/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220313.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, March 13, 2022, Vol. 26, No. 71 Headlines ACC AUTO 2021-A: Moody's Upgrades Rating on Class C Notes to Ba1 AIG CLO 2019-1: Moody's Assigns Ba3 Rating to $19.83MM E-R Notes AMERICAN AIRLINES 2017-2: Fitch Affirms BB Rating on Class B Certs AMERICREDIT AUTOMOBILE 2022-1: Fitch to Rate Cl. E Debt 'BB(EXP)' AMERICREDIT AUTOMOBILE 2022-1: Moody's Gives (P)Ba1 to Cl. E Notes ANGEL OAK 2022-2: Fitch Gives 'B(EXP)' Rating to Class B-2 Debt BALLYROCK CLO 2016-1: Moody's Hikes Rating on E-R Notes to Ba2 BANK 2018-BNK11: Fitch Affirms 'B-' Rating on Class F Debt BEECHWOOD PARK: Moody's Assigns Ba3 Rating to $36.4MM E-R Notes BIG COMMERCIAL 2022-BIG: Moody's Assigns B3 Rating to Cl. F Certs BX MORTGAGE 2022-MVRK: Moody's Gives (P)B3 Rating to Cl. F Certs CEDR COMMERCIAL 2022-SNAI: Moody's Assigns B3 Rating to HRR Certs CIFC FUNDING 2022-I: Moody's Gives Ba3 Rating to $20.75MM E Notes CIM TRUST 2019-R5: Moody's Upgrades Rating on Cl. B2 Notes to Ba2 CITIGROUP COMMERCIAL 2016-P3: Fitch Affirms CCC Rating on F Certs DIAMETER CAPITAL 3: S&P Assigns Prelim BB- (sf) Rating on D Notes DT AUTO 2022-1: S&P Assigns BB (sf) Rating on Class E Notes FIRST INVESTORS 2022-1: S&P Assigns BB- (sf) Rating on Cl. E Notes GCAT 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs GLS AUTO 2022-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes GS MORTGAGE 2022-PJ3: Moody's Gives (P)B3 Rating to Cl. B-5 Certs GS MORTGAGE-BACKED 2022-PJ3: Fitch Gives 'B+(EXP)' to B-5 Certs HPS LOAN 15-2019: Moody's Gives Ba3 Rating to $20MM Cl. E-R Notes ILPT COMMERCIAL 2022-LPFX: Moody's Gives (P)Ba1 Rating to HRR Debt INVESCO CLO 2022-1: Moody's Assigns Ba3 Rating to $28.8MM E Notes IVY HILL IX-R: S&P Assigns BB- (sf) Rating on Class E-RR Notes JAMESTOWN CLO V: Moody's Hikes Rating on $20MM Class E Notes to B3 JP MORGAN 2010-C2: Fitch Affirms 'C' Rating on 2 Tranches LAQ 2022-LAQ: S&P Assigns Prelim B- (sf) Rating on Cl. F Certs MAPS TRUST 2021-1: Moody's Reviews Ba1 Rating on Class C Notes MARBLE POINT XXIV: Moody's Assigns (P)Ba3 Rating to $20MM E Notes MORGAN STANLEY 2016-C31: Fitch Affirms 'CC' Rating on 2 Tranches MTN COMMERCIAL 2022-LPFL: Moody's Assigns (P)B3 Rating to F Certs NEUBERGER BERMAN 47: Moody's Assigns Ba3 Rating to $24MM E Notes NEW RESIDENTIAL 2022-NQM2: Fitch Rates Class B-2 Notes 'B' NEW RESIDENTIAL: Moody's Hikes 137 Tranches From 11 Deals OBX TRUST 2022-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes OCP CLO 2015-9: Fitch Assigns 'BB-' Rating to Class E-R Notes OCTAGON INVESTMENT 45: S&P Assigns BB-(sf) Rating on Class E Notes PALMER SQUARE 2022-1: Moody's Assigns Ba3 Rating to $25MM E Notes PARK AVENUE 2022-1: S&P Assigns BB- (sf) Rating on Class D Notes PPLUS TRUST RRD-1: Moody's Lowers Rating on 2 Tranches to Caa1 ROCKFORD TOWER I: Moody's Assigns (P)Ba3 Rating to $24.3MM E Notes ROCKFORD TOWER I: Moody's Assigns Ba3 Rating to $24.3MM E Notes SATURNS TRUST NO. 2003-7: S&P Raises Class B Units Rating to 'BB' SG RESIDENTIAL 2022-1: S&P Assigns B- (sf) Rating on Class B Certs SOUND POINT XXV: Moody's Assigns Ba3 Rating to $18MM Cl. E-R Notes SOUND POINT XXXIII: Moody's Assigns Ba3 Rating to $20MM E Notes STARWOOD MORTGAGE 2022-2: Fitch Gives Final B- Rating to 2 Tranches STEELE CREEK 2022-1: Moody's Assigns (P)Ba3 Rating to Cl. E Notes TCW CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes TRINITAS CLO X: Moody's Assigns B3 Rating to $4MM Class F-R Notes UBS COMMERCIAL 2019-C16: Fitch Affirms 'B-' Rating on H-RR Certs UBS-BARCLAYS 2012-C3: Moody's Affirms B3 Rating on Cl. F Certs VIBRANT CLO VI: Moody's Hikes Rating on $25MM Class E Notes to Ba3 WELLS FARGO 2022-ONL: Moody's Assigns B2 Rating to Cl. F Certs WESTLAKE 2022-1: S&P Assigns Prelim 'B' Rating on Class F Notes WFRBS COMMERCIAL 2013-C15: Moody's Lowers Cl. C Certs Rating to B2 [*] Fitch Takes Ratings on 9 US Trust Preferred CDOs [*] Moody's Cuts 8 Tranches Issued by 7 Navient FFELP Deals [*] Moody's Hikes $191.9MM Scratch & Dent RMBS Issued 2004-2007 [*] S&P Takes Various Actions on 84 Classes from 17 US RMBS Deals ********* ACC AUTO 2021-A: Moody's Upgrades Rating on Class C Notes to Ba1 ---------------------------------------------------------------- Moody's Investors Service has upgraded 2 classes of notes issued by ACC Auto Trust 2021-A. The notes are backed by a pool of retail automobile loan contracts originated and serviced by Automotive Credit Corporation (ACC). The complete rating actions are as follow: Issuer: ACC Auto Trust 2021-A Class B Notes, Upgraded to A3 (sf); previously on Jul 30, 2021 Definitive Rating Assigned Baa2 (sf) Class C Notes, Upgraded to Ba1 (sf); previously on Jul 30, 2021 Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The upgrades resulted from the buildup of credit enhancement due to structural features including non-declining reserve accounts, overcollateralization, and the sequential pay structure of the transaction. Moody's lifetime cumulative net loss expectation remains at 21% for the transaction. 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. AIG CLO 2019-1: Moody's Assigns Ba3 Rating to $19.83MM E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of CLO refinancing notes issued by AIG CLO 2019-1, LLC (the "Issuer"). Moody's rating action is as follows: US$1,375,000 Class X Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$312,100,000 Class A-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$19,825,000 Class E-R 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. 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% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist Second Lien Loans, First-Lien Last-Out Loans, Unsecured Loans, Senior Secured Bonds, Senior Secured Notes and Unsecured Bonds. AIG Credit Management, LLC (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 the other classes of secured 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; changes to the overcollateralization test levels; 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: $495,407,997.66 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3019 Weighted Average Spread (WAS): SOFR + 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% 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. AMERICAN AIRLINES 2017-2: Fitch Affirms BB Rating on Class B Certs ------------------------------------------------------------------ Fitch Ratings has affirmed American Airlines' 2021-1, 2015-1, 2014-1, 2013-2 and 2013-1 enhanced equipment trust certificate (EETC) ratings, including the B tranches for the transactions. Fitch has also affirmed the class AA, class A and class B certificates of American's 2017-2 and 2017-1 at 'A+', 'A-' and 'BB', respectively, and the former US Airways class A certificates series 2013-1, 2012-2 and 2012-1 at 'A'. The Affected Entities are: American Airlines Pass Through Trust Certificates, Series 2013-1 US Airways 2012-1 Pass Through Trust American Airlines Pass Through Trust Certificates, Series 2014-1 American Airlines Pass Through Trust, Series 2013-2 American Airlines Pass Through Trust Series 2015-1 American Airlines Pass Through Trust Certificates