/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220227.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, February 27, 2022, Vol. 26, No. 57 Headlines 522 FUNDING 2019-5: S&P Assigns B- (sf) Rating on Class F Notes ACCESS GROUP 2007-1: Fitch Affirms B Rating on 4 Tranches AGL CLO 17: Moody's Assigns Ba3 Rating to $22.5MM Class E Notes AIMCO CLO 12: S&P Assigns BB- (sf) Rating on $16MM Class E-R Notes ANCHORAGE CAPITAL 25: Moody's Gives Ba3 Rating to $16.9MM E Notes APEX CREDIT 2020: S&P Affirms BB- (sf) Rating on Class E-2 Notes BANK 2022-BNK40: Fitch Assigns 'B-' Rating on 2 Tranches BBCMS MORTGAGE 2022-C14: Fitch Gives Final 'B-' Rating to J-RR Debt BENCHMARK 2020-B17: Fitch Affirms B- Rating on Class G-RR Certs COLT 2022-2: Fitch Assigns Final 'B' Rating on Class B2 Certs COMM 2014-CCRE17: Fitch Affirms 'CCC' Rating on 2 Tranches CROWN CITY II: S&P Assigns BB- (sf) Rating on Class D-R Notes CSMC 2022-ATH1: S&P Assigns B- (sf) Rating on Class B-2 Notes DRYDEN 98: S&P Assigns Prelim BB- (sf) Rating on Class E Notes DT AUTO 2022-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes EXETER AUTOMOBILE 2022-1: S&P Assigns BB (sf) Rating on E Notes FLAGSHIP CREDIT 2022-1: S&P Assigns BB- (sf) Rating on Cl. E Notes GS MORTGAGE 2022-NQM1: Fitch Gives B(EXP) Rating to B-5 Certs JP MORGAN 2022-2: Fitch Gives 'B(EXP)' Rating to Class B-5 Debt JP MORGAN 2022-LTV1: Fitch Gives 'B(EXP)' Rating to Class B-2 Debt MAGNETITE XXIV: Moody's Assigns Ba3 Rating to $24MM Cl. E-R Notes MORGAN STANLEY 2014-C15: Fitch Affirms 'BB-' Rating on Class F Debt NATIONSLINK 1999-LTL-1: Moody's Cuts Class X Certs Rating to Caa2 NEUBERGER BERMAN 34: S&P Assigns BB- (sf) Rating on Cl. E-R Notes NEW RESIDENTIAL 2022-NQM2: Fitch Gives 'B(EXP)' Rating on B-2 Notes OHA CREDIT 7: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes RCKT MORTGAGE 2022-2: Fitch Rates Class B-5 Certs 'B-' REGIONAL MANAGEMENT 2022-1: S&P Assigns BB(sf) Rating on D Notes SCF EQUIPMENT 2021-1: Moody's Raises Rating on Class F Notes to Ba2 SCF EQUIPMENT 2022-1: Moody's Assigns B2 Rating to Class F Notes SDART 2021-4: Moody's Hikes Rating on Class E Notes to B1 SLM PRIVATE 2003-B: Moody's Affirms B1 Rating on Class B Notes TCW CLO 2019-2: S&P Assigns BB- (sf) Rating on Class ER Notes TRAPEZA CDO IV: Fitch Withdraws 'D' Rating on Class E Notes UBS-CITIGROUP 2011-C1: Moody's Lowers Rating on Cl. C Certs to Caa1 WELLS FARGO 2012-C8: Fitch Affirms B- Rating on Class G Certs WELLS FARGO 2015-C30: Fitch Affirms B- Rating on Class F Certs WELLS FARGO 2016-BNK1: Fitch Affirms 'CC' Rating on 2 Tranches WELLS FARGO 2022-ONL: Moody's Assigns (P)B2 Rating to Cl. F Certs WIND RIVER 2019-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ********* 522 FUNDING 2019-5: S&P Assigns B- (sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes, and the new class X and F notes from 522 Funding CLO 2019-5 Ltd./522 Funding CLO 2019-5 LLC, a CLO originally issued in December 2019 that is managed by Morgan Stanley Eaton Vance CLO Manager LLC. At the same time, S&P withdrew its ratings on the original class A-1, B-1, B-2, C, D, and E notes following payment in full on the Feb. 23, 2022, refinancing date. S&P did not rate the class A-2 notes. The replacement notes will be issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R notes were issued at a spread over three-month secured overnight financing rate (SOFR), which replaced the spread over three-month LIBOR on the original notes. -- The current class A-1 and A-2 notes were replaced with the class A-R notes. -- The current class B-1 and B-2 notes were replaced with the class B-R notes. -- The replacement class B-R notes were issued at a floating spread, replacing the current floating spreads and fixed coupon on the class B-1 and B-2 notes, respectively. -- The stated maturity, reinvestment period, and non-call period were extended by two years. -- New class F subordinated notes were issued in connection with this refinancing. -- New class X notes were issued in connection with this refinancing. These notes are expected to be paid down using interest proceeds during eight payment dates beginning with the payment date in January 2024. -- Of the identified underlying collateral obligations, 98.26% have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 90.08% have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned 522 Funding CLO 2019-5 Ltd./522 Funding CLO 2019-5 LLC Class X, $4.50 million: AAA (sf) Class A-R, $274.50 million: AAA (sf) Class B-R, $67.50 million: AA (sf) Class C-R (deferrable), $27.00 million: A (sf) Class D-R (deferrable), $27.00 million: BBB- (sf) Class E-R (deferrable), $15.75 million: BB- (sf) Class F (deferrable), $5.00 million: B- (sf) Subordinated notes, $45.50 million: NR Ratings Withdrawn 522 Funding CLO 2019-5 Ltd./522 Funding CLO 2019-5 LLC Class A-1: to NR from 'AAA (sf)' Class B-1: to NR from 'AA (sf)' Class B-2: to NR from 'AA (sf)' Class C (deferrable): to NR from 'A (sf)' Class D (deferrable): to NR from 'BBB- (sf)' Class E (deferrable): to NR from 'BB- (sf)' NR-- Not rated. ACCESS GROUP 2007-1: Fitch Affirms B Rating on 4 Tranches --------------------------------------------------------- Fitch Ratings has affirmed the ratings of Access Group Inc Federal Student Loan Notes Series 2007-1. The Rating Outlooks remain Negative for all of the notes. DEBT RATING PRIOR ---- ------ ----- Access Group, Inc. - Federal Student Loan Notes, Series 2007-1 A-4 00432CDP3 LT Bsf Affirmed Bsf A-5 00432CDQ1 LT Bsf Affirmed Bsf B 00432CDR9 LT Bsf Affirmed Bsf C 00432CDS7 LT Bsf Affirmed Bsf KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Negative. Collateral Performance: Fitch maintained the sustainable constant default rate assumption at 2.1% and the sustainable constant prepayment rate assumption (voluntary and involuntary prepayments) at 11.0%. The base case default rate is 13.0%. Fitch applied the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case. The TTM levels of deferment and forbearance are approximately 2.2%, and 5.45% respectively and are used as the starting point in cash flow modelling. Any subsequent declines or increases in the above assumptions are modelled as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization and excess spread and, for the class A notes, subordination provided by the class B and class C notes. As of the January 2022 distribution, reported senior, senior subordinate and total parity are 114.5%, 105.7% and 100.25%, respectively. Liquidity support is provided by a capitalized interest account currently sized at approximately $1.77 million. The trust is releasing cash as total parity is 100.25%, the cash release threshold. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of Dec. 25, 2021, all trust student loans are indexed to either 91-day T-bill or one-month LIBOR and all notes are indexed to 3ML. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Operational Capabilities: Day-to-day servicing for the trust's entire portfolio is performed by Nelnet Inc., (Nelnet). Fitch believes Nelnet to be an acceptable servicer of FFELP student loans due to their long servicing history. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the Department of Education. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf' -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf' Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf' -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf' -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf' -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf' -- Remaining Term increase 50%: class A 'CCCsf'. class B 'CCCsf' Factors that could, individually or collectively, lead to positive rating action/upgrade: Credit Stress Sensitivity -- Default decrease 25%: class A-4 'Asf', class A-5 'Bsf'; class B and C 'Bsf' -- Basis Spread decrease 0.25%: class A-4 'BBsf'; class A-5 'Bsf', class B and C 'Bsf' Maturity Stress Sensitivity -- CPR increase 25%: class A-4 'AAAsf'; class A-5 'Bsf', class B and C 'Bsf' -- IBR usage decrease 25%: class A-4 'AAAsf', class A-5 'Bsf', class B and class C 'Bsf'. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. AGL CLO 17: Moody's Assigns Ba3 Rating to $22.5MM Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO notes issued by AGL CLO 17 Ltd. (the "Issuer"). Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$26,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$31,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$22,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) 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. AGL CLO 17 Ltd. 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 first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of permitted obligations; provided that no more than 3% of the portfolio may consist of permitted obligations that are senior secured bonds or senior secured notes. The portfolio is close to 100% ramped as of the closing date. AGL CLO Credit Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 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 "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2941 Weighted Average Spread (WAS): SOFR + 3.55% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 8.5 years Methodology Used for 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. AIMCO CLO 12: S&P Assigns BB- (sf) Rating on $16MM Class E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class X-R, A-R, B-R, C-R, D-R, E-R replacement notes from AIMCO CLO 12 Ltd./AIMCO CLO 12 LLC, a CLO originally issued in 2021 that is managed by Allstate Investment Management. At the same time, S&P withdrew its ratings on the original class X, A, B, C, D, and E notes following payment in full on the Feb. 17, 2022, refinancing date. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The non-call period was extended to Feb. 17, 2023. -- The class E required minimum overcollateralization and interest diversion test ratios were amended. -- No additional subordinated notes were issued on the refinancing date. -- The transaction has adopted benchmark replacement language and made updates to conform to current rating agency methodology. Replacement And Original Note Issuances Replacement notes Class X-R, $4.00 million: Three-month SOFR + 0.85% Class A-R, $256.00 million: Three-month SOFR + 1.17% Class B-R, $48.00 million: Three-month SOFR + 1.70% Class C-R, $24.00 million: Three-month SOFR + 2.05% Class D-R, $24.00 million: Three-month SOFR + 2.90% Class E-R, $16.00 million: Three-month SOFR + 6.10% Subordinated notes, $33.50 million: Not applicable Original notes Class X, $4.00 million: Three-month LIBOR + 1.00% Class A, $256.00 million: Three-month LIBOR + 1.21% Class B, $48.00 million: Three-month LIBOR + 1.55% Class C, $24.00 million: Three-month LIBOR + 2.15% Class D, $24.00 million: Three-month LIBOR + 3.40% Class E, $13.00 million: Three-month LIBOR + 6.75% Subordinated notes, $33.50 million: Not applicable SOFR--Secured overnight financing rate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned AIMCO CLO 12 Ltd./AIMCO CLO 12 LLC Class X-R, $4.00 million: AAA (sf) Class A-R, $256.00 million: AAA (sf) Class B-R, $48.00 million: AA (sf) Class C-R (deferrable), $24.00 million: A (sf)) Class D-R (deferrable), $24.00 million: BBB- (sf) Class E-R (deferrable), $16.00 million: BB- (sf) Subordinated notes, $33.50 million: NR Ratings Withdrawn AIMCO CLO 12 Ltd./AIMCO CLO 12 LLC Class X to NR from 'AAA (sf)' Class A to NR from 'AAA (sf)' Class B to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Outstanding Classes AIMCO CLO 12 Ltd./AIMCO CLO 12 LLC Subordinated notes: NR NR--Not rated. ANCHORAGE CAPITAL 25: Moody's Gives Ba3 Rating to $16.9MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO notes issued by Anchorage Capital CLO 25, Ltd. (the "Issuer"). Moody's rating action is as follows: US$240,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$16,900,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (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. Anchorage Capital CLO 25, Ltd. 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 first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, permitted non-loan assets. The portfolio is approximately 81% ramped as of the closing date. Anchorage Capital Group, L.L.C. (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 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: 60 Weighted Average Rating Factor (WARF): 3400 Weighted Average Spread (WAS): 3.75% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 8 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. APEX CREDIT 2020: S&P Affirms BB- (sf) Rating on Class E-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Apex Credit CLO 2020 Ltd./Apex Credit CLO 2020 LLC, a CLO originally issued in 2020 that is managed by Apex Credit Partners LLC. At the same time, S&P withdrew its ratings on the class A-1F, A-1N, A-2, B-1, B-F, C, and D notes following payment in full on the Feb. 17, 2022, refinancing date. S&P also affirmed its ratings on the class E-1 and E-2 notes, which were not refinanced. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture, the non-call period was extended to July 20, 2022. Replacement And Refinanced Note Issuances Replacement notes Class A-1-R, $198.25 million: Three-month SOFR + 1.23% Class A-2-R, $16.25 million: Three-month SOFR + 1.53% Class B-R, $32.50 million: Three-month SOFR + 1.90% Class C-R, $19.50 million: Three-month SOFR + 2.65% Class D-R, $16.25 million: Three-month SOFR + 3.95% Refinanced notes Class A-1F, $40.00 million: 1.95% Class A-1N, $158.25 million: Three-month LIBOR + 1.57% Class A-2, $16.25 million: Three-month LIBOR + 1.82% Class B-1, $21.50 million: Three-month LIBOR + 2.28% Class B-F, $11.00 million: 2.93% Class C, $19.50 million: Three-month LIBOR + 2.95% Class D, $16.25 million: Three-month LIBOR + 4.07% All or some of the notes issued by this CLO transaction contain stated interest at the Secured Overnight Financing Rate (SOFR) plus a fixed margin. At this time, the vast majority of the corporate loans are still paying a margin over LIBOR. They are expected to transition to a new rate by June 2023 when LIBOR settings will no longer be published. S&P will continue to monitor reference rate reform and take into account changes specific to this transaction and its underlying assets when appropriate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. These results incorporate a 10-basis-point adjustment to the spread of the LIBOR-based assets. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Assigned Apex Credit CLO 2020 Ltd./Apex Credit CLO 2020 LLC Class A-1-R, $198.25 million: AAA (sf) Class A-2-R, $16.25 million: AAA (sf) Class B-R, $32.50 million: AA (sf) Class C-R, $19.50 million: A (sf) Class D-R, $16.25 million: BBB- (sf) Ratings Withdrawn Apex Credit CLO 2020 Ltd./Apex Credit CLO 2020 LLC Class A-1F to NR from AAA (sf) Class A-1N to NR from AAA (sf) Class A-2 to NR from AAA (sf) Class B-1 to NR from AA (sf) Class B-F to NR from AA (sf) Class C to NR from A (sf) Class D to NR from BBB- (sf) Ratings Affirmed Apex Credit CLO 2020 Ltd./Apex Credit CLO 2020 LLC Class E-1: BB (sf) Class E-2: BB- (sf) Other Outstanding Ratings Apex Credit CLO 2020 Ltd./Apex Credit CLO 2020 LLC Subordinated notes: NR NR--Not rated. BANK 2022-BNK40: Fitch Assigns 'B-' Rating on 2 Tranches -------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK 2022-BNK40, commercial mortgage pass-through certificates, series 2022-BNK40 as follows: -- $11,750,000 class A-1 'AAAsf'; Outlook Stable; -- $6,857,000 class A-2 'AAAsf'; Outlook Stable; -- $20,730,000 class A-SB 'AAAsf'; Outlook Stable; -- $175,000,000ab class A-3 'AAAsf'; Outlook Stable; -- $0b class A-3-1 'AAAsf'; Outlook Stable; -- $0bc class A-3-X1 'AAAsf'; Outlook Stable; -- $0b class A-3-2 'AAAsf'; Outlook Stable; -- $0bc class A-3-X2 'AAAsf'; Outlook Stable; -- $565,923,000ab class A-4 'AAAsf'; Outlook Stable; -- $0b class A-4-1 'AAAsf'; Outlook Stable; -- $0bc class A-4-X1 'AAAsf'; Outlook Stable; -- $0b class A-4-2 'AAAsf'; Outlook Stable; -- $0bc class A-4-X2 'AAAsf'; Outlook Stable; -- $780,260,000c class X-A 'AAAsf'; Outlook Stable; -- $218,752,000c class X-B 'A-sf; Outlook Stable; -- $133,759,000b class A-S 'AAAsf'; Outlook Stable; -- $0b class A-S-1 'AAAsf'; Outlook Stable; -- $0bc class A-S-X1 'AAAsf'; Outlook Stable; -- $0b class A-S-2 'AAAsf'; Outlook Stable; -- $0bc class A-S-X2 'AAAsf'; Outlook Stable; -- $43,193,000b class B 'AA-sf'; Outlook Stable; -- $0b class B-1 'AA-sf'; Outlook Stable; -- $0bc class B-X1 'AA-sf'; Outlook Stable; -- $0b class B-2 'AA-sf'; Outlook Stable; -- $0bc class B-X2 'AA-sf'; Outlook Stable; -- $41,800,000b class C 'A-sf'; Outlook Stable; -- $0b class C-1 'A-sf'; Outlook Stable; -- $0bc class C-X1 'A-sf'; Outlook Stable; -- $0b class C-2 'A-sf'; Outlook Stable; -- $0bc class C-X2 'A-sf'; Outlook Stable; -- $45,979,000cd class X-D 'BBB-sf'; Outlook Stable; -- $23,687,000cd class X-F 'BB-sf'; Outlook Stable; -- $11,146,000cd class X-G 'B-sf'; Outlook Stable; -- $26,473,000d class D 'BBBsf'; Outlook Stable; -- $19,506,000d class E 'BBB-sf'; Outlook Stable; -- $23,687,000d class F 'BB-sf'; Outlook Stable; -- $11,146,000d class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $34,834,001cd class X-HJ; -- $11,147,000d class H; -- $23,687,001d class J; -- $58,666,211de RR Interest. (a) The initial certificate balances of classes A-3 and A-4 are unknown and expected to be $740,923,000 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-3 balance range is $0 to $350,000,000, and the expected class A-4 balance range is $390,923,000 to $740,923,000. Fitch's certificate balances for classes A-3 and A-4 are assumed at the midpoint of each range; (b) Exchangeable Certificates. The class A-3, class A-4, class A-S, class B and class C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates, and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the surrendered classes of certificates. The class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1, A-3-X1, A-3-2, and A-3-X2. The class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1, A-4-X1, A-4-2 and A-4-X2. The class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1, A-S-X1, A-S-2 and A-S-X2. The class B may be surrendered (or received) for the received (or surrendered) classes B-1, B-X1, B-2 and B-X2. The class C may be surrendered (or received) for the received (or surrendered) classes C-1, C-X1, C-2 and C-X2. The ratings of the exchangeable classes would reference the ratings of the associate referenced or original classes; (c) Notional amount and interest only; (d) Privately placed and pursuant to Rule 144A; (e) Represents the "eligible vertical interest" comprising 5.0% of the pool. The expected ratings are based on information provided by the issuer as of Feb. 18, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 70 loans secured by 102 commercial properties having an aggregate principal balance of $1,173,324,212 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, and National Cooperative Bank, N.A. The Master Servicers are expected to be Wells Fargo Bank, National Association and National Cooperative Bank, N.A., and the Special Servicers are expected to be CWCapital Asset Management LLC, and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sampled of the transaction's collateral, including site inspections on 33.5% if the loans by balance, cash flow analysis of 85.2% of the pool and asset summary reviews on 100% of the pool. Coronavirus Impact: The ongoing containment effort related to the coronavirus pandemic may have an adverse impact on near-term revenue (i.e. bad debt expense and rent relief) and operating expenses (i.e. sanitation costs) for some properties in the pool. Per the offering documents, all of the loans are current and are not subject to any ongoing forbearance requests. