. 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. KKR CLO 43: Fitch Assigns 'BB-sf' Final Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to KKR CLO 43 Ltd. Entity/Debt Rating Prior ----------- ------ ----- KKR CLO 43 Ltd. A-1 LT NRsf New Rating NR(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 LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY KKR CLO 43 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $360 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.08, compared with a maximum covenant, in accordance with the initial expected matrix point of 25.5. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 98.9% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 74.77%, compared with a minimum covenant, in accordance with the initial expected matrix point of 72.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B-1 and B-2 notes (collectively, class B notes), 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 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA-sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. MCAP CMBS 2014-1: DBRS Confirms B Rating on Class G Certs --------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2014-1 issued by MCAP CMBS Issuer Corporation, Series 2014-1 as follows: -- Class D at AAA (sf) -- Class E at AAA (sf) -- Class F at BBB (low) (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the current credit outlook on the remaining collateral. As of the November 2022 remittance, three of the original 32 loans remained in the pool with an aggregate principal trust balance of $12.3 million, representing a 94.5% collateral reduction since issuance. The 3571-3609 Sheppard Ave East loan (Prospectus ID#11, 50.7% of the pool) and the 175 rue de Rotterdam loan (Prospectus ID#15, 39.6% of the pool) are secured by mixed-use properties and collectively comprise 90.3% of the current pool. Performance for these two loans remains above issuance expectations, with YE2021 debt service coverage ratios of 1.87 times (x) and 1.68x, respectively. All three loans are scheduled to mature in 2024; generally, refinancing prospects look favorable for these loans. Since DBRS Morningstar's last review of this transaction, one previously specially serviced loan, 1121 Centre Street NW (Prospectus ID#7, previously 20.5% of the pool), was liquidated from the trust with a loss of $3.2 million. The loan was formerly secured by a Class B mid-rise office building in Calgary, which was sold in October 2020 for $6.8 million, with proceeds from the sale used to pay down the trust loan, outstanding advances, and other fees. A balance of $3.3 million remained in the trust following the sale and was recourse to the borrowing entity and guarantor. Ultimately, the issuer sold the personal guarantee for $123,000, eventually resulting in the aforementioned loss of $3.2 million. The loss, which was in line with DBRS Morningstar's expectations, was contained to the nonrated first-loss bond in the capital stack. Notes: All figures are in Canadian dollars unless otherwise noted. PRIME STRUCTURED 2021-1: DBRS Confirms B Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the Mortgage-Backed Certificates, Series 2021-1 issued by Prime Structured Mortgage (PriSM) Trust as part of DBRS Morningstar's continued effort to provide market participants with updates on an annual basis: -- AAA (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class A (the Class A Certificates) -- AAA (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class VFC (the Class VFC Certificates) -- AAA (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class IO (the Class IO Certificates) -- AA (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class B (the Class B Certificates) -- A (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class C (the Class C Certificates) -- BBB (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class D (the Class D Certificates) -- BB (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class E (the Class E Certificates) -- B (sf) on the Mortgage-Backed Certificates, Series 2021-1, Class F (the Class F Certificates; together with the Class A Certificates, the Class VFC Certificates, the Class IO Certificates, the Class B Certificates, the Class C Certificates, the Class D Certificates, and the Class E Certificates, the Rated Certificates) The ratings on the Class A Certificates, the Class VFC Certificates (together with the Class A Certificates, the Senior Principal Certificates), the Class B Certificates, the Class C Certificates, the Class D Certificates, the Class E Certificates, and the Class F Certificates represent the timely payment of interest to the holders thereof and the ultimate payment of principal by the Rated Final Distribution Date under the respective rating stress. The rating on the Class IO Certificates is an opinion that addresses the likelihood of the Notional Amount of the Class IO Certificates' applicable reference certificates (i.e., the Senior Principal Certificates) being adversely affected by credit losses. The Mortgage-Backed Certificates, Series 2021-1, Class G (the Class G Certificates) and Mortgage-Backed Certificates, Series 2021-1, Class R (collectively with the Class G Certificates