/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/230122.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 22, 2023, Vol. 27, No. 21 Headlines ACM AUTO 2023-1: S&P Assigns Prelim BB(sf) Rating on Class D Notes AMSR 2021-SFR1: DBRS Confirms B(low) Rating on Class G Certs BANK 2017-BNK4: Fitch Affirms 'B-sf' Rating on Two Tranches BEAR STEARNS 2007-PWR17: Fitch Affirms 'Dsf' Rating on 12 Tranches BLACKROCK DLF 2019-G: DBRS Confirms BB Rating on Class E Notes BMO 2023-C4: Fitch Assigns 'B-(EXP)' Rating on Class J-RR Certs CANYON CLO 2022-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes CANYON CLO 2022-2: Moody's Gives B3 Rating to $600,000 Cl. F Notes CHNGE MORTGAGE 2022-5: DBRS Finalizes B Rating on Class B2 Certs CITIGROUP 2016-GC37: Fitch Affirms CCC Rating on Class F Debt CITIGROUP 2018-B2: Fitch Lowers Rating on Two Tranches to 'CCCsf' COMMERCIAL MORTGAGE 2022-HC: DBRS Confirms BB Rating on HRR Certs CPS AUTO 2023-A: DBRS Gives Prov. BB Rating on Class E Notes CPS AUTO 2023-A: S&P Assigns Prelim BB(sf) Rating on Class E Notes DIAMETER CAPITAL 4: S&P Assigns BB- (sf) Rating on Class D Notes DT AUTO 2023-1: S&P Assigns Prelim BB+(sf) Rating on Class E Notes FANNIE MAE 2023-R01: S&P Assigns 'BB+' Rating on Class 1B-1 Notes JPMBB 2014-C24: Fitch Lowers Rating on Two Tranches to 'Csf' JPMDB 2017-C5: Fitch Affirms 'BBsf' Rating on Class D Certificates LENDMARK FUNDING 2019-2: DBRS Confirms BB Rating on Class D Trusts MFA 2023-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs MORGAN STANLEY 2012-C5: Fitch Affirms 'Bsf' Rating on Class H Certs OBX TRUST 2023-NQM1: Fitch Assigns 'Bsf' Rating on Class B-2 Notes OMI TRUST 2001-D: S&P Lowers Class A-3 Notes Rating to 'D (sf)' PARK BLUE 2022-II: Fitch Assigns 'BBsf' Rating on Class E Notes PRMI SEC 2022-CMG1: DBRS Gives Prov. B Rating on Class B2 Notes SALUDA GRADE 2022-INV1: DBRS Finalizes B Rating on Class B2 Certs SUMIT 2022-BVUE: DBRS Confirms B(high) Rating on Class HRR Certs TOWD POINT 2016-4: Moody's Upgrades Rating on Cl. B4 Bonds to Ba2 UNITED AUTO 2021-1: DBRS Hikes Class F Notes Rating to B(high) UNITED AUTO 2022-2: S&P Placed 'BB' E notes rating on Watch Neg. UNITED AUTO 2023-1: S&P Assigns Prelim BB- (sf) Rating on E Notes VELOCITY COMMERCIAL 2023-1: DBRS Gives Prov. B Rating on 3 Cls. VERUS SECURITIZATION 2023-1: S&P Assigns 'B-' Rating on B-2 Notes WACHOVIA BANK 2005-C21: S&P Lowers Class E Certs Rating to 'D(sf)' WELLS FARGO 2019-C49: Fitch Lowers Rating on G-RR Debt to B-sf WESTLAKE AUTOMOBILE 2023-1: DBRS Gives Prov. BB Rating on E Notes [*] S&P Takes Various Actions on 68 Classes From 24 U.S. RMBS Deals [*] S&P Takes Various Actions on 69 Classes From 30 U.S. RMBS Deals ********* ACM AUTO 2023-1: S&P Assigns Prelim BB(sf) Rating on Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to ACM Auto Trust 2023-1's automobile receivables-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 18, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 62.33%, 53.93%, 43.00%, and 37.77% credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, and D notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 1.70x, 1.58x, 1.35x, and 1.25x coverage of S&P's expected cumulative net loss (ECNL) of 30.00% for the class A, B, C, and D notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.35x S&P's expected loss level), all else being equal, its preliminary 'A (sf)', 'A- (sf)', 'BBB (sf)', and 'BB (sf)' ratings on the class A, B, C, and D 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 S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- S&P's operational risk assessment of America's Car Mart Inc. (ACM) as servicer, and its view of the company's underwriting and backup servicing arrangement with Wilmington Trust N.A. The operational risk assessment constrains the rating at 'A (sf)'. -- The series' bank accounts at Wilmington Trust N.A., which do not constrain the preliminary ratings. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with its sector benchmark. -- The transaction's payment and legal structures. Preliminary Ratings Assigned ACM Auto Trust 2023-1 Class A, $230.39 million: A (sf) Class B, $46.80 million: A- (sf) Class C, $74.10 million: BBB (sf) Class D, $48.90 million: BB (sf) AMSR 2021-SFR1: DBRS Confirms B(low) Rating on Class G Certs ------------------------------------------------------------ DBRS, Inc. reviewed 44 classes from six U.S. single-family rental transactions. Of the 44 classes reviewed, DBRS Morningstar confirmed all 44 ratings as follows. AMSR 2021-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B at AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G at B (low) (sf) AMSR 2022-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G at B (low) (sf) Home Partners of America 2022-1 Trust -- Single-Family Rental Pass-Through Certificate, Class A at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C at A (sf) -- Single-Family Rental Pass-Through Certificate, Class D at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E at BBB (low) (sf) Progress Residential 2021-SFR1 Trust -- Single-Family Rental Pass-Through Certificate, Class A at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B at AA (sf) -- Single-Family Rental Pass-Through Certificate, Class C at A (sf) -- Single-Family Rental Pass-Through Certificate, Class D at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G at B (low) (sf) Progress Residential 2021-SFR2 Trust -- Single-Family Rental Pass-Through Certificate, Class A at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class C at AA (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class D at A (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G at B (low) (sf) Progress Residential 2021-SFR4 Trust -- Single-Family Rental Pass-Through Certificate, Class A at AAA (sf) -- Single-Family Rental Pass-Through Certificate, Class B at AA (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class C at A (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class D at BBB (high) (sf) -- Single-Family Rental Pass-Through Certificate, Class E-1 at BBB (sf) -- Single-Family Rental Pass-Through Certificate, Class E-2 at BBB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class F at BB (low) (sf) -- Single-Family Rental Pass-Through Certificate, Class G 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 applicable to the ratings is Rating and Monitoring U.S. Single-Family Rental Securitizations https://www.dbrsmorningstar.com/research/405662>; November 23, 2022). BANK 2017-BNK4: Fitch Affirms 'B-sf' Rating on Two Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 14 classes of BANK 2017-BNK4 commercial mortgage pass-through certificates. In addition, the Rating Outlook on four classes remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BANK 2017-BNK4 A-3 06541FAZ2 LT AAAsf Affirmed AAAsf A-4 06541FBA6 LT AAAsf Affirmed AAAsf A-S 06541FBD0 LT AAAsf Affirmed AAAsf A-SB 06541FAY5 LT AAAsf Affirmed AAAsf B 06541FBE8 LT AA-sf Affirmed AA-sf C 06541FBF5 LT A-sf Affirmed A-sf D 06541FAJ8 LT BBB-sf Affirmed BBB-sf E 06541FAL3 LT BB-sf Affirmed BB-sf F 06541FAN9 LT B-sf Affirmed B-sf X-A 06541FBB4 LT AAAsf Affirmed AAAsf X-B 06541FBC2 LT A-sf Affirmed A-sf X-D 06541FAA7 LT BBB-sf Affirmed BBB-sf X-E 06541FAC3 LT BB-sf Affirmed BB-sf X-F 06541FAE9 LT B-sf Affirmed B-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and base case loss expectations have remained relatively stable since Fitch's prior rating action. Fitch has identified eight Fitch Loans of Concern (FLOCs; 30.3% of the pool balance), including two (8.3%) specially serviced loans. Ten loans (29.1%) 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 6.3%. The Negative Outlooks on classes E, F, X-E, and X-F, which were previously assigned for pandemic-related performance concerns, reflect the potential for downgrades due to office performance concerns on the D.C. Office Portfolio and One West 34th Street loans. The largest contributor to overall loss expectations is the One West 34th Street loan (6.9% of pool), which is secured by a 210,358-sf office property located at the corner of West 34th Street and Fifth Avenue in Manhattan, across the street from the Empire State Building. The current largest tenants are CVS (7.0% of NRA; through January 2034), Olivia Miller (6.1%; July 2024), International Inspiration (4.0%; November 2026), Amazon.com Services (3.4%; October 2026), and Global Coverage (3.0%; May 2030). Upcoming rollover includes 8.6% of the NRA (10 leases) in 2023, 20.7% (13 leases) in 2024 and 10.7% (10 leases) in 2025. Recent performance improved slightly with the September 2022 NOI DSCR at 0.93x, compared with 0.82x at YE 2021 and 0.80x at YE 2020. The property was 85% occupied as of September 2022, up from 80% at YE 2021 and 83% at YE 2020. Fitch's base case loss of 28% reflects an 8.25% cap on the YE 2021 NOI, factoring in the property's strong Manhattan location and excellent access to public and mass transit. The next largest contributor to overall loss expectations and the largest increase in loss since the prior review is the D.C. Office Portfolio loan (7.9%), which is secured by a portfolio of three office buildings totaling 328,319-sf located in the Golden Triangle of Washington, D.C. The tenancy within the portfolio is granular as the buildings are leased to over 100 tenants, none of which is greater than 4.2% of the NRA. Portfolio occupancy declined to a trough of 73% at YE 2020 from 87% at YE 2019 due to the impact of the pandemic, but has improved to 85% as of June 2022. Cash flow remains challenged with a reported June 2022 NOI DSCR of 0.98x which has declined from 1.40x at YE 2020 and 1.56x at YE 2019. Fitch's base case loss of 13% reflects a 9.25% cap rate on the YE 2020 NOI resulting in a stressed value of $231 psf. Increased Credit Enhancement (CE): As of the December 2022 distribution date, the pool's aggregate balance has been paid down by 13.7% to $870.4 million from $1.008 billion at issuance. One loan, Merrill Lynch Drive ($41 million), was prepaid in September 2022 after its February 2022 anticipated repayment date. Three loans (6.6% of current pool) are fully defeased. Twelve full-term interest-only loans comprise 51.4% of the pool. Thirteen loans representing 21.1% of the pool had a partial interest- only component that expired, and 21 loans (27.4%) are balloon loans. Property Type Concentration: The highest concentration is office (35.8%), followed by retail (24.3%), hotel (15%), and industrial (10.7%). Pari Passu Loans: Eight loans (44.3% 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 and specially serviced loans/assets. - Downgrades to the 'AAAsf' and 'AA-sf' classes are not likely due to the continued expected amortization and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. - Downgrades to the 'A-sf' and 'BBB-sf' classes would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs, especially D.C. Office Portfolio and One West 34th Street, and/or the transfer of loans to special servicing. - Downgrades to the 'BB-sf' and 'B-' classes 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 the 'AA-sf' and 'A-sf' classes 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. - Upgrades to class 'BBB-sf' may occur as the number of FLOCs are reduced, and there is sufficient CE to the classes. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. - 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, FLOCs stabilize, 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. BEAR STEARNS 2007-PWR17: Fitch Affirms 'Dsf' Rating on 12 Tranches ------------------------------------------------------------------ Fitch Ratings has affirmed 36 classes in three U.S. CMBS 1.0 transactions. Each transaction is concentrated and has four or fewer assets remaining, and all remaining bonds are rated 'CCCsf' or below. Entity/Debt Rating Prior ----------- ------ ----- Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17 C 07388QAN9 LT Csf Affirmed Csf D 07388QAQ2 LT Csf Affirmed Csf E 07388QAS8 LT Dsf Affirmed Dsf F 07388QAU3 LT Dsf Affirmed Dsf G 07388QAW9 LT Dsf Affirmed Dsf H 07388QAY5 LT Dsf Affirmed Dsf J 07388QBA6 LT Dsf Affirmed Dsf K 07388QBC2 LT Dsf Affirmed Dsf L 07388QBE8 LT Dsf Affirmed Dsf M 07388QBG3 LT Dsf Affirmed Dsf N 07388QBJ7 LT Dsf Affirmed Dsf O 07388QBL2 LT Dsf Affirmed Dsf P 07388QBN8 LT Dsf Affirmed Dsf Q 07388QBQ1 LT Dsf Affirmed Dsf Morgan Stanley Capital I Trust 2007-TOP25 C 61751XAJ9 LT Csf Affirmed Csf D 61751XAK6 LT Dsf Affirmed Dsf E 61751XAL4 LT Dsf Affirmed Dsf F 61751XAM2 LT Dsf Affirmed Dsf G 61751XAN0 LT Dsf Affirmed Dsf H 61751XAP5 LT Dsf Affirmed Dsf J 61751XAQ3 LT Dsf Affirmed Dsf K 61751XAR1 LT Dsf Affirmed Dsf L 61751XAS9 LT Dsf Affirmed Dsf M 61751XAT7 LT Dsf Affirmed Dsf N 61751XAU4 LT Dsf Affirmed Dsf O 61751XAV2 LT Dsf Affirmed Dsf J. P. Morgan Chase Commercial Mortgage Securities Corp. 2004-PNC1 E 46625M5N5 LT CCCsf Affirmed CCCsf F 46625M5R6 LT Dsf Affirmed Dsf G 46625M5S4 LT Dsf Affirmed Dsf H 46625M5T2 LT Dsf Affirmed Dsf J 46625M5U9 LT Dsf Affirmed Dsf K 46625M5V7 LT Dsf Affirmed Dsf L 46625M5W5 LT Dsf Affirmed Dsf M 46625M5X3 LT Dsf Affirmed Dsf N 46625M5Y1 LT Dsf Affirmed Dsf P 46625M5Z8 LT Dsf Affirmed Dsf KEY RATING DRIVERS Fitch has affirmed the remaining distressed classes of Bear Stearns Commercial Mortgage Securities Trust, series 2007-PWR17 commercial mortgage pass-through certificates due to higher certainty of loss. Fitch's overall loss expectations on the specially serviced loans/REO assets remain high. Four assets remain, each of which are REO. Two assets are retail properties (80%) and two are office (20%). The largest is a 218,076-sf retail center located in Englewood, CO. The center is part of the larger development, including a 425-unit apartment complex and a Walmart, and has been identified in an Opportunity Zone. The city is interested in redeveloping the land including several buildings at the subject. The property is not currently being marketed for sale while the special servicer continues to investigate leases and shorter-term leases for buildings that may be redeveloped. Fitch Ratings has affirmed all classes of JPMorgan Chase Commercial Mortgage Securities Corporation (JPMCC) commercial mortgage pass-through certificates, series 2004-PNC1. The largest remaining asset is the REO Tri County Crossing (85.5% of pool) is a 146,279-sf retail property located in Springdale, OH. The loan was transferred to special servicing in 2016 due to the departure of the collateral's largest tenant, Dick's Sporting Goods (formerly 43% of the NRA). The asset became REO in April 2018. Property occupancy further dropped to 17% as of October 2020 from 57% in December 2019 when Best Buy (39.9% of NRA) vacated at expiration in March 2020. The only remaining tenant is K&G Men's (17% of NRA leased through December 2023). Both the former Dick's Sporting Goods and Best Buy spaces remain vacant; however, the special servicer is pursuing a national retail tenant to lease a portion of the former Dick's space. The special servicer continues to evaluate new tenant prospects with the intent to lease up and sell. Based on updated valuations, losses from this asset are expected to significantly impact credit enhancement to class F. Fitch has affirmed the remaining distressed classes of Morgan Stanley Capital I Trust 2007-TOP25 (MSCI 2007-TOP25) due to higher certainty of losses and minimal increased in credit enhancement. The largest asset comprises 85.3% of the pool and is REO. Significant losses are expected. The retail asset has faced performance issues, which were exacerbated by the pandemic. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Ratings will be downgrade to 'Dsf' as losses are incurred. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades are not expected, but are possible with significantly improved values on the specially serviced 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. BLACKROCK DLF 2019-G: DBRS Confirms BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. confirmed its ratings of AAA (sf) on the Class A-1 Notes, AA (sf) on the Class A-2 Notes, A (high) (sf) on the Class B Notes, A (sf) on the Class C Notes, BBB (sf) on the Class D Notes, BB (sf) on the Class E Notes issued by BlackRock DLF IX 2019-G CLO, LLC (the Issuer) and also confirmed its rating of B (sf) on the Issuer's Class W Notes pursuant to the Amended and Restated Note Purchase and Security Agreement (the NPSA) dated as of December 23, 2020, among the Issuer; U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as the Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The ratings on the Class A-1 and A-2 Notes address the timely payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2029. The ratings on the Class B, C, D, E, and W Notes address the ultimate payment of interest (excluding the interest payable at the Post-Default Rate, as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of October 16, 2029. The Notes are collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by BlackRock Capital Investment Advisors, LLC (BCIA), which is a wholly-owned subsidiary of BlackRock, Inc. DBRS Morningstar considers BCIA to be an acceptable collateralized loan obligation (CLO) manager. RATING RATIONALE The rating action is a result of the annual surveillance review of the transaction. DBRS Morningstar confirmed the rating on the Secured Notes because the current transaction performance is within DBRS Morningstar's expectation. The Reinvestment Period ends on October 16, 2023. The Stated Maturity is October 16, 2029. In its analysis, DBRS Morningstar considered the following aspects of the transaction: (1) The transaction's capital structure and the form and sufficiency of available credit enhancement. (2) Relevant credit enhancement in the form of subordination and excess spread. (3) The ability of the Secured Notes to withstand projected collateral loss rates under various cash flow stress scenarios. (4) The credit quality of the underlying collateral and the ability of the transaction to reinvest Principal Proceeds into new Collateral Obligations, subject to the Eligibility Criteria, which include testing the Concentration Limitations, Collateral Quality Tests, and Coverage Tests. (5) DBRS Morningstar's assessment of the origination, servicing, and CLO management capabilities of BCIA. (6) The legal structure as well as legal opinions addressing certain matters of the Borrower and the consistency with the DBRS Morningstar "Legal Criteria for U.S. Structured Finance" methodology (the Legal Criteria). The transaction has a dynamic structural configuration that permits variations of certain asset metrics via a selection of an applicable row from a collateral quality matrix (the CQM, as defined in Schedule G of the NPSA). Depending on a given Diversity Score (DScore), the following metrics are selected accordingly from the applicable row of the CQM: DBRS Morningstar Risk Score, Advance Rate, Weighted Average Recovery Rate (WARR), and Weighted Average Spread (WAS) Level. DBRS Morningstar analyzed each structural configuration as a unique transaction, and all configurations (rows) passed the applicable DBRS Morningstar rating stress levels. The Coverage Tests and triggers as well as the Collateral Quality Tests that DBRS Morningstar modeled in its base case analysis are presented below. (1) Class A-2 OC: 143.97% (2) Class B OC: 132.18% (3) Class C OC: 125.71% (4) Class D OC: 119.01% (5) Class E OC: 110.28% (6) WAS: 5.75% (7) DBRS Morningstar Risk Score: 39.00% (8) WARR: 47.50% (9) DScore: 25 (10) Weighted Average Life: 5 years The transaction is performing according to the parameters set in the NPSA. As of November 15, 2022, the Borrower is in compliance with all coverage and collateral quality tests. There were no defaults registered in the portfolio. The current credit quality of the portfolio is reflected in the actual DBRS Morningstar Risk Score of 38.29. Some particular strengths of the transaction are (1) the