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: This transaction's leverage is lower than that of other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio (DSCR) of 1.70x is higher than the 2021 and 2020 averages of 1.38x and 1.32x, respectively. Additionally, the pool's Fitch loan to value (LTV) ratio of 93.2% is below the 2021 average of 103.3% and in line with the 2020 average of 99.6%. Excluding the co-operative (co-op) and the credit opinion loans, the pool's DSCR and LTV are 1.35x and 98.3%, respectively. The 2021 and 2020 averages excluding credit opinions and co-op loans are 1.30x/110.5% and 1.24x/111.3%, respectively. Investment-Grade Credit Opinions and Co-Op Loans: The pool includes four loans, representing 24.4% of the pool, that received investment-grade credit opinions; this falls between the 2021 and 2020 average credit opinion concentrations of 13.3% and 24.5%, respectively. Coliseum Park Cooperative (1.4% of the pool) received a credit opinion of 'AAAsf', 333 River Street (4.3% of the pool) received a credit opinion of 'BBBsf', and both 601 Lexington (9.4% of the pool) and Journal Square Tower 2 (9.4% of the pool) received credit opinions of 'BBB-sf'. The pool contains a total of 24 loans (including Coliseum Park Cooperative), representing 7.4% of the pool, that are secured by residential co-ops and exhibit leverage characteristics significantly lower than typical conduit loans. The weighted average (WA) Fitch DSCR and LTV for the co-op loans are 6.11x and 29.7%, respectively. Higher Pool Concentration: The pool's 10 largest loans represent 60.8% of its cutoff balance, which is above the 2021 and 2020 averages of 51.2% and 56.8%, respectively. The pool's Loan Concentration Index (LCI) is 485, higher than the 2021 and 2020 averages of 381 and 440, respectively. Property Type Concentrations. Loans secured by office, multifamily and retail properties comprise the largest concentrations of the pool at 36.7%, 34.1% and 16.3%, respectively. The office property concentration is in-line with the 2021 average of 36.5% and below the 2020 average of 41.2%. The concentration of loans secured by multifamily and co-operative properties (34.1%) is significantly greater than the 2021 and 2020 averages of 17.4% and 16.3%, respectively. The pool's retail concentration (16.3%) is below the 2021 average of 21.8% and in-line with the 2020 average of 16.3%. There are no hotel loans in the pool. Limited Amortization: Based on the scheduled loan balances at maturity, the pool is scheduled to pay down only 3.0%, which is below the respective 2021 and 2020 averages of 4.8% and 5.3%. Forty-three loans representing 81.5% of the pool are full-term IO, and an additional six loans representing 11.1% of the pool are partial IO. The percentage of full-term IO loans is significantly higher than the 2021 and 2020 averages of 70.5% and 67.7%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB-sf' / 'B-sf'; -- 10% NCF Decline: 'AAAsf' / 'AAsf' / 'A-sf' / 'BBB+sf' / 'BBB- sf' / 'BBsf' / 'Bsf'; -- 20% NCF Decline: 'AAsf' / 'Asf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / '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 in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB-sf' / 'B-sf'; -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'AA+sf' / 'AA- sf' / 'A-sf' / 'BBBsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BBCMS MORTGAGE 2022-C14: Fitch Gives Final 'B-' Rating to J-RR Debt ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BBCMS Mortgage Trust 2022-C14, commercial mortgage pass-through certificates, series 2022-C14 as follows: -- $35,259,000 class A-1 'AAAsf'; Outlook Stable; -- $99,000,000 class A-2 'AAAsf'; Outlook Stable; -- $46,212,000 class A-SB 'AAAsf'; Outlook Stable; -- $50,000,000 class A-3 'AAAsf'; Outlook Stable; -- $160,000,000a class A-4 'AAAsf'; Outlook Stable; -- $258,250,000a class A-5 'AAAsf'; Outlook Stable; -- $648,757,000b class X-A 'AAAsf'; Outlook Stable; -- $166,823,000b class X-B 'A-sf'; Outlook Stable; -- $97,314,000 class A-S 'AAAsf'; Outlook Stable; -- $41,706,000 class B 'AA-sf'; Outlook Stable; -- $27,803,000 class C 'A-sf'; Outlook Stable; -- $12,512,000bcd class X-D 'BBB+sf'; Outlook Stable; -- $12,512,000cd class D 'BBB+sf'; Outlook Stable; -- $21,085,000cde class E-RR 'BBBsf'; Outlook Stable; -- $17,377,000de class F-RR 'BBB-sf'; Outlook Stable; -- $10,427,000de class G-RR 'BB+sf'; Outlook Stable; -- $9,268,000de class H-RR 'BB-sf'; Outlook Stable; -- $9,268,000de class J-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $31,279,553de class K-RR. (a) Since Fitch published its expected ratings on Jan. 26, 2022, the balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial certificate balances of classes A-4 and A-5 were expected to be $418,250,000 in the aggregate, subject to a 5% variance. The final class balances for classes A-4 and A-5 are $160,000,000 and $258,250,000, respectively. (b) Notional amount and interest only. (c) Since Fitch published its expected ratings on Jan. 26, 2022, the balances for classes D and E-RR were finalized. At the time the expected ratings were published, the initial certificate balances of classes D and E-RR were expected to be $11,400,000 and $22,197,000, respectively. The final class balances for classes D and E-RR are $12,512,000 and $21,085,000, respectively. (d) Privately-placed and pursuant to Rule 144a. (e) Horizontal risk retention interest. The ratings are based on information provided by the issuer as of Feb. 23, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 57 loans secured by 83 commercial properties having an aggregate principal balance of $926,796,553 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., LMF Commercial, LLC, Societe Generale Financial Corporation, BSPRT CMBS Finance, LLC, UBS AG and Natixis Real Estate Capital LLC. The Master and Special Servicer is Midland Loan Services. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 22.0% of the loans by balance, cash flow analysis of 83.0% of the pool and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Leverage In line with Recent Transactions: The pool has average leverage compared with recent multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 102.7% is higher than the 2020 average of 99.6% and slightly lower than the 2021 average of 103.3%. Additionally, the pool's Fitch trust debt service coverage ratio of 1.22x is lower with the 2020 and 2021 averages of 1.32x and 1.38x, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 20.5% of the pool received an investment-grade credit opinion. 1888 Century Park East and The Summit, representing 7.6% and 5.4% of the pool, respectively, each received a standalone credit opinion of 'BBB-sf'. Coleman Highline Phase IV, representing 7.6% of the pool, received a standalone credit opinion of 'BBBsf'. This is below the 2020 average of 24.5% and above the 2021 average of 13.3%. Above Average Amortization: The pool contains 32 loans, totaling 62.8% of the cut-off balance, that are full-term IO for the entirety of their respective loan terms. This concentration of full-term IO loans is lower than the 2021 and 2020 averages of 70.5% and 67.7%, respectively. In addition, seven loans totaling 6.8% of the pool have a partial IO period. This results in a higher scheduled principal paydown of 9.2% of the pool balance by maturity, compared with average paydowns of 4.8% and 5.3% for 2021 and 2020, respectively. 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' / 'BBB-sf' / 'BB- sf' / 'B-sf'; -- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'Bsf' / 'CCCsf' / 'CCCsf'; -- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; -- 30% NCF Decline: 'BBB-sf' / 'BBsf' / '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 the same one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBB-sf' / 'BB- sf' / 'B-sf'; -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AAAsf' / 'Asf' / 'BBB+sf' / 'BBB-sf'. This section provides insight into the sensitivity of ratings when one assumption is modified, while holding others equal. For U.S. CMBS, the sensitivity reflects the impact of changes to property net cash flow (NCF) in up- and down-environments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. BENCHMARK 2020-B17: Fitch Affirms B- Rating on Class G-RR Certs --------------------------------------------------------------- Fitch Ratings has affirmed the ratings of 15 classes of Benchmark 2020-B17 Mortgage Trust, commercial mortgage pass-through certificates, series 2020-B17. DEBT RATING PRIOR ---- ------ ----- Benchmark 2020-B17 A-1 08162MAU2 LT AAAsf Affirmed AAAsf A-2 08162MAV0 LT AAAsf Affirmed AAAsf A-4 08162MAW8 LT AAAsf Affirmed AAAsf A-5 08162MAX6 LT AAAsf Affirmed AAAsf A-S 08162MBB3 LT AAAsf Affirmed AAAsf A-SB 08162MAY4 LT AAAsf Affirmed AAAsf B 08162MBC1 LT AA-sf Affirmed AA-sf C 08162MBD9 LT A-sf Affirmed A-sf D 08162MAC2 LT BBBsf Affirmed BBBsf E 08162MAE8 LT BBB-sf Affirmed BBB-sf F-RR 08162MAG3 LT BB-sf Affirmed BB-sf G-RR 08162MAJ7 LT B-sf Affirmed B-sf X-A 08162MAZ1 LT AAAsf Affirmed AAAsf X-B 08162MBA5 LT A-sf Affirmed A-sf X-D 08162MAA6 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Stable Loss Expectations: Loss expectations are in line with issuance. Four loans (14%) were flagged as Fitch Loans of Concern (FLOCs) primarily due to the impact of the coronavirus pandemic or loss of a large tenant; two loans (5.4%) are specially serviced. Fitch's current ratings reflect a base case loss of 3.25%. The largest FLOC, CBM Portfolio (5.3%), is secured by a portfolio of fifty-two Courtyard by Marriott hotels located across 25 states. The debt service coverage ratio (DSCR) of the portfolio was below 1.0x at YE 2020 due to declines in performance as result of the pandemic. The largest single state exposure at issuance was California (eight hotels, or 27.6% by Sept TTM 2019 NCF). No other state represented more than 6.2% of NCF. The top five states, California, Illinois, Florida, Colorado and Georgia, accounted for 50.1% of the portfolio by allocated mortgage loan amount and 51.1% as of the TTM September 2019 NCF. Fitch will continue to monitor performance as updated financials are received. The second largest FLOC, The Westin Book Cadillac (3.4%) is secured by a 453-room full-service hotel located in downtown Detroit, MI. The loan transferred to special servicing in August 2020, but is expected to return back to the master following a loan assumption and modification in December of 2021. Minimal Change to Credit Enhancement: As of the February 2022 distribution date, the pool's aggregate balance has been reduced by 0.1% to $942.1 million from $943.4million at issuance. Interest shortfalls ($136,000) are currently affecting non-rated class NR-RR. 27 loans (85.6% of the pool) are full-term interest-only, and six loans, representing 12.3% of the pool, are partial interest-only (two loans representing 3.6% have exited their interest only period). There have been no realized losses to date. Credit Opinion Loans: Eight loans representing 40% of the pool received credit opinions at issuance. Moffett Towers Buildings A, B & C (8.4% of the pool), 1633 Broadway (5.3%), 650 Madison Avenue (5.3%), CBM Portfolio (5.3%) and Bellagio Hotel (4.2%) received stand-alone credit opinions of 'BBB-sf'. 1501 Broadway (5.3%) and Stonemont Net Lease Portfolio (2.7%) received a stand-alone credit opinion of 'A-sf'. Kings Plaza (3.4%) received a stand-alone credit opinion of 'BBBsf'. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades would occur with an increase in pool-level losses from underperforming or specially serviced loans. Downgrades to the senior A-1, A-2, A-3, A-4, A-5, A-SB classes are not likely given their sufficient CE relative to expected losses and continued amortization but may occur if interest shortfalls occur or loss expectations increase considerably. Downgrades to classes A-S, B, C, D, X-A, X-B and X-D may occur should expected losses for the pool increase significantly and/or all loans susceptible to the coronavirus pandemic suffer losses. -- Downgrades to classes E, F-RR and G-RR would occur should loss expectations increase from continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize and/or loans default or 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, coupled with additional paydown and/or defeasance. -- Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance and/or performance stabilization of FLOCs and other properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. COLT 2022-2: Fitch Assigns Final 'B' Rating on Class B2 Certs ------------------------------------------------------------- Fitch Ratings assigns final ratings to the residential mortgage-backed certificates to be issued by COLT 2022-2 Mortgage Loan Trust (COLT 2022-2). DEBT RATING PRIOR ---- ------ ----- COLT 2022-2 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3A LT NRsf New Rating NR(EXP)sf B3B LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 590 loans with a total balance of approximately $411 million as of the cutoff date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P. All loans are currently, or will be, serviced by Select Portfolio Servicing, Inc. (SPS). KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.1% above a long-term sustainable level (vs. 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low 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 19.7% yoy nationally as of September 2021. Non-QM Credit Quality (Negative): The collateral consists of 590 loans, totaling $411 million, and seasoned approximately five months in aggregate (as calculated as the difference between origination date and cutoff date). Borrowers have a moderate credit profile (739 model FICO and 42% model debt to income ratio [DTI]) and leverage (79% sustainable loan to value ratio [LTV] and 71% combined LTV). The pool consists of 55.7% of loans where the borrower maintains a primary residence, while 44.3% comprise an investor property or second home. Additionally, 60.9% are non-qualified mortgage (non-QM) and less than 1% are qualified mortgage; for the remainder, the QM rule does not apply. Loan Documentation (Negative): Approximately 89.4% of the pool were underwritten to less than full documentation, and 52% were underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR Rule. Additionally, 33% are a debt service coverage ratio (DSCR) product which is available to real estate investors that are qualified on a cash flow or "no-ratio" basis, rather than DTI, and borrower income and employment are not verified. For DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 594bps relative to a fully documented loan in line with Appendix Q. This is mostly driven by the higher percentage of DSCR loans. Geographic Concentration (Negative): The collateral is heavily geographically concentrated. Approximately 58.1% of the loans in the pool are concentrated in California. The largest MSA concentration is in the Los Angeles MSA (34.1%), followed by the San Diego MSA (7.2%). As a result of the geographic concentration, Fitch increased its loss expectations by 125bps at the 'AAAsf' rating stress. Modified Sequential Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent P&I will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer, then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. New for COLT 2022-2 is a step-up coupon for class A-1. Beginning March 2026, the A-1 class is contractually due the lower of the fixed rate for the class plus 1.0% or the net weighted-average coupon (WAC) rate. This increases the P&I allocation for the A-1 class, and decreases the amount of excess spread available in the transaction. Excess Cash Flow (Positive): Although lower than prior transactions due to the higher bond coupons, the transaction benefits from a material amount of excess cash flow that provides benefit to the rated certificates before being paid out to class X certificates. The excess is available to pay timely interest and protect against realized losses. To the extent the collateral WAC and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit-neutral, as the modification would reduce the borrower's probability of default, resulting in a lower loss expectation. As a sensitivity to Fitch's rating stresses, Fitch took into account a WAC deterioration that varied by rating stress. The WAC cut was derived by assuming a 2.5% cut (based on the most common historical modification rate) on 40% (historical Alt-A modification percentage) of the performing loans. Although the WAC reduction stress is based on historical modification rates, Fitch did not include the WAC reduction stress in its testing of the delinquency trigger. Fitch viewed the WAC deterioration as more of a pre-emptive cut given the ongoing macroeconomic and regulatory environment. A portion of borrowers will likely be impaired but will not ultimately default due to modifications and reduced P&I. Furthermore, this approach had the largest impact on the back-loaded benchmark scenario. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area (MSA) level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.6% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's data layout format. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. COMM 2014-CCRE17: Fitch Affirms 'CCC' Rating on 2 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed 13 classes of COMM 2014-CCRE17 Mortgage Trust. DEBT RATING PRIOR ---- ------ ----- COMM 2014-CCRE17 A-4 12631DBA0 LT AAAsf Affirmed AAAsf A-5 12631DBB8 LT AAAsf Affirmed AAAsf A-M 12631DBD4 LT AAAsf Affirmed AAAsf A-SB 12631DAZ6 LT AAAsf Affirmed AAAsf B 12631DBE2 LT AA-sf Affirmed AA-sf C 12631DBG7 LT A-sf Affirmed A-sf D 12631DAG8 LT BBB-sf Affirmed BBB-sf E 12631DAJ2 LT B-sf Affirmed B-sf F 12631DAL7 LT CCCsf Affirmed CCCsf PEZ 12631DBF9 LT A-sf Affirmed A-sf X-A 12631DBC6 LT AAAsf Affirmed AAAsf X-B 12631DAA1 LT A-sf Affirmed A-sf X-C 12631DAC7 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect overall stable loss expectations for the pool since Fitch's prior rating action. Fitch's current ratings incorporate a base case loss of 10.10%. Although overall pool losses remain stable, loss expectations on the Cottonwood Mall loan have increased from the prior rating action, but are offset by the defeasance of three Fitch Loans of Concern (FLOCs) in the top 15, including Hyatt Place Austin Downtown, Silicon Valley Hotel Portfolio and Northeast Ohio Multifamily Portfolio (combined 12.3% of the pool). The Negative Outlooks factor in a potential outsized loss of 75% on the Cottonwood Mall loan, reflecting losses that could reach 11.70%. There are 16 FLOCs (16.1%), including four specially serviced loans (14.5%). Cottonwood Mall; Alternative Loss Consideration: The largest contributor to overall loss expectations and the largest increase in loss since the prior rating action is the Cottonwood Mall loan (9.9%), which is secured by a super-regional mall located in Albuquerque, NM. Fitch's base case loss of 59% incorporates a 20% cap rate and 20% haircut to the YE 2020 NOI, reflecting regional mall performance concerns, superior market competition, low in-line tenant sales, significant near-term lease rollover concerns and lack of sponsorship commitment. Fitch's analysis also included an additional sensitivity scenario that applied a potential outsized loss of 75% on the current loan balance, which implies a 33% cap rate and a 20% haircut on the YE 2020 NOI; this sensitivity scenario drove the Negative Outlooks. The loan transferred to special servicing twice; first in June 2020 for imminent default when the sponsor, Washington Prime Group (WPG), indicated they would be unable to continue funding debt service and operating expenses and again in June 2021 due to the sponsor's bankruptcy filing. WPG considers this mall a non-core asset and does not intend to retain ownership. The current workout strategy is to appoint a receiver that would help to maximize asset value by stabilizing leasing at the property. Non-collateral anchors include Dillard's, JCPenney and Conn's Home Plus, as well as a vacant box formerly occupied by Sears that closed in fall 2018 and is currently being marketed for sale or lease. The former non-collateral Macy's anchor box, which closed in June 2017, was purchased by the sponsor and redeveloped into three spaces for Mor Furniture for Less (opened October 2019), HomeLife Furniture (December 2018) and Hobby Lobby (November 2018). The largest collateral tenant is Regal Cinema (17.4% of collateral NRA leased through December 2026). Collateral occupancy was 92.2% as of the most recently provided rent roll from July 2021, compared with 91.8% in September 2020 and 88.6% in September 2019. The servicer indicated the borrower has been unresponsive to requests for updated financials. As of the July 2021 rent roll, upcoming lease rollover includes 33.7% of the collateral NRA in 2022, 14.6% in 2023 and 5% in 2024. An additional 10.5% of the collateral NRA are leases that expired in 2021. With the exception of Forever 21 (3.3%; January 2023) and Old Navy (3.6%; April 2023), no single tenant scheduled to roll through YE 2024 represents more than 2.3% of the collateral NRA. As of TTM July 2021, in-line sales for tenants occupying less than 10,000 sf were $271 psf, compared with $223 psf for TTM August 2020, $309 psf for TTM November 2019 and $296 psf for TTM August 2018. Regal Cinemas reported estimated sales of $323,647 per screen for TTM July 2021, compared with estimated sales of $404,157 per screen for TTM August 2020, actual sales of $376,769 per screen for TTM November 2019 and $405,296 per screen for TTM August 2018. The next largest contributor to losses is the specially serviced Crowne Plaza Houston River Oaks loan (2.5%), which is secured by a 354-key hotel property in Houston, TX. The loan transferred to special servicing in July 2020 for payment default after the borrower requested coronavirus relief. Prior to the pandemic, the hotel experienced significant cash flow declines since issuance from lower occupancy and ADR due to softness in the overall Houston hotel market and the contraction of the oil and gas industry. The hotel was closed for all of 2021 and reopened in January 2022. A receiver was appointed in May 2021 and reported significant deferred maintenance needing to be addressed prior to re-opening for business. The critical repairs were completed in December 2021. Per the special servicer, a receiver sale is likely during 2Q 2022. Fitch's loss expectation of 57% reflects a stressed value of $41,356 per key and is based on a discount to a servicer-provided December 2021 valuation for the property. Increased Credit Enhancement (CE): As of the February 2022 distribution date, the pool's principal balance has paid down by 22.7% to $922 million from $1.2 billion at issuance; realized losses to date have been de minimis (0.1% of original pool balance). Since Fitch's prior rating action, one loan (North Medical Center; $12.4 million) repaid at maturity in April 2021. Defeasance has increased to 25.6% of the pool (16 loans; $236 million) as of February 2022 from 12.1% (11 loans; $115 million) at the prior rating action. Interest shortfalls of approximately $1 million are currently affecting the non-rated class H. Three loans (30.9%) are full-term, interest-only and the remaining 45 loans (69.1%) are amortizing. Scheduled maturities include four loans (2.8%) in 2023 and 44 loans (97.2%) in 2024. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-SB through A-5, A-M and X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes B, C, PEZ and X-B are possible should expected losses for the pool increase significantly, all loans susceptible to the coronavirus pandemic suffer losses and the Cottonwood Mall loan experiences an outsized loss. -- Downgrades to classes D and E would occur should loss expectations increase due to a continued performance decline of the FLOCs, loans susceptible to the pandemic not stabilize, additional loans transfer to special servicing, specially serviced loans dispose at higher losses than expected and/or the Cottonwood Mall loan experiences an outsized loss. -- Further downgrades to class F would occur as losses are realized and/or become more certain. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C, PEZ and X-B would only occur with significant improvement in credit enhancement and/or defeasance and with the stabilization of performance on the FLOCs, particularly the Cottonwood Mall loan, and/or the properties affected by the coronavirus pandemic. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- An upgrade to class D is not likely until the later years in the transaction, and only if the performance of the remaining pool is stable and/or properties vulnerable to the pandemic return to pre-pandemic levels, and there is sufficient credit enhancement to the class. -- Classes E and F are unlikely to be upgraded absent significant performance improvement on the FLOCs, particularly on the Cottonwood Mall loan, and higher recoveries than expected on the specially serviced loans. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. CROWN CITY II: S&P Assigns BB- (sf) Rating on Class D-R Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R replacement notes from Crown City CLO II/Crown City CLO II LLC, a CLO originally issued in December 2020 that is managed by Western Asset Management Co. LLC. At the same time, S&P withdrew its ratings on the original class X, A-1a, A-1b, A-2, B-1, B-2, C, and D notes. The replacement notes were issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R notes were issued at a lower spread than the original notes. -- The replacement class A-1a-R, A-1b-R, A-2-R, B-R, C-R, and D-R notes were issued at a floating spread, replacing the current fixed coupon and floating spread. -- The stated maturity/reinvestment period was extended by five years, and the non-call period was extended by two years. -- The identified underlying collateral obligations all have credit ratings assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 93.63% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings. Replacement And Original Note Issuances Replacement notes Class A-1a-R, $213.50 million: Three-month SOFR + 1.34% Class A-1b-R, $7.00 million: Three-month SOFR + 1.60% Class A-2-R, $45.50 million: Three-month SOFR + 1.87% Class B-R (deferrable), $21.00 million: Three-month SOFR + 2.15% Class C-R (deferrable), $21.00 million: Three-month SOFR + 3.35% Class D-R (deferrable), $14.00 million: Three-month SOFR + 7.11% Subordinated notes, $35.00 million: Not rated Original notes Class X, $2.00 million: Three-month LIBOR + 0.75% Class A-1a, $210.00 million: Three-month LIBOR + 1.38% Class A-1b, $17.50 million: Three-month LIBOR + 1.60% Class A-2, $38.50 million: Three-month LIBOR + 1.75% Class B-1 (deferrable), $10.00 million: Three-month LIBOR + 2.50% Class B-2 (deferrable), $11.00 million: 3.177% Class C (deferrable), $21.00 million: Three-month LIBOR + 3.82% Class D (deferrable), $10.50 million: Three-month LIBOR + 7.17% Subordinated notes, $35.00 million: Not rated S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Crown City CLO II/Crown City CLO II LLC Class A-1a-R, $213.5 million: AAA (sf) Class A-1b-R, $7.0 million: AAA (sf) Class A-2-R, $45.5 million: AA (sf) Class B-R, $21.0 million: A (sf) Class C-R (deferrable), $21.0 million: BBB- (sf) Class D-R (deferrable), $14.0 million: BB- (sf) Subordinated notes, $35.0 million: NR Ratings Withdrawn Crown City CLO II/Crown City CLO II LLC Class A-1a to NR from 'AAA (sf)' Class A-2 to NR from 'AA (sf)' Class B-1 to NR from 'A (sf)' Class B-2 to NR from 'A (sf)' Class C (deferrable) to NR from 'BBB- (sf)' Class D (deferrable)to NR from 'BB- (sf)' NR--Not rated. CSMC 2022-ATH1: S&P Assigns B- (sf) Rating on Class B-2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to CSMC 2022-ATH1 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, and two- to four-family residential properties. The pool comprises 616 non-qualified mortgage/ability-to-repay (ATR)-compliant and ATR-exempt loans. The 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 transaction's geographic concentration; -- The transaction's mortgage originator, Athas Capital Group Inc.; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. Ratings Assigned CSMC 2022-ATH1 Trust Class A-1A, $125,168,000: AAA (sf) Class A-1B, $31,292,000: AAA (sf) Class A-1(ii), $156,460,000: AAA (sf) Class A-2, $18,614,000: AA (sf) Class A-3, $27,670,000: A (sf) Class M-1, $14,212,000: BBB (sf) Class B-1, $12,074,000: BB (sf) Class B-2, $11,948,000: B- (sf) Class B-3, $10,565,668: NR Class A-IO-S, notional(i): NR Class XS, notional(i): NR Class PT(ii), $251,543,668: NR Class R, not applicable: NR (i)The notional amount will equal the aggregate balance of the mortgage loans as of the first day of the related due period. (ii)Certain initial exchangeable notes are exchangeable for the exchangeable notes and vice versa. NR--Not rated. DRYDEN 98: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Dryden 98 CLO Ltd./Dryden 98 CLO LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PGIM Inc., a subsidiary of Prudential Financial Inc. The preliminary ratings are based on information as of Feb. 17, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Dryden 98 CLO Ltd./Dryden 98 CLO LLC Class A, $352.00 million: AAA (sf) Class B-1, $58.50 million: AA (sf) Class B-2, $7.50 million: AA (sf) Class C (deferrable), $33.00 million: A (sf) Class D (deferrable), $33.00 million: BBB- (sf) Class E (deferrable), $20.63 million: BB- (sf) Subordinated notes, $52.50 million: Not rated DT AUTO 2022-1: S&P Assigns Prelim BB (sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to DT Auto Owner Trust 2022-1's asset-backed notes series 2022-1. The note issuance is an ABS securitization backed by subprime auto loan receivables. The preliminary ratings are based on information as of Feb. 17, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- Credit support of 60.18%, 56.86%, 46.69%, 37.71%, and 33.37% for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.40x, 2.15x, 1.75x, 1.40x, and 1.25x coverage of S&P's expected net loss range of 24.25%-25.25% for the class A, B, C, D, and E notes, respectively. Credit enhancement also covers cumulative gross losses of approximately 86.0%, 81.2%, 71.8%, 58.0%, and 51.3% respectively, assuming a 30% recovery rate for the class A and B notes, and a 35% recovery rate for the class C, D, and E notes. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.40x our expected loss level), all else being equal, S&P's ratings will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- The collateral characteristics of the subprime pool being securitized, including a high percentage (approximately 73%) of obligors with higher payment frequencies (more than once a month). -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. Preliminary Ratings Assigned DT Auto Owner Trust 2022-1 Class A, $218.77 million: AAA (sf) Class B, $26.81 million: AA (sf) Class C, $54.26 million: A (sf) Class D, $67.35 million: BBB (sf) Class E, $29.17 million: BB (sf) EXETER AUTOMOBILE 2022-1: S&P Assigns BB (sf) Rating on E Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2022-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 58.33%, 50.41%, 41.37%, 32.07%, and 26.71% credit support for the class A (classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 3.05x, 2.60x, 2.10x, 1.60x, and 1.30x our 18.50%-19.50% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 89.74%, 77.56%, 66.19%, 51.32%, and 42.74%, respectively. -- S&P's expectation for timely interest and principal payments on the notes, based on stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario (1.60x our expected loss level), all else being equal, our ratings will be within the credit stability limits specified by section A.4 of the Appendix in "S&P Global Ratings Definitions," published Nov. 9, 2021. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2022-1 Class A-1, $98.00 million: A-1+ (sf) Class A-2, $202.32 million: AAA (sf) Class A-3, $110.29 million: AAA (sf) Class B, $127.29 million: AA (sf) Class C, $117.69 million: A (sf) Class D, $114.21 million: BBB (sf) Class E, $80.20 million: BB (sf) FLAGSHIP CREDIT 2022-1: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Flagship Credit Auto Trust 2022-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 41.38%, 35.61%, 27.60%, 21.79%, and 18.09% credit support (including 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 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x of S&P's 11.25%-11.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40.00%) of approximately 68.96%, 59.35%, 46.00%, 36.32%, and 30.15%, respectively. -- The hard credit enhancement in the form of subordination, overcollateralization, and a reserve account which increased to 1.85% from 1.00% at pricing, in addition to excess spread. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its '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 specified by section A.4 of the appendix contained in "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the assigned ratings. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. Ratings Assigned Flagship Credit Auto Trust 2022-1 Class A, $243.13 million: AAA (sf) Class B, $27.77 million: AA (sf) Class C, $37.09 million: A (sf) Class D, $26.72 million: BBB (sf) Class E, $15.12 million: BB- (sf) GS MORTGAGE 2022-NQM1: Fitch Gives B(EXP) Rating to B-5 Certs ------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-NQM1 (GSMBS 2022-NQM1). DEBT RATING ---- ------ GSMBS 2022-NQM1 A-1 LT AAA(EXP)sf Expected Rating A-1-X LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-X LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-15 LT AAA(EXP)sf Expected Rating A-15-X LT AAA(EXP)sf Expected Rating A-16 LT AAA(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating A-3-A LT AAA(EXP)sf Expected Rating A-3-X LT AAA(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-A LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-X LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-X LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-9 LT AAA(EXP)sf Expected Rating A-9-X LT AAA(EXP)sf Expected Rating A-X-1 LT AAA(EXP)sf Expected Rating B-1 LT A+(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-3 LT BBB(EXP)sf Expected Rating B-4 LT BB(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating RiskRETEN LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The transaction is expected to close on March 3, 2022. The certificates are supported by 527 nonprime residential mortgages with a total balance of approximately $341 million, as of the cutoff date. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.1% above a long-term sustainable level (versus 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low 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 19.7% yoy nationally as of September 2021. Heightened Risk of Interest Shortfalls (Negative): Given the collateral profile, limited advancing framework and structural considerations, the non-senior classes are at heightened risk of interest shortfalls which is incompatible with Fitch's 'AAAsf' and 'AAsf' ratings. Compared to most nonprime transactions, GSMBS 2022-NQM1 does not benefit from excess interest due to the presence of senior IO bonds. Further, the subordinate classes can only use their proportionate share of principal payments to prioritize potential interest shortfalls compared to other structures that would prioritize the second pay bond interest before senior principal. Given these vulnerabilities as well as observed performance through the coronavirus pandemic, Fitch tested the structure assuming no external advancing to ensure payment from internal liquidity. Based on this, second pay bonds with these structures and collateral profiles would likely require a material amount of credit enhancement or waterfall provisions to allow for timely interest consistent with a 'AAsf' rating. Nonprime Credit Quality (Negative): The collateral consists of 527 loans, totaling $341 million, and seasoned approximately nine months in aggregate (calculated as the difference between origination date and cutoff date). The borrowers have a strong credit profile (746 Fitch FICO and 35% debt to income, which takes into account converted debt service coverage ratio [DSCR] values) and moderate leverage (75% sLTV). The pool consists of 77.7% of loans where the borrower maintains a primary residence, while 22.3% is an investor property or second home. Additionally, 25.8% of the loans were originated through a retail channel. 3.4% are designated as QM loan, 80.3% are Non-QM and for the remainder ATR does not apply. Loan Documentation (Negative): Approximately 64.8% of the pool was underwritten to less than full documentation. 53.7% was underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the CFPB's Ability to Repay (ATR) Rule (Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 3.4% is an Asset Depletion product, and 6.8% is DSCR product. Limited Advancing (Mixed): The deal is structured to three months of servicer advances for delinquent principal and interest. The limited advancing reduces loss severities as there is a lower amount repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure side as there is limited liquidity in the event of large and extended delinquencies. Specifically, the B1 class while traditionally rated in the 'AAsf' range, is unable to be rated higher than 'A+sf' due to interest shortfall vulnerability. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 41.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor 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 of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on a credit, compliance and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: -- A 5% PD credit was applied at the loan level as all of the grades were either 'A' or 'B' with the exception of the loans reviewed by Consolidated Analytics as Fitch's review of them has been expired close to a year. -- This resulted in a 37bps reduction to the 'AAAsf' expected loss. 