and the Rated Certificates, the Certificates) are not rated by DBRS Morningstar. The rating confirmations are based on the following factors: (1) The collateral comprises a pool of first-lien, fixed-rate, prime, B-20-compliant, uninsured Canadian residential mortgages with a maximum loan-to-value (LTV) ratio of 80% at origination. The total outstanding note balance was $608.8 million as of October 2022, representing a pool factor of 90.3%. The pass-through structure of the certificates has resulted in higher subordination across the Rated Certificates. (2) Credit enhancement provided by subordination has built up since issuance, providing protection to the Certificates. (3) Credit performance since inception has been stable with no reported losses. The transaction benefits from strong asset quality consisting of prime conventional mortgages with high credit scores and low LTV ratios. Losses are allocated to the lowest-ranking Certificates outstanding. (4) TD Securities Inc., a wholly owned subsidiary of the Toronto-Dominion Bank (rated AA (high) with a Stable trend by DBRS Morningstar), is the Seller and Master Servicer and provides representations and warranties and is ultimately responsible for all the servicing obligations of the mortgages. Both First National Financial LP (rated BBB with a Stable trend by DBRS Morningstar), CMLS Financial Ltd., Paradigm Quest Inc., and MCAP Service Corporation, together ultimately servicing the Mortgage Loans as either Sub-Servicers or sub-sub-servicers, have extensive servicing experience in the Canadian residential mortgage market. The ratings on the Class C Certificates and the Class D Certificates materially deviate from higher ratings implied by the quantitative results. DBRS Morningstar considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted as DBRS Morningstar recognizes the structural subordination of the Class C Certificates to the Class B Certificates and the Class D Certificates to the Class C Certificates. Notes: All figures are in Canadian dollars unless otherwise noted. PRMI 2022-CMG1: Fitch Assigns 'B(EXP)sf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to PRMI Securitization Trust 2022-CMG1 (PRMI 2022-CMG1). Entity/Debt Rating ----------- ------ PRMI 2022-CMG1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes backed by seasoned and non-seasoned first lien, home equity line of credit (HELOC) on residential properties to be issued PRMI Securitization Trust 2022-CMG1 (PRMI 2022-CMG1) as indicated above. This is the first transaction rated by Fitch that includes HELOCs with open draws on the PRMI shelf. The collateral pool consists of 669 seasoned and non-seasoned performing prime quality loans with a current outstanding balance as of the cut off date of $281.83 million (the collateral balance based on the maximum draw amount is $368.34 million, as determined by Fitch). As of the cutoff date, 100% of the HELOC lines are currently open. The aggregate available credit line amount as of the cutoff date is expected to be $86.51 million per the transaction documents. The loans were originated by CMG Mortgage, Inc., and are serviced by Northpointe Bank. Distributions of principal are based on a modified sequential structure subject to the transaction's performance triggers. Interest payments are made sequentially. Losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the variable funding account (VFA). The VFA will be funded up front, and the holder of the trust certificates will be obligated, in certain circumstances (only if the draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws made with respect to the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Northpointe Bank, will not be advancing delinquent monthly payments of principal and interest (P&I). Although the notes have a note rate is based on the SOFR index, the collateral is made up of 100% adjustable rate loans, 53.8% of which are based on 1-month LIBOR and 46.2% of which are based on one-year treasury CMT. As a result, there is LIBOR exposure in the transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 13.9% above a long-term sustainable level (vs. 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. Seasoned and Non-Seasoned Prime Credit Quality (Positive): The collateral pool consists of 669 first lien seasoned and non-seasoned performing prime quality loans with a current balance of $281.83 million as of the cut off date ($368.34 million based on the max draw amount) . As of the cutoff date, 100% of the collateral comprises open HELOC lines. Thee pool in aggregate is seasoned 25 months in the aggregate, according to Fitch. Of the loans, Fitch determined that 100.0% of the loans are current with 1.5% having a 1x30 day DQ in the past 24 months. None of loans have received a prior modification based on Fitch's analysis, and none of the loans have subordinate financing. The pool exhibits a relatively strong credit profile as shown by the Fitch-determined 764 weighted average (WA) FICO score (761 per the transaction documents) as well as the 73% CLTV and75.0% sustainable loan to value ratio (sLTV). Fitch viewed the pool as being roughly 97% owner occupied, 92% single family and based on the current amount drawn as of the