collateral quality, which consists mostly of senior-secured middle market loans; (2) the adequate diversification of the portfolio of collateral obligations (DScore currently at 42 versus test level of 25); and (3) the Collateral Manager's expertise in CLOs and overall approach to selection of Collateral Obligations. Some challenges were identified: (1) the expected weighted-average credit quality of the underlying obligors may fall below investment grade (per the CQM), and the majority may not have public ratings once purchased, and (2) the underlying collateral portfolio may be insufficient to redeem the Loans in an Event of Default. DBRS Morningstar modeled the NPSA using the DBRS Morningstar CLO Asset model and its proprietary cash flow engine, which incorporated assumptions regarding principal amortization, amount of interest generated, default timings, and recovery rates, among other credit considerations referenced in the DBRS Morningstar rating methodology "Cash Flow Assumptions for Corporate Credit Securitizations." Model-based analysis produced satisfactory results, which supported the confirmation of the ratings on the Secured Notes. To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning ratings to a facility. Notes: All figures are in U.S. dollars unless otherwise noted. BMO 2023-C4: Fitch Assigns 'B-(EXP)' Rating on Class J-RR Certs --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BMO 2023-C4 Mortgage Trust commercial mortgage pass-through certificates, series 2023-C4: Entity/Debt Rating ----------- ------ BMO 2023-C4 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-S LT AAA(EXP)sf Expected Rating A-SB LT AAA(EXP)sf Expected Rating B LT AA-(EXP)sf Expected Rating C LT A-(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E-RR LT BBB-(EXP)sf Expected Rating F-RR LT BB(EXP)sf Expected Rating G-RR LT BB-(EXP)sf Expected Rating J-RR LT B-(EXP)sf Expected Rating K-RR LT NR(EXP)sf Expected Rating X-A LT AAA(EXP)sf Expected Rating X-B LT AA-(EXP)sf Expected Rating X-D LT BBB(EXP)sf Expected Rating - $4,403,000 class A-1 'AAAsf'; Outlook Stable; - $163,126,000 class A-2 'AAAsf'; Outlook Stable; - $9,922,000 class A-3 'AAAsf'; Outlook Stable; - $68,000,000a class A-4 'AAAsf'; Outlook Stable; - $296,127,000a class A-5 'AAAsf'; Outlook Stable; - $7,994,000 class A-SB 'AAAsf'; Outlook Stable; - $549,572,000b class X-A 'AAAsf'; Outlook Stable; - $75,566,000 class A-S 'AAAsf'; Outlook Stable; - $34,348,000 class B 'AA-sf'; Outlook Stable; - $33,367,000 class C 'A-sf'; Outlook Stable; - $143,281,000b class X-B 'AA-sf'; Outlook Stable; - $20,609,000c class D 'BBBsf'; Outlook Stable; - $20,609,000bc class X-D 'BBBsf'; Outlook Stable; - $14,721,000cd class E-RR 'BBB-sf'; Outlook Stable; - $7,851,000cd class F-RR 'BBsf'; Outlook Stable; - $7,851,000cd class G-RR 'BB-sf'; Outlook Stable; - $8,832,000cd class J-RR 'B-sf'; Outlook Stable. Fitch does not expect to rate the following class: - $32,385,870cd class K-RR. a) The initial certificate balances of classes A-4 and A-5 are not yet known but are expected to be $364,127,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $0 -$136,000,000, and the expected class A-5 balance range of $228,127,000 to $364,127,000. The balances for classes A-4 and A-5 reflect the midpoints of each range. b) Notional amount and interest only (IO). c) Privately placed and pursuant to Rule 144A. d) Horizontal risk retention interest, estimated to be 9.125% of the certificates. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 46 loans secured by 109 commercial properties having an aggregate principal balance of $785,102,870 as of the cut-off date. The loans were contributed to the trust by Bank of Montreal, Citi Real Estate Funding Inc., LMF Commercial, LLC, Argentic Real Estate Finance LLC, 3650 Real Estate Investment Trust 2 LLC, Natixis Real Estate Capital LLC, Oceanview Commercial Mortgage Finance, LLC, Greystone Commercial Mortgage Capital LLC and Starwood Mortgage Capital LLC. The master servicer is expected to be Midland Loan Services, A Division of PNC Bank, National Association, and the special servicer is expected to be LNR Partners, LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 37.7% of the loans by balance, cash flow analysis of 90.9% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Leverage than Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 95.4% is lower than the 2022 and 2021 averages of 99.3% and 103.3%. However, the pool's Fitch debt service coverage ratio (DSCR) of 1.17x is lower than the 2022 and 2021 averages of 1.31x and 1.38x, respectively. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 98.6% and 1.16x, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 11.5% of the pool received an investment grade credit opinion. 70 Hudson Street (4.6%) received a standalone credit opinion of 'BBBsf*', Gilardian NYC Portfolio (3.6%) received a standalone credit opinion of 'Asf*' and Park West Village (3.3%) received a standalone credit opinion of 'BBB-sf*'. The pool's total credit opinion percentage of 11.5% is lower the 2022 and 2021 averages of 14.4% and 13.3%, respectively. Minimal Amortization: Based on the scheduled balances at maturity, the pool will only pay down by 2.2%, which is below the 2022 and 2021 averages of 3.3% and 4.8%, respectively. The pool has 31 loans (72.1% of the pool by balance) that are full-term interest-only loans, which is lower than the 2022 average of 77.5% but above the 2021 average of 70.5%. Eleven loans (21.4% of the pool by balance) are partial interest-only loans, which is above the 2022 and 2021 averages of 10.2% and 16.8%, respectively. Four loans (6.5% of the pool) are amortizing balloon loans. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf' / 'CCCsf' / 'CCCsf'; - 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' /'CCCsf'; - 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' /'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BBsf' / 'BB-sf' / 'B-sf'; - 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'A-sf' / 'BBB+sf' / 'BBB-sf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CANYON CLO 2022-2: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Canyon CLO 2022-2, Ltd. Entity/Debt Rating ----------- ------ Canyon CLO 2022-2, Ltd A LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated Notes LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Canyon CLO 2022-2, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Canyon CLO Advisors LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400.0 million of primarily first lien senior secured 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 98.7% first-lien senior secured loans and has a weighted average recovery assumption of 74.3%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 5.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the class B, C, D and E notes can withstand default rates of up to 50.3%, 45.3%, 35.4% and 31.3%, respectively, assuming portfolio recovery rates of 45.4%, 54.8%, 64.0% and 69.2% in Fitch's 'AAsf', 'Asf', 'BBB-sf', and 'BB-sf' scenarios, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BB+sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. Results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, 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. CANYON CLO 2022-2: Moody's Gives B3 Rating to $600,000 Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of notes issued by Canyon CLO 2022-2, Ltd. (the "Issuer" or "Canyon CLO 2022-2"). Moody's rating action is as follows: US$248,000,000 Class A Senior Secured Floating Rate Notes due 2036, Assigned Aaa (sf) US$600,000 Class F Senior Secured Deferrable Floating Rate Notes due 2036, Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. Canyon CLO 2022-2 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of assets that are not senior secured loans, provided that no more than 5.0% of the portfolio may consist of bonds. The portfolio is approximately 80% ramped as of the closing date. Canyon CLO Advisors LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2845 Weighted Average Spread (WAS): SOFR + 3.70% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.24 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. CHNGE MORTGAGE 2022-5: DBRS Finalizes B Rating on Class B2 Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2022-5 issued by CHNGE Mortgage Trust 2022-5 (CHNGE 2022-5 or the Trust): -- $166.3 million Class A-1 at A (sf) -- $10.2 million Class M-1 at BBB (sf) -- $10.5 million Class B-1 at BB (sf) -- $7.0 million Class B-2 at B (sf) The A (sf) rating on the Class A-1 certificates reflects 17.30% of credit enhancement provided by subordinated certificates. The BBB (sf), BB (sf), and B (sf) ratings reflect 12.25%, 7.05%, and 3.55% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of a portfolio of fixed- and adjustable-rate expanded prime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 378 mortgage loans with a total principal balance of $201,116,776 as of the Cut-Off Date (December 1, 2022). CHNGE 2022-5 represents the fifth securitization issued by the Sponsor, Change Lending, LLC (Change), comprised entirely of loans from its Community Mortgage and EZ Prime programs. All the loans in the pool were originated by Change, which is certified by the U.S. Department of the Treasury as a Community Development Financial Institution (CDFI). As a CDFI, Change is required to lend at least 60% of its production to certain target markets, which include low-income borrowers or other underserved communities. While loans originated by a CDFI are not required to comply with the Consumer Financial Protection Bureau's Qualified Mortgage and Ability-to-Repay rules, the mortgages included in this pool were made to generally creditworthy borrowers with near-prime credit scores, low loan-to-value ratios, and robust reserves. The loans in the pool were underwritten through Change's Community Mortgage (96.3%) and EZ Prime (3.7%) programs, both of which are considered weaker than other origination programs because income documentation verification is not required. Generally, underwriting practices of these programs focus on borrower credit, borrower equity contribution, housing payment history, and liquid reserves relative to monthly mortgage payments. Because post-2008 crisis historical performance is limited on these products, DBRS Morningstar applied additional assumptions to increase the expected losses for the loans in its analysis. On or after the earlier of (1) the distribution date occurring in January 2025 and (2) the date on which the aggregate stated principal balance of the loans falls to 30% or less of the Cut-Off Date balance, at its option, the Depositor may redeem all of the outstanding certificates at the redemption price (par plus interest). Such optional redemption may be followed by a qualified liquidation, which requires (1) a complete liquidation of assets within the Trust and (2) proceeds to be distributed to the appropriate holders of regular or residual interests. The Sponsor will have the option, but not the obligation, to repurchase any mortgage loan that becomes 90 or more days delinquent (not related to a Coronavirus Disease (COVID-19) forbearance) under the Mortgage Bankers Association method at par plus interest, provided that such purchases in aggregate do not exceed 7.5% of the total principal balance as of the Cut-Off Date. Change is the Servicer for the transaction. NewRez LLC doing business as Shellpoint Mortgage Servicing (85.0%) and LoanCare, LLC (15.0%) are the Subservicers. The Servicer will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 90 days delinquent, contingent upon recoverability determination. The Servicer is also obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties. This transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on certificates, but such shortfalls on the Class M-1 certificates and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. 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. Under the U.S. Risk Retention Rules, CDFI loans fall within the definition of "community-focused residential mortgages." A securitization transaction containing only community-focused residential mortgages is exempt under the U.S. Risk Retention Rules and accordingly, the Sponsor will not be required to retain any credit risk under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. Notwithstanding the exemption, Change has elected to retain the Class B-3, A-IO-S, and XS certificates. Notes: All figures are in U.S. dollars unless otherwise noted. CITIGROUP 2016-GC37: Fitch Affirms CCC Rating on Class F Debt ------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Citigroup Commercial Mortgage Trust Commercial Mortgage Pass-Through Certificates, series 2016-GC37. Three classes' Negative Rating Outlooks have been revised to Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-GC37 A-3 17290XAS9 LT AAAsf Affirmed AAAsf A-4 17290XAT7 LT AAAsf Affirmed AAAsf A-AB 17290XAU4 LT AAAsf Affirmed AAAsf A-S 17290XAV2 LT AAAsf Affirmed AAAsf B 17290XAW0 LT AA-sf Affirmed AA-sf C 17290XAX8 LT A-sf Affirmed A-sf D 17290XAA8 LT BBsf Affirmed BBsf E 17290XAC4 LT B-sf Affirmed B-sf EC 17290XBA7 LT A-sf Affirmed A-sf F 17290XAE0 LT CCCsf Affirmed CCCsf X-A 17290XAY6 LT AAAsf Affirmed AAAsf X-B 17290XAZ3 LT AA-sf Affirmed AA-sf X-D 17290XAL4 LT BBsf Affirmed BBsf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions on classes D, E and X-D to Stable reflect improved loss expectations from the prior rating action due to better-than-expected recoveries from disposed specially serviced loans (9% of the pool), in addition to recovering performance of loans impacted by the pandemic. Fitch's current ratings incorporate a base case loss of 5.8%. Six loans (30%) have been designated as Fitch Loans of Concern (FLOCs). All loans remaining in the pool are performing with no loans in special servicing. Fitch Loans of Concern: West LA Office - 350 South Beverly Drive (6.1%) is a class B office building located in Beverly Hills, CA. As of the September 2022 rent roll, occupancy increased to 52.1% after falling to 42% in early 2022 and remains down from 59% at YE 2021 and 65% at YE 2020. Notable vacated tenants include: Untitled Entertainment LLC (22% of the NRA), FS US services (6%) and Agency for Performing Arts (13%) vacating at their respective lease expirations in 2020 and 2021. The increase in occupancy in 2022 is due to the signing of three new leases totaling 12.4% of leasable space in the second half of 2022. The largest tenant, First Citizens Bank (13.2%) has an upcoming lease expiration in July 2023. Fitch's expected loss of approximately 24% reflects the subject's continued decline in occupancy and the elevated risks associated with B quality office assets. Hotel on Rivington (6.5%) is a 109-key full-service hotel located in the Lower East Side of Manhattan, at the cross streets of Rivington and Essex. The hotel is underperforming its competitive set and recovery is slow with occupancy of 50% with NOI DSCR of 0.85x as of June 2022 YTD which compares with occupancy of 83% and NOI DSCR of 1.92x at YE 2019. The borrower has plans to reposition and renovate the hotel under the existing brand which includes a refresh of the restaurant, rooftop, night club, guest rooms and infrastructure improvements including new boilers, HVAC system, waterproofing and tiles. The renovation is expected to be completed by early 2023, although an update on the status of the renovations has not been provided. According to the September 2022 STR report, the subject reported TTM occupancy, ADR and RevPAR of 51.8%, $319.43 and $165.35, respectively, compared with 8.1%, $262.11 and $21.28 as of September 2021 and 73%, $268.69 and $196.09 as of September 2020. The respective penetration rates with respect to occupancy, ADR, and RevPAR as of the TTM September 2022 STR report were 65%, 104.5% and 67.9%. Fitch's modeled loss of approximately 10% reflects a cap rate of 11.25% and a 10% stress to the YE 2019 NOI equating to a recovery value of $293,00 per key Austin Block 21 (6%), is secured by a mixed-use property located in downtown Austin, TX. Although performance of the property continues to be challenged, a recent sale of the asset in June 2022 indicates a value in excess of the debt. The office component was 61.7% occupied and the retail component was 96.7% occupied as of September 2022. Per the September 2022 STR report, the hotel component reported TTM occupancy, ADR and RevPAR of 59.4%, $336.47 and $200.03, compared with 26.8%, $277.96 and $74.57 as of September 2021 and 36.8%, $307.42 and $113.11 as of September 2020. The hotel was outperforming its competitive set in terms of occupancy and RevPAR, with penetration ratios of 108.3% and 100.8%, respectively. Improved Credit Enhancement (CE): As of the December 2022 distribution date, the pool's aggregate principal balance has been reduced by 21.46% to $545.6 million from $694.7 million at issuance. Nine loans (15%) have fully defeased. Six loans (28.3%) are full-term interest-only and 25 loans (50.3%) are partial-term interest-only. 17 loans (15.4%) mature in 2025, and the remaining 33 loans (84.6%) mature in 2026. Interest shortfalls are currently impacting the non-rated class H. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity factors that lead to downgrades include an increase in pool level losses from underperforming loans. Downgrades to classes A-3, A-4, A-AB, A-S, X-A and B are less likely due to the high CE, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur or if underperforming loans transfer to special servicing. Downgrades to classes C, D, E X-B, PST, and X-D would occur should overall pool losses increase and/or one or more large loans have an outsized loss which would erode CE. The distressed class F could be downgraded should losses be realized or become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Sensitivity factors that lead to upgrades would include stable to improved asset performance coupled with paydown and/or defeasance. Upgrades of classes B, C, X-B and PST would only occur with significant improvement in CE and/or defeasance, but would be limited unless the FLOCs stabilize. An upgrade to classes D and X-D would also consider these factors, but would be more limited due to its more junior position. An upgrade to classes E and F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or if there is sufficient CE, which would likely occur when the senior classes payoff and if the non-rated classes are not eroded. 