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. JP MORGAN 2022-2: Fitch Gives 'B(EXP)' Rating to Class B-5 Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2022-2 (JPMMT 2022-2). DEBT RATING ---- ------ JPMMT 2022-2 A-1 LT AA+(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-4-A LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-5-A LT AAA(EXP)sf Expected Rating A-5-B LT AAA(EXP)sf Expected Rating A-5-C LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6-A LT AAA(EXP)sf Expected Rating A-7 LT AAA(EXP)sf Expected Rating A-7-A LT AAA(EXP)sf Expected Rating A-7-B LT AAA(EXP)sf Expected Rating A-7-C LT AAA(EXP)sf Expected Rating A-8 LT AAA(EXP)sf Expected Rating A-8-A LT AAA(EXP)sf Expected Rating A-9-A LT AAA(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-11 LT AAA(EXP)sf Expected Rating A-11-X LT AAA(EXP)sf Expected Rating A-11-A LT AAA(EXP)sf Expected Rating A-11-AI LT AAA(EXP)sf Expected Rating A-11-B LT AAA(EXP)sf Expected Rating A-11-BI LT AAA(EXP)sf Expected Rating A-11-C LT AAA(EXP)sf Expected Rating A-11-CI LT AAA(EXP)sf Expected Rating A-12 LT AAA(EXP)sf Expected Rating A-12-A LT AAA(EXP)sf Expected Rating A-13 LT AAA(EXP)sf Expected Rating A-13-A LT AAA(EXP)sf Expected Rating A-14 LT AAA(EXP)sf Expected Rating A-14-A LT AAA(EXP)sf Expected Rating A-15-A LT AAA(EXP)sf Expected Rating A-16-A LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-17-X LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-18-X LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-20-X LT AAA(EXP)sf Expected Rating A-21 LT AAA(EXP)sf Expected Rating A-21-X LT AAA(EXP)sf Expected Rating A-22 LT AAA(EXP)sf Expected Rating A-22-X LT AAA(EXP)sf Expected Rating A-23 LT AAA(EXP)sf Expected Rating A-23-X LT AAA(EXP)sf Expected Rating A-24 LT AAA(EXP)sf Expected Rating A-24-X LT AAA(EXP)sf Expected Rating A-25 LT AA+(EXP)sf Expected Rating A-25-A LT AA+(EXP)sf Expected Rating A-26 LT AA+(EXP)sf Expected Rating A-26-A LT AA+(EXP)sf Expected Rating A-27 LT AA+(EXP)sf Expected Rating A-27-A LT AA+(EXP)sf Expected Rating A-27-B LT AA+(EXP)sf Expected Rating A-X-1 LT AA+(EXP)sf Expected Rating A-X-4 LT AA+(EXP)sf Expected Rating A-X-4-A LT AA+(EXP)sf Expected Rating A-X-4-B LT AA+(EXP)sf Expected Rating B-1 LT AA-(EXP)sf Expected Rating B-1-A LT AA-(EXP)sf Expected Rating B-1-X LT AA-(EXP)sf Expected Rating B-2 LT A-(EXP)sf Expected Rating B-2-A LT A-(EXP)sf Expected Rating B-2-X LT A-(EXP)sf Expected Rating B-3 LT BBB-(EXP)sf Expected Rating B-4 LT BB-(EXP)sf Expected Rating B-5 LT B(EXP)sf Expected Rating B-6 LT NR(EXP)sf Expected Rating FB LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2022-2 (JPMMT 2022-2) as indicated above. The certificates are supported by 1,226 loans with a total balance of approximately $1.224 billion as of the cutoff date. The pool consists of prime-quality fixed-rate mortgages from various mortgage originators. NewRez LLC f/k/a New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will act as interim servicer for approximately 27.8% of the pool from the closing date until the servicing transfer date, which is expected to occur on or about April 1, 2022. After the servicing transfer date, these Mortgage Loans will be serviced by JPMorgan Chase Bank, National Association (JPMCB). Since JPMCB will be servicing these loans after the transfer date, Fitch performed its analysis assuming JPMCB as the servicer for these loans. Other servicers in the transaction include United Wholesale Mortgage, LLC, and loanDepot.com, LLC. Nationstar Mortgage LLC (Nationstar) will be the master servicer. All the loans qualify as safe-harbor qualified mortgage (SHQM), agency SHQM, or QM safe-harbor (average prime offer rate [APOR]) loans. There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate based off the net weighted average coupon (WAC) or floating/inverse floating rate based off the SOFR index, and capped at the net WAC. This is the 10th Fitch-rated JPMMT transaction using SOFR as the index rate for floating/inverse floating-rate certificates. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.4% above a long-term sustainable level (versus 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is the result of a supply/demand imbalance driven by low inventory, low 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 19.7% yoy nationally as of September 2021. High-Quality Mortgage Pool (Positive): The pool consists of very high-quality, fixed-rate fully amortizing loans with maturities of up to 30 years. All the loans qualify as SHQM, agency SHQM or QM safe-harbor (APOR) loans. The loans were made to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned at an average of five months, according to Fitch (three months per the transaction documents). The pool has a weighted average (WA) original FICO score of 767 (as determined by Fitch), which is indicative of very high credit-quality borrowers. Approximately 72.6% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan to value (CLTV) ratio of 71.5%, translating to a sustainable loan to value (sLTV) ratio of 79.8%, represents substantial borrower equity in the property and reduced default risk. A 96.6% portion of the pool comprises non-conforming loans, while the remaining 3.4% represents conforming loans. All the loans are designated as QM loans, with 46.8% of the pool being originated by a retail and correspondent channel. The pool comprises approximately 88.7% of loans where the borrower maintains a primary residence, while 11.3% of the loans represent second homes. Single-family homes and planned unit developments (PUDs) constitute 93.3% of the pool, condominiums make up 5.3% and multifamily homes make up 1.4%. The pool is comprised of loans with the following loan purpose: purchases (approximately 56.8%), cash-out refinances (approximately 25.7%) and rate-term refinances (approximately 17.6%). A total of 543 loans in the pool are over $1 million, and the largest loan is $3.00 million. Fitch determined that 20 of the loans were made to nonpermanent residents. Geographic Concentration (Negative): Approximately 49.5% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (18.8%), followed by the San Francisco-Oakland-Fremont, CA MSA (9.7%) and the San Diego-Carlsbad-San Marcos, CA MSA (5.4%). The top three MSAs account for 34% of the pool. As a result, there was a 0.02% penalty for geographic concentration. Shifting-Interest Structure with Full Advancing (Mixed): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps to maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. The servicers will provide full advancing for the life of the transaction (each servicer is expected to advance delinquent P&I on loans that enter into a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level loss severity (LS) since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to do so. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. CE Floor (Positive): A CE or senior subordination floor of 0.65% has been considered to mitigate potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Additionally, a junior subordination floor of 0.45% has been considered to mitigate potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Digital Risk, Consolidated Analytics, Inglet Blair, and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. 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. JP MORGAN 2022-LTV1: Fitch Gives 'B(EXP)' Rating to Class B-2 Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2022-LTV1 (JPMMT 2022-LTV1). DEBT RATING ---- ------ JPMMT 2022-LTV1 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA-(EXP)sf Expected Rating A-3 LT A-(EXP)sf Expected Rating M-1 LT BBB-(EXP)sf Expected Rating B-1 LT BB-(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating XS LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch Ratings expects to rate the residential mortgage-backed certificates issued by J.P. Morgan Mortgage Trust 2022-LTV1 (JPMMT 2022-LTV1) as indicated above. The certificates are supported by 558 loans with a total balance of approximately $535.2 million as of the cut-off date. The pool consists of prime-quality, high loan to value (LTV) fixed-rate mortgages (FRMs) from various mortgage originators. Servicers in the transaction include United Wholesale Mortgage, LLC, JPMorgan Chase Bank (JPMCB), loanDepot.com. LLC and various others who will provide interim servicing until the April 1, 2022 servicing transfer date (JPMCB will take over the servicing after the servicing transfer date, as such the analysis considered that JPMCB was the servicer for these loans). Nationstar Mortgage LLC (Nationstar) will be the master servicer. All the loans qualify as safe-harbor qualified mortgage (SHQM), agency SHQM, rebuttable presumption QM, QM safe-harbor (average prime offer rate [APOR]), or rebuttable presumption QM (APOR) loans. There is no exposure to Libor in this transaction. The collateral comprises 100% fixed-rate loans, and the certificates are fixed rate or based on the net WAC. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.2% above a long-term sustainable level (versus 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low 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 19.7% yoy nationally as of September 2021. High-Quality Mortgage Pool (Positive): The pool consists of high-quality, fixed-rate fully amortizing loans with maturities of up to 30 years. All the loans qualify as SHQM, agency SHQM, rebuttable presumption QM, QM safe-harbor (APOR) or rebuttable presumption QM (APOR) loans. The loans were made to borrowers with high LTVs, strong credit profiles, relatively low debt to income (DTI) ratios and moderate liquid reserves. The loans are seasoned at an average of six months, according to Fitch (four months per the transaction documents). The pool has a weighted average (WA) original FICO score of 758 (as determined by Fitch), which is indicative of very high credit-quality borrowers. Approximately 63.7% (as determined by Fitch) of the loans have a borrower with an original FICO score equal to or above 750. In addition, the original WA combined loan to value (CLTV) ratio of 88.0%, that translates to a sustainable loan to value (sLTV) ratio of 97.1%. A 99.6% portion of the pool comprises nonconforming loans, while the remaining 0.4% represents conforming loans and 64.8% of the pool has been originated by a retail and correspondent channel. The pool consists of 86.0% of loans where the borrower maintains a primary residence, while 14.0% comprise second homes. Single-family homes and planned unit developments (PUDs) constitute 89.2% of the pool, condominiums make up 10.3%, and multifamily homes make up 0.5%. Of the pool, cash-out refinances constitute 5.5%, purchases 88.3% and rate-term refinances 6.1%. A total of 207 loans in the pool are over $1 million, and the largest loan is $2.88 million. Fitch determined that eight of the loans were made to nonpermanent residents. Approximately 47.2% of the pool is concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (17.0%), followed by the San Francisco-Oakland-Fremont, CA MSA (8.7%) and the San Diego-Carlsbad-San Marcos, CA MSA (6.3%). The top three MSAs account for 32% of the pool. As a result, there was no probability of default (PD) penalty for geographic concentration. High LTVs (Negative): The pool's original LTV is 88.0%, which translates into an sLTV of 97.1%. 92.9% of the pool had an original LTV over 80%, and the MTM CLTV over 80% is 87.2%. As a result, a majority of loans in the pool are highly leveraged, and the borrowers have limited equity in the home. Fitch increased both the PD and loss severity (LS) for loans with higher LTVs. Mitigating the high LTVs, is the relatively high FICOs of borrowers have in the pool. The weighted average (WA) FICO according to Fitch is 758, with over 63.7% of borrowers have a FICO equal to or above 750. In addition, the WA DTI ratio is 35.4%, which is in line with DTIs seen in non-high LTV loans. Full Advancing (Mixed): The servicers will provide full advancing for the life of the transaction (each servicer is expected to advance delinquent P&I on loans that enter into a coronavirus forbearance plan). Although full P&I advancing will provide liquidity to the certificates, it will also increase the loan-level LS since the servicer looks to recoup P&I advances from liquidation proceeds, which results in less recoveries. Nationstar is the master servicer and will advance if the servicer is unable to advance. If the master servicer is unable to advance, then the securities administrator (Citibank) will advance. Modified Sequential-Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding the subordinate and mezzanine bonds from principal until all three classes are reduced to zero. Should either a cumulative loss trigger event, or delinquency trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 bonds until they are reduced to zero. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. -- This defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model-projected 42.3% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analyses was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool, as well as lower MVDs, illustrated by a gain in home prices. -- This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up- and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." SitusAMC, Clayton, Digital Risk, Consolidated Analytics, Inglet Blair, and Opus were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Refer to the "Third-Party Due Diligence" section for more detail. Fitch also utilized data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan level information based on the ResiPLS data layout format, and the data are considered comprehensive. The data contained in the ResiPLS layout data tape were reviewed by the due diligence companies, and no material discrepancies were noted. 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. MAGNETITE XXIV: Moody's Assigns Ba3 Rating to $24MM Cl. E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by Magnetite XXIV, Limited (the "Issuer"). Moody's rating action is as follows: US$6,000,000 Class X Senior Secured Floating Rate Notes Due 2035, Assigned Aaa (sf) US$384,000,000 Class A-R Senior Secured Floating Rate Notes Due 2035, Assigned Aaa (sf) US$24,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes Due 2035, Assigned Ba3 (sf) 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. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must of consist senior secured loans (excluding first lien last out loans), cash and eligible investments, and up to 10.0% of the portfolio may consist of second-lien loans, unsecured loans and bonds, and first lien last out loans. BlackRock Financial Management, Inc. (the "Manager") will continue to 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 issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels; changes to Libor replacement provisions; additions to the CLO's ability to hold workout and restructured assets; changes to the definition of "Adjusted Weighted Average Rating Factor" and changes to the base matrix and modifiers. 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. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $600,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2907 Weighted Average Spread (WAS): SOFR + 3.30% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8 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 Refinancing Notes is subject to uncertainty. The performance of the Refinancing 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 Refinancing Notes. MORGAN STANLEY 2014-C15: Fitch Affirms 'BB-' Rating on Class F Debt ------------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15. In addition, Fitch has revised the Rating Outlooks on classes B, C, D, E, F, X-B and PST to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 A-3 61763KAZ7 LT AAAsf Affirmed AAAsf A-4 61763KBA1 LT AAAsf Affirmed AAAsf A-S 61763KBC7 LT AAAsf Affirmed AAAsf A-SB 61763KAY0 LT AAAsf Affirmed AAAsf B 61763KBD5 LT AAsf Affirmed AAsf C 61763KBF0 LT Asf Affirmed Asf D 61763KAE4 LT BBB-sf Affirmed BBB-sf E 61763KAG9 LT BB+sf Affirmed BB+sf F 61763KAJ3 LT BB-sf Affirmed BB-sf PST 61763KBE3 LT Asf Affirmed Asf X-A 61763KBB9 LT AAAsf Affirmed AAAsf X-B 61763KAA2 LT AAsf Affirmed AAsf KEY RATING DRIVERS Improved Loss Expectations: The Rating Outlook revisions reflect lower loss expectations on the overall pool due to continued performance stabilization of loans affected by the pandemic, in particular, Arundel Mills & Marketplace (FLOC, 17.9%). Fitch's current ratings reflect a base case loss of 3.5%. Nine loans (48.1% of pool) are Fitch Loans of Concern (FLOCs), including one specially serviced loan (0.4%). Seven of these loans were flagged due to high vacancy, upcoming rollover concerns and/or pandemic-related underperformance. Arundel Mills & Marketplace (FLOC, 17.9%) is secured by a super-regional mall, and an adjacent one-story, anchored shopping center located in Hanover, MD. Major anchor tenants at the Arundel Mills property include Bass Pro Shops Outdoor (9.9% of NRA, lease expires Oct. 2026), Cinemark Theatres (8.3%, Dec. 2025), Burlington (6.3%, January 2026), Best Buy (3.6%, January 2022) and T.J. Maxx (2.6%, January 2026). Anchor tenants at the Marketplace property include Aldi (32.6%, 2033), Michael's (23.5%, March 2023), Staples (20.1%, January 2021), PetSmart (18.7%, 2023) and Mattress Warehouse (5.1%, March 2023). Subject performance has remained stable during the coronavirus pandemic. YE 2020 NOI was $48.6 million compared with $52.7 million as of YE 2019 NOI and underwritten NOI of $49.5 million. Subject occupancy was 92.3% as of September 2021. Per the August 2020 tenant sales report, 2020 comparable in-line sales for tenants occupying less than 10,000 sf were $343 and projected through 2021 is $593 compared with $472 psf at November 2017, $486 psf in 2016 and $462 at issuance. Fitch's loss expectation of approximately 5% reflects a total 10% haircut to YE 2020 NOI and a 12.5% cap rate to reflect regional mall nature of the collateral, near-term lease rollover and volatility associated with the casino component/gaming revenue. Alternative Loss Consideration: As of the January 2022 reporting period, there were 38 loans remaining in the pool, and the top-five loans represent 55.7% of outstanding pool balance. Due to the concentration of the pool, Fitch performed a look-through analysis in addition to its base case scenario, which grouped the remaining loans based on the likelihood of repayment. The affirmations of classes B and C reflects a scenario in which the Arundel Mills & Marketplace (FLOC, 17.09%) and La Concha Hotel & Tower (FLOC, 8.9%) are the only remaining loans in the pool. In this scenario, approximately $90.0 million would need to be recovered from these loans to pay classes B and C in full. Improved Credit Enhancement: As of the January 2022 payment date, the pool's aggregate principal balance has paid down by 22.5% to $837.6 million from $1.080 billion at issuance. Eight loans comprising 10.6% of the pool have been fully defeased. No loans mature until 2023. Of the remaining pool balance, three loans comprising 21.2% of the pool are classified as full interest-only through the term of the loan. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes A-1 through A-S and the interest-only classes X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls occur. -- Downgrades to classes B, C, D, X-B and PST are possible should performance of the FLOCs continue to decline; should loans susceptible to the coronavirus pandemic not stabilize; and/or should further loans transfer to special servicing. Classes E and F could be downgraded should the specially serviced loan not return to the master servicer and/or as there is more certainty of loss expectations from other FLOCs. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'AAsf' or 'Asf' rated classes would only occur with significant improvement in CE and/or defeasance of loans which Fitch is concerned about refinancing, particularly the Arundel Mills & Marketplace, La Concha Hotel and Tower and America's Mart. -- An upgrade of the 'BBB-sf' class is considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. An upgrade to the 'BB+sf' and 'BB-sf' rated classes is not likely unless the performance of the remaining pool stabilizes and the senior classes pay off. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. NATIONSLINK 1999-LTL-1: Moody's Cuts Class X Certs Rating to Caa2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating on one interest only (IO) class of NationsLink Funding Corporation 1999-LTL-1: Cl. X, Downgraded to Caa2 (sf); previously on Jun 7, 2021 Downgraded to B3 (sf) RATINGS RATIONALE The rating on the IO class, Cl. X, was downgraded due to the principal paydowns of its higher quality referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction. The IO Class references the remaining P&I classes, Cl. F and Cl. G, which are not rated by Moody's. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in this rating were "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in June 2020. DEAL PERFORMANCE As of the January 24, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $5.2 million from $492 million at securitization. The Certificates are currently 100% collateralized by a Credit Tenant Lease (CTL) component that includes 10 loans ranging in size from 1% to 17% of the pool. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $1.2 million (22% loss severity on average). No loans are currently in special servicing nor on the servicer's watchlist. The CTL component consists of 10 loans, secured by properties leased to five tenants. The largest exposure is Winn-Dixie (prior name Kash n' Karry) ($2.4 million -- 46.5% of the pool). Four of the tenants have a Moody's rating. The bottom-dollar weighted average rating factor (WARF) for this pool is 3,769. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of the default probability within the pool. NEUBERGER BERMAN 34: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1R, A-1F, A-2R, B-R, C-R, D-R, and E-R replacement notes from Neuberger Berman Loan Advisers CLO 34 Ltd./Neuberger Berman Loan Advisers CLO 34 LLC, a CLO originally issued in 2019 that is managed by Neuberger Berman Loan Advisers LLC. At the same time, we withdrew our ratings on the A-1, A-2, B-1, B-2, C-1, C-2, D, and E notes following payment in full on the Feb. 18, 2022, refinancing date. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The non-call period was extended to April 20, 2023, and -- The stated maturity was extended to Jan. 20, 2035. Replacement And Refinanced Note Issuances Replacement notes Class A-1R, $289.00 million: Three-month SOFR + 1.24% Class A-1F, $21.00 million: 2.739% Class A-2R, $10.00 million: Three-month SOFR + 1.54% Class B-R, $60.00 million: Three-month SOFR + 1.75% Class C-R, $30.00 million: Three-month SOFR + 2.10% Class D-R, $30.00 million: Three-month SOFR + 3.10% Class E-R, $20.00 million: Three-month SOFR + 6.50% Refinanced notes Class A-1, $160.00 million: Three-month LIBOR + 1.32% Class A-2, $160.00 million: Three-month LIBOR + 1.37% Class B-1, $40.00 million: Three-month LIBOR + 1.75% Class B-2, $20.00 million: Three-month LIBOR + 1.75% Class C-1, $10.00 million: Three-month LIBOR + 2.60% Class C-2, $20.00 million: 4.30% Class D, $30.00 million: Three-month LIBOR + 4.20% Class E, $20.00 million: Three-month LIBOR + 7.80% All or some of the notes issued by this CLO transaction contain stated interest at the Secured Overnight Financing Rate (SOFR) plus a fixed margin. At this time, the vast majority of the corporate loans are still paying a margin over LIBOR. They are expected to transition to a new rate by June 2023 when LIBOR settings will no longer be published. S&P will continue to monitor reference rate reform and take into account changes specific to this transaction and its underlying assets when appropriate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. These results incorporate a 10-basis-point adjustment to the spread of the LIBOR-based assets. "The class E notes fail our cash flow stresses, though we though we will not lower our rating on this class ahead of the refinancing date given the stable performance of this transaction since its closing, the low 'CCC' exposures, and the small margin of failure of our cash flow runs at the 'BB- (sf)' rating level. We will withdraw our rating on this tranche along with the ratings on the other classes of notes that will be refinanced today. Each of the replacement notes pass our cash flow stresses at the rating levels assigned today. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Assigned Neuberger Berman Loan Advisers CLO 34 Ltd./ Neuberger Berman Loan Advisers CLO 34 LLC Class A-1R, $289.00 million: AAA (sf) Class A-1F, $21.00 million: AAA (sf) Class A-2R, $10.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R, $30.00 million: A+ (sf) Class D-R, $30.00 million: BBB- (sf) Class E-R, $20.00 million: BB- (sf) Ratings Withdrawn Neuberger Berman Loan Advisers CLO 34 Ltd./ Neuberger Berman Loan Advisers CLO 34 LLC Class A-1 to NR from AAA (sf) Class A-2 to NR from AAA (sf) Class B-1 to NR from AA (sf) Class B-2 to NR from AA (sf) Class C-1 to NR from A (sf) Class C-2 to NR from A (sf) Class D to NR from BBB- (sf) Class E to NR from BB- (sf) Other Outstanding Classes Neuberger Berman Loan Advisers CLO 34 Ltd./ Neuberger Berman Loan Advisers CLO 34 LLC Subordinated notes: NR NR--Not rated. NEW RESIDENTIAL 2022-NQM2: Fitch Gives 'B(EXP)' Rating on B-2 Notes ------------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2022-NQM2 (NRMLT 2022-NQM2). DEBT RATING ---- ------ NRMLT 2022-NQM2 A-1 LT AAA(EXP)sf Expected Rating A-2 LT AA(EXP)sf Expected Rating A-3 LT A(EXP)sf Expected Rating M-1 LT BBB(EXP)sf Expected Rating B-1 LT BB(EXP)sf Expected Rating B-2 LT B(EXP)sf Expected Rating B-3 LT NR(EXP)sf Expected Rating A-IO-S LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating XS-1 LT NR(EXP)sf Expected Rating XS-2 LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY The notes are supported by 589 newly originated loans that had a balance of $351.4 million as of the Feb. 1, 2022 cutoff date. The pool consists of loans primarily originated by NewRez LLC (NewRez), which was formerly known as New Penn Financial, LLC and Caliber Home Loans (Caliber) which is a subsidiary of NewRez. The notes are secured mainly by non-qualified mortgage (QM) loans as defined by the Ability-to-Repay (ATR) Rule. Of the loans in the pool, 74.2% of the loans are designated as non-QM while the remainder are not subject to the ATR Rule. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.1% above a long-term sustainable level (vs. 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low 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 19.7% yoy nationally as of September 2021. Non-Prime Credit Quality (Mixed): The collateral consists of 589 loans, totaling $351 million and seasoned approximately three months in aggregate, according to Fitch (as calculated from origination date). The borrowers have a stronger credit profile when compared to other non-QM transactions (752 FICO and 35% debt-to-income ratios [DTI] as determined by Fitch after converting the debt service coverage ratio [DSCR] values) and moderate leverage (79.1% sLTV). The pool consists of 68.9% of loans where the borrower maintains a primary residence, while 31.1% are considered an investor property or second home. Additionally, only 20% of the loans were originated through a retail channel. Moreover, 74% are considered non-QM and the remainder are not subject to QM. NewRez and Caliber originated 100% of the loans, which have been serviced since origination by Shellpoint Mortgage Servicing. Geographic Concentration (Negative): Approximately 42% of the pool is concentrated in California. The largest MSA concentrations are in Los Angeles (22.1%) followed by New York City 7.9%), and Miami-Fort Lauderdale (7.8%). The top three MSAs account for 38% of the pool. As a result, there was a 1.02x payment default (PD) penalty for geographic concentration. Loan Documentation (Negative): 100% of the pool was underwritten to less than full documentation, according to Fitch. Approximately 85.5% was underwritten to a 12-month or 24-month bank statement program for verifying income, which is not consistent with Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protection Bureau's (CFPB) ATR Rule.The standards are meant to reduce the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the ATR Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 14.5% are DSCR product. High Investor Property Concentrations (Negative): Approximately 26% of the pool comprises investment property loans, including 14.5% underwritten to a cash flow ratio rather than the borrower's DTI ratio. Investor property loans exhibit higher PDs and higher loss severities (LS) than owner-occupied homes. Fitch increased the PD by approximately 2.0x for the cash flow ratio loans (relative to a traditional income documentation investor loan) to account for the increased risk. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch's incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor 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 of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. OHA CREDIT 7: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes and proposed new class X notes from OHA Credit Funding 7 Ltd., a CLO originally issued in November 2020 that is managed by Oak Hill Advisors L.P. The preliminary ratings are based on information as of Feb. 23, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Feb. 25, 2022, refinancing date, the proceeds from the replacement notes will be used to redeem the original notes. At that time, S&P expects to withdraw its ratings on the original notes and assign ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm its ratings on the original notes and withdraw our preliminary ratings on the replacement notes. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class A-R and B-R notes and new class X notes are expected to be issued at a higher spread over three-month secured overnight financing rate (SOFR) than the original notes. -- The replacement class C-R, D-R, and E-R notes are expected to be issued at a lower spread over three-month SOFR than the original notes. -- The stated maturity will be extended by 4.3 years, non-call period by 2.4 years, and the reinvestment period by 3.5 years. -- The class X notes issued in connection with this refinancing are expected to be paid down using interest proceeds during the first ten payment dates beginning with the payment date in April 2022. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned OHA Credit Funding 7 Ltd./OHA Credit Funding 7 LLC Class X, $1.25 million: AAA (sf) Class A-R, $335.50 million: AAA (sf) Class B-R, $82.50 million: AA (sf) Class C-R (deferrable), $33.00 million: A (sf) Class D-R (deferrable), $33.00 million: BBB- (sf) Class E-R (deferrable), $22.00 million: BB- (sf) Subordinated notes, $43.80 million: Not rated RCKT MORTGAGE 2022-2: Fitch Rates Class B-5 Certs 'B-' ------------------------------------------------------ Fitch Ratings has assigned ratings to the residential mortgage backed certificates issued by RCKT Mortgage Trust 2022-2 (RCKT 2022-2) DEBT RATING PRIOR ---- ------ ----- RCKT Mortgage Trust 2022-2 A-1 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-10 LT AAAsf New Rating AAA(EXP)sf A-X-11 LT AAAsf New Rating AAA(EXP)sf A-X-12 LT AAAsf New Rating AAA(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-6 LT AAAsf New Rating AAA(EXP)sf A-X-7 LT AAAsf New Rating AAA(EXP)sf A-X-8 LT AAAsf New Rating AAA(EXP)sf A-X-9 LT AAAsf New Rating AAA(EXP)sf B-1 LT AA-sf New Rating AA-(EXP)sf B-1A LT AA-sf New Rating AA-(EXP)sf B-2 LT A-sf New Rating A-(EXP)sf B-2A LT A-sf New Rating A-(EXP)sf B-3 LT BBB-sf New Rating BBB-(EXP)sf B-4 LT BB-sf New Rating BB-(EXP)sf B-5 LT B-sf New Rating B-(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf B-X-1 LT AA-sf New Rating AA-(EXP)sf B-X-2 LT A-sf New Rating A-(EXP)sf TRANSACTION SUMMARY The certificates are supported by 778 loans with a total balance of approximately $759 million as of the cutoff date. The pool consists of prime fixed-rate mortgages acquired by Woodward Capital Management LLC (Woodward) from Rocket Mortgage, LLC (Rocket Mortgage), formerly known as Quicken Loans, LLC. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. KEY RATING DRIVERS Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 11.0% above a long-term sustainable level (vs. 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low 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 19.7% yoy nationally as of September 2021. High-Quality Mortgage Pool (Positive): The collateral consists of 778 loans, totaling $759 million, and seasoned approximately two months in the aggregate (calculated as the difference between origination date and first pay date) The borrowers have a strong credit profile (761 Fitch model FICO and 34% DTI) and moderate leverage (80% sustained loan-to-value). The pool consists of 94.7% of loans where the borrower maintains a primary residence, while 5.3% comprise a second home. Additionally, 53.6% of the loans were originated through a retail channel and 100% are designated as Safe Harbor (APOR) qualified mortgage. Interest Reduction Risk (Negative): The transaction incorporates a structural feature for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. While this feature helps limit cash flow leakage to subordinate bonds, it can result in interest reductions to rated bonds in high-stress scenarios. A key difference with this transaction compared to other programs that treat stop-advance loans similarly is that liquidation proceeds are allocated to interest before principal. As a result, Fitch included the full interest carry in its loss projections and views the risk of permanent interest reductions as lower than other programs with a similar feature. Low Operational Risk (Positive): Operational risk is well controlled for in this transaction. Rocket Mortgage is assessed as an 'Above Average' originator and is contributing all of the loans to the pool. The originator has a robust origination strategy and maintains experienced senior management and staff, strong risk management and corporate governance controls and a robust due diligence process. Primary servicing functions will be performed by Rocket Mortgage, which is rated 'RPS2'. Credit Enhancement Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.00% will be available for the senior bonds and a subordinate floor of 0.65% of the original balance will be maintained for the subordinate classes. The floor is sufficient to protect against the 100 average-sized loans incurring Fitch's 'AAAsf' expected loss. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. -- The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 42.2% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor 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 of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. REGIONAL MANAGEMENT 2022-1: S&P Assigns BB(sf) Rating on D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Regional Management Issuance Trust 2022-1's personal consumer loan-backed notes. The note issuance is an ABS securitization backed by personal consumer loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 58.52%, 46.44%, 39.84% and 33.06% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the ratings on the notes based on our stressed cash flow scenarios. -- S&P's worst-case weighted average base-case loss assumption for this transaction of 15.24%, which is a function of the transaction-specific reinvestment criteria, historical Regional Management Corp. (Regional) loan performance data, and its view of the residual effects of COVID-19 pandemic on the macroeconomic environment facing obligors. S&P's base-case loss assumption also accounts for historical volatility observed in Regional's annual loan vintages over time. -- To date, Regional's central facilities and local branches remain open and operational through the COVID-19 pandemic. Regional has the capacity to shift branch employees to other branches as needed, and since May has offered the option to close loan originations remotely, as opposed to within branches. -- In response to the COVID-19 pandemic, Regional tightened underwriting and enhanced servicing procedures for its portfolio. Regional selectively eliminated loans to lower-credit grade borrowers, reduced advances to lower-credit grade existing borrowers, and lowered lending limits to new borrowers across all risk levels. Since the third quarter of 2020, Regional has gradually begun to reverse these policies. -- Regional introduced new payment deferral options to borrowers negatively impacted by the COVID-19 pandemic. While deferment levels rose in March and peaked in April, they decreased through July to historic trend levels. Transaction documents dictate that a reinvestment criteria event will occur if loans subject to deferment during the previous collection period exceed 10.0% of the aggregate principal balance. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the assigned ratings will be within the limits specified in the credit stability section of "S&P Global Ratings Definitions," published Jan. 5, 2021. -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- The operational risks associated with Regional's decentralized business model. -- The transaction's payment and legal structures. Ratings Assigned Regional Management Issuance Trust 2022-1 Class A, $170.630: AA (sf) Class B, $37.040: A- (sf) Class C, $21.160: BBB- (sf) Class D, $21.170: BB (sf) SCF EQUIPMENT 2021-1: Moody's Raises Rating on Class F Notes to Ba2 ------------------------------------------------------------------- Moody's Investors Service has upgraded fifteen classes of notes issued by SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing Canada 2019-2 L.P. (SCF 2019-2), SCF Equipment Leasing 2020-1 LLC/SCF Equipment Leasing Canada 2020-1 Limited Partnership (SCF 2020-1), and SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership (SCF 2021-1). These transactions are backed by equipment loans and leases and owner-occupied commercial real estate loans and serviced by Stonebriar Commercial Finance LLC (Stonebriar). The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2019-2 LLC/SCF Equipment Leasing Canada 2019-2 L.P. Class B Notes, Upgraded to Aaa (sf); previously on Aug 12, 2021 Upgraded to Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Aug 12, 2021 Upgraded to A1 (sf) Class D Notes, Upgraded to A2 (sf); previously on Aug 12, 2021 Upgraded to Baa1 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Aug 12, 2021 Upgraded to Ba1 (sf) Class F Notes, Upgraded to Ba3 (sf); previously on Aug 12, 2021 Upgraded to B2 (sf) Issuer: SCF Equipment Leasing 2020-1 LLC/SCF Equipment Leasing Canada 2020-1 Limited Partnership Class B Notes, Upgraded to Aaa (sf); previously on Aug 19, 2020 Definitive Rating Assigned Aa1 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Aug 12, 2021 Upgraded to A1 (sf) Class D Notes, Upgraded to A2 (sf); previously on Aug 12, 2021 Upgraded to Baa1 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Aug 12, 2021 Upgraded to Ba2 (sf) Class F Notes, Upgraded to Ba2 (sf); previously on Aug 12, 2021 Upgraded to B2 (sf) Issuer: SCF Equipment Leasing 2021-1 LLC/SCF Equipment Leasing Canada 2021-1 Limited Partnership Class B Notes, Upgraded to Aaa (sf); previously on Feb 22, 2021 Definitive Rating Assigned Aa2 (sf) Class C Notes, Upgraded to Aa2 (sf); previously on Aug 12, 2021 Upgraded to A2 (sf) Class D Notes, Upgraded to A1 (sf); previously on Aug 12, 2021 Upgraded to Baa1 (sf) Class E Notes, Upgraded to Baa1 (sf); previously on Aug 12, 2021 Upgraded to Ba1 (sf) Class F Notes, Upgraded to Ba2 (sf); previously on Aug 12, 2021 Upgraded to B2 (sf) RATINGS RATIONALE The rating actions primarily reflect build-up in credit enhancement levels in the transactions due to deleveraging from prepayments, improved asset expected recoveries after contract substitutions, and strong performance with no cumulative net losses to date. The transactions are also supported by sequential pay structures, overcollateralization (OC) that builds to a target and reserve accounts. Along with the strong performance, Moody's continued to consider specific risks associated with the transactions, such as concentrations and residual risks. High level of pool concentrations in the transactions to obligors poses potentially higher performance volatility because any default of a large obligor could have a material impact on expected losses to noteholders. The top obligor concentration in the pools ranges from approximately 8% to 16% and top 10 obligor concentration in the pools ranges from 53% to 67%. Securitized residuals currently account for about 22% to 50% of the pools. Moody's also considered greater volatility in recoveries and projected asset values, which were provided at transaction closing. Over time, the age of the asset valuations may lead to volatility in the determination of recovery values of the loans and leases backing the transaction. To take this into consideration, Moody's performed sensitivity analysis on the projected future asset values received at the closing of the transaction. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations Methodology" published in August 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. In addition, faster than expected reduction in residual value exposure could prompt upgrade of ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. SCF EQUIPMENT 2022-1: Moody's Assigns B2 Rating to Class F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the equipment contract backed notes, Series 2022-1, Class A-1, Class A-2, Class A-3, Class B, Class C, Class D, Class E, and Class F (Series 2022-1 notes or the notes) issued by SCF Equipment Leasing 2022-1 LLC and SCF Equipment Leasing Canada 2022-1 Limited Partnership. Stonebriar Commercial Finance LLC (Stonebriar) along with its Canadian counterpart - Stonebriar Commercial Finance Canada Inc. (Stonebriar Canada) are the originators and Stonebriar alone is the servicer of the assets backing this transaction. The issuers are wholly-owned, limited purpose subsidiaries of Stonebriar and Stonebriar Canada. The assets in the pool consist of loan and lease contracts, secured primarily by marine vessels, railcars, and manufacturing equipment. Stonebriar was founded in 2015 and is led by a management team with an average of over 25 years of experience in equipment financing. The complete rating actions are as follows: Issuer: SCF Equipment Leasing 2022-1 LLC/SCF Equipment Leasing Canada 2022-1 Limited Partnership Class A-1 Notes, Definitive Rating Assigned P-1 (sf) Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A2 (sf) Class D Notes, Definitive Rating Assigned Baa3 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) Class F Notes, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The definitive ratings are based on; (1) the experience of Stonebriar's management team and the company as servicer; (2) U.S. Bank National Association (long-term deposits Aa2/ long-term CR assessment Aa3(cr), short-term deposits P-1, BCA a1) as backup servicer for the contracts; (3) the weak credit quality and concentration of the obligors backing the loans and leases in the pool; (4) the assessed value of the collateral backing the loans and leases in the pool; (5) the credit enhancement, including overcollateralization, excess spread and reserve account and (6) the sequential pay structure. Moody's also considered sensitivities to various factors such as default rates and recovery rates in Moody's analysis. Additionally, Moody's base its P-1 (sf) rating of the Class A-1 notes on the cash flows that Moody's expect the underlying receivables to generate during the collection periods prior to the Class A-1 notes' legal final maturity date on March 13, 2023. At closing the Class A, Class B, Class C, Class D, Class E and Class F notes benefit from 30.0%, 21.0%, 17.3%, 11.3%, 9.5% and 6.5% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of initial overcollateralization of 4.00% which will build to a target of 8.00% of the outstanding pool balance with a floor of 5.00% of the initial pool balance, a 1.00% fully funded reserve account with a floor of 1.00%, and subordination. The notes will also benefit from excess spread. The equipment loans and leases that back the notes were extended primarily to middle market obligors and are secured by various types of equipment including marine vessels, railcars, manufacturing and assembly equipment, and corporate aircraft. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Equipment Lease and Loan Securitizations Methodology" published in August 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings on the notes if levels of credit protection are greater than necessary to protect investors against current expectations of loss. Moody's updated expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or lower than expected depreciation in the value of the equipment that secure the obligor's promise of payment. As the primary drivers of performance, positive changes in the US macro economy and the performance of various sectors where the obligors operate could also affect the ratings. Down Moody's could downgrade the notes if levels of credit protection are insufficient to protect investors against current expectations of portfolio losses. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or greater than expected deterioration in the value of the equipment that secure the obligor's promise of payment. Transaction performance also depends greatly on the US macro economy. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Additionally, Moody's could downgrade the Class A-1 short term rating following a significant slowdown in principal collections that could result from, among other reasons, high delinquencies or a servicer disruption that impacts obligor's payments. SDART 2021-4: Moody's Hikes Rating on Class E Notes to B1 --------------------------------------------------------- Moody's Investors Service has upgraded 20 classes of bonds issued by ten auto loan securitizations. The bonds are backed by pools of retail automobile loan contracts originated and serviced by Santander Consumer USA Inc. (SC). The complete rating actions are as follows: Issuer: Santander Consumer Auto Receivables Trust 2021-A Class C Notes, Upgraded to Aaa (sf); previously on Oct 25, 2021 Upgraded to Aa1 (sf) Class D Notes, Upgraded to Aa2 (sf); previously on Oct 25, 2021 Upgraded to A2 (sf) Issuer: Santander Drive Auto Receivables Trust 2019-3 Class E Notes, Upgraded to Aa3 (sf); previously on Oct 25, 2021 Upgraded to A2 (sf) Issuer: Santander Drive Auto Receivables Trust 2020-1 Class D Notes, Upgraded to Aaa (sf); previously on Jun 24, 2021 Upgraded to Aa1 (sf) Issuer: Santander Drive Auto Receivables Trust 2020-2 Class D Notes, Upgraded to Aaa (sf); previously on Oct 25, 2021 Upgraded to Aa1 (sf) Class E Notes, Upgraded to A2 (sf); previously on Oct 25, 2021 Upgraded to Baa2 (sf) Issuer: Santander Drive Auto Receivables Trust 2020-3 Class D Notes, Upgraded to Aaa (sf); previously on Oct 25, 2021 Upgraded to Aa2 (sf) Class E Notes, Upgraded to Baa1 (sf); previously on Oct 25, 2021 Upgraded to Ba1 (sf) Issuer: Santander Drive Auto Receivables Trust 2020-4 Class D Notes, Upgraded to Aa1 (sf); previously on Oct 25, 2021 Upgraded to Aa2 (sf) Class E Notes, Upgraded to Baa2 (sf); previously on Oct 25, 2021 Upgraded to Ba1 (sf) Issuer: Santander Drive Auto Receivables Trust 2021-1 Class D Notes, Upgraded to Aa1 (sf); previously on Oct 25, 2021 Upgraded to Aa3 (sf) Class E Notes, Upgraded to Baa3 (sf); previously on Oct 25, 2021 Upgraded to Ba2 (sf) Issuer: Santander Drive Auto Receivables Trust 2021-2 Class D Notes, Upgraded to A1 (sf); previously on Oct 25, 2021 Upgraded to A3 (sf) Class E Notes, Upgraded to Ba2 (sf); previously on May 26, 2021 Definitive Rating Assigned B1 (sf) Issuer: Santander Drive Auto Receivables Trust 2021-3 Class C Notes, Upgraded to Aaa (sf); previously on Jul 21, 2021 Definitive Rating Assigned Aa1 (sf) Class D Notes, Upgraded to A2 (sf); previously on Jul 21, 2021 Definitive Rating Assigned Baa2 (sf) Class E Notes, Upgraded to Ba3 (sf); previously on Jul 21, 2021 Definitive Rating Assigned B2 (sf) Issuer: Santander Drive Auto Receivables Trust (SDART) 2021-4 Class C Notes, Upgraded to Aa1 (sf); previously on Oct 27, 2021 Definitive Rating Assigned Aa2 (sf) Class D Notes, Upgraded to Baa1 (sf); previously on Oct 27, 2021 Definitive Rating Assigned Baa2 (sf) Class E Notes, Upgraded to B1 (sf); previously on Oct 27, 2021 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The upgrades are primarily driven by the buildup of credit enhancement due to structural features including a sequential pay structure, non-declining reserve account and overcollateralization as well as a reduction in Moody's cumulative net loss expectations for the underlying pools, which consider the additional benefits from SC's repurchases of defaulted loans as SC became a wholly owned subsidiary by Santander Holdings USA, Inc. (SHUSA, Baa3 Stable) as of January 31, 2022. Moody's lifetime cumulative net loss expectations range between 8.5% and 14.0% for the Santander Drive Auto Receivables Trust transactions and 2.25% for the Santander Consumer Auto Receivables Trust 2021-A transaction. The loss expectations reflect updated performance trends on the underlying pools. More recently US consumers have shown a high degree of resilience owing to the government stimulus and the relief options offered by servicers. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in September 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the ratings. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or greater recoveries from the value of the vehicles securing the obligors' promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for better-than-expected performance include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Losses could increase from Moody's original expectations as a result of a higher number of obligor defaults or a deterioration in the value of the vehicles securing the obligors' promise of payment. The US job market and the market for used vehicles are also primary drivers of the transaction's performance. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. SLM PRIVATE 2003-B: Moody's Affirms B1 Rating on Class B Notes -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 41 classes of notes in 17 private student loan securitizations sponsored, administered, and serviced by Navient Solutions, LLC, a wholly-owned subsidiary of Navient Corporation ("Navient", Ba3 stable) following the company's recent announcement of a settlement with state attorneys general to resolve previously disclosed multistate litigation and investigations. The settlement is subject to court approvals. The collateral underlying the transactions consists of private student loans, which are loans the U.S. government does not guarantee. As part of the settlement with the state attorneys general, Navient will cancel approximately $1.7 billion of legacy private student loans that were largely originated between 2002 and 2010 to 66,000 borrowers who subsequently defaulted. The expense to Navient to cancel these loans is approximately $50 million which represents the amount of expected future recoveries of the charged-off loans. Approximately $194 million of the cancelled loans are included in the collateral pools for the 17 transactions subject to this rating action. Because the loans have defaulted, the amount outstanding on these loans is no longer included in the remaining pool balance for the transactions. The complete rating actions are as follows: Issuer: Navient Private Education Loan Trust 2014-A Fixed Rate Class A-2A Notes, Affirmed Aaa (sf); previously on Oct 23, 2014 Definitive Rating Assigned Aaa (sf) Floating Rate Class A-2B Notes, Affirmed Aaa (sf); previously on Oct 23, 2014 Definitive Rating Assigned Aaa (sf) Floating Rate Class A-3 Notes, Affirmed Aaa (sf); previously on Oct 23, 2014 Definitive Rating Assigned Aaa (sf) Fixed Rate Class B Notes, Affirmed Aaa (sf); previously on Apr 12, 2017 Upgraded to Aaa (sf) Issuer: Navient Private Education Loan Trust 2014-CT Class B Notes, Affirmed Aaa (sf); previously on Apr 12, 2017 Upgraded to Aaa (sf) Issuer: Navient Private Education Loan Trust 2015-A Fixed Rate Class A-2A Notes, Affirmed Aaa (sf); previously on Jan 22, 2015 Definitive Rating Assigned Aaa (sf) Floating Rate Class A-2B Notes, Affirmed Aaa (sf); previously on Jan 22, 2015 Definitive Rating Assigned Aaa (sf) Floating Rate Class A-3 Notes, Affirmed Aaa (sf); previously on Jan 22, 2015 Definitive Rating Assigned Aaa (sf) Fixed Rate Class B Notes, Affirmed Aaa (sf); previously on Apr 12, 2017 Upgraded to Aaa (sf) Issuer: Navient Private Education Loan Trust 2015-B Floating Rate Class A-3 Notes, Affirmed Aaa (sf); previously on Aug 13, 2015 Definitive Rating Assigned Aaa (sf) Issuer: Navient Private Education Loan Trust 2016-A Fixed Rate Class A-2A Notes, Affirmed Aaa (sf); previously on Feb 4, 2016 Definitive Rating Assigned Aaa (sf) Floating Rate Class A-2B Notes, Affirmed Aaa (sf); previously on Feb 4, 2016 Definitive Rating Assigned Aaa (sf) Fixed Rate Class B Notes, Affirmed Aa2 (sf); previously on Apr 12, 2017 Upgraded to Aa2 (sf) Issuer: SLM Private Credit Student Loan Trust 2003-B Class A-3, Affirmed Baa1 (sf); previously on Feb 13, 2018 Downgraded to Baa1 (sf) Class A-4, Affirmed Baa1 (sf); previously on Feb 13, 2018 Downgraded to Baa1 (sf) Class B, Affirmed B1 (sf); previously on Mar 21, 2017 Downgraded to B1 (sf) Class C, Affirmed Caa3 (sf); previously on May 5, 2014 Affirmed Caa3 (sf) Issuer: SLM Private Credit Student Loan Trust 2003-C Cl. A-3, Affirmed Baa2 (sf); previously on Apr 21, 2016 Downgraded to Baa2 (sf) Cl. A-4, Affirmed Baa2 (sf); previously on Apr 21, 2016 Downgraded to Baa2 (sf) Cl. A-5, Affirmed Baa2 (sf); previously on Apr 21, 2016 Downgraded to Baa2 (sf) Cl. B, Affirmed B1 (sf); previously on Apr 21, 2016 Downgraded to B1 (sf) Cl. C, Affirmed Caa3 (sf); previously on May 5, 2014 Affirmed Caa3 (sf) Issuer: SLM Private Credit Student Loan Trust 2004-A Cl. A-3, Affirmed Aaa (sf); previously on Sep 28, 2021 Upgraded to Aaa (sf) Issuer: SLM Private Credit Student Loan Trust 2004-B Cl. A-3, Affirmed Aaa (sf); previously on May 5, 2014 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 21, 2016 Confirmed at Aaa (sf) Issuer: SLM Private Credit Student Loan Trust 2005-A Cl. A-4, Affirmed Aaa (sf); previously on Mar 21, 2017 Upgraded to Aaa (sf) Issuer: SLM Private Credit Student Loan Trust 2005-B Cl. A-4, Affirmed Aaa (sf); previously on Mar 21, 2017 Upgraded to Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Feb 13, 2018 Upgraded to Aa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2006-A Cl. A-5, Affirmed Aaa (sf); previously on Mar 21, 2017 Upgraded to Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Mar 21, 2017 Upgraded to Aa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2006-B Cl. A-5, Affirmed Aaa (sf); previously on Mar 21, 2017 Upgraded to Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Feb 13, 2018 Upgraded to Aa1 (sf) Issuer: SLM Private Credit Student Loan Trust 2006-C Cl. A-5, Affirmed Aaa (sf); previously on Mar 21, 2017 Upgraded to Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Feb 13, 2018 Upgraded to Aaa (sf) Cl. C, Affirmed Aa3 (sf); previously on Feb 13, 2018 Upgraded to Aa3 (sf) Issuer: SLM Private Credit Student Loan Trust 2007-A Cl. A-4, Affirmed Aaa (sf); previously on Sep 28, 2021 Upgraded to Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Sep 26, 2019 Upgraded to Aa3 (sf) Cl. C-1, Affirmed A2 (sf); previously on Feb 13, 2018 Upgraded to A2 (sf) Cl. C-2, Affirmed A2 (sf); previously on Feb 13, 2018 Upgraded to A2 (sf) Issuer: SLM Private Education Loan Trust 2010-C Cl. A-5, Affirmed Aaa (sf); previously on May 5, 2014 Affirmed Aaa (sf) Issuer: SLM Private Education Loan Trust 2014-A Fixed Rate Class B Notes, Affirmed Aaa (sf); previously on Apr 12, 2017 Upgraded to Aaa (sf) RATINGS RATIONALE The rating actions are prompted by Navient's expected cancellation of approximately $194 million in defaulted student loans underlying the 17 transactions. As described further below, the affirmations reflect Moody's opinion that the loss of recoveries from the cancelled loans will have little impact, since the total dollar amounts of the potential recoveries to be written off are small relative to the remaining pool balances on the transactions. The actions also reflect the recent performance of the transactions. Navient has advised that it interprets certain provisions of the servicing agreements to allow the servicer to cancel these defaulted loans in connection with the settlement upon approval by a court. One example cited by Navient is contained in the servicing agreement for SLM Private Credit Student Loan Trust 2006-A and states that "Without limiting the generality of the foregoing, the Servicer is authorized and empowered to execute and deliver, on behalf of itself, the Issuer, the Trustee, the Indenture Trustee, and the Noteholders or any of them, instruments of satisfaction or cancellation, or partial or full release or discharge, and all other comparable instruments, with respect to the related Trust Student Loans; provided, however, that the Servicer agrees that it will (a) permit any rescission or cancellation of a Trust Student Loan as ordered by a court of competent jurisdiction or governmental authority or as otherwise consented to in writing by the Trustee and the Indenture Trustee". Navient has advised that pursuant to this provision, it expects to cancel the loan balances once final court approvals of the settlement have been obtained. Furthermore, Navient has advised that it does not intend to indemnify the transactions in connection with the cancelled loans. Although the cancelled loans defaulted many years ago and a large portion of their expected recoveries has already been realized by the securitizations, the cancellation would eliminate additional recoveries, if any, on the loans, reducing future potential cash collections to the securitizations. Future recoveries on defaulted student loans are part of the available funds that can be distributed to noteholders and help offset the negative impact of future defaults while protecting the asset base of securitizations. For SLM Private Credit Student Loan Trust 2003-B and SLM Private Credit Student Loan Trust 2003-C, whose asset-over-liability ratios are below 100%, at 83.6% and 81.4% respectively, the lost recoveries would reduce the cash distribution to their noteholders. However, the negative impact is insignificant as the estimated recovery loss is less than 3bps of the outstanding pool balances for these transactions. In Moody's analysis, Moody's also assumed no future recoveries on defaulted loans for these two transactions. All other affected transactions have enhancements at or higher than their target enhancement level, and incremental loss of recoveries on the cancelled loans would not impact cash flow to noteholders as the estimated recovery loss amount for each transaction is smaller than the available cash amount after regular debt servicing obligations in the distribution waterfall. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating US Private Student Loan-Backed Securities" published in November 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings of the notes if net losses are lower than Moody's expects. Down Moody's could downgrade the ratings of the notes if net losses are higher than Moody's expects. TCW CLO 2019-2: S&P Assigns BB- (sf) Rating on Class ER Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A1R, A2R, BR, CR, DR, and ER replacement notes from TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC, a CLO originally issued in 2019 that is managed by TCW Asset Management Co. LLC. At the same time, S&P withdrew its ratings on the A-1A, A-1F, A-2, B-1, B-F, C-1, C-F, D-1, D-2A, D-2F, and E notes following payment in full on the Feb. 18, 2022, refinancing date. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The non-call period was extended to April 20, 2023. Replacement And Refinanced Note Issuances Replacement notes Class A1R, $248.25 million: Three-month SOFR + 1.28% Class A2R, $14.00 million: Three-month SOFR + 1.58% Class BR, $42.00 million: Three-month SOFR + 1.85% Class CR, $24.00 million: Three-month SOFR + 2.25% Class DR, $24.00 million: Three-month SOFR + 3.21% Class ER, $16.25 million: Three-month SOFR + 6.65% Refinanced notes Class A-1A, $215.00 million: Three-month LIBOR + 1.34% Class A-1F, $35.00 million: 2.91% Class A-2, $14.00 million: Three-month LIBOR + 1.7% Class B-1, $34.00 million: Three-month LIBOR + 2.15% Class B-F, $8.00 million: 3.8% Class C-1, $17.00 million: Three-month LIBOR + 2.9% Class C-F, $5.00 million: 4.54% Class D-1, $14.00 million: Three-month LIBOR + 3.95% Class D-2A, $8.00 million: Three-month LIBOR + 4.89% Class D-2F, $4.00 million: 6.55% Class E, $14.00 million: Three-month LIBOR + 7.4% All or some of the notes issued by this CLO transaction contain stated interest at the Secured Overnight Financing Rate (SOFR) plus a fixed margin. At this time, the vast majority of the corporate loans are still paying a margin over LIBOR. They are expected to transition to a new rate by June 2023 when LIBOR settings will no longer be published. S&P will continue to monitor reference rate reform and take into account changes specific to this transaction and its underlying assets when appropriate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. These results incorporate a 10-basis-point adjustment to the spread of the LIBOR-based assets. "We will continue to review whether the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Assigned TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC Class A1R, $248.25 million: AAA (sf) Class A2R, $14.00 million: AAA (sf) Class BR, $42.00 million: AA (sf) Class CR, $24.00 million: A (sf) Class DR, $24.00 million: BBB- (sf) Class ER, $16.25 million: BB- (sf) Ratings Withdrawn TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC Class A-1A to NR from AAA (sf) Class A-1F to NR from AAA (sf) Class A-2 to NR from AAA (sf) Class B-1 to NR from AA (sf) Class B-F to NR from AA (sf) Class C-1 to NR from A (sf) Class C-F to NR from A (sf) Class D-1 to NR from BBB+ (sf) Class D-2A to NR from BBB- (sf) Class D-2F to NR from BBB- (sf) Class E to NR from BB- (sf) Other Outstanding Classes TCW CLO 2019-2 Ltd./TCW CLO 2019-2 LLC Subordinated notes: NR NR--Not rated. TRAPEZA CDO IV: Fitch Withdraws 'D' Rating on Class E Notes ----------------------------------------------------------- Fitch Ratings has withdrawn Trapeza CDO IV, LLC's (Trapeza IV) class E notes rating of 'Dsf'. DEBT RATING PRIOR ---- ------ ----- Trapeza CDO IV, LLC E 894126AG6 LT WDsf Withdrawn Dsf Fitch has withdrawn the rating as Trapeza IV no longer exists. Accordingly, Fitch will no longer provide rating or analytical coverage for Trapeza IV. KEY RATING DRIVERS Key Rating Drivers do not apply as the rating has been withdrawn. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. UBS-CITIGROUP 2011-C1: Moody's Lowers Rating on Cl. C Certs to Caa1 ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on two classes in UBS-Citigroup Commercial Mortgage Trust 2011-C1 ("UBSC 2011-C1"), Commercial Mortgage Pass-Through Certificates, Series 2011-C1 as follows: Cl. B, Downgraded to Ba1 (sf); previously on Dec 13, 2021 Downgraded to Baa1 (sf) and Placed Under Review for Possible Downgrade Cl. C, Downgraded to Caa1 (sf); previously on Dec 13, 2021 Downgraded to B1 (sf) and Placed Under Review for Possible Downgrade Cl. D, Affirmed Caa3 (sf); previously on Dec 13, 2021 Downgraded to Caa3 (sf) Cl. E, Affirmed C (sf); previously on Dec 13, 2021 Downgraded to C (sf) Cl. F, Affirmed C (sf); previously on Dec 13, 2021 Affirmed C (sf) Cl. G, Affirmed C (sf); previously on Dec 13, 2021 Affirmed C (sf) Cl. X-B*, Affirmed Ca (sf); previously on Dec 13, 2021 Downgraded to Ca (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on Cl. B was downgraded due to increased risk of losses and interest shortfalls driven primarily by the significant exposure to loans in special servicing. The three largest specially serviced loans, representing 86% of the pool, have been deemed non-recoverable as of the February 2022 remittance statement. Furthermore, the remaining specially serviced loan, Hospitality Specialists Portfolio - Pool 1, remains outstanding and servicer commentary indicates they continue to discuss a forbearance agreement with the borrower. The rating on Cl. C was downgraded primarily due to the risk of higher anticipated losses from specially serviced loans. The ratings on four P&I class were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO Class (Cl. X-B) was downgraded due to a decline in the credit quality of its referenced classes. The IO Class references all P&I classes including Cl. H, which is not rated by Moody's. These actions conclude the review for downgrade initiated on December 13, 2021. The action has considered how the coronavirus pandemic has reshaped the United States' economic environment and the way its aftershocks will continue to reverberate and influence the performance of CMBS. Moody's expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary. Moody's regard the coronavirus outbreak as a social risk under its ESG framework, given the substantial implications for public health and safety. Moody's rating action reflects a base expected loss of 86.2% of the current pooled balance, compared to 63.1% at Moody's last review. Moody's base expected loss plus realized losses is now 15.5% of the original pooled balance, compared to 11.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, an increase in realized and expected losses or interest shortfalls from the specially serviced loans. METHODOLOGY UNDERLYING THE RATING ACTION: The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published November 2021. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the February 11, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 83% to $116 million from $674 million at securitization. The certificates are collateralized by four mortgage loans ranging in size from 14% to 53% of the pool Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $4.5 million. All remaining loans are currently in special servicing and have passed their original maturity dates. The largest specially serviced loan is the Poughkeepsie Galleria Loan ($61.2 million -- 52.7% of the pool), which represents a pari-passu portion of $136.0 million senior mortgage. The loan is also encumbered by $21 million of mezzanine debt. The loan is secured by a 691,000 square foot (SF) portion of a 1.2 million SF regional mall located about 70 miles north of New York City in Poughkeepsie, New York. The mall's anchors at securitization included a J.C. Penney, Regal Cinemas, and Dick's Sporting Goods, each part of the collateral, along with a Macy's, Best Buy, Target, and Sears (non-collateral anchors). However, Sears (145,000 SF) and J.C. Penney (180,000 SF) vacated in 2020. As of the June 2021 the collateral portion of the mall was 61% leased compared to 85% in December 2019. The mall has also suffered from declining in-line occupancy and tenant sales and the property's net operating income (NOI) remains significant below securitization levels. The 2019 NOI was already nearly 28% lower than in 2011, and the property's NOI dropped an additional 49% year over year between 2019 and 2020. The property is managed by the loan's sponsor, Pyramid Management Group, LLC. The loan has been in special servicing since April 2020 and the loan passed its original maturity date in November 2021. The property's most recently reported appraisal value from December 2021 was 49% lower than the senior mortgage balance. The master servicer has deemed this loan non-recoverable and Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Marriott Buffalo Niagara Loan ($21.3 million -- 18.4% of the pool), which is secured by the borrower's fee simple interest in a 356-room full-service hotel located in Amherst, NY. The property's revenue per available room (RevPAR) has declined annual since 2015 and the September 2019 trailing-twelve-month NOI had already declined 44% from 2012. The property's cash flows were impacted significantly by the pandemic and both the full year 2020 and year to date June 2021 annualized cash flows were not sufficient to cover its operating expenses. The loan transferred has been in special servicing in April 2020 and foreclosure proceedings are in progress with a receiver appointed in August 2021. The property's most recently reported appraisal value from March 2021 was 76% below the appraisal value at securitization and 34% lower than the outstanding loan balance. The master servicer has deemed the loan non-recoverable. The third largest specially serviced loan is the Hospitality Specialists Portfolio -- Pool 2 Loan ($17.3 million -- 14.9% of the pool), which is secured by a portfolio of three select-service hotels totaling 257 rooms. Two of the properties are in Moline, IL (one Hilton and one Marriott flag) and one property is in Stevensville, MI (Hilton). The portfolio has realized a significant decline in NOI recent years, with the 2019 NOI already dropping nearly 20% compared to 2018. The decline in performance was largely driven by the Stevensville, MI property due to seasonality issues and additional supply added to the market in 2019. The NOI further declined as a result of the pandemic and the loan ultimately transferred to special servicing in February 2021. The property's most recently reported appraisal value from August 2021 was 41% below the appraisal value at securitization and the master servicer has deemed the loan non-recoverable. The remaining specially serviced loan is the Hospitality Specialists Portfolio - Pool 1 ($16.3 million - 14.1% of the pool), which is secured by a portfolio of three select-service hotels totaling 285 rooms. Two of the properties are in Grand Rapids, MI (one Marriott and one Hilton flag) and one property is in Holland, MI (Marriott). The loan transferred to special servicing in March 2021 for imminent monetary default and has now passed its original maturity date. The property's performance has declined significantly in 2021 and the special servicer is continuing to discuss a potential forbearance agreement with the borrower. WELLS FARGO 2012-C8: Fitch Affirms B- Rating on Class G Certs ------------------------------------------------------------- Fitch Ratings has upgraded three and affirmed seven classes of Wells Fargo Bank, National Association, WFRBS Commercial Mortgage Trust 2012-C8 commercial mortgage pass-through certificates (WFRBS 2012-C8). The Rating Outlook for one class has been revised to Stable from Negative and one class of notes remains on Negative Outlook. DEBT RATING PRIOR ---- ------ ----- WFRBS 2012-C8 A-3 92936YAC5 LT AAAsf Affirmed AAAsf A-S 92936YAE1 LT AAAsf Affirmed AAAsf B 92936YAF8 LT AAAsf Affirmed AAAsf C 92936YAG6 LT AAsf Upgrade Asf D 92936YAP6 LT Asf Upgrade BBB+sf E 92936YAR2 LT BBBsf Upgrade BBB-sf F 92936YAT8 LT BBsf Affirmed BBsf G 92936YAV3 LT B-sf Affirmed B-sf X-A 92936YAK7 LT AAAsf Affirmed AAAsf X-B 92936YAM3 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Improved Loss Expectations: Overall loss expectations have improved since the prior review due to the better than expected recoveries of a disposed mall and REO hotel asset. Fitch has identified eight loans (15.6%) as Fitch Loans of Concern (FLOCs), including two loans (10.3%) in the top 15, and one loan (8.1%) in special servicing. The upgrades to classes C, D and E reflect significant paydown and improved credit enhancement (CE) resulting from the payoff of maturing loans; the majority of the pool exhibits metrics sufficient for refinancing in addition to a high percentage of defeasance. Fitch performed a paydown scenario assuming the Town Center at Cobb is the last remaining asset in the pool. Fitch's current ratings incorporate a base case loss of 6.80%. The Negative Outlook on Class G considers losses that could reach 7.1% when factoring in additional stresses on hotel loans reflecting slow recovery into 2021. Since the prior rating action, the Northridge Fashion Center loan, which was secured by 643,564-sf of a 1.52 million sf regional mall in Northridge CA, was disposed. The loan was repaid in full at loan maturity in December 2021. The full recovery was in excess of Fitch's estimated value, which reflected regional mall refinance concerns related to the large outstanding total debt of $208 million, of which $75.4 million was contributed to this transaction. Additionally, the REO asset, Springhill Suites San Angelo repaid in full as of the February 2022 remittance including the repayment of outstanding fees and advances. The full recovery was in excess of Fitch's estimated value and recent appraisal values. REO Asset of Concern: The largest contributor to overall loss expectations is the Town Center at Cobb asset (8.1%), which is a 559,940-sf portion of a 1.28 million sf regional mall located in Kennesaw, GA, approximately 22 miles northwest of Atlanta. The collateral consists of a 128,819-sf Belk anchor box, a 31,026-sf portion of the JCPenney anchor box and 400,095-sf of in-line space. Non-collateral anchors include Macy's, Macy's Furniture and JCPenney. A non-collateral Sears closed its store in 2020. The servicer-reported NOI DSCR declined to 1.20x for YTD September 2021 from 1.23x at YE 2020 and 1.33x at YE 2019. Occupancy has remained in the mid-80% range over the past several years and was most recently reported at 89% as of September 2021. Near-term lease expirations in the next 12 months include Belk (23% of NRA) in August 2022 and Forever 21 (4%) in January 2023. The asset has been in special servicing since June 2020 and became REO in March 2021. The special servicer is working to stabilize the asset prior to marketing it for sale. Fitch's base case loss of 65% reflects a stress to a recent appraisal, implying a cap rate of 23.2% on the YE 2020 NOI. Increasing Credit Enhancement (CE): CE has increased since issuance due to amortization and loan repayments, with 45.0% of the original pool balance repaid. Additionally, 29.7% of the pool has been defeased. Since issuance, one loan had liquidated while in special servicing: Shops at Freedom (0.65% of original pool balance) was disposed in September 2017, with a $26,689 loss absorbed by class H. Interest shortfalls are currently affecting class H. All loans are scheduled to mature this year with 22.1% of the pool maturing in the second quarter and 77.1% in the third quarter. Alternative Loss Consideration: Fitch applied additional sensitivity scenarios that considered potential outsized losses on the Town Center at Cobb asset and two hotel loans outside the top 15. The additional sensitivity contributed to the Negative Rating Outlook on class G. Fitch also factored in a stressed scenario on the performing loans in the pool when considering the upgrades for classes C through E. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the 'AAAsf', 'AAsf', and 'Asf' rated categories are not likely due to the senior positions in the capital structure and imminent paydown that is expected from the majority of the pool that matures in the coming months. -- Downgrades to the 'BBBsf' and 'BBsf' rated categories, while unlikely, would occur should overall pool losses increase with loans failing to repay at their respective maturities and the REO mall asset incurs outsized losses beyond current estimates. Downgrade to the 'B-sf' rated category would occur should the REO mall asset resolve with lower than expected recoveries and/or deteriorate further than current expectations. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the investment grade rated categories would occur with significant improvement in CE and/or defeasance. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. -- Upgrades to the 'BBsf' and 'B-sf' rated categories are not likely to reflect risks related to loans unable to refinance at maturity and the uncertainty of losses for the distressed mall asset remaining in the pool. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. WELLS FARGO 2015-C30: Fitch Affirms B- Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed 12 classes of Wells Fargo Commercial Mortgage Trust 2015-C30 (WFCM 2015-C30) commercial pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2015-C30 A-3 94989NBD8 LT AAAsf Affirmed AAAsf A-4 94989NBE6 LT AAAsf Affirmed AAAsf A-S 94989NBG1 LT AAAsf Affirmed AAAsf A-SB 94989NBF3 LT AAAsf Affirmed AAAsf B 94989NBK2 LT AA-sf Affirmed AA-sf C 94989NBL0 LT A-sf Affirmed A-sf D 94989NAL1 LT BBB-sf Affirmed BBB-sf E 94989NAN7 LT BB-sf Affirmed BB-sf F 94989NAQ0 LT B-sf Affirmed B-sf PEX 94989NBM8 LT A-sf Affirmed A-sf X-A 94989NBH9 LT AAAsf Affirmed AAAsf X-E 94989NAA5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Regional Mall Concerns: Riverpark Square loan (8.3% of the pool), is the second largest loan in the pool and the largest Fitch Loan of Concern (FLOC). The loan is secured by a 374,490 sf regional mall located in Spokane, WA and anchored by collateral tenants Nordstrom and AMC Theater. Nordstrom has an upcoming lease expiration in February 2023, two years prior to the loan' scheduled maturity. The store's sales were declining prior to the pandemic and are historically below the retailer's national average. The YE 2020 sales were $53 psf compared with $139 psf at YE 2019 and $174 psf at YE 2018. Inline tenant sales excluding Apple were $173 psf at YE 2020 compared with $332 psf at YE 2019 and $336 psf at YE 2018. This Nordstrom location is not on the retailer's most recent list of store closures; however, the potential loss of the mall's only traditional anchor tenant presents a significant binary risk for the loan's ongoing performance. In addition to a base case loss of 22%, Fitch ran an additional sensitivity stress on the Riverpark Square mall loan assuming a 50% loss to reflect the potential negative impact on the mall should Nordstrom not renew. This sensitivity contributed to the Negative Outlooks on classes D, E, and F. Increased Loss Expectations: Loss expectations have increased slightly primarily as a result of declining performance metrics for several loans flagged as FLOCs. Fitch has designated nine loans (23.6% of the pool) as FLOCs, including three specially serviced loans (3.3%). Fitch's current ratings incorporate a base case loss of 5.70%. The Negative Rating Outlooks on classes D through F reflect additional stresses on the Riverpark Square Mall loan, which assumes that losses could reach 7.7%. Minimal Changes to Credit Enhancement (CE): As of the January 2022 distribution date, the pool's aggregate principal balance was paid down by 9.8% to $668 million from $740 million at issuance. Ten loans (16.9% of the pool) are fully defeased, including two loans (13.1%) in the top 15, one of which is the largest loan in the pool. There have been no realized losses since issuance. Interest shortfalls of approximately $566,000 are currently contained to the non-rated H certificate. Four loans (1.6%) are full term interest only and one loan (3.3%) originally structured with a partial IO period has not yet begun to amortize. The remainder of the pool (95.1%) is currently amortizing. All of the remaining loans in the pool are scheduled to mature in 2025. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool-level losses from underperforming or specially serviced loans/assets. Downgrades to classes rated 'AAAsf' and 'AA-sf' are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades to classes B and C are possible should the Riverside Square loan default. Classes D, E and F may be downgraded if Nordstrom fails to renew its lease at Riverpark Square or if additional loans transfer to special servicing. Class F was initially put on rating Outlook Negative due to concerns with hotel assets related to the coronavirus pandemic. While these issues have largely abated, Fitch remains concerned with the potential performance declines at Riverpark Mall should the anchor tenant vacate. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B and C would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- An upgrade of class D is not likely until the later years in the transaction and only if performance of the Riverside Square loan has stabilized and the performance of the remaining pool is stable. Classes E and F are unlikely to be upgraded absent significant performance improvement for the FLOCs and higher recoveries than expected on the specially serviced loans. Classes may be removed from Outlook Negative with the resolution of the loans in special servicing and the renewal of the Nordstrom lease for at least five years at Riverpark Square. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. WELLS FARGO 2016-BNK1: Fitch Affirms 'CC' Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2016-BNK1 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- WFCM 2016-BNK1 A-2 95000GAX2 LT AAAsf Affirmed AAAsf A-3 95000GAY0 LT AAAsf Affirmed AAAsf A-S 95000GBA1 LT AAsf Affirmed AAsf A-SB 95000GAZ7 LT AAAsf Affirmed AAAsf B 95000GBD5 LT Asf Affirmed Asf C 95000GBE3 LT BBBsf Affirmed BBBsf D 95000GAJ3 LT Bsf Affirmed Bsf E 95000GAL8 LT CCCsf Affirmed CCCsf F 95000GAN4 LT CCsf Affirmed CCsf X-A 95000GBB9 LT AAAsf Affirmed AAAsf X-B 95000GBC7 LT BBBsf Affirmed BBBsf X-D 95000GAA2 LT Bsf Affirmed Bsf X-E 95000GAC8 LT CCCsf Affirmed CCCsf X-F 95000GAE4 LT CCsf Affirmed CCsf KEY RATING DRIVERS Stable Loss Expectations: Overall transaction expected losses have remained stable since the last Fitch rating action. Twelve loans (25.5%) have been designated Fitch Loans of Concern (FLOCs) including two loans (11.6%) in special servicing. The largest drivers of Fitch's base loss expectations are One Stamford Forum (7.6%), Brewers Hill (4.7%), and Simon Premium Outlets (4.1%). Fitch's current ratings are based on a base case loss expectation of 7.3%. The Negative Outlooks on classes A-S through D, X-B and X-D reflect losses that could reach 11.1% when factoring additional sensitivity loss assumptions on One Stamford Forum, Brewers Hill and Simon Premium Outlets due to concerns with current performance and potential for further value declines if performance does not recover during the remaining loan terms. Fitch Loans of Concern: The largest contributor to overall loss expectations is the One Stamford Forum loan, which is secured by a 504,471-sf office building located in Stamford, CT. The loan transferred to special servicing in March 2019 for imminent monetary default when Purdue Pharma, a sponsor-owned pharmaceutical company focusing on pain medication, including OxyContin, which uses the property as their U.S. headquarters, filed bankruptcy due to lawsuits related to the opioid crisis. At issuance, Purdue Pharma occupied 92% of the NRA through a direct lease and sublease from UBS, and had executed a wraparound lease for the remainder of the building that was planned to take effect when UBS' lease for 33% of the NRA expired at YE 2020. However, in September 2019, Purdue Pharma filed Chapter 11 bankruptcy and rejected the wraparound lease via bankruptcy. They have since downsized to 126,747 sf (25% NRA) on the ninth, 10th floors and ancillary spaces. Purdue Pharma had already been subleasing a portion of its space to other tenants at issuance. Based upon the September 2021 rent roll, new tenants and existing subtenants accounting for approximately 141,811 sf (28% NRA) have signed direct leases at the property, resulting in a 53% total occupancy rate. Fitch's base case loss expectation of approximately 48% reflects a dark value of $50 million, which made assumptions for stabilized occupancy (75%), market rent ($46.7psf), downtime between leases (18 months), carrying costs and re-tenanting costs ($30psf for new tenant improvements and 5% for new leasing commissions), while also factoring in the current balance of the cash flow sweep reserve of $5.5 million. The largest non-specially serviced contributor to overall loss expectations is the Simon Premium Outlets loan (4.1%), which is secured by a 782,765-sf portfolio of three outlet centers located in tertiary markets, including Lee, MA; Gaffney, SC and Calhoun, GA. Portfolio occupancy has declined to 66% as of June 2021 from 69% at YE 2020, 82% at YE 2019 and 93% at issuance (at YE 2016). Per the September 2021 rent rolls, approximately 30% of NRA of leases expire in 2022 at Lee Premium Outlets, 42% at Gaffney Premium Outlets and 53% at Calhoun Premium Outlets. These include inline tenants GAP (12,113 sf, LXP 6/30/2022), Nike (11,735sf, 1/31/2022), Crate & Barrel (11,354 sf, LXP 1/31/2022), etc. Total portfolio TTM sales as of May 2021 were $148.0 million which were 22% lower than $190.2 million at YE 2018 and 31% lower than the $215.9 million reported around the time of issuance. Fitch's base case loss expectation incorporates a 25% cap rate and a10% stress to the YE 2020 NOI due to concerns about upcoming tenant rollover, declines in sales and overall performance, as well as the tertiary market locations. The third largest contributor to overall loss expectations is the Brewers Hill loan (4.6%), which consists of three properties in the Brewer's Hill Planned Unit Development (PUD) encompassing a total of 11 buildings of multi-tenant office/self-storage use and 530 parking spaces. The property is located in the Canton neighborhood of Baltimore, MD. The loan is on the master servicer's watch list due to declines in performance and Fitch is monitoring the tenant turnover and occupancy volatility. Overall collateral occupancy declined to 77% at YE 2020 from 92% at YE 2019 primarily due to office tenant AOL (46,000 sf, 12% NRA) vacating the property upon their lease expiry. The borrower has since re-leased 56,000sf in the same building to a veterinary surgery and continuing education center (NEXUSVET) on a lease with a discounted rate with rental steps that increase to $21psf in 2026. The properties also have exposure to 22,000sf of co-working space which caused a decline in income due to the impact of the pandemic. Per the borrower, rental recovery on this space is expected as the effects of the pandemic stabilize. Due to the lower rental income, the reported debt service coverage ratio (DSCR) as of September 2021 declined to 0.88x compared to 1.05x at YE 2020 and 1.50x at YE 2019. In addition, Cigna, which occupies 6.7% of the NRA has indicated that they plan to vacate upon lease expiration in December 2022. Random Productions (6.6% NRA) vacated upon lease expiry in December 2021 but the space has since been re-leased by Apple+ on an eight-month short-term lease. Fitch's analysis included a 15% stress to YE 2019 given NEXUSVET's lower rental terms and potential continued performance volatility during the loan term. Additional Specially Serviced Loan: Hilton Long Island Huntington (4.0%) is a 305-key full-service hotel in Melville, NY on Long Island. The loan transferred to special servicing in January 2021 for imminent monetary default. Per January special servicer comment, the loan was brought current in full through and including the January 2022 loan payment. The loan is anticipated to return to the Master Servicer in April 2022. Per June 2021 OSAR, the property was 35% occupied with NOI DSCR of 0.69x. TTM September 2021 RevPAR was $77.6 compared with $53 at YE 2020. Alternative Loss Scenario: Fitch's analysis included an additional sensitivity of 75% loss on Stamford Forum to address downside risk if the property is unable to recover given the challenging market conditions and potential for high losses if the property becomes REO. A 25% loss was applied on Brewers Hill due to concerns with declining occupancy and challenges re-tenanting the space and a 50% loss was applied on Simon Outlets' given concerns with declining performance and that the borrower may face challenges refinancing the loan. This additional sensitivity scenario contributed to the Negative Rating Outlooks on classes A-S, B, C, D, X-B and X-D. Minimal Change to Credit Enhancement: As of the January 2022 distribution date, the pool's aggregate principal balance has been reduced by 5.2% to $825.4 million from $870.6 million at issuance. Twelve loans (39.5%) are full-term interest only and 10 loans (29.4%) are partial-term interest-only, nine of which (22.2%) have begun amortizing. Two loans (1.9%) are defeased and interest shortfalls are currently impacting classes G and RRI. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades to the senior classes, A 1, A-2, A-3, A-SB and X-A are less likely due to the high credit enhancement (CE), but may occur should interest shortfalls occur. Further downgrades to classes A-S, B, C and X-B could occur if overall pool losses increase and/or one or more large loans, such as One Stamford Forum or the Simon Premium Outlets, have an outsized loss which would erode CE. -- Further downgrades to classes D, X-D, E, X-E, F and X-F could occur if loss expectations increased due to an increase in specially serviced loans or an increase in the certainty of a high loss on a specially serviced loan. If the Simon Premium Outlets were to default or transfer to special servicing, or if One Stamford Forum were to go REO, these classes could be downgraded. The Negative Outlooks may be revised back to Stable if performance of the FLOCs improve or specially serviced loans return to the master servicer. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with paydown and/or defeasance. The upgrade of classes A-S and B would only occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs. An upgrade to classes C and X-B would also consider these factors, but would be limited based on sensitivity to concentrations or the potential for future concentration. -- Classes would not be upgraded above 'Asf' if there is a likelihood for interest shortfalls. An upgrade to classes D, X-D, E, X- E, F and X-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. While uncertainty surrounding the coronavirus pandemic, One Stamford Forum and the Simon Premium Outlets continues, upgrades are not likely. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. 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. WELLS FARGO 2022-ONL: Moody's Assigns (P)B2 Rating to Cl. F Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, to be issued by Wells Fargo Commercial Mortgage Trust 2022-ONL, Commercial Mortgage Pass-Through Certificates, Series 2022-ONL: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B2 (sf) RATINGS RATIONALE The certificates are collateralized by the borrower's fee simple and leasehold interests in a portfolio of 19 single-tenant, office properties (the "portfolio" or the "properties") located across the United States. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower CMBS methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. In aggregate, the portfolio contain 2,093,876 SF located across 15 metropolitan statistical areas within 13 states. Construction dates for properties in the portfolio range between 1999 and 2014. The portfolio has a weighted average year built of 2006, resulting in a weighted average age of approximately 16 years. Property sizes for assets range between 10,803 SF and 481,854 SF, with an average size of 110,204 SF. As of January 27, 2022, the portfolio was 100% leased to approximately 17 tenants. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage DSCR is 1.60x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.86x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 122.3% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 105.9% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grades properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The pool's weighted average property quality grade is 2.25. Notable strengths of the transaction include: asset quality, operating performance, strong tenant roster, geographic diversity and experienced sponsorship. Notable concerns of the transaction include: the high Moody's loan-to-value ratio, lack of asset diversification, tenant rollover, interest-only mortgage loan profile and certain credit negative legal features. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. WIND RIVER 2019-2: S&P Assigns BB- (sf) Rating on Cl. E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-R, A-1R, B-R, C-R, D-R, and E-R replacement notes from Wind River 2019-2 CLO Ltd./Wind River 2019-2 CLO LLC, a CLO originally issued in November 2019 that is managed by First Eagle Alternative Credit EU LLC. At the same time, S&P withdrew its ratings on the original class A-1a, A-1b, B-1, B-2, C, D, and E notes (S&P did not rate the class A-2 notes) following payment in full on the Feb. 18, 2022, refinancing date. The replacement notes will be issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. According to the proposed supplemental indenture: -- The replacement class X-R, A-1R, B-R, C-R, D-R, and E-R notes issued at a floating spread over the Secured Overnight Financing Rate (SOFR). -- The stated maturity will be extended to Jan. 15, 2035, the reinvestment period will be extended to Jan. 15, 2027, the non-call period will be extended to Jan. 15, 2024. -- The class X-R notes issued in connection with this refinancing will be paid down using interest proceeds over two payment dates starting on the second payment date. -- Of the identified underlying collateral obligations, 99.48% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. -- Of the identified underlying collateral obligations, 94.62% have recovery ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings. Replacement And Original Note Issuances Replacement notes Class X-R, $1.00 million: Three-month SOFR + 0.65% Class A-1R, $320.00 million: Three-month SOFR + 1.35% Class B-R, $60.00 million: Three-month SOFR + 1.95% Class C-R, $30.00 million: Three-month SOFR + 2.25% Class D-R, $30.00 million: Three-month SOFR + 3.30% Class E-R, $20.00 million: Three-month SOFR + 7.00% Refinanced notes Class A-1a, $273.70 million: Three-month LIBOR + 1.32% Class A-1b, $36.30 million: 2.89% Class A-2, $15.00 million: Three-month LIBOR + 1.65% Class B-1, $50.00 million: Three-month LIBOR + 1.75% Class B-2, $5.00 million: 3.36% Class C, $30.00 million: Three-month LIBOR + 2.65% Class D, $30.00 million: Three-month LIBOR + 3.95% Class E, $20.00 million: Three-month LIBOR + 7.25% All or some of the notes issued by this CLO transaction contain stated interest at SOFR plus a fixed margin. At this time, the vast majority of the corporate loans are still paying a margin over LIBOR. They are expected to transition to a new rate by June 2023 when LIBOR settings will no longer be published. S&P will continue to monitor reference rate reform and take into account changes specific to this transaction and its underlying assets when appropriate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions. These results incorporate a 10-basis-point adjustment to the spread of the LIBOR based assets. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Wind River 2019-2 CLO Ltd./Wind River 2019-2 CLO LLC Class X-R, $1.00 million: AAA (sf) Class A-1R, $320.00 million: AAA (sf) Class B-R, $60.00 million: AA (sf) Class C-R (deferrable), $30.00 million: A (sf) Class D-R (deferrable), $30.00 million: BBB- (sf) Class E-R (deferrable), $20.00 million: BB- (sf) Subordinated notes, $48.30 million: NR Ratings Withdrawn Wind River 2019-2 CLO Ltd./Wind River 2019-2 CLO LLC Class A-1a to NR from 'AAA (sf)' Class A-1b to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C to NR from 'A (sf)' Class D to NR from 'BBB- (sf)' Class E to NR from 'BB- (sf)' Other Classes Paid Down Wind River 2019-2 CLO Ltd./Wind River 2019-2 CLO LLC Class A-2: NR NR--Not rated. ********* 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. 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