cut-off date 82.7% cash out. Geographic Concentration (Negative): According to Fitch, approximately 27.3% of the pool is concentrated in California per the transaction documents. The largest MSA concentration is in the Phoenix-Mesa-Scottsdale, AZ MSA (14.0%), followed by the Denver-Aurora, CO MSA (11.9%) and the Los Angeles-Long Beach-Santa Ana, CA MSA (8.7%). The top three MSAs account for 34.6% of the pool. As a result, there was a 1.01x probability of default (PD) penalty for geographic concentration that increased the 'AAAsf' loss expectation by 4bps. Modified Sequential Structure (Positive): The transaction has a modified sequential structure in which principal is distributed pro rata to the senior classes to the extent that the performance triggers are passing. To the extent they are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses and cap carryover amounts. Excess spread is not being used to turbo down the bonds, and as a result, more credit enhancement compared to expected loss is needed. If the triggers are passing, the trust certificates will receive their pro rata share of principal and the residual principal balance will receive its pro rata share of losses up to the trust certificates' writedown amount for such payment date. If triggers are failing, the trust certificates will be paid principal after all other classes have been paid in full, and the trust certificates will take losses first, followed by the subordinate, mezzanine and senior notes. No Servicer Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, so the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 44.1% 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: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58% of the seasoned and non-seasoned loans in the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Evolve to perform the review on 295 of the non-seasoned loans in the pool. Loans reviewed under this engagement the non-seasoned were given compliance, credit and valuation grades and assigned initial grades for each subcategory. The sponsor engaged Evolve to perform the review on a 50% sample of the seasoned loans for data integrity, updated property valuations, pay history and compliance. In addition to the servicer confirmed the pay history for 100% of the loans in the pool. The sponsor engaged Westcor for a tax and title search on 100% of the seasoned loans. An exception and waiver report was provided to Fitch for the non-seasoned loans which indicated the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. All of the 92 seasoned loans received an 'A' grade for compliance, which indicates that the regulatory compliance review found that none of the reviewed seasoned loans were found to have a material defect. Therefore, no adjustments were needed to compensate for these occurrences. Lastly, the sponsor engaged Evolve Westcor Land Title Insurance Company to perform a tax and title review on 100% of the seasoned loans (193 seasoned loans in total). For 182 of the mortgage loans, the title/lien search confirmed the subject mortgages are expected lien position (which is first lien position). For the remaining 11 mortgage loans, the title/lien search did not confirm the subject mortgage in expected lien position, but a clear title policy confirmed the liens are insured in the expected lien positions (which is first lien position). Fitch also received confirmation from the servicer that all loans in the pool are in a first lien position, that they are monitoring the lien status per standard servicing practices, and will advance as needed to maintain the first lien position of the loans in the pool. As a result of the tax and title search, Fitch did not make any adjustments. Fitch also relied on the servicer to review 100% of the loans' pay history to confirm that the pay strings provided are accurate. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS PRMI 2022-CMG1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originator and servicing party did not have an impact on the expected losses, the Tier 2 R&W framework with an unrated counterparties resulted in an increase in the expected losses. This has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. PRMI SECURITIZATION 2022-CMG1: Fitch Assigns B Rating on B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRMI Securitization Trust 2022-CMG1 (PRMI 2022-CMG1). Entity/Debt Rating Prior ----------- ------ ----- PRMI 2022-CMG1 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf CERT LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch Ratings rates the residential mortgage-backed notes backed by seasoned and non-seasoned first lien, home equity line of credit (HELOC) on residential properties to be issued by PRMI Securitization Trust 2022-CMG1 (PRMI 2022-CMG1) as indicated above. This is the first transaction rated by Fitch that includes HELOCs with open draws on the PRMI shelf. The collateral pool consists of 669 seasoned and non-seasoned performing prime quality loans with a current outstanding balance as of the cut-off date of 281.83 million (the collateral balance based on the maximum draw amount is $368.34 million, as determined by Fitch). As of the cutoff date, 100% of the HELOC lines are currently