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. CITIGROUP 2018-B2: Fitch Lowers Rating on Two Tranches to 'CCCsf' ----------------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed 14 classes of Citigroup Commercial Mortgage Trust (CGCMT) 2018-B2 Commercial Mortgage Pass-Through Certificates. The Rating Outlook on classes D and X-D have been revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2018-B2 A-1 17327FAA4 LT AAAsf Affirmed AAAsf A-2 17327FAB2 LT AAAsf Affirmed AAAsf A-3 17327FAC0 LT AAAsf Affirmed AAAsf A-4 17327FAD8 LT AAAsf Affirmed AAAsf A-AB 17327FAE6 LT AAAsf Affirmed AAAsf A-S 17327FAF3 LT AAAsf Affirmed AAAsf B 17327FAG1 LT AA-sf Affirmed AA-sf C 17327FAH9 LT A-sf Affirmed A-sf D 17327FAJ5 LT BBB-sf Affirmed BBB-sf E 17327FAL0 LT CCCsf Downgrade B-sf F 17327FAN6 LT CCCsf Affirmed CCCsf X-A 17327FBG0 LT AAAsf Affirmed AAAsf X-B 17327FBH8 LT AA-sf Affirmed AA-sf X-D 17327FBJ4 LT BBB-sf Affirmed BBB-sf X-E 17327FBK1 LT CCCsf Downgrade B-sf X-F 17327FAY2 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect the increased loss expectations since Fitch's prior rating action, due to performance declines from the seven Fitch Loans of Concern (FLOCs; 16.8%), primarily the Westin Tysons Corner loan (4.3%), 3rd & Pine Seattle Retail & Parking (3.4%), One Newark Center (3%) and Warwick Mall (1.7%). Fitch's current ratings reflect a base case loss of 6.50%. Largest Contributors to Loss: The largest contributor to loss is the Westin Tysons Corner loan (4.4%), which is secured by a 407-room full service hotel located in Falls Church, VA in the Tysons Corner submarket of Washington D.C. The property cash flow has declined significantly and has not stabilized since the pandemic. The servicer reported NOI debt service coverage ratio (DSCR) was 0.66x as of TTM September 2022 and -0.50x at YE 2020 compared with 1.29x at YE 2019. Fitch modeled a loss of approximately 22%, which reflects a value of $86,000 per key. The second largest contributor to loss is the 3rd & Pine Seattle Retail & Parking loan (3.4% of the pool), which is secured by a leasehold interest in a parking lot/retail property located in an urban infill location within the downtown Seattle, WA CBD. The loan is designated as a FLOC due to a substantial decline in cash flow due to declines in parking income and vacancy. The decrease in parking income is attributed to lower demand for transient parking. The largest retail tenant (94% of the retail space) vacated in September 2020. According to servicer updates, the retail space is still vacant. The servicer reported YE 2021 NOI DSCR was -0.1xcompared with 1.27x at YE 2020 and 1.77x at YE 2019. Fitch modeled a loss of approximately 19% based on a 20% stress to the YE 2019 NOI. The third largest contributor to loss is the One Newark Center loan (3%), secured by a portion of a 418,000-sf office property located in the Newark CBD. The loan's collateral consists of floors 6-22 of an office building and an attached parking garage. Floors 1-5 are owned and occupied by Seton Hall Law School. Occupancy declined to 68% as of June 2022 from 94% in December 2020 due to a number of tenants vacating in 2021 and 2022. Global Crossing (8% of NRA) vacated upon its 2021 lease expiration, while Sedgwick (6% of NRA) vacated prior to its 2025 lease expiration. Additionally, K&L Gates reduced its space to 26,074 sf (6.2% of NRA) from 52,148 sf (12.5% of NRA). The loan has remained current, however NOI DSCR is low at 1.07x as of YTD June 2022, down from 1.33x at YE 2021, 2.30x at YE 2020, and 2.87x at YE 2019. Fitch's analysis includes a 25% stress and 9% cap rate to the YE 2021 NOI to reflect declining occupancy, upcoming lease rollover and high submarket vacancy resulting in a 24% modeled loss. The next largest increase in loss since the last rating action is the Warwick Mall loan (1.7%), which is secured by an approximately 588,000-sf regional mall located in Warwick, RI. The loan sponsorship consists of Bliss Properties, Lane Family Trust and Mark T. Brennan. This FLOC was flagged for its secondary market regional mall location, continued performance recovery from the pandemic and refinance concerns. The mall reopened in June 2020 after being closed in March due to the pandemic. Non-collateral anchors include Macy's and Target. Major collateral tenants include JCPenney (23.4% NRA expiring March 2030), Jordan's Furniture (19.3%, extending for five years through December 2026), Nordstrom Rack (6.4%, November 2022) and Old Navy (3.8%, January 2026). Showcase Cinema (9.7%) vacated when its lease expired in April 2021); however, the borrower has since re-leased the space to Apple Cinemas on a 15-year term which began in November 2021, with the theater opened in March 2022. Occupancy was 91% as of March 2022, compared with 94% occupied in June 2021. Recent tenant sales were requested from the master servicer, but not provided; the latest available inline sales were $499 psf as of TTM June 2017. Fitch's base case loss has increased to 31%, reflecting a 20% cap rate and 5% stress to the YE 2021 NOI, and factors a higher loss recognition due to anticipated refinance concerns at maturity. Minimal Change to Credit Enhancement (CE): As of the December 2022 distribution date, the pool's aggregate principal balance was reduced by 2.7% to $1.03 billion from $1.06 billion at issuance. Three loans (3.8%) are defeased. There have been $568 thousand in realized losses to date, and interest shortfalls are currently affecting only the non-rated class. Twenty loans (48.4% of pool) are full-term, IO and four loans (9%) remain in their partial IO periods. The majority of the pool (82.8%) matures in 2028 and 6.8% matures in 2023 and 10.4% in 2027. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Sensitivity Factors that lead to downgrades include an increase in pool level losses from underperforming or specially serviced loans erode CE. Downgrades to classes B and C are not expected due to the generally stable pool performance and expected continued paydown; however, downgrades to these classes may occur should performance of the FLOCs continue to deteriorate. Downgrades to class D would occur if loss expectations increase significantly and/or if CE is eroded due to realized losses, or if the performance of the FLOCs fail to stabilize. Further downgrades to the distressed classes E and F would occur if losses are realized and/or if losses become more certain. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war, whereby growth is sharply lower amid higher inflation and interest rates. Even if the adverse scenario should play out, Fitch expects minimal impact to ratings performance, indicating few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment-grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades to the 'AA-sf' and 'A-sf' category would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of larger loans and FLOCs could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. The 'BBB-sf' and 'CCCsf' rated classes are unlikely to be upgraded absent significant performance improvement from Westin Tysons Corner loan, 3rd & Pine Seattle Retail & Parking, One Newark Center and Warwick Mall. 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. COMMERCIAL MORTGAGE 2022-HC: DBRS Confirms BB Rating on HRR Certs ----------------------------------------------------------------- DBRS Limited confirmed its ratings on all classes of the Commercial Mortgage Pass-Through Certificates, Series 2022-HC issued COMM as follows: -- Class A at AAA (sf) -- Class X 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 (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The rating confirmations and Stable trends reflect DBRS Morningstar's overall outlook of the transaction, which remains in line with issuance expectations, as the sponsor continues to execute their business plan of leasing up the remaining vacant space and stabilizing the property. The loan is secured by the borrower's fee-simple interest in Hudson Commons, a 697,960-square-foot (sf), Class A, LEED Platinum office tower located on Ninth Avenue between West 34th Street and West 35th Street in the Penn Station submarket of Manhattan, New York. The property was built in 1962 and renovated between 2012 and 2018 by the seller, a joint venture of Cove Property Group LLC and The Baupost Group LLC. Renovations of more than $800 million primarily consisted of upgrading and reinforcing the existing structure, in addition to constructing an additional 17-story, 304,301-sf glass tower of office space directly above the existing structure. The property is split into two condominium units that both serve as collateral for the loan: the original nine-story podium base and the additional 17-story glass tower. Following a competitive bidding process with numerous institutional offers, a joint venture between CommonWealth Partners LLC (CWP) and the California Public Employees' Retirement System (CalPERS) purchased Hudson Commons for approximately $1.03 billion ($1,480 per square foot (psf)). Whole loan proceeds of $507 million, along with $588 million of borrower equity (53.7% of the cost), were used facilitate the acquisition of the property, fund a $35.5 million TI/LC reserve and a $7.9 million free rent reserve, and cover closing costs. The $507 million loan is composed of seven promissory notes: six senior A notes totaling $305 million and one junior B note of $202 million. The $467 million subject transaction consists of five senior A notes totaling $265 million and the junior B note. The remaining $40 million note is held in the BMO 2022-C1 transaction (not rated by DBRS Morningstar). The loan is interest-only throughout its five-year term with a scheduled maturity in January 2027. As of the September 2022 rent roll, the property was 77.7% occupied, an increase from 72.7% at issuance. Two new tenants, FZN US Platform Co Inc. (5.1% of net rentable area (NRA), lease expiring June 2034) and Fireblocks, Inc (1.4% of NRA, lease expiring September 2025) signed new leases in 2022, with initial rates of $173.99 psf and $122.00 psf, respectively, well above the subject's in-place rental rate of $97.32 psf at issuance. These tenants will receive rental abatements of 20 months and three months, respectively. As of Q3 2022, Reis, Inc. reported that comparable Class A office properties within a one-mile radius of the subject had vacancy and average rental rates of 3.0% and $83.35 psf, respectively. The largest tenants are Peloton Interactive, Inc. (Peloton; 48.1% of NRA), and Lyft, Inc. (Lyft; 14.4% of NRA) with scheduled lease expirations in December 2035 and November 2029, respectively. Both Peloton and Lyft have termination or contraction options in their respective leases. Lyft's first termination option is in December 2026, where the tenant can terminate its entire space with 18 months' notice and a termination fee of $6.5 million ($65 psf). Peloton's first contraction option is in December 2030, where the tenant can terminate portions of its lease with 15 to 27 months' notice and a termination fee equal to the amount of principal remaining unpaid at a rate of 10% per annum compounding monthly. Both of these options are outside of the loan term. Further mitigating these concerns is the fact that both tenants have invested significantly into their spaces, with Peloton investing $167.9 million ($500 psf) and Lyft investing $17.6 million ($175 psf), in addition to their tenant improvement packages, demonstrating long-term commitment to the property. In addition, excess cash flow, up to $100 per rentable square foot will be swept for the two largest tenants (Peloton and Lyft) upon the earlier of (1) the date 12 months prior to the lease expiration date; (2) the date each tenant is required to give notice of its exercise of a renewal option; (3) the early termination, early cancellation, or early surrender of a major tenant lease; (4) a major tenant goes dark; (5) default of the lease; or (6) bankruptcy of a major tenant or its parent company. According to the June 2022 year-to-date financials (the most recent reporting available), the loan reported an annualized trailing-six month (T-6) net cash flow (NCF) of $21.7 million, below the DBRS Morningstar NCF derived at issuance of $27.6 million; however, a temporary, short-term decline in cash flow resulting from ongoing tenant abatements was expected and is not material to DBRS Morningstar's overall credit opinion of the transaction. The loan's Q2 2022 debt service coverage ratio (DSCR) was reported at 1.21 times (x), below the DBRS Morningstar issuance DSCR of 1.53x (x). According to the January 2022 loan level reserve, approximately $33.5 million remained in the TI/LC reserve, with $2.4 million in the free rent reserve. While the collateral has yet to stabilize and the physical vacancy rate remains elevated at 22.3%, DBRS Morningstar concluded to a stabilized economic occupancy of 92.5% for the property at issuance, given the superior quality of the property, strong institutional sponsorship, its location in a premier New York office market, the lack of any rollover during the five-year loan term along with a strong loan structure including upfront reserves for future accretive leasing. To achieve the DBRS Morningstar stabilized occupancy, management needs to lease-up approximately 100,000 sf at a total cost of approximately $17.2 million ($166 psf) based on DBRS Morningstar's TI/LC assumptions, which is below the remaining $33.5 million of reserves dedicated to accretive leasing costs. In addition, the DBRS Morningstar stabilized value of $886 psf is significantly lower than the appraiser's comparable office sales, which averaged $1,207 psf across eight transactions that DBRS Morningstar deemed comparable at issuance. It is also approximately 29.4% below the $1,146 psf invested by the seller to gut renovate the property. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2023-A: DBRS Gives Prov. BB Rating on Class E Notes ------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the classes of notes to be issued by CPS Auto Receivables Trust 2023-A (the Issuer) as follows: -- $154,582,000 Class A Notes at AAA (sf) -- $44,080,000 Class B Notes at AA (high) (sf) -- $57,161,000 Class C Notes at A (sf) -- $39,553,000 Class D Notes at BBB (sf) -- $29,392,000 Class E Notes at BB (sf) The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, proposed ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The DBRS Morningstar CNL assumption is 15.80% based on the expected pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update," published on December 21, 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. (2) The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and the payment of principal by the legal final maturity date. (3) The consistent operational history of Consumer Portfolio Services, Inc. (CPS or the Company) and the strength of the overall Company and its management team. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry. (4) The capabilities of CPS with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of CPS and considers the Company to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (5) DBRS Morningstar exclusively used the static pool approach because CPS has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis that it performed on the static pool data. (6) The Company indicated that there is no material pending or threatened litigation. (7) The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." CPS is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The rating on the Class A Notes reflects 58.40% of initial hard credit enhancement provided by the subordinated notes in the pool (46.90%), the reserve account (1.00%), and OC (10.50%). The ratings on the Class B, C, D, and E Notes reflect 46.25%, 30.50%, 19.60%, and 11.50% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. CPS AUTO 2023-A: S&P Assigns Prelim BB(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CPS Auto Receivables Trust 2023-A's asset-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 12, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 59.43%, 51.60%, 39.74%, 30.80%, and 25.80% of credit support (hard credit enhancement and haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.00x, 2.60x, 2.00x, 1.55x, and 1.30x S&P's 19.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. -- The expectations that under a moderate ('BBB') stress scenario (1.55x 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 series' subprime automobile loans, S&P's view of the credit risk of the collateral, and its 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 Consumer Portfolio Services Inc. as servicer, and its view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with our sector benchmark. -- The transaction's payment and legal structures, which includes an incurable performance trigger. Preliminary Ratings Assigned CPS Auto Receivables Trust 2023-A Class A, $154.582 million: AAA (sf) Class B, $44.080 million: AA (sf) Class C, $57.161 million: A (sf) Class D, $39.553 million: BBB (sf) Class E, $29.392 million: BB (sf) DIAMETER CAPITAL 4: S&P Assigns BB- (sf) Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC's fixed- and floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Diameter Capital CLO 4 Ltd./Diameter Capital CLO 4 LLC Class A-1, $149.00 million: AAA (sf) Class A-1L loans(i), $151.00 million: AAA (sf) Class A-1N(i), $0.00 million: AAA (sf) Class A-2A, $52.00 million: AA (sf) Class A-2B, $20.00 million: AA (sf) Class B (deferrable), $28.00 million: A (sf) Class C-1 (deferrable), $22.50 million: BBB (sf) Class C-2 (deferrable), $5.50 million: BBB- (sf) Class D (deferrable)(ii), $17.00 million: BB- (sf) Subordinated notes, $62.10 million: Not rated (i)Class A-1L loans can be converted to class A-1N notes but not vice versa. (ii)Class D notes will not initially be issued but can be for up to $17.00 million on a future date. DT AUTO 2023-1: S&P Assigns Prelim BB+(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to DT Auto Owner Trust 2023-1's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 12, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The availability of approximately 60.33%, 54.98%, 44.91%, 37.58%, and 33.89% credit support (hard credit enhancement and a haircut to excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. These credit support levels provide at least 2.37x, 2.12x, 1.72x, 1.38x, and 1.29x coverage of our expected cumulative net loss of 25.