open. The aggregate available credit line amount as of the cutoff date is expected to be $86.51 million per the transaction documents. The loans were originated by CMG Mortgage, Inc., and are serviced by Northpointe Bank. Distributions of principal are based on a modified sequential structure subject to the transaction's performance triggers. Interest payments are made sequentially. Losses are allocated reverse sequentially. Draws will be funded first by the servicer, which will be reimbursed from principal collections. If funds from principal collections are insufficient, the servicer will be reimbursed from the variable funding account (VFA). The VFA will be funded up front, and the holder of the trust certificates will be obligated, in certain circumstances (only if the draws exceed funds in the VFA), to remit funds on behalf of the holder of the class R note to the VFA to reimburse the servicer for certain draws made with respect to the mortgage loans. Any amounts so remitted by the holder of the trust certificates will be added to the principal balance of the trust certificates. The servicer, Northpointe Bank, will not be advancing delinquent monthly payments of P&I. Although the notes have a note rate based on the SOFR index, the collateral is made up of 100% adjustable rate loans, 53.8% of which are based on one-month LIBOR and 46.2% of which are based on one-year treasury CMT. As a result, there is LIBOR exposure in the transaction. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 13.9% above a long-term sustainable level (vs. 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. Seasoned and Non-Seasoned Prime Credit Quality (Positive): The collateral pool consists of 669 first lien seasoned and non-seasoned performing prime quality loans with a current balance of $281.83 million as of the cut-off date ($368.34 million based on the max draw amount). As of the cutoff date, 100% of the collateral comprises open HELOC lines. Thee pool in aggregate is seasoned 25 months in the aggregate, according to Fitch. Of the loans, Fitch determined that 100.0% of the loans are current with 1.5% having a 1x30 day delinquency in the past 24 months. None of loans have received a prior modification based on Fitch's analysis, and none of the loans have subordinate financing. The pool exhibits a relatively strong credit profile as shown by the Fitch-determined 764 weighted average (WA) FICO score (761 per the transaction documents) as well as the 73% combined loan-to-value (LTV) and 75.0% sustainable LTV. Fitch viewed the pool as being roughly 97% owner occupied, 92% single family and based on the current amount drawn as of the cut-off date 82.7% cash out. Geographic Concentration (Negative): According to Fitch, approximately 27.3% of the pool is concentrated in California per the transaction documents. The largest MSA concentration is in the Phoenix-Mesa-Scottsdale, AZ MSA (14.0%), followed by the Denver-Aurora, CO MSA (11.9%) and the Los Angeles-Long Beach-Santa Ana, CA MSA (8.7%). The top three MSAs account for 34.6% of the pool. As a result, there was a 1.01x probability of default (PD) penalty for geographic concentration which increased the 'AAAsf' loss expectation by 4bps. Modified Sequential Structure (Positive): The transaction has a modified sequential structure in which principal is distributed pro rata to the senior classes to the extent that the performance triggers are passing. To the extent they are failing, principal is paid sequentially. The transaction also benefits from excess spread that can be used to reimburse for realized and cumulative losses and cap carryover amounts. Excess spread is not being used to turbo down the bonds, and as a result, more credit enhancement compared to expected loss is needed. If the triggers are passing, the trust certificates will receive their pro rata share of principal and the residual principal balance will receive its pro-rata share of losses up to the trust certificates' writedown amount for such payment date. If triggers are failing, the trust certificates will be paid principal after all other classes have been paid in full, and the trust certificates will take losses first, followed by the subordinate, mezzanine and senior notes. No Servicer Advancing (Positive): The servicer will not be advancing delinquent monthly payments of P&I. Because P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities are less for this transaction than for those where the servicer is obligated to advance P&I. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 44.1% 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: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 58% of the seasoned and non-seasoned loans in the pool. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged Evolve to perform the review on 295 of the non-seasoned loans in the pool. Loans reviewed under this engagement the non-seasoned were given compliance, credit and valuation grades and assigned initial grades for each subcategory. The sponsor engaged Evolve to perform the review on a 50% sample of the seasoned loans for data integrity, updated property valuations, pay history and compliance. In addition to the servicer confirmed the pay history for 100% of the loans in the pool. The sponsor engage Westcor for a tax and title search on 100% of the seasoned loans. An exception and waiver report was provided to Fitch for the non-seasoned loans which indicated the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or debt-to-income lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. 100% of the 92 seasoned loans received an 'A' grade for compliance which indicates that the regulatory compliance review found that none of the reviewed seasoned loans were found to have a material defect. Therefore, no adjustments were needed to compensate for these occurrences. Lastly, the sponsor engaged Evolve Westcor Land Title Insurance Company to perform a tax and title review on 100% of the seasoned loans (193 seasoned loans in total). For 182 of the mortgage loans, the title/lien search confirmed the subject mortgages are expected lien position (which is first lien position). For the remaining 11 mortgage loans, the title/lien search did not confirm the subject mortgage in expected lien position, but a clear title policy confirmed the liens are insured in the expected lien positions (which is first lien position). Fitch also received confirmation from the servicer that all loans in the pool are in a first lien position, that they are monitoring the lien status per standard servicing practices, and will advance as needed to maintain the first lien position of the loans in the pool. As a result of the tax and title search, Fitch did not make any adjustments. Fitch also relied on the servicer to review 100% of the loans' pay history to confirm that the pay strings provided are accurate. Fitch utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS PRMI 2022-CMG1 has an ESG Relevance Score of '4' for Transaction Parties & Operational Risk due to elevated operational risk, which resulted in an increase in expected losses. While the reviewed originator and servicing party did not have an impact on the expected losses, the Tier 2 R&W framework with unrated counterparties resulted in an increase in the expected losses. This has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. SALUDA GRADE 2022-INV1: DBRS Gives Prov. B Rating on B-2 Certs -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2022-INV1 (the Certificates) to be issued by Saluda Grade Alternative Mortgage Trust 2022-INV1 (GRADE 2022-INV1 or the Issuer) as follows: -- $116.0 million Class A-1 at AAA (sf) -- $11.8 million Class A-2 at AA (sf) -- $12.4 million Class A-3 at A (sf) -- $8.4 million Class M-1 at BBB (sf) -- $5.9 million Class B-1 at BB (sf) -- $5.6 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 certificates reflects 31.10% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 24.10%, 16.75%, 11.75%, 8.25%, and 4.90% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This a securitization of a portfolio of fixed-rate, investor debt service coverage ratio (DSCR), first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 712 mortgage loans (843 properties) with a total principal balance of $168,375,887 as of the Cut-Off Date (November 30, 2022). GRADE 2022-INV1 represents the first securitization issued by the Sponsor, Saluda Grade Opportunities Fund LLC (Saluda Grade), backed by business purpose investment property loans underwritten using DSCR. The originators for the mortgage pool are Finance of America Mortgage, LLC (59.3%), HouseMax Funding, LLC (17.1%) and other originators, each comprising less than 5.0% of the mortgage loans. Specialized Loan Servicing LLC (63.4%) and Fay Servicing, LLC (36.6%) are the Servicers of the loans in this transaction. U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Trustee and Securities Administrator. U.S. Bank National Association will act as the Custodian. The mortgage loans were underwritten to program guidelines for business-purpose loans that are designed to rely on property value, the mortgagor's credit profile, and the DSCR, where applicable. Because the loans were made to investors for business purposes, they are exempt from the Consumer Financial Protection Bureau's Ability-to-Repay rules and TILA/RESPA Integrated Disclosure rule. The Sponsor, or an affiliate, will retain a portion of each class of the Certificates (other than the Class R Certificates), representing an eligible vertical interest of at least 5% of the aggregate fair value of the Certificates to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. Additionally, the Sponsor, or an affiliate, will initially own the Class B-1, B-2, B-3, A-IO-S, X, and P Certificates on the Closing Date. On or after any date on which the aggregate unpaid principal balance of the mortgage loans is less than or equal to 10% of the Cut-Off Date balance, the Depositor will have the option to redeem the outstanding Certificates at a price equal to par plus accrued interest and any postclosing noninterest-bearing deferred amounts (optional redemption). A qualified liquidation may follow an optional redemption. The Sponsor or the Depositor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association Method at the Repurchase Price (par plus interest), provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-Off Date. For this transaction, neither