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.38x 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, will be within the credit stability limits. -- The timely payment of interest and principal by the designated legal final maturity dates under our stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned preliminary ratings. -- The collateral characteristics of the subprime automobile loans, S&P's view of the credit risk of the collateral, and its updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A. (Wells Fargo), which do not constrain the preliminary ratings. -- S&P's operational risk assessment of Bridgecrest Acceptance Corp. as servicer, along with its view of the originator's underwriting and the backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors that are in line with our sector benchmark. -- The transaction's payment and legal structure. Preliminary Ratings Assigned DT Auto Owner Trust 2023-1 Class A, $273.02 million: AAA (sf) Class B, $48.18 million: AA (sf) Class C, $67.16 million: A (sf) Class D, $61.32 million: BBB (sf) Class E, $39.42 million: BB+ (sf) FANNIE MAE 2023-R01: S&P Assigns 'BB+' Rating on Class 1B-1 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2023-R01's notes. The note issuance is an RMBS transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The REMIC structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the transaction's performance, which we believe enhances the notes' strength; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representations and warranties framework; and -- The potential impact that current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact of the COVID-19 pandemic on the overall credit quality of collateralized pools. While pandemic-related performance concerns have waned, we continue to maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25%, given our current outlook for the U.S. economy. With rising interest rates and inflation, the Russia-Ukraine conflict ongoing, tensions over Taiwan escalating, and the China slowdown exacerbating supply-chain and pricing pressures, the U.S. economy appears to be teetering toward recession." Ratings Assigned Fannie Mae Connecticut Avenue Securities Trust 2023-R01 Class 1A-H(i), $21,515,392,348: Not rated Class 1M-1, $429,855,000: BBB+ (sf) Class 1M-1H(i), $22,624,334: Not rated Class 1M-2A(ii), $82,388,000: BBB+ (sf) Class 1M-AH(i), $4,337,206: Not rated Class 1M-2B(ii), $82,388,000: BBB (sf) Class 1M-BH(i), $4,337,206: Not rated Class 1M-2C(ii), $82,388,000: BBB- (sf) Class 1M-CH(i), $4,337,206: Not rated Class 1M-2(ii), $247,164,000: BBB- (sf) Class 1B-1A(ii), $26,865,000: BB+ (sf) Class 1B-AH(i), $1,414,958: Not rated Class 1B-1B(ii), $26,865,000: BB+ (sf) Class 1B-BH(i), $1,414,958: Not rated Class 1B-1(ii), $53,730,000: BB+ (sf) Class 1B-2H(i), $226,239,667: Not rated Class 1B-3H(i), $113,119,834: Not rated (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii) The holders of the class 1M-2 notes may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes and vice versa. The holders of the class 1B-1 notes may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes and vice versa. The holders of the class 1M-2A, 1M-2B, 1M-2C, 1B-1A and 1B-1B notes may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. Related combinable and recombinable notes exchangeable classes(iii) Class 1E-A1, $82,388,000: BBB+ (sf) Class 1A-I1, $82,388,000(iv): BBB+ (sf) Class 1E-A2, $82,388,000: BBB+ (sf) Class 1A-I2, $82,388,000(iv): BBB+ (sf) Class 1E-A3, $82,388,000: BBB+ (sf) Class 1A-I3, $82,388,000(iv): BBB+ (sf) Class 1E-A4, $82,388,000: BBB+ (sf) Class 1A-I4, $82,388,000(iv): BBB+ (sf) Class 1E-B1, $82,388,000: BBB (sf) Class 1B-I1, $82,388,000(iv): BBB (sf) Class 1E-B2, $82,388,000: BBB (sf) Class 1B-I2, $82,388,000(iv): BBB (sf) Class 1E-B3, $82,388,000: BBB (sf) Class 1B-I3, $82,388,000(iv): BBB (sf) Class 1E-B4, $82,388,000: BBB (sf) Class 1B-I4, $82,388,000(iv): BBB (sf) Class 1E-C1, $82,388,000: BBB- (sf) Class 1C-I1, $82,388,000(iv): BBB- (sf) Class 1E-C2, $82,388,000: BBB- (sf) Class 1C-I2, $82,388,000(iv): BBB- (sf) Class 1E-C3, $82,388,000: BBB- (sf) Class 1C-I3, $82,388,000(iv): BBB- (sf) Class 1E-C4, $82,388,000: BBB-(sf) Class 1C-I4, $82,388,000(iv): BBB- (sf) Class 1E-D1, $164,776,000: BBB (sf) Class 1E-D2, $164,776,000: BBB (sf) Class 1E-D3, $164,776,000: BBB (sf) Class 1E-D4, $164,776,000: BBB (sf) Class 1E-D5, $164,776,000: BBB (sf) Class 1E-F1, $164,776,000: BBB- (sf) Class 1E-F2, $164,776,000: BBB- (sf) Class 1E-F3, $164,776,000: BBB- (sf) Class 1E-F4, $164,776,000: BBB- (sf) Class 1E-F5, $164,776,000: BBB- (sf) Class 1-X1, $164,776,000(iv): BBB (sf) Class 1-X2, $164,776,000(iv): BBB (sf) Class 1-X3, $164,776,000(iv): BBB (sf) Class 1-X4, $164,776,000(iv): BBB (sf) Class 1-Y1, $164,776,000(iv): BBB- (sf) Class 1-Y2, $164,776,000(iv): BBB- (sf) Class 1-Y3, $164,776,000(iv): BBB- (sf) Class 1-Y4, $164,776,000(iv): BBB- (sf) Class 1-J1, $82,388,000: BBB- (sf) Class 1-J2, $82,388,000: BBB- (sf) Class 1-J3, $82,388,000: BBB- (sf) Class 1-J4, $82,388,000: BBB- (sf) Class 1-K1, $164,776,000: BBB- (sf) Class 1-K2, $164,776,000: BBB- (sf) Class 1-K3, $164,776,000: BBB- (sf) Class 1-K4, $164,776,000: BBB- (sf) Class 1M-2Y, $247,164,000: BBB- (sf) Class 1M-2X, $247,164,000(iv): BBB- (sf) Class 1B-1Y, $53,730,000: BB+ (sf) Class 1B-1X, $53,730,000(iv): BB+ (sf) (iii)See the offering documents for more detail on possible combinations. (iv)Notional amount. JPMBB 2014-C24: Fitch Lowers Rating on Two Tranches to 'Csf' ------------------------------------------------------------ Fitch Ratings has downgraded 10 and affirmed eight classes of JPMBB Commercial Mortgage Securities Trust 2014-C24. The Rating Outlooks on affirmed classes A-S and X-A have been revised to Stable from Negative, and the Outlooks on classes B, X-B1, C and EC remain Negative following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2014-C24 A-2 46643GAB6 LT AAAsf Affirmed AAAsf A-3 46643GAC4 LT AAAsf Affirmed AAAsf A-4A1 46643GAD2 LT AAAsf Affirmed AAAsf A-4A2 46643GAQ3 LT AAAsf Affirmed AAAsf A-5 46643GAE0 LT AAAsf Affirmed AAAsf A-S 46643GAJ9 LT AAAsf Affirmed AAAsf A-SB 46643GAF7 LT AAAsf Affirmed AAAsf B 46643GAK6 LT Asf Downgrade AA-sf C 46643GAL4 LT BBB-sf Downgrade BBBsf D 46643GAY6 LT CCCsf Downgrade B-sf E 46643GBA7 LT CCsf Downgrade CCCsf EC 46643GAM2 LT BBB-sf Downgrade BBBsf F 46643GBC3 LT Csf Downgrade CCsf X-A 46643GAG5 LT AAAsf Affirmed AAAsf X-B1 46643GBJ8 LT Asf Downgrade AA-sf X-B2 46643GAH3 LT CCCsf Downgrade B-sf X-C 46643GAS9 LT CCsf Downgrade CCCsf X-D 46643GAU4 LT Csf Downgrade CCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect performance and refinance concerns with the Fitch Loans of Concern (FLOCs), primarily two regional mall FLOCs (18.0% of pool). Ten loans (36.3%) have been identified as FLOCs, including three (11.9%) in special servicing. Fitch's current ratings reflect a base case loss of 12.20%. The Outlook revisions to Stable from Negative on classes A-S and X-A reflect sufficient credit enhancement (CE) and the better than expected performance of loans affected by the pandemic. Regional Mall FLOCs: The largest contributor to Fitch's loss expectations, North Riverside Park Mall (6.6%), is secured by 429,038 sf of a 1.1 million sf regional mall located in Riverside, IL. The loan, which is sponsored by The Feil Organization, transferred to special servicing in August 2019 for maturity default in October 2019. The loan returned to the master servicer as a modified loan in in August 2021. Modification terms included a bifurcation of the loan into a A/B split (approximately 67%/33%), extension of the loan term by 60 months and extension of the interest-only (IO) period by 120 months. Fitch's base case loss of 64% on the combined balance reflects a 46% loss on the $45.0 million A-note and a 100% loss on the $21.9 million subordinate B-note. Fitch's loss expectation reflects a 24% cap rate on the YE 2021 NOI and equates to an approximate 25% haircut to the servicer provided 2020 valuation. Collateral occupancy has remained relatively stable since 2018, reporting at 91% as of September 2022 rent roll. NOI has slightly improved but remains below pre-pandemic levels and well below issuance. NOI was $5.8 million at YE 2021 up from $3.5 million at YE 2020 but down from $8.2 million at YE 2018 and $7.4 million at issuance. The mall is anchored by non-collateral JCPenney. A non-collateral anchor space previously leased to Sears (vacated in September 2020) has been backfilled by Round One and Amita Health on the lower level and Forman Mills on the upper level. Also, Blink Fitness has opened on an outparcel owned by Sears and Aldi has opened on a pad adjacent to the mall. A non-collateral space formerly leased to Carson Pirie Scott (vacated in August 2018) remains vacant. The largest collateral tenant, Classic Cinema 6 (6.8% NRA), recently extended its lease for an additional five years through October 2026. Per the September 2022 rent roll, near-term rollover is granular and includes approximately 20% NRA by YE 2023. The second largest contributor to Fitch's loss expectations, The Mall of Victor Valley (11.3%), is the largest loan in the pool and is secured by 477,384 sf of a 575,784-sf regional mall located in Victorville, CA. The loan, which is sponsored by Macerich, was designated a FLOC for performance and refinance concerns. Former collateral anchor Sears (16% NRA; 4% base rents) closed in February 2020 prior to its October 2024 lease expiration. The space remains vacant, but Sears continues to pay rent through lease expiration. This has dropped occupancy to 83% as of the September 2022 rent roll. Fitch's base case loss of 36% is based on an 15% cap rate and 5% stress to the YE 2021 NOI. Fitch recognized 100% of the modeled loss to account for the high likelihood of maturity default. Servicer-reported NOI DSCR for this full-term IO loan was 2.52x at YE 2021 up from 2.09x at YE 2020 during the pandemic when the mall was closed and relatively in-line with 2.55x at YE 2019 and 2.43x at issuance. Per the September 2022 rent roll, near-term rollover is granular and includes 10% NRA by 2023. In-line tenant sales have rebounded from the pandemic lows and were $676 psf for the TTM ended September 2022. The non-collateral anchor is Macy's, and collateral tenant, Cinemark Theatres (13.0% NRA), recently renewed its lease for an additional five years through November 2026. Other larger collateral tenants include JCPenney, which leases 19.2% NRA through March 2033 and Dick's Sporting Goods, which leases 10.5% NRA through January 2024. Alternative Loss Consideration: Fitch's analysis included a paydown scenario, which considered the paydown of the pool from defeased loans and non-FLOCs and likelihood of repayment and/or losses from FLOCs. The downgrades and Negative Outlooks reflect this analysis. Classes B through F are fully reliant on FLOCs for repayment with classes D through F being fully reliant on the regional mall FLOCs. Increasing Credit Enhancement: As of the December 2022 distribution date, the pool's aggregate balance has been paid down by 20.4% to $1.013 billion from $1.271 billion at issuance. Five loans (36.7%) are full-term IO, and 18 (50.2%) that were structured with a partial-term IO component at issuance are in their amortization periods. Fourteen loans (10.9%) are fully defeased. Cumulative interest shortfalls of $3.6 million are currently affecting the non-rated NR class. Pool Concentration: The top 10 loans comprise 69.3% of the pool. Loan maturities are concentrated in 2024 (97.6%), with one loan (2.4%) maturing in 2025. Based on property type, the largest concentrations are retail at 37.4%, office at 22.2% and mixed-use at 17.4%. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades of classes rated in the 'AAAsf' category are not likely due to sufficient CE and the expected receipt of continued amortization but could occur if interest shortfalls affect the class. Classes B, X-B1, C and EC would be downgraded if additional loans become FLOCs or if performance of the FLOCs deteriorates further. Classes D, X-B2, E, X-C, F and X-D would be downgraded if loss expectations increase, additional loans transfer to special servicing or losses are realized. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades are unlikely due to performance/refinance concerns with the regional mall FLOCs and specially serviced loans but could occur if performance improves significantly. 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. JPMDB 2017-C5: Fitch Affirms 'BBsf' Rating on Class D Certificates ------------------------------------------------------------------ Fitch Ratings has affirmed all classes of JPMDB Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2017-C5. In addition, the Rating Outlooks for six classes remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2017-C5 A-4 46590TAD7 LT AAAsf Affirmed AAAsf A-5 46590TAE5 LT AAAsf Affirmed AAAsf A-S 46590TAJ4 LT AA-sf Affirmed AA-sf A-SB 46590TAF2 LT AAAsf Affirmed AAAsf B 46590TAK1 LT Asf Affirmed Asf C 46590TAL9 LT BBBsf Affirmed BBBsf D 46590LBA9 LT BBsf Affirmed BBsf E-RR 46590LBC5 LT CCCsf Affirmed CCCsf F-RR 46590LBE1 LT CCsf Affirmed CCsf G-RR 46590LBG6 LT Csf Affirmed Csf X-A 46590TAG0 LT AA-sf Affirmed AA-sf X-B 46590TAH8 LT BBBsf Affirmed BBBsf KEY RATING DRIVERS Stable Loss Expectations; Specially Serviced Loans: The affirmations reflect generally stable loss expectations since Fitch's prior rating action. The Negative Outlooks reflect possible future downgrades with continued lack of progress towards the resolution of the specially serviced and largest loan in the pool, 229 West 43rd Street Retail Condo (8.9%), as well as further performance declines for some of the Fitch Loans of Concern (FLOCs), most notably Landmark Square (5.5%). Fitch's current ratings reflect a base case loss of 10.4%. Fitch has identified 11 FLOCs (46.6%), which includes three loans (22.5%) in special servicing. The largest contributor to Fitch's overall loss expectations is the 229 West 43rd Street Retail Condo loan (8.9% of the pool), which represents nearly 75% of Fitch's total expected loss for the pool. The loan is secured by a 245,132-sf retail condominium located in Manhattan's Time Square district. The loan transferred to special servicing in December 2019 for imminent monetary default. The property had already been experiencing tenancy issues prior to the pandemic. With tenants operating in the entertainment and tourism industries, the property sustained further declines due to the onset of the pandemic. A receiver was appointed in March 2021 and foreclosure has been filed; per the servicer, due to delays in the New York City courts, the foreclosure timing is unclear. Fitch has requested an update from the servicer regarding the foreclosure status, but was not provided a response. Multiple lease sweep periods have occurred related to the majority of the tenants triggering a cash flow sweep since December 2017. Additionally, the OHM food hall concept contemplated at issuance failed to open at the property. Three tenants, National Geographic, Gulliver's Gate and Guitar Center (combined, 54% of the NRA), have vacated the property; as a result, occupancy has declined to 40.9% as of the July 2022 rent roll. Per the special servicer, Los Tacos and Bacall's (formerly The Ribbon) are currently paying reduced rents under recently approved lease modifications. A lease modification for Haru is also forthcoming, while one for Bowlmor is currently being negotiated. Per media reports, BuzzFeed has recently announced it will relocate its headquarters to the property and is expected to lease approximately 110,000 sf (44% of the NRA). The property had been benefiting from an Industrial Commercial Incentive Program (ICIP) tax abatement, which began to burn off in the 2017-2018 tax year by 20% per year. Fitch's base case loss of approximately 77% reflects a stressed value of $395 psf and is based on a discount to the most recent appraisal of the property. The loan exposure continues to increase due to servicer advances. The second largest contributor to overall losses is the Landmark Square loan (5.5%), which is secured by a 757,917-sf mixed use office and retail property located in the Stamford, CT CBD. YE 2021 NOI has declined 27.7% compared to YE 2020, driven mainly by a 12% decline in base rents. Per the September 2022 rent roll, the average in-place rent for the subject property of $27.75 psf reflects a sizable discount to the submarket average asking rent of $38.68 psf per CoStar. The property was 72.4% occupied as of September 2022, compared with 71.9% in September 2021, 73.8% in December 2020 and 77% in December 2019. Per CoStar, the vacancy rate for the Stamford submarket is approximately 20.7% as of January 2023. Upcoming lease rollover includes 4.9% of the NRA in 2023 and 7.7% in 2024. The rollover is granular, with no tenant scheduled to roll through YE 2024 representing greater than 1.9% of NRA. Fitch's loss expectation of 13.5% reflects a 5% stress to the YE 2021 NOI to account for month-to-month tenancy. Increased Credit Enhancement (CE): As of the December 2022 distribution date, the pool's aggregate principal balance has paid down by 13.8% to $899 million from $1.04 billion at issuance. Since Fitch's prior rating action, one loan (Dallas Design District; previously $43.9 million) was repaid ahead of its scheduled February 2027 maturity. Six loans (35.5% of pool) are full-term, interest-only, and 12 loans (39.2%) are partial interest-only. There have been no realized losses since issuance. One loan (Cleveland Towne Center; 1.3%) is scheduled to mature in 2024; one loan (Prudential Plaza; 6.8%) in 2025; nine loans (33.9%) in 2026; and 20 loans (58%) in 2027. Investment-Grade Credit Opinion Loans: Three loans representing 17.7% of the pool were assigned investment-grade credit opinions of 'BBB-sf*' on a standalone basis at issuance. These loans include 350 Park Avenue (7.4%), Hilton Hawaiian Village (7.0%) and Moffett Gateway (4.3%). However, due to current performance, 350 Park Avenue is no longer considered to have credit characteristics consistent with an investment-grade credit opinion. 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 FLOCs or underperforming loans. Downgrades to classes A-2 through A-SB are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes A-S, B and X-A are possible should expected losses for the pool increase significantly, performance continue to decline for the FLOCs and/or with higher than expected losses on the 229 West 43rd Street Retail Condo loan. Downgrades to classes C, D and X-B may occur should loss expectations increase from further performance decline of the FLOCs and/or additional loans transfer to special servicing. The distressed rated classes E-RR, F-RR and G-GG are subject to downgrades as losses be realized, with greater certainty of losses and/or actual losses exceed Fitch's expectations. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that lead to upgrades would include stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes A-S, B and X-A would only occur with significant improvement in CE and/or defeasance, and with the stabilization of performance and viable resolutions on the FLOCs, particularly the 229 West 43rd Street Retail Condo and the Landmark Square loans. Upgrades of classes C and D are not likely without stabilization of performance on the FLOCs and substantially higher recoveries than expected on the specially serviced loans/assets; however, adverse selection and increased concentrations could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. The Negative Outlooks on classes A-S, B, C, D, X-A and X-B may be revised back to Stable if performance of the FLOCs improves and/or there is a better than expected recovery from the 229 West 43rd Street Retail Condo. Upgrades to the distressed rated classes are not expected unless the loans in special servicing are resolved with losses that are much lower than expected. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. LENDMARK FUNDING 2019-2: DBRS Confirms BB Rating on Class D Trusts ------------------------------------------------------------------ DBRS, Inc. confirmed 21 ratings from five Lendmark Funding Trust transactions. The Affected Ratings Are Available at https://bit.ly/3iHdtz8 Lendmark Funding Trust 2019-2 -- Series 2019-2, Class A AA (sf) Confirmed -- Series 2019-2, Class B A (sf) Confirmed -- Series 2019-2, Class C BBB (low) (sf) Confirmed -- Series 2019-2, Class D BB (sf) Confirmed 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 - December 2022 Update, published on December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse COVID-19 pandemic scenarios, which were first published in April 2020. -- The level of hard credit enhancement in the form of overcollateralization, subordination, and amounts held in reserve fund available in the transactions. Hard credit enhancement and estimated excess spread are sufficient to support DBRS Morningstar's current rating levels. -- The collateral performance to date and DBRS Morningstar's assessment of future performance. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. Notes: The principal methodology applicable to the ratings is DBRS Morningstar Master U.S. ABS Surveillance (November 8, 2022; https://www.dbrsmorningstar.com/research/405081>). MFA 2023-NQM1: S&P Assigns Prelim B (sf) Rating on Class B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to MFA 2023-NQM1 Trust's mortgage pass-through certificates series 2023-NQM1. The certificate issuance is an RMBS transaction backed by first- or second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans, including some loans with interest-only periods, primarily secured by single-family residences, planned unit developments, condominiums, condotels, two- to four-family homes, five- to 10-unit multi-family properties, one 11- to 20-unit multi-family property, one 34-unit multi-family property, one mixed-use property, and manufactured housing properties to both prime and nonprime borrowers. The pool has 586 loans, which are primarily non-qualified mortgage loans and ability-to-pay exempt. The preliminary ratings are based on information as of Jan. 18, 2023. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The pool's geographic concentration; and -- The current and near-term macroeconomic conditions and the effect they may have on the performance of the mortgage borrowers in the pool. S&P said, "On April 17, 2020, we updated our mortgage outlook and corresponding archetypal foreclosure frequency levels to account for the potential impact the COVID-19 pandemic may have on the overall credit quality of collateralized pools. While COVID-19 pandemic-related performance concerns have waned, we maintain our updated 'B' foreclosure frequency for the archetypal pool at 3.25% given our current outlook for the U.S. economy, which includes the Russia-Ukraine military conflict, supply-chain disruptions, and rising inflation and interest rates. Preliminary Ratings Assigned MFA 2023-NQM1 Trust(i) Class A-1, $189,600,000: AAA (sf) Class A-2, $26,350,000: AA (sf) Class A-3, $37,010,000: A (sf) Class M-1, $19,130,000: BBB (sf) Class B-1, $14,580,000: BB (sf) Class B-2, $11,920,000: B (sf) Class B-3, $15,063,110: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R: NR (i)The collateral and structural information in this report reflects the preliminary private placement memorandum received on Jan. 17, 2023. The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MORGAN STANLEY 2012-C5: Fitch Affirms 'Bsf' Rating on Class H Certs ------------------------------------------------------------------- Fitch Ratings has upgraded four and affirmed three classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) commercial mortgage pass-through certificates, series 2012-C5. In addition, the Rating Outlooks for classes C and PST are Stable following upgrades to these classes and the Outlook for class H was revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2012-C5 C 61761ABD9 LT AAAsf Upgrade AAsf D 61761AAG3 LT Asf Upgrade BBB+sf E 61761AAJ7 LT BBBsf Upgrade BBB-sf F 61761AAL2 LT BBB-sf Affirmed BBB-sf G 61761AAN8 LT BB+sf Affirmed BB+sf H 61761AAQ1 LT Bsf Affirmed Bsf PST 61761ABC1 LT AAAsf Upgrade AAsf KEY RATING DRIVERS Improved Credit Enhancement: As of December 2022, the pool's aggregate principal balance has been reduced by 85.2% to $195.7 million from $1.4 billion at issuance. The upgrades and Outlook revisions reflect increased credit enhancement following significant paydowns, higher than expected recoveries on several loans and continued stable performance of the non-specially serviced loans. Since the last rating action, an additional $646 million repaid at maturity dates in 2022. Pool Concentration; Adverse Selection: Four loans remain, with the largest representing 70.3% of the pool. Two specially serviced loans (28.3%) matured in 2022 without repayment; the largest loan is past its Anticipated Repayment Date (ARD). The largest loan, Legg Mason Tower, is secured by a 612,613-sf office property located in the Inner Harbor District at the southeastern end of downtown Baltimore and is part of a mixed-use development (six-unit condo structure that includes the office, retail, Four Seasons Hotel and parking garage). The largest tenant's (Legg Mason; 47% of NRA) lease ends in 2024 and has one 10-year renewal option and one five-year renewal option. The second and third largest tenants are One Main Financial Inc. (17.8%; expiring February 2026) and Bank of America N.A. (8.9%; expiring January 2032), respectively. The ARD elapsed on July 10, 2022 and the final maturity is now July 10, 2027. The interest rate increased to the greater of (i) 4.550% (the original rate) plus 3.0% and (ii) the sum of (x) the then applicable treasury rate plus (y) the then current five-year mid swap rate spread, but in no event will the revised interest rate exceed 9.550%. Performance has consistently remained stable with high occupancy. As of June 2022, the property was 99% occupied and the servicer reported debt service coverage ratio (DSCR) as of YE 2021 was 1.77x assuming the original interest rate. Based on current cash flow and a refinance constant of 10%, the DSCR is 1.48x. The two specially serviced loans include The Distrikt Hotel (16.9%), secured by a 155-key full-service hotel located in the Times Square neighborhood of Manhattan, NY and Chatham Village (11.4%), secured by a 124,018-sf, shadow-anchored retail property located in Chicago, IL, including Nike, Walgreens and America's Kids as tenants. Performance recovery of the The Distrikt Hotel post pandemic has been slow and Fitch's loss expectation based on a stress to the most recent appraisal value reflects a stressed value of $227,000 per key. Alternative Loss Consideration: Fitch's analysis included a stressed scenario assuming Legg Mason Tower is the only remaining loan in the pool: the specially serviced loans were assumed disposed for losses and the performing loan CVS Charlotte assumed paid in full. The scenario applied a stressed cash flow without Legg Mason's rental income should the tenant not renew at the 2024 lease expiration and vacate the property. The upgrades were limited by this scenario given concerns with refinanceability of the loan in the current environment. Ultimate recovery of higher classes is likely given the outstanding debt. Assuming only the Legg Mason Tower loan remains, the total rated debt reflects $182 psf; the total debt is $224 psf. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades would occur should performance and/or values of the remaining specially serviced loans deteriorate significantly, with a greater certainty of loss and/or realized losses exceed Fitch's expectations. Downgrades are also possible if Legg Mason Tower's performance and/or value deteriorates. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades are possible with additional information regarding Legg Mason Tower's refinancing status and the potential renewal of the largest tenant at the property. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OBX TRUST 2023-NQM1: Fitch Assigns 'Bsf' Rating on Class B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to OBX 2023-NQM1 Trust. Entity/Debt Rating Prior ----------- ------ ----- OBX 2023-NQM1 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 XS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed notes issued by the OBX 2023-NQM1 Trust as indicated above. The notes are supported by 842 loans with an unpaid principal balance of approximately $405.21 million as of the cut-off date. The pool consists of fixed-rate mortgages and adjustable-rate mortgages acquired by Annaly Capital Management, Inc. (Annaly) from various originators and aggregators. Distributions of P&I and loss allocations are based on a modified sequential-payment structure. The transaction has a stop-advance feature where the P&I advancing party will advance delinquent P&I for up to 120 days. Of the loans, approximately 62.9% are designated as non-qualified mortgage (non-QM), 36.8% are investment properties not subject to the Ability to Repay (ATR) Rule. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, it views the home price values of this pool as 8.2% above a long-term sustainable level, versus 12.2% on a national level as of October 2022, down 1.7% 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 9.2% yoy nationally as of October 2022. Nonprime Credit Quality (Mixed): The collateral consists of 30-year and 40-year fixed-rate and adjustable-rate loans. Adjustable-rate loans constitute 15.9% of the pool as calculated by Fitch, which includes 2.2% debt service coverage ratio (DSCR) loans with a default interest rate feature; 7.5% are interest-only loans and the remaining 84.1% are fully amortizing loans. The pool is seasoned approximately seven months in aggregate, as calculated by Fitch. Borrowers in this pool have a moderate credit profile with a Fitch-calculated weighted average (WA) FICO score of 741, debt-to-income ratio of 44.0% and moderate leverage of 77.1% sustainable loan to value ratio (sLTV). Pool characteristics resemble recent nonprime collateral. Investor Properties, Non-QM and Alternative Documentation (Negative): The pool contains a meaningful amount of investor properties (36.8%), and non-QM loans (62.9%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity (LS) adjustments for potential ATR challenges. Higher LS assumptions are assumed for the investor property product to reflect potential risk of a distressed sale or disrepair. Fitch viewed approximately 92.0% of the pool as less than full documentation, and alternative documentation was used to underwrite the loans. Of this, 45.3% were underwritten to a bank statement program to verify income, which is not consistent with Appendix Q standards or Fitch's view of a full-documentation program. To reflect the additional risk, Fitch increases the probability of default (PD) by 1.64x on the bank statement loans. Besides loans underwritten to a bank statement program, 26.3% are a DSCR product, 12.1% are P&L loans, 6.7% are a WVOE product, and 1.0% constitute an asset depletion product. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal payments until all senior classes are paid in full. If a credit event, either a cumulative loss trigger event or a delinquency trigger event, occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 notes until each class balance is reduced to zero. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100bps starting on the January 2027 payment date. This reduces the modest excess spread available to repay losses. However, the interest rate is subject to the net WAC, and any unpaid cap carryover amount for class A-1A, A-2 and A-3 may be reimbursed from the distribution amounts otherwise allocable to the unrated class B-3, to the extent available. Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency, to the extent such advances are deemed recoverable. The P&I advancing party (Onslow Bay Financial LLC) is obligated to fund delinquent P&I advances for the SPS and Shellpoint serviced loans. AmWest will be responsible for making P&I advances with respect to the AmWest serviced mortgage loans. If AmWest or the P&I advancing party, as applicable, fails to remit any P&I advance required to be funded, the master servicer (Computershare Trust Company, N.A.) will fund the advance. The stop-advance feature limits the external liquidity to the bonds in the event of large and extended delinquencies, but the loan-level LS are less for this transaction than for those where the servicer is obligated to advance P&I for the life of the transaction, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust. The ultimate advancing party in the transaction is the master servicer, Computershare (BBB/F3). Computershare does not hold a rating from Fitch of at least 'A' or 'F1' and, as a result, does not meet Fitch's counterparty criteria for advancing delinquent P&I payments. Fitch ran additional analysis to determine if there was any impact to the structure if it assumed no advancing of delinquent P&I for the losses and cash flows. This is in addition to running the loss and cash flow analysis assuming four months of delinquent P&I servicer advancing, per the transaction documents. Assuming four months of delinquent P&I advancing was more conservative; therefore, Fitch's losses and credit enhancement analysis assumed this. High California Concentration (Negative): Approximately 38.7% of the pool is located in California. Additionally, the top three MSAs — Los Angeles (19.9%), New York (7.7%) and Miami (6.3%) — account for 33.9% of the pool. As a result, a geographic concentration penalty of 1.01x was applied to the PD. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 40.4% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. OMI TRUST 2001-D: S&P Lowers Class A-3 Notes Rating to 'D (sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on OMI Trust 2001-D's class A-3 notes to 'D (sf)' from 'CC (sf)'. S&P subsequently withdrew the rating. OMI Trust 2001-D is an ABS transaction backed by fixed-rate manufactured housing loans. The downgrade followed the transaction's failure to make full principal payment on the class A-3 notes on the notes' final scheduled distribution date, Dec. 15, 2022. PARK BLUE 2022-II: Fitch Assigns 'BBsf' Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Park Blue CLO 2022-II, Ltd. Entity/Debt Rating ----------- ------ Park Blue CLO 2022-II, Ltd. A-1 LT NRsf New Rating A-2 LT NRsf New Rating B-1 LT AAsf New Rating B-2 LT AAsf New Rating C LT A+sf New Rating D LT BBB+sf New Rating E LT BBsf New Rating F LT NRsf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Park Blue CLO 2022-II, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Centerbridge Credit Funding Advisors, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.8% first-lien senior secured loans and has a weighted average recovery assumption of 76.77%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 40.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 3.0-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the notes were able to withstand respective default rates and recovery assumptions appropriate for their recommended ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, between 'B+sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBBsf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+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 is adequately reliable. PRMI SEC 2022-CMG1: DBRS Gives Prov. B Rating on Class B2 Notes --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage-Backed Notes, Series 2022-CMG1 (the Notes) to be issued by PRMI Securitization Trust 2022-CMG1 (PRMI 2022-CMG1 or the Trust) as follows: -- $218.6 million Class A-1 at AAA (sf) -- $28.7 million Class A-2 at AA (sf) -- $15.5 million Class A-3 at A (sf) -- $9.2 million Class M-1 at BBB (sf) -- $5.4 million Class B-1 at BB (sf) -- $2.1 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects 22.45% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 12.25%, 6.75%, 3.50%, 1.60%, and 0.85% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction. This is a securitization of newly originated and seasoned, performing, adjustable-rate, fully amortizing, interest-only (IO), open-ended, revolving first-lien line of credit (LOC) loans funded by the issuance of the Notes. The Notes are backed by 669 LOC loans with a total unpaid principal balance (UPB) of $281,830,037 and a total current credit limit of $368,340,920 as of the Cut-Off Date (November 30, 2022). The portfolio, on average, is 25 months seasoned, though seasoning ranges from six to 101 months. Approximately 98.0% of the LOC loans have been performing since origination. All of the loans in the pool are first-lien LOCs evidenced by promissory notes secured by mortgages or deeds of trust or other instruments creating first liens on one- to four-family residential properties, planned unit development (PUDs), townhouses and condominiums. CMG Mortgage, Inc. (CMG) is the Originator of all LOC loans in the pool. CMG is a wholly owned subsidiary of CMG Financial Services, Inc., a privately held company that was founded in 1993 as CMG Mortgage, Inc. The company originates conventional, government, and jumbo mortgages. CMG also originates first-lien LOC loans to prime borrowers under the All-In-One loan program, which offers borrowers convenient cash management features and an opportunity to reduce the interest charges and accelerate principal repayment. Such features are detailed in the related report. The transaction's Sponsor is PRMI Capital Markets LLC, an affiliate of the PR Mortgage Investment, LP (PRMI or the Fund). PRMI, a leveraged debt fund that specializes in real estate related assets, commenced operations in 2019. The Fund's general partner is PRMIGP, LLC, and the investment manager is PR Mortgage Investment Management, LLC. B3 LLC, composed of three senior investment executives, holds a majority interest in the Fund's general partner and investment manager, and Merchants Bancorp, the holding company of Merchants Bank of Indiana (MBIN), holds a minority interest in the general partner and investment manager, and is also a limited partner in the Fund. MBIN is a publicly traded bank with approximately $10 billion in assets. The transaction is the first securitization of LOC loans by the Sponsor. Previously, the Fund sponsored a securitization of the prime agency-eligible mortgage loans rated by two credit rating agencies, PRMI Securitization Trust 2021-1, demonstrating robust performance to date. In this transaction, all loans originated under the All-In-One program are open-LOCs, with a draw period of generally 30 years during which borrowers may make draws up to a credit limit, though such right to make draws may be temporarily frozen in certain circumstances. A 30-year draw period offers borrower flexibility to draw funds over the life of the loan. However, the total credit line amount (or credit limit) begins to decline after remaining constant for the first 10 years. Thereafter, the credit limit declines every payment period by a monthly amortization amount required to pay off the loan at maturity or 1/240th of the maximum capacity of the credit line (limit reduction amount). As such, even if a borrower redraws the amount to a limit at some point in the future, the limit is lowered to match the amount that could be repaid at maturity using the required monthly payments. All but one LOC in this transaction have 10-year IO terms (IO payment period), so borrowers are required to make IO payments within the IO payment period and both interest and principal payments during and repayment period. No loans require a balloon payment. Although LOC loans include a 10-year IO term, the borrowers are qualified for income using, among other measures, a debt-to-income ratio (DTI) calculated with a fully indexed interest rate and assuming principal amortization over 360 periods (as if the borrower is required to make principal payments during the IO payment period). Relative to other types of HELOCs backing DBRS Morningstar-rated deals, the loans in the pool generally have high borrower credit scores, are in a first-lien position, and do not include balloon payments. The relatively long IO period and income qualification based on the fully amortized payment amount help ensure the borrower has enough cushion to absorb increased payments after the IO term expires. Also, the lack of balloon payment allows borrowers to avoid the payment shock that typically occurs when a balloon payment is required. On or prior to the Closing Date, CMG will sell 476 loans (approximately 75.5% of the pool by balance as of the Cut-Off Date), including the servicing rights with respect thereto, to the Seller (PRMI Trust). Also, MBIN will sell 193 loans (approximately 24.5% by balance) originated by CMG and previously acquired by MBIN to the Seller. These loans (Merchants Mortgage Loans) will be sold excluding the servicing rights thereto, which will be retained by CMG as the Servicing Rights Owner. The PRMI Mortgage Loans and the Merchants Mortgage Loans are collectively referred to as the mortgage loans or LOC loans in the report. Northpointe Bank (Northpointe), a Michigan-chartered bank, is the Servicer of all loans in the pool. The initial annual servicing fee is 0.25% per year. U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will serve as the Custodian. U.S. Bank Trust Company, National Association (rated AA (high) with a Stable trend by DBRS Morningstar) will serve as the Indenture Trustee, Paying Agent, and Note Registrar. U.S. Bank Trust National Association will serve as the Owner Trustee. In accordance with U.S. credit risk retention requirements, the PR Mortgage Holdings I LLC, a majority-owned affiliate of the Sponsor, will acquire and intends to retain an "eligible horizontal residual interest," representing not less than 5% economic interest in the transaction, to satisfy the requirements under Section 15G of the Securities and Exchange Act of 1934 and the regulations promulgated thereunder. Such retention aligns Sponsor and investor interest in the capital structure. This transaction uses a structural mechanism similar to other comparable transactions to fund future draw requests. Assuming the funding of the subsequent draw is valid and required under the LOC agreement, the obligation to fund it falls originally on CMG as the lender under the LOC agreement. In addition, under the transaction documents, the Issuer will engage Northpointe, as the Servicer under the servicing agreement. Northpointe, as a servicer, will determine whether a borrower is entitled to the requested draw under the related LOC agreement and will fund any valid draw request. The Servicer will be required to fund draws and will be entitled to reimburse itself for such draws prior to any payments on the Notes from the principal collections. If the aggregate draws exceed the principal collections (Net Draw), the Servicer is still obligated to fund draws even if principal collections and the reserve fund are insufficient in a given month for full reimbursement. In such cases, the Paying Agent will reimburse the Servicer first from amounts on deposit in the variable-funding account (VFA), and second, if the amounts available in the VFA are insufficient on the related payment date or future payment dates, then from the future principal collections. The VFA is expected to have an initial balance of $100,000 and a VFA required amount for each payment date. If the amount on deposit in the VFA is less than such required amount on a payment date, the Paying Agent will use excess cash flow (i.e., remaining amounts after covering losses and paying Cap Carryover Amounts) to deposit in the VFA. To the extent the VFA is not funded up to its required amount from excess cash flow, the holder of the Trust Certificates on behalf of the Class R Note will be required to use its own funds to make any deposits to the VFA or to reimburse the Servicer for any Net Draws. The balance of Trust Certificates will be increased by an amount deposited to the VFA used to reimburse the Servicer for the Net Draws (residual principal balance). The Trust Certificates, on behalf of the Class R Note, will be entitled to receive principal and the net interest that accrues on the residual principal balance at the Net WAC Rate. The holder of the Trust Certificate is permitted to finance these funding obligations by using the financing secured by the Trust Certificate with a third-party lender. The Sponsor or a majority-owned affiliate, as an expected holder of the Trust Certificates/Class R Note, will have ultimate responsibility to ensure draws are funded, as long as all borrower conditions are met to warrant draw funding. In its analysis of the proposed transaction structure, DBRS Morningstar does not rely on the creditworthiness of either the Servicer or the Sponsor and relies solely on the issuer's assets' ability to generate sufficient cash flows to pay the transaction parties and bondholders. Please see the Cash Flow Analysis section of this report for more details. The transaction, based on a static pool, employs a modified sequential-pay cash flow structure with a pro rata principal distribution among the more senior tranches (Class A-1, A-2, and A-3 Notes) subject to a sequential priority trigger (Credit Event) related to cumulative losses or delinquencies exceeding a specified threshold. Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes (IIPP) before being applied sequentially to amortize the balances of the senior and subordinated notes. For the Class A-3 Notes (only after a Credit Event) and for the mezzanine and subordinate classes of notes (both before and after a Credit Event), principal proceeds will be available to cover interest shortfalls only after the more senior notes have been paid off in full. Also, the excess spread can be used to cover realized losses first before being allocated to unpaid Cap Carryover Amounts due to Class A-1 down to Class B-3. The Trust Certificates have a pro rata principal distribution with all senior and subordinate tranches while the Credit Event is not in effect. When the trigger is in effect, the Trust Certificates' principal distribution will be subordinated to both the senior and subordinate notes in the payment waterfall. While a Credit Event is in effect, realized losses will be allocated reverse sequentially starting with the Trust Certificates, followed by the Class B-3 Notes, and then continuing up to Class A-1 Notes based on their respective payment priority. While a Credit Event is not in effect, the losses will be allocated pro rata between the Trust Certificates and all outstanding notes based on their respective priority of payments. The outstanding notes will allocate realized losses reverse sequentially, beginning with Class B-3 up to Class A-1. For this transaction, other than the Servicer's obligation to fund any monthly Net Draws, described above, neither the Servicer nor any other transaction party will fund any monthly advances of principal and interest (P&I) on any LOC loan. However, the Servicer is obligated to make advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing of properties (servicing advances) to the extent such advances are deemed recoverable or as directed by the Controlling Holder (the holder or holders of more than a 50% interest of the Class XS Notes; initially, the Depositor's affiliate). All of the loans in the pool are exempt from the Consumer Financial Protection Bureau Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules because the LOC loans are not subject to the ATR/QM rules. On or after the payment date in January 2026, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the loans and any real estate owned properties at an optional termination price described in the transaction documents. An Optional Termination will be followed by a qualified liquidation, which requires a complete liquidation of assets within the Trust and the distribution of proceeds to the appropriate holders of regular or residual interests. The Certificateholder may sell, transfer, convey, assign, or otherwise pledge the right to direct the Issuer to exercise the Optional Termination to a third party, in which case the right must be exercised by such third party, as described in the transaction documents. On any payment date on or after the later of (1) the two-year anniversary of the Closing Date, and (2) the earlier of (a) the three-year anniversary of the Closing Date, and (b) the date on which the aggregate loans' principal balance is less than or equal to 30% of the Cut-Off Date balance, the Issuer may, at the direction of the holder of the Trust Certificates, purchase all of the outstanding Notes and the Trust Certificates at the purchase price in the transaction documents (Optional Redemption). An Optional Redemption will be followed by a qualified liquidation. The Depositor, at its option, may purchase any mortgage loan that is 90 days or more delinquent under the Mortgage Bankers Association method at the repurchase price (Optional Purchase) described in the transaction documents. The total balance of such loans purchased by the Depositor will not exceed 10% of the Cut-Off balance. Notes: All figures are in U.S. dollars unless otherwise noted. SALUDA GRADE 2022-INV1: DBRS Finalizes B Rating on Class B2 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2022-INV1 (the Certificates) 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 M-1, B-1, B-2, and B-3 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. SUMIT 2022-BVUE: DBRS Confirms B(high) Rating on Class HRR Certs ---------------------------------------------------------------- DBRS Limited confirmed its ratings on the following classes of SUMIT 2022-BVUE Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2022-BVUE: -- Class A at AAA (sf) -- Class X-A at AA (low) (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 HRR at B (high) (sf) All trends are Stable. The rating confirmations and Stable trends reflect the overall stable performance of the transaction, which remains in line with issuance expectations. The collateral remains 98.6% occupied as of the September 2022 reporting, with over 90.0% of the property's gross rent derived from investment grade tenants. The transaction is secured by the borrower's fee-simple interest in The Summit, a 907,306 square foot (sf), LEED Gold and Platinum certified, Class A, three-property office campus in the Bellevue, Washington, CBD. The property is situated on a 3.5-acre site, offering a unique urban campus environment that has helped attract and retain some of the region's most prominent tenants. The Summit is strategically located two blocks from I-405, the Eastside's primary interstate, and one block from both the Bellevue Transit Center and the Bellevue Downtown Light Rail Station. The loan is sponsored by a 99%/1% joint venture between KKR Property Partners Americas (KPPA), a leading global invest firm, and prominent commercial property manager and operator, Urban Renaissance Group (URG). Whole loan proceeds of $525 million were used to refinance $382.7 million of existing debt, return $129.3 million of borrower equity and fund upfront reserves of $9.9 million, which were used to cover outstanding landlord obligations and cover closing costs. The $525 million whole loan is composed of 10 promissory notes: eight senior A notes totaling $327 million and two junior B notes totaling $198 million. The $305 million subject transaction consists of two senior A notes with an aggregate principal balance of $107 million and the two junior B notes totaling $198 million. The remaining $220 million of the whole loan is composed of pari passu A notes (companion notes); of those companion notes, 5% are held in BBCMS 2022-C16 (DBRS Morningstar rated) and the remaining 62% are between BMARK 2022-B32, BBCMS 2022-C15, BBCMS 2022-C14 and BMARK 2022-B33 (not rated by DBRS Morningstar). The underlying loan is interest-only throughout its seven year term with a scheduled maturity in February 2029. As of the September 2022 rent roll, the property was 98.6% occupied, unchanged from issuance. Overall, the property's tenant roster comprises approximately 78.5% investment-grade tenancy by square footage, including Amazon.com Services, Inc. (Amazon) (41.2% of net rentable area (NRA), lease expiring August 2036), Puget Sound Energy Inc. (Puget) (24.7% of NRA, lease expiring October 2028), and First Republic Bank (8.1% of NRA, lease expiring March 2032). An additional 133,059 sf or 14.7% of NRA is leased to WeWork and is 100% subleased by Amazon. There is a substantial rollover concentration in 2028 when leases representing 25.9% of NRA will expire, which is primarily attributable to the Puget lease (24.7% of NRA) which expires in October 2028. Otherwise, rollover risk is relatively minor, with tenants representing only 3.0% of the NRA scheduled to expire within the next 12 months. The borrower has the right to amend the Puget lease to reduce the leased space by up to 223,820 sf in aggregate, and to make corresponding reductions to the rent and tenant obligations, provided that the debt yield is equal to or greater than the debt yield at closing, with certain leasing conditions structured into the agreement. According to Reis, the Bellevue CBD submarket reported a vacancy and average rental rate of 9.2% and $54 psf, respectively. The subject reported vacancy and average rental rates of 1.7% and $38 psf, respectively. Current in-place rents at the property are more than 30% below market rents with Amazon, AvalonBay, and First Republic Bank having average rental rates of $36 psf (including the subleased space), $45 psf, and $39 psf, respectively. The Bellevue submarket has experienced strong demand from high-profile technology tenants, which have driven Class A vacancy down and generated significant rent growth over the past several years. While limited lease rollover provides for minimal opportunity to capture additional upside during the seven-year loan term, the property will likely benefit in the long run from increased rental revenue as tenants' leases expire and roll to market. Based on the September 2022 financial reporting, the trailing-12 month (T-12) ended September 2022 net cash flow (NCF) of $25.1 million ($33.4 million when annualized) was marginally above the NCF reported at YE2021 of $32.0 million, but below the DBRS Morningstar NCF of $36.7 million derived at issuance. The loans Q3 2022 debt service coverage ratio was reported at 2.13 times (x), compared to the YE2021 figure of 2.04x and the DBRS Morningstar DSCR of 2.34x. DBRS Morningstar provided LTCT credit to investment-grade rated tenants Amazon, AvalonBay Communities, Inc. (AvalonBay), and First Republic Bank, which collectively represent 64.8% of NRA, as their leases expire more than three years beyond loan maturity. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2016-4: Moody's Upgrades Rating on Cl. B4 Bonds to Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 29 bonds from 12 transactions issued by Towd Point Mortgage Trust between 2015 and 2018. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral is serviced by multiple servicers. The complete rating actions are as follows: Issuer: Towd Point Mortgage Trust 2015-3 Cl. B2, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Cl. B3, Upgraded to Baa2 (sf); previously on Mar 16, 2022 Upgraded to Baa3 (sf) Issuer: Towd Point Mortgage Trust 2015-4 Cl. B2, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2015-5 Cl. B2, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Issuer: Towd Point Mortgage Trust 2015-6 Cl. B1, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa1 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Issuer: Towd Point Mortgage Trust 2016-1 Cl. B2, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Cl. B3, Upgraded to Baa3 (sf); previously on Mar 16, 2022 Upgraded to Ba1 (sf) Issuer: Towd Point Mortgage Trust 2016-2 Cl. B1, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa2 (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Issuer: Towd Point Mortgage Trust 2016-3 Cl. B2, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Cl. B3, Upgraded to A2 (sf); previously on Mar 16, 2022 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2016-4 Cl. B1, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Cl. B2, Upgraded to Aa1 (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Cl. B3, Upgraded to Aa3 (sf); previously on Mar 16, 2022 Upgraded to A2 (sf) Cl. B4, Upgraded to Ba2 (sf); previously on Mar 16, 2022 Upgraded to B1 (sf) Issuer: Towd Point Mortgage Trust 2017-2 Cl. B1, Upgraded to Aa1 (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Cl. B2, Upgraded to A2 (sf); previously on Mar 16, 2022 Upgraded to Baa1 (sf) Issuer: Towd Point Mortgage Trust 2017-3 Cl. B1, Upgraded to Aa3 (sf); previously on Mar 16, 2022 Upgraded to A2 (sf) Cl. B2, Upgraded to A3 (sf); previously on Mar 16, 2022 Upgraded to Baa2 (sf) Cl. B3, Upgraded to Ba3 (sf); previously on Mar 16, 2022 Upgraded to B2 (sf) Cl. M2, Upgraded to Aa1 (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Issuer: Towd Point Mortgage Trust 2018-2 Cl. A4, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa1 (sf) Cl. M1, Upgraded to Aaa (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Cl. M2, Upgraded to A1 (sf); previously on Mar 16, 2022 Upgraded to A3 (sf) Issuer: Towd Point Mortgage Trust 2018-6 Cl. A2, Upgraded to Aa1 (sf); previously on Mar 16, 2022 Upgraded to Aa3 (sf) Cl. A3, Upgraded to Aa1 (sf); previously on Mar 16, 2022 Upgraded to Aa2 (sf) Cl. A4, Upgraded to Aa2 (sf); previously on Mar 16, 2022 Upgraded to A1 (sf) Cl. M1, Upgraded to A2 (sf); previously on Mar 16, 2022 Upgraded to A3 (sf) RATINGS RATIONALE The rating upgrades are driven by stronger performance of the underlying loans in the pools relative to initial expectations and an increase in the credit enhancement available to the rated bonds due to the sequential pay structures as well as prepayments. The actions reflect Moody's updated loss expectations on the pools which incorporate Moody's assessment of the representations and warranties framework of the transactions, the due diligence findings of the third-party reviews at the time of issuance, and the strength of the transactions' servicing arrangement. The loans underlying the pools have fewer delinquencies and have prepaid at a faster rate than originally anticipated, resulting in an improvement in Moody's loss projections for the pools (link above provides Moody's current estimates). In Moody's analysis, Moody's also considered the likelihood of higher future pool expected losses due to rising borrower defaults driven by an increase in unemployment and inflation while prepayments remain broadly subdued amid elevated interest rates. Principal Methodologies The methodologies used in these ratings were "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. UNITED AUTO 2021-1: DBRS Hikes Class F Notes Rating to B(high) -------------------------------------------------------------- DBRS, Inc. upgraded five ratings, confirmed four ratings, and discontinued two ratings as a result of repayment from two United Auto Credit Securitization Trust transactions. The Affected Ratings Are Available at https://bit.ly/3CTiIT9 United Auto Credit Securitization Trust 2021-1 Class C Notes AAA (sf) Upgraded Class D Notes AA (sf) Upgraded Class E Notes BB (high) (sf) Upgraded Class F Notes B (high) (sf) Upgraded Class A Notes Discontinued Disc. Class B Notes Discontinued Repaid 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 - December 2022 Update, published on December 21, 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 applicable to the rating is DBRS Morningstar Master U.S. ABS Surveillance. UNITED AUTO 2022-2: S&P Placed 'BB' E notes rating on Watch Neg. ---------------------------------------------------------------- S&P Global Ratings placed its 'BB (sf)' rating on the class E notes of United Auto Credit Securitization Trust (UACST) 2022-2 on CreditWatch with negative implications. The CreditWatch placement reflects the transaction's collateral performance to date and S&P's expectations regarding the transaction's future collateral performance, structure, and credit enhancement. Additionally, S&P incorporated its most recent macroeconomic outlook that incorporates a baseline forecast for U.S. GDP and unemployment. S&P said, "The transaction's performance is trending worse than our original cumulative net loss (CNL) expectations. Cumulative gross losses are significantly higher than prior vintages, which, coupled with lower cumulative recoveries, are resulting in elevated CNLs. As a result, we observe that excess spread after covering net losses is insufficient to build the transaction's overcollateralization (O/C) amounts, and that the build in O/C as a percent of the current balance has declined. This is uncharacteristic of UACST transactions. Generally, UACST transactions with a similar capital structure have historically reached their target overcollateralization percentage by around month three to six." Table 1 UACST 2022-2 Collateral Performance (%) Pool 60+ day Mo. factor CGL CRR CNL delinq. Ext. Jul-22 97.02 0.03 0.00 0.03 0.05 0.86 Aug-22 93.96 0.11 0.00 0.11 2.46 2.20 Sep-22 91.48 0.60 19.14 0.48 4.03 2.27 Oct-22 87.96 2.34 13.15 2.03 4.03 5.04 Nov-22 84.29 4.41 16.60 3.68 4.20 4.60 Dec-22 80.57 6.72 17.85 5.52 4.23 6.74 Mo.--as of the monthly collection period. Delinq.—Delinquencies. CGL—Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Ext.--Extensions. Table 2 Current overcollateralization (%)(i) UACST Mo. 2022-2 Jul-22 11.84 Aug-22 13.08 Sep-22 14.02 Oct-22 13.78 Nov-22 13.33 Dec-22 12.59 (i)As a percentage of the current collateral pool balance. As a percent of the current pool balance, the target overcollateralization amount on any distribution date for UACST 2022-2 is 15.50%. Mo.