Servicer nor any other transaction party will fund advances on delinquent principal and interest (P&I) on any mortgage. However, the Servicers are obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances). The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the Class A-1, A-2, and A-3 Certificates subject to certain performance triggers related to cumulative losses or delinquencies exceeding a specified threshold (Trigger Event). After a Trigger Event, principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Certificates before being applied sequentially to amortize the balances of the certificates (IIPP). For all other classes, principal proceeds can be used to cover interest shortfalls after the more senior classes are paid in full (IPIP). In addition, excess spread can be used to cover realized losses before being allocated to unpaid Cap Carryover Amounts due to Class A-1. Notes: All figures are in U.S. dollars unless otherwise noted. SOUND POINT 35: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and a Rating Outlook to Sound Point CLO 35, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Sound Point CLO 35, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY 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 23.89 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 75.14% versus a minimum covenant, in accordance with the initial expected matrix point of 73.00%. 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. The performance of all classes of rated notes at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A-1, between 'BBBsf' and 'AAAsf' for class A-2, between 'BB+sf' and 'AA+sf' for class B, between 'B-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-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; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA-sf' for class C notes, between 'A-sf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. SREIT COMMERCIAL 2021-MFP2: DBRS Confirms B(low) Rating on G Certs ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2021-MFP2 issued by SREIT Commercial Mortgage Trust 2021-MFP2 as follows: -- Class A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations and Stable trends reflect the overall stable performance of the underlying collateral since issuance, as well as the generally desirable markets where the collateral is located. The transaction is secured by the borrower's fee-simple interest in nine garden-style multifamily properties totaling 3,441 units across North Carolina (58.0% of the allocated loan amount (ALA)) and Florida (42% of the ALA). The loan is floating rate interest only with an initial two-year term and three one-year extension options. The sponsors for the loan include Starwood Real Estate Income Trust (95%) and Carroll Organization (5%). Loan proceeds of $633.8 million coupled with a borrower equity contribution of nearly $381.2 million went toward acquiring the portfolio for $975 million, covering closing costs, and funding an upfront capital improvement reserve of $6.9 million. The loan has a partial pro rata/sequential-pay structure that allows for pro rata paydowns for the first 20% of the original unpaid principal balance. Additionally, the prepayment premium to release individual assets is 105% of the ALA for the first 20% of the original unpaid balance and 110% of the ALA to release individual assets thereafter. According to the June 2022 rent rolls, the portfolio reported a occupancy rate of 94.2%, which remains in line with the issuance occupancy rate of 95.4%. The portfolio reported a debt service coverage ratio (DSCR) of 2.21 times (x) as of the trailing six months ended June 30, 2022, compared with the DBRS Morningstar DSCR of 2.14x from issuance. Of the two largest submarkets in North Carolina, Southwest Raleigh (21.3% of the ALA) and Cary (20.4% of the ALA), reported a Q3 2022 vacancy rate of 4.3% and 5.0%, respectively. Notes: All figures are in U.S. dollars unless otherwise noted. TRINITAS CLO XXI: S&P Assigns Prelim BB-(sf) Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trinitas CLO XXI Ltd./Trinitas CLO XXI LLC's floating-rate notes. The transaction is managed by Trinitas Capital Management LLC. 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 preliminary ratings are based on information as of Dec. 30, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- S&P views of the collateral pool's diversification; - The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Trinitas CLO XXI Ltd./Trinitas CLO XXI LLC Class A, $310.00 million: Not rated Class B-1, $58.50 million: AA (sf) Class B-2, $6.50 million: AA (sf) Class C (deferrable), $28.75 million: A (sf) Class D (deferrable), $26.25 million: BBB- (sf) Class E (deferrable), $16.25 million: BB- (sf) Subordinated notes, $52.00 million: Not rated VERUS SECURITIZATION 2022-2: DBRS Give Prov. BB Rating on B-1 Notes ------------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage-Backed Notes, Series 2022-2 to be issued by Verus Securitization Trust 2022-2 (VERUS 2022-2 or the Trust) as follows: -- $491.9 million Class A-1 at AAA (sf) -- $69.1 million Class A-2 at AA (high) (sf) -- $89.5 million Class A-3 at A (sf) -- $42.3 million Class M-1 at BBB (low) (sf) -- $24.9 million Class B-1 at BB (sf) -- $18.5 million Class B-2 at B (low) (sf) The AAA (sf) rating on the Class A-1 certificates reflects 34.90% of credit enhancement provided by subordinated certificates. The AA (high) (sf), A (sf), BBB (low) (sf), BB (sf), and B (low) (sf) ratings reflect 25.75%, 13.90%, 8.30%, 5.00%, and 2.55% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This a securitization of a portfolio of primarily fixed- and adjustable-rate, expanded prime and nonprime, first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 1,268 mortgage loans with a total principal balance of $755,593,539 as of the Cut-Off Date ( December 1, 2022). The pool was originated by various originators, each contributing less than 15.0% of the loans to the Trust. Shellpoint will act as the Servicer for all loans. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government, or private-label nonagency prime jumbo products for various reasons. In accordance with the Qualified Mortgage (QM)/ATR rules, 45.7% of the loans are designated as non-QM, 0.1% are designated as QM Rebuttable Presumption, and 1.6% are designated as QM Safe Harbor. Approximately 52.6% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. Approximately 43.9% of the loans were originated under a property focused investor loan debt service coverage ratio (DSCR) program and 0.6% were originated under a property focused investor loan program. Both programs allow for property cash flow/rental income to qualify borrowers for income. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical interest, representing at least 5% of the Notes to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Additionally, as of the Closing Date, the Sponsor is expected to initially be the beneficial holder with respect to 100% of the Class B-1, Class B-2, and Class B-3 Notes, and the Class A-IO-S and Class XS Certificates. Nationstar Mortgage LLC dba Mr. Cooper Master Servicing will be the Master Servicer. Wilmington Savings Fund Society, FSB will act as the Indenture and Owner Trustee. Computershare Trust Company, N.A. (Computershare; rated BBB with a Stable trend by DBRS Morningstar) will act as the Custodian. On or after the earlier of (1) the Payment Date occurring in December 2027 or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 10% of the Cut-Off Date balance, the Administrator, at the Optional Redemption Right Holder's option, may redeem all of the outstanding Notes at a price equal to the greater of (A) the class balances of the related Notes plus accrued and unpaid interest, including any cap carryover amounts, and (B) the class balances of the related Notes less than 90 days delinquent with accrued unpaid interest plus fair market value of the loans 90 days or more delinquent and real estate-owned properties. After such purchase, the Depositor must complete a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Principal and Interest (P&I) Advancing Party will fund advances of delinquent P&I on any mortgage until such loan becomes 90 days delinquent. The P&I Advancing Party has no obligation to advance P&I on a mortgage approved for a forbearance plan during its related forbearance period. The Servicer, however, is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. This transaction incorporates a sequential-pay cash flow structure with a pro rata feature among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Class A-1 and A-2 Notes sequentially (IIPP) after a Trigger Event. For more subordinated Notes, principal proceeds can be used to cover interest shortfalls as the more senior Notes are paid in full. Furthermore, excess spread can be used to cover realized losses and prior period bond writedown amounts first before being allocated to unpaid cap carryover amounts to Class A-1 down to Class A-3. Notes: All figures are in U.S. dollars unless otherwise noted. WESTLAKE 2023-1: S&P Assigns Prelim BB(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2023-1's automobile receivables-backed notes series 2023-1. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 4, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.05%, 37.69%, 28.94%, 22.04%, and 18.91% credit support (hard credit enhancement and haircut to excess spread) for the class A (A-1, A-2-A/A-2-B, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 3.50x, 3.00x, 2.30x, 1.75x, and 1.50x coverage of S&P's expected cumulative net loss of 12.50% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, D, and E notes, respectively, are within its credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the securitized pool of subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Westlake Services LLC as servicer, and its view of the company's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to Environmental, Social, And Governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2023-1 Class A-1, $209.80 million: A-1+ (sf) Class A-2-A/A-2-B, $350.00 million: AAA (sf) Class A-3, $104.66 million: AAA (sf) Class B, $71.98 million: AA (sf) Class C, $115.17 million: A (sf) Class D, $94.13 million: BBB (sf) Class E, $54.26 million: BB (sf) ********* 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. 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