-- as of the monthly collection period. Notwithstanding the decrease in overcollateralization, the transactions' sequential principal payment structures have led to an increase in the other components of hard credit enhancement--subordination and non-amortizing reserve amounts as a percentage of the current collateral pool balance--which benefit the senior notes as their collateral pools amortize. Although hard credit enhancement for class E has increased since issuance, the class remains highly dependent upon excess spread and is vulnerable to continued losses, which can exacerbate the decline in overcollateralization. S&P said, "While we have not taken any action on the class A, B, C, and D notes for series 2022-2 at this time, unless remedied, continued performance deterioration and erosion of overcollateralization could cause us to revisit our stance on the aforementioned classes of notes at a later date. "Looking forward, we believe the evolving economic headwinds and potential negative impact on consumers, could result in a greater proportion of delinquencies and extensions ultimately defaulting which are risks to excess spread and overcollateralization. As such, we have placed our rating on the class E notes from the affected series on CreditWatch negative." Table 3 Hard Credit Enhancement(i) Total hard Current total Current CE at hard CE Series Class rating issuance (%) (% of current) 2022-2 A AAA (sf) 57.50 70.93 2022-2 B AA (sf) 46.30 57.03 2022-2 C A (sf) 36.50 44.86 2022-2 D BBB(sf) 24.35 29.79 2022-2 E BB (sf)(ii) 12.00 14.46 (i)As of the January 2023 distribution date. Includes subordination, overcollateralization and reserve account. (ii)Being placed on CreditWatch with negative implications. CE--Credit enhancement. S&P said, "We will continue to monitor this transaction and plan to resolve the CreditWatch after we have gathered sufficient data to more accurately project future losses, develop a loss-timing forecast, and conduct cash flow analysis. Although not part of this CreditWatch placement, we did review UACST 2022-1, which is also experiencing elevated losses, relative to our initial expectations, that is resulting in some deterioration in the O/C as a percent of the current pool balance, but to a lesser extent than 2022-2. At this time, we believe the current available credit enhancement levels for the UACST 2022-1 classes are still sufficient to support their existing ratings." UNITED AUTO 2023-1: S&P Assigns Prelim BB- (sf) Rating on E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to United Auto Credit Securitization Trust 2023-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Jan. 19, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 63.13%, 50.83%, 41.11%, 32.19%, and 27.79% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide at least 2.80x, 2.27x, 1.83x, 1.42x, and 1.20x coverage of S&P's expected cumulative net loss (ECNL) of 22.25% for the class A, B, C, D, and E notes, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x 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 series' subprime automobile loans, S&P's view of the credit risk of the collateral, and our updated macroeconomic forecast and forward-looking view of the auto finance sector. -- The series' bank accounts at Wells Fargo Bank N.A., which do not constrain the preliminary ratings. -- S&P's operational risk assessment of United Auto Credit Corp. as servicer, and our view of the company's underwriting and backup servicing arrangement with Computershare Trust Co. N.A. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance (ESG) credit factors, which are in line with its sector benchmarks. -- The transaction's payment and legal structures. Preliminary Ratings Assigned United Auto Credit Securitization Trust 2023-1 Class A, $124.84 million: AAA (sf) Class B, $53.85 million: AA- (sf) Class C, $35.08 million: A- (sf) Class D, $37.53 million: BBB- (sf) Class E, $22.48 million: BB- (sf) VELOCITY COMMERCIAL 2023-1: DBRS Gives Prov. B Rating on 3 Cls. --------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the Mortgage-Backed Certificates, Series 2023-1 to be issued by Velocity Commercial Capital Loan Trust 2023-1 (VCC 2023-1 or the Issuer) as follows: -- $146.3 million Class A at AAA (sf) -- $146.3 million Class A-S at AAA (sf) -- $146.3 million Class A-IO at AAA (sf) -- $5.9 million Class M-1 at AA (sf) -- $5.9 million Class M1-A at AA (sf) -- $5.9 million Class M1-IO at AA (sf) -- $17.4 million Class M-2 at A (low) (sf) -- $17.4 million Class M2-A at A (low) (sf -- $17.4 million Class M2-IO at A (low) (sf) -- $14.1 million Class M-3 at BBB (sf) -- $14.1 million Class M3-A at BBB (sf) -- $14.1 million Class M3-IO at BBB (sf) -- $30.0 million Class M-4 at BB (sf) -- $30.0 million Class M4-A at BB (sf) -- $30.0 million Class M4-IO at BB (sf) -- $17.4 million Class M-5 at B (sf) -- $17.4 million Class M5-A at B (sf) -- $17.4 million Class M5-IO at B (sf) Classes A-IO, M1-IO, M2-IO, M3-IO, M4-IO, and M5-IO are interest-only (IO) certificates. The class balances represent notional amounts. Classes A, M-1, M-2, M-3, M-4, and M-5 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. The AAA (sf) ratings on the Certificates reflect 39.10% of credit enhancement (CE) provided by subordinated certificates. The AA (sf), A (low) (sf), BBB (sf), BB (sf), and B (sf) ratings reflect 36.65%, 29.40%, 23.55%, 11.05%, and 3.80% of CE, respectively. Other than the classes specified above, DBRS Morningstar does not rate any other classes in this transaction. VCC 2023-1 is a securitization of a portfolio of newly originated and seasoned fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. The securitization is funded by the issuance of the Certificates, which are backed by 695 mortgage loans with a total principal balance of $240,308,194 as of the Cut-Off Date (December 1, 2022). Approximately 60.2% of the pool comprises residential investor loans and about 39.8% are SBC loans. All loans in this securitization were originated by Velocity Commercial Capital, LLC (Velocity or VCC). The loans were underwritten to program guidelines for business-purpose loans where the lender generally expects the property (or its value) to be the primary source of repayment (No Ratio). The lender reviews the mortgagor's credit profile, though it does not rely on the borrower's income to make its credit decision. However, the lender considers the property-level cash flow or minimum debt service coverage ratio (DSCR) when underwriting SBC loans with balances over $750,000 for purchase transactions and over $500,000 for refinance transactions. 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. PHH Mortgage Corporation (PMC) will service all loans within the pool for a fee of 0.30% per annum. In addition, Velocity will act as a Special Servicer for loans that defaulted or became 60 or more days delinquent under the Mortgage Bankers Association (MBA) method and other loans, as defined in the transaction documents (Specially Serviced Loans). The Special Servicer will be entitled to receive compensation, including an annual fee of 0.75% and the balance of Specially Serviced Loans. Also, the Special Servicer is entitled to a liquidation fee equal to 2.00% of the net proceeds from the liquidation of a Specially Serviced Loan, as described in the transaction documents. The Servicer will fund advances of delinquent principal and interest (P&I) until the advances deemed unrecoverable. Also, the Servicer is obligated to make advances with respect to taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. U.S. Bank National Association (U.S. Bank; rated AA (high) with a Stable trend by DBRS Morningstar) will act as the Custodian. U.S. Bank Trust Company, National Association will act as the Trustee. The Seller, directly or indirectly through a majority-owned affiliate, is expected to retain an eligible horizontal residual interest consisting of the Class P, Class XS, and Class M-7 Certificates, collectively representing at least 5% of the fair value of all 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. On or after the later of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Closing Date balance, the Depositor may purchase all outstanding Certificates (Optional Purchase) at a price equal to the sum of the remaining aggregate balance of the Certificates plus accrued and unpaid interest, and any fees, expenses, and indemnity payments due and unpaid to the transaction parties, including any unreimbursed P&I and servicing advances, and other amounts due as applicable. The Optional Purchase will be conducted concurrently with a qualified liquidation of the Issuer. Additionally, if on any date on which the unpaid mortgage loan balance and the value of REO properties has declined to less than 10% of the initial mortgage loan balance as of the Cut-Off Date, the Directing Holder, the Special Servicer, or the Servicer, in that order of priority, may purchase all of the mortgages, REO properties, and any other properties from the Issuer (Optional Termination) at a price specified in the transaction documents. The Optional Termination will be conducted as a qualified liquidation of the Issuer. The Directing Holder (initially, the Seller) is the representative selected by the holders of more than 50% of the Class XS certificates (the Controlling Class). The transaction uses a structure sometimes referred to as a modified pro rata structure. Prior to the Class A CE falling below 10.0% of the loan balance as of the Cut-Off Date (Class A Minimum CE Event), the principal distributions allow for amortization of all senior and subordinate bonds based on CE targets set at different levels for performing (same CE as at issuance) and nonperforming (higher CE than at issuance) loans. Each class' target principal balance is determined based on the CE targets and the performing and nonperforming (those that are 90 or more days MBA delinquent, in foreclosure and REO, and subject to a servicing modification within the prior 12 months) loan amounts. As such, the principal payments are paid on a pro rata basis, up to each class' target principal balance, so long as no loans in the pool are nonperforming. If the share of nonperforming loans grows, the corresponding CE target increases. Thus, the principal payment amount increases for the senior and senior subordinate classes and falls for the more subordinate bonds. The goal is to distribute the appropriate amount of principal to the senior and subordinate bonds each month, to always maintain the desired level of CE, based on the performing and nonperforming pool percentages. After the Class A Minimum CE Event, the principal distributions are made sequentially. Relative to the sequential pay structure, the modified pro rata structure is more sensitive to the timing of the projected defaults and losses as the losses may be applied at a time when the amount of credit support is reduced as the bonds' principal balances amortize over a life of the transaction. That said, the excess spread can be used to cover realized losses after being allocated to the unpaid net weighted average coupon shortfalls (Net WAC Rate Carryover Amounts). Please see the Cash Flow Structure and Features section of the related Presale Report for details. COMMERCIAL MORTGAGE-BACKED SECURITIES (CMBS) METHODOLOGY The collateral for the SBC portion of the pool consists of 223 individual loans secured by 223 commercial and multifamily properties with an average Cut-Off Date loan balance of $429,364. None of the mortgage loans are cross-collateralized or cross-defaulted with each other. Given the complexity of the structure and granularity of the pool, DBRS Morningstar applied its North American CMBS Multi-Borrower Rating Methodology (the CMBS Methodology). The loans have a fixed interest rate with a weighted average (WA) of 9.25%. This is nearly 100 basis points (bps) higher than the VCC 2022-4 transaction and about 245 bps higher than the interest rates of the VCC 2022-3, VCC 2022-2, and VCC 2022-1 transactions, highlighting the recent increase in interest rates. Most of the loans have original loan term lengths of 30 years and fully amortize over 30-year schedules. However, 10 loans, which represent 11.1% of the SBC pool, have an initial IO period ranging from 24 months to 120 months and then fully amortize over shortened 20- to 28-year schedules. The CMBS loans have a WA fixed interest rate of 10.53%. This is approximately 127 bps higher than the VCC 2022-5 transaction, 221 bps higher than the VCC 2022-4 transaction, and more than 360 bps higher than the interest rates of the VCC 2022-3, VCC 2022-2, and VCC 2022-1 transactions, highlighting the recent increase in interest rates. Most of the loans have original loan term lengths of 30 years and fully amortize over 30-year schedules. However, 13 loans, which represent 9.3% of the SBC pool, have an initial IO period ranging from 60 months to 120 months and then fully amortize over shortened 20- to 25-year schedules. Most SBC loans were originated between August 2022 and November 2022 (99.7% of cut-off pool balance), with one loan originated in September 2019 (0.3% of cut-off pool balance), resulting in a WA seasoning of 0.5 months. The SBC pool has a WA original term length of 360 months, or 30 years. Based on the current loan amount, which reflects approximately 5 bps of amortization, and the current appraised values, the SBC pool has a WA LTV of 63.2%. However, DBRS Morningstar made LTV adjustments to 29 loans that had an implied capitalization rate more than 200 bps lower than a set of minimal capitalization rates established by the DBRS Morningstar Market Rank. The DBRS Morningstar minimum capitalization rates range from 5.0% for properties in DBRS Morningstar Market Rank 8 to 8.0% for properties in DBRS Morningstar Market Rank 1. This resulted in a higher DBRS Morningstar LTV of 67.4%. Lastly, all loans fully amortize over their respective remaining terms, resulting in 100% expected amortization; this amount of amortization is greater than what is typical for CMBS conduit pools. DBRS Morningstar's research indicates that, for CMBS conduit transactions securitized between 2000 and 2021, average amortization by year has ranged between 6.5% and 22.0%, with a median rate of 16.5%. As contemplated and explained in DBRS Morningstar's Rating North American CMBS Interest-Only Certificates methodology, the most significant risk to an IO cash flow stream is term default risk. As DBRS Morningstar noted in the methodology, for a pool of approximately 63,000 CMBS loans that had fully cycled through to their maturity defaults, the average total default rate across all property types was approximately 17%, the refinance default rate was 6% (approximately one third of the total default rate), and the term default rate was approximately 11%. DBRS Morningstar recognizes the muted impact of refinance risk on IO certificates by notching the IO rating up by one notch from the Reference Obligation rating. When using the 10-year Idealized Default Table default probability to derive a probability of default (POD) for a CMBS bond from its rating, DBRS Morningstar estimates that, in general, a one-third reduction in the CMBS Reference Obligation POD maps to a tranche rating that is approximately one notch higher than the Reference Obligation or the Applicable Reference Obligation, whichever is appropriate. Therefore, similar logic regarding term default risk supported the rationale for DBRS Morningstar to reduce the POD in the CMBS Insight Model by one notch because refinance risk is largely absent for this SBC pool of loans. The DBRS Morningstar CMBS Insight Model does not contemplate the ability to prepay loans, which is generally seen as credit positive because a prepaid loan cannot default. The CMBS predictive model was calibrated using loans that have prepayment lockout features. Those loans' historical prepayment performance is close to a 0% conditional prepayment rate (CPR). If the CMBS predictive model had an expectation of prepayments, DBRS Morningstar would expect the default levels to be reduced. Any loan that prepays is removed from the pool and can no longer default. This collateral pool does not have any prepayment lockout features, and DBRS Morningstar expects this pool will have prepayments over the remainder of the transaction. To calculate a default rate prepayment haircut, DBRS Morningstar used Intex DealMaker to calculate a lifetime constant default rate (CDR) that approximated the default rate for each rating category. While applying the same lifetime CDR, DBRS Morningstar applied a 2.0% CPR. When holding the CDR constant and applying a 2.0% CPR, the cumulative default amount declined. The percentage change in the cumulative default before and after applying the prepayments, subject to a 10.0% maximum reduction, was then applied to the cumulative default assumption to calculate a fully adjusted cumulative default assumption. For the VCC 2023-1 transaction, DBRS Morningstar capped the reduction to 5%, reflecting DBRS Morningstar's opinion that, in a rising-interest-rate environment, fewer borrowers may elect to prepay their loan. As a result of higher interest rates and lending spreads, the SBC pool has a significant increase in interest rates compared with prior VCC transactions. Consequently, more than two thirds of the deal has less than a 1.0x Issuer net operating income DSCR, which is a larger composition than previous VCC transactions in 2022. Additionally, although the DBRS Morningstar CMBS Insight Model does not contemplate FICO scores, it is important to point out that the WA FICO score for the SBC loans of 708 is lower than prior transactions. With regard to the aforementioned concerns, DBRS Morningstar applied a 5% penalty to the fully adjusted cumulative default assumption to account for risks given these factors. A comparison of the subject deal with previous VCC securitizations is shown on page 10 of the related Presale Report. RESIDENTIAL MORTGAGE-BACKED SECURITIES (RMBS) METHODOLOGY The collateral pool consists of 472 mortgage loans with a total balance of approximately $144.6 million collateralized by one- to four-unit investment properties. Velocity underwrote the mortgage loans to No Ratio program guidelines for business-purpose loans. The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economics, available in its commentary: Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update, dated December 21, 2022. These baseline macroeconomic scenarios replace DBRS Morningstar's moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020. Notes: All figures are in U.S. dollars unless otherwise noted. VERUS SECURITIZATION 2023-1: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2023-1's mortgage-backed notes. The note issuance is an RMBS transaction backed by U.S. residential mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. S&P said, "Per our latest macroeconomic update, we continue to expect the U.S. will fall into recession in 2023. Recent indicators support our view, as rising prices and interest rates eat away at private-sector purchasing power. Indeed, of the leading indicators we track in our Business Cycle Barometer, only one of the nine indicators was in positive territory through October: Seven were negative and one was neutral. Although our 10-year/three-month term spread indicator remained neutral in September, daily readings have been inverted since Oct. 25, 2022. Moreover, both the 10-year/one-year and 10-year/two-year indicators have been inverted for, on average, three straight months, which signals a recession. The average 10-year/three-month indicator is headed for an inversion in November, with the average through Nov. 22, 2023 at -0.35%. If it's inverted for the second straight month, that would also be a recession signal. While economic momentum has protected the U.S. economy this year, what's around the bend in 2023 is the bigger worry. Extremely high prices and aggressive rate hikes will weigh on affordability and aggregate demand. With the Russia-Ukraine conflict ongoing, tensions over Taiwan escalating, and the China slowdown exacerbating supply-chain and pricing pressures, the U.S. economy appears to be teetering toward recession. As a result, we continue to maintain the revised outlook per the April 2020 update to the guidance of our RMBS criteria (which increased the archetypal 'B' projected foreclosure frequency to 3.25% from 2.50%)." Ratings Assigned Verus Securitization Trust 2023-1(i) Class A-1, $289,122,000: AAA (sf) Class A-2, $44,948,000: AA (sf) Class A-3, $60,497,000: A (sf) Class M-1, $34,257,000: BBB- (sf) Class B-1, $21,867,000: BB- (sf) Class B-2, $17,250,000: B- (sf) Class B-3, $17,979,266: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class DA, $4,740: Not rated Class R, not applicable: Not rated (i)The collateral and structural information reflect the private placement memorandum dated Jan. 11, 2023. The ratings address the ultimate payment of interest and principal; they do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. WACHOVIA BANK 2005-C21: S&P Lowers Class E Certs Rating to 'D(sf)' ------------------------------------------------------------------ S&P Global Ratings lowered its ratings on the class E certificates from Wachovia Bank Commercial Mortgage Trust2005-C21 and Morgan Stanley Capital I Trust 2005-HQ7, as well as the class A-J certificates from JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12 to 'D (sf)'. The rating actions are due to accumulated interest shortfalls, which S&P expects will remain outstanding for the foreseeable future. The interest shortfalls are primarily a result of one or more of the following factors: -- The lack of servicer advancing for loans or assets where the servicer has made nonrecoverable advance declarations; -- Interest rate modifications or deferrals, or both, related to corrected mortgage loans; and -- Special servicing fees. Servicer-nonrecoverable advance declarations and special servicing fees are likely, in S&P's view, to cause recurring interest shortfalls. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Wachovia Bank Commercial Mortgage Trust 2005-C21 The downgrade of the class E certificates reflects the accumulated interest shortfalls, which have been outstanding for five consecutive months and are expected to remain outstanding until the eventual resolution of the two remaining specially serviced assets, which make up 90.6% of the remaining asset pool balance. Per the special servicer, LNR Partners LLC, Phillips Lighting (55% of pool) is currently not listed for sale, and Taurus Pool (35.5% of pool) is currently being marketed for leases. According to the December 2022 trustee remittance report, the current monthly interest shortfalls totaled $205,116 and resulted primarily from interest not advanced due to nonrecoverable determination of the two underlying specially serviced assets and the special servicing fees. The current reported interest shortfalls have affected all classes subordinate to and including class E. Morgan Stanley Capital I Trust 2005-HQ7 The downgrade of the class E certificates reflects the accumulated interest shortfalls, which have been outstanding for 10 consecutive months and are expected to remain outstanding until the eventual resolution of the Crown Ridge at Fair Oaks real estate owned (REO) asset. The REO asset was transferred to the special servicer, Midland Loan Services, on Nov. 16, 2017, due to imminent maturity default. Midland has been working on improving tenancy at the property and stabilizing the asset before evaluating an REO sale. According to the December 2022 trustee remittance report, the current monthly interest shortfalls from the collateral totaled $152,757.88 and resulted primarily from interest not advanced due to nonrecoverable determination on the specially serviced asset and special servicing fees. The current reported interest shortfalls have affected all classes subordinate to and including class E. J.P. Morgan Chase Commercial Mortgage Securities Corp. 2007-LDP12 The downgrade of the class A-J certificates reflects the accumulated interest shortfalls, which have been outstanding for two consecutive months and are expected to remain outstanding until the eventual resolution of the Oheka Castle asset A-note (52.43% of pool) and B-note (12.87% of pool). Per the special servicer, LNR Partners LLC, foreclosure proceedings are currently underway. According to the December 2022 trustee remittance report, the current monthly interest shortfalls from the collateral totaled $148,525 and resulted primarily from interest not advanced due to nonrecoverable determination on the specially serviced asset, special servicing fees, and loan rate modification. Per the modification agreement dated July 12, 2013, the loan was split into an A-note ($22,750,000) and B-note ($7,042,384), and the interest rate on the A-note was retained at 6.60%, whereas the B-note interest rate was set to 0.00%. The current reported interest shortfalls have affected all classes subordinate to and including class A-J. Ratings List Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2005-C21 Class E to 'D (sf)' from 'CCC (sf)' Morgan Stanley Capital I Trust 2005-HQ7 Commercial mortgage pass-through certificates series 2005-HQ7 Class E to 'D (sf)' from 'CCC- (sf)' JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP12 Commercial mortgage pass-through certificates 2007-LDP12 Class A-J to 'D (sf)' from 'B- (sf)' WELLS FARGO 2019-C49: Fitch Lowers Rating on G-RR Debt to B-sf -------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 15 classes of Wells Fargo Commercial Mortgage Trust Pass-Through Certificates, series 2019-C49 (WFCM 2019-C49). Rating Outlooks for classes F-RR and G-RR remain Negative following the downgrades. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2019-C49 A-1 95001WAW8 LT AAAsf Affirmed AAAsf A-2 95001WAX6 LT AAAsf Affirmed AAAsf A-3 95001WAY4 LT AAAsf Affirmed AAAsf A-4 95001WBA5 LT AAAsf Affirmed AAAsf A-5 95001WBB3 LT AAAsf Affirmed AAAsf A-S 95001WBE7 LT AAAsf Affirmed AAAsf A-SB 95001WAZ1 LT AAAsf Affirmed AAAsf B 95001WBF4 LT AA-sf Affirmed AA-sf C 95001WBG2 LT A-sf Affirmed A-sf D 95001WAC2 LT BBB-sf Affirmed BBB-sf E-RR 95001WAE8 LT BBB-sf Affirmed BBB-sf F-RR 95001WAG3 LT BBsf Downgrade BB+sf G-RR 95001WAJ7 LT B-sf Downgrade Bsf H-RR 95001WAL2 LT CCCsf Affirmed CCCsf X-A 95001WBC1 LT AAAsf Affirmed AAAsf X-B 95001WBD9 LT A-sf Affirmed A-sf X-D 95001WAA6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Slight Increase in Loss Expectations: The downgrades reflect increased loss expectations since Fitch's prior rating action as a result of sustained performance declines for several loans. While performance improvements on larger multifamily and self-storage properties improved, loss expectations increased on Fitch Loans of Concern (FLOCs) in the top 15, namely the Residence Inn Denver City (6.2% of the pool), Shops at Trace Fork (5.3%), Nostrand Avenue Shopping Center (3.5%) and the Northchase Office Portfolio (2.6%). Fitch identified 18 loans (31.8% of the pool) as FLOCs, which includes three loans (3.1%) in special servicing. Fitch's current ratings incorporate a base case loss of 6.50%. The Negative Outlooks on classes F-RR and G-RR reflect the potential for further downgrades should performance of the FLOCs deteriorate further, additional loans transfer to special servicing, and/or if losses from the specially serviced loans become more imminent. Largest Fitch Loans of Concern: The largest FLOC and largest increase to loss expectations since Fitch's prior rating action is the Residence Inn Denver City Center loan (6.2% of the pool), which is secured by a 228-key extended stay hotel located in Denver, CO. The loan has begun to recover from its pandemic-related lows with the TTM September 2022 occupancy and NOI DSCR at 66.8% and 1.65x, respectively from 56.5% and 0.83x at YE 2021 and 42% and 0.32x at YE 2020. Despite the recovery, performance remains below pre-pandemic levels of 84% and 2.77x at YE 2019. The hotel remains relatively in-line with its competitive set with TTM September 2022 occupancy, ADR, and RevPAR of 103.6%, 91.8%, and 95.1%, respectively. Fitch's analysis is based off TTM September 2022 NOI, which amounted to a 12.6% modeled loss for the loan. The second largest FLOC is the Shops at Trace Fork (4.9%), which is secured by a 367,292-sf retail center located in Charlestown, WV. The largest tenants consist of Lowe's (36.8% of the NRA; July 2024), Dick's Sporting Goods (13.1%; January 2025), Best Buy (8.8%; January 2027), Marshall's (8.3%; March 2025) and Petsmart (7.3%; January 2026). Collateral occupancy has remained above 97% since issuance. The loan was identified as a FLOC due to declining effective gross income (EGI). The annualized YTD September 2022 EGI is about 24.5% below issuance levels. Per updates from the servicer, all tenants are current on rent. The loan maintained an NOI DSCR of 1.66x as of YTD September 2022 and 1.72x at YE 2021, which is down compared to pre-pandemic levels of 2.39x at YE 2019. Fitch's base case loss of 6.3% is based off a 5% stress to YE 2021 NOI. The largest contributor to losses is the Nostrand Avenue Shopping Center (3.5%) loan, which has sustained pandemic-related performance declines. The 81,000-sf retail center is located in Brooklyn, NY and is grocery-anchored by an Aldi (22.8% of the NRA; July 2023) with other major tenants including Blink Fitness (20.5%; June 2029), Rite Aid (15.3%; June 2024), Party City (12.3%; June 2032), and Lucky Enterprises (11.2%; July 2028). Gross potential rents declined during the pandemic due to non-payments from tenants. Per updates from the servicer, major tenants have been brought current on rent with some smaller tenants still delinquent. The YE 2021 NOI DSCR of 1.30x reflects a slight decline from 1.56x at issuance. YE 2021 performance increased from YE 2020 despite a decline in EGI for the year. Despite revenue declines, NOI improved due to real estate taxes declining over 60% relative to prior years. Per updates from the servicer, real estate taxes are expected to increase back to issuance levels. Fitch's analysis was based off the YE 2021 financials adjusted for an expected increase in real estate taxes and lower gross potential rents, which resulted in a 21.3% loss on the loan. Special Servicing: The largest loan in special servicing is Florissant Marketplace (1.6%), which is secured by a 146,257-sf retail property in Forissant, MO. The loan transferred to special servicing in July 2020 due to payment default after the second largest tenant, Gold's Gym (27.5% of the NRA) declared bankruptcy and subsequently vacated. Per the master servicer's watchlist commentary, the space is being actively marketed to tenants. Fitch's analysis incorporates a stress to the most recent servicer provided appraised value which resulted in a 49% loss on the loan. Minimal Changes to Credit Enhancement: Per the December 2022 remittance report, the transaction's balance has been reduced by 1.7% to $760.7 million from $774.2 million at issuance. No loans have been disposed of and four loans (5.2% of the pool) have been fully defeased. There are 24 loans (52% of the pool) that are full-term interest-only (IO); 17 loans (24.8%) that are currently amortizing; and 19 loans (23.2%) that are partial IO. Interest shortfalls totaling $946,595 are impacting the non-rated K-RR class. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to classes A-1, A-2, A-3, A-4, A-5, A-SB, A-S and X-A are not likely given their sufficient credit enhancement (CE) relative to expected losses and continued amortization, but may occur should interest shortfalls affect these classes or loss expectations increase considerably. Downgrades to classes B, C, D, E-RR, X-B and X-D may occur if expected losses for the pool increase significantly and/or if FLOCs experience further performance declines, which would erode CE. Downgrades to classes F-RR, G-RR and H-RR would occur with increased certainty of losses on specially serviced loans, continued underperformance of the FLOCs, and/or additional loans transfer to special servicing. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, particularly on the FLOCs and specially serviced loans, coupled with paydown and/or defeasance. Upgrades to classes B, C, D, E-RR, X-B and X-D would likely occur with significant improvement in CE and/or defeasance; however, adverse selection and increased concentrations or the underperformance of particular loans(s) could cause this trend to reverse. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes F-RR, G-RR and H-RR are considered unlikely and would be limited based on the potential for future concentration, significant performance improvement and substantially higher recoveries than expected on the FLOCs. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. WESTLAKE AUTOMOBILE 2023-1: DBRS Gives Prov. BB Rating on E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Westlake Automobile Receivables Trust 2023-1 (Westlake 2023-1 or the Issuer): -- $209,800,000 Class A-1 Notes at R-1 (high) (sf) -- Class A-2-A Notes at AAA (sf) * -- Class A-2-B Notes at AAA (sf) * -- $104,660,000 Class A-3 Notes at AAA (sf) -- $71,980,000 Class B Notes at AA (high) (sf) -- $115,170,000 Class C Notes at A (high) (sf) -- $94,130,000 Class D Notes at BBB (high) (sf) -- $54,260,000 Class E Notes at BB (sf) *The combination of the Class A-2-A and Class A-2-B Notes is expected to equal $350,000,000. The allocation of the principal amount between the Class A-2-A and Class A-2-B Notes will be determined at or before the time of pricing (subject to a maximum allocation of 50% to the Class A-2-B Notes) and may result in the principal amount of the Class A-2-B Notes being zero. The provisional ratings are based on DBRS Morningstar's review of the following analytical considerations: (1) Transaction capital structure, ratings, and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization (OC), subordination, amounts held in the reserve fund, and excess spread. Credit enhancement levels are sufficient to support the DBRS Morningstar-projected cumulative net loss (CNL) assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date for each class. (2) The DBRS Morningstar CNL assumption is 10.60% based on the expected pool composition. -- The transaction assumptions consider DBRS Morningstar's baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update," published on December 21, 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. (3) The Westlake 2023-1 Notes are exposed to interest risk because of the fixed-rate collateral and the variable interest rate borne by the Class A-2-B Notes. -- DBRS Morningstar ran interest rate stress scenarios to assess the effect on the transaction's performance and its ability to pay noteholders per the transaction's legal documents. -- DBRS Morningstar assumed two stressed interest rate environments for each rating category, which consist of increasing and declining forward interest rate paths for a 30-day average Secured Overnight Financing Rate based on the DBRS Morningstar Unified Interest Rate Tool. (4) The consistent operational history of Westlake Services, LLC (Westlake or the Company) and the strength of the overall Company and its management team. -- The Westlake senior management team has considerable experience and a successful track record within the auto finance industry. (5) The capabilities of Westlake with regard to originations, underwriting, and servicing. -- DBRS Morningstar performed an operational review of Westlake and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. (6) DBRS Morningstar used the static pool approach exclusively because Westlake has enough data to generate a sufficient amount of static pool projected losses. -- DBRS Morningstar was conservative in the loss forecast analysis performed on the static pool data. (7) The Company indicated that it is subject to various consumer claims and litigation seeking damages and statutory penalties. Some litigation against Westlake could take the form of class action complaints by consumers; however, the Company believes that it has taken prudent steps to address and mitigate the litigation risks associated with its business activities. (8) Computershare Trust Company, N.A. (rated BBB and R-2 (middle) with Stable trends by DBRS Morningstar) has served as a backup servicer for Westlake. (9) The legal structure and expected presence of legal opinions that will address the true sale of the assets to the Issuer, the nonconsolidation of the special-purpose vehicle with Westlake, that the trust has a valid first-priority security interest in the assets, and the consistency with DBRS Morningstar's "Legal Criteria for U.S. Structured Finance." The collateral securing the notes consists entirely of a pool of retail automobile contracts secured by predominantly used vehicles that typically have high mileage. The loans are primarily made to obligors who are categorized as subprime, largely because of their credit history and credit scores. Westlake is an independent full-service automotive financing and servicing company that provides (1) financing to borrowers who do not typically have access to prime credit-lending terms for the purchase of late-model vehicles and (2) refinancing of existing automotive financing. The ratings on the Class A-1, A-2-A, A-2-B, and A-3 Notes reflect 41.00% of initial hard credit enhancement provided by subordinated notes in the pool (30.30%), the reserve account (1.00%), and OC (9.70%). The ratings on the Class B, Class C, Class D, and Class E Notes reflect 34.50%, 24.10%, 15.60%, and 10.70% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. Notes: All figures are in U.S. dollars unless otherwise noted. [*] S&P Takes Various Actions on 68 Classes From 24 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 68 ratings from 24 U.S. RMBS transactions issued between 2001 and 2007. The review yielded 20 upgrades, six downgrades, 37 affirmations, and five withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3XBLJdW Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- Tail risk; -- Historical missed interest payments or interest shortfalls; and -- Reduced interest payments due to loan modifications Rating Actions The rating changes reflect S&P's view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. The upgrades primarily reflect the classes' increased credit support. Most of these transactions have failed their cumulative loss triggers, which resulted in a permanent sequential principal payment mechanism. This prevents credit support from eroding and limits the affected classes' exposure to losses. As a result, the upgrades reflect the classes' ability to withstand a higher level of projected losses than S&P's previously anticipated. In addition, most of these classes are receiving all of the principal payments or are next in the payment priority when the more senior class pays down. S&P said, "We raised one rating from one transaction by five notches, due to increased credit support. Class M-2 from RAAC Series 2006-SP3 Trust was raised to 'BB+ (sf)' from 'B- (sf)', and its credit support increased to 43.44% in December 2022 from 36.84% January 2022. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on five classes from two transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." [*] S&P Takes Various Actions on 69 Classes From 30 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 69 ratings from 30 U.S. RMBS transactions issued between 2003 and 2007. The review yielded 44 affirmations, six downgrades, seven upgrades, three discontinuances, and nine withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3J6ciEo Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends; -- An increase or decrease in available credit support; -- A small loan count; -- Tail risk; -- Payment priority; and -- Assessment of reduced interest payments due to loan modifications and other credit-related events. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our ratings on nine classes from six transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, its future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. 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