Series 2017-1 American Airlines Pass Through Trust Certificates, Series 2021-1 American Airlines Pass Through Trust Certificates Series 2017-2 US Airways 2012-2 Pass Through Trust US Airways 2013-1 Pass Through Trust The loan-to-value ratios for American's EETC transactions have been largely stable since Fitch's prior review, collateral coverage remains adequate to pass the relevant stress scenarios supporting the current senior tranche ratings. Subordinate tranche ratings have been affirmed reflecting no change to Fitch's assessment of the likelihood of affirmation for either transaction since the prior rating review. Expected affirmation and liquidity features continue to support existing subordinated tranche notching from American's 'B-' Issuer Default Rating (IDR). KEY RATING DRIVERS Class AA and A Affirmations: Fitch has affirmed American's 2021-1 certificates and former US Airways certificates series 2013-1, 2012-2 and 2012-1 at 'A'. These transactions remain well overcollateralized and continue to pass Fitch's 'A' category stress scenario with ample headroom. Fitch has affirmed the class AA and A certificates of American's EETC transactions. American's 2017-2 and 2017-1 class AA certificates have been affirmed at 'A+'. Both transactions remain well overcollateralized and retain a large amount of headroom within Fitch's 'A' category stress test. The transaction are capped at 'A+' as Fitch's EETC criteria stipulate that senior tranches are unlikely to be rated in the 'AA' category when issuers are rated 'B-' or below. The 2017-2 and 2017-1 class A certificates are subordinate to the class AA certificates in the structures, and while they remain sufficiently overcollateralized to pass Fitch's 'A' category stress test, LTVs have limited headroom. Fitch views the downside risks to these transactions as more limited compared with some of American's other EETCs because of a better collateral mix. The 2017-1 and 2017-2 transactions are secured by aircraft such as 787-9s, A321-200s, 737 MAX 8s 737-800s, which Fitch views as well positioned to hold value following the pandemic. Fitch has affirmed American's 2015-1 class A certificates at 'BB+' and 2014-1 at 'BBB-'. The 2015-1 transaction continues to pass Fitch's 'BB' level stress test with adequate headroom; the transaction no longer passes the 'A' or 'BBB' level stress tests given the decline in 777-300ERs values since coronavirus pandemic. Like the 2015-1 transaction, collateral coverage for 2014-1 has weakened due to declining 777-300ERs values, leaving 2014-1 class certificates with minimal headroom within Fitch's 'BBB' level stress test. Fitch has changed the designation of the 777-300ER aircraft to a tier 2 aircraft, from a tier 1 aircraft, since the last annual review to reflect the continued secondary market pressures. Fitch has affirmed the American 2013-2 class A certificates at 'BBB+'. The transaction is well overcollateralized and retains a large amount of headroom within Fitch's 'BBB' category stress test. The collateral pool largely consists of mid-life 737-800s. Fitch has also affirmed American's 2013-1 class A certificates at 'BB-'. The transaction to failed to pass any of Fitch's top-down stress tests. As such, Fitch now rates the transaction through a bottom-up approach (the rating approach used for subordinated tranches). The three-notch uplift reflects one notch for a low-to-moderate affirmation factor, one for the presence of a liquidity facility and one for recovery. LTV Summary: -- AAL 2021-1 class A: Base Case - 56%, 'A' Stress Case - 81% -- AAL 2017-2 class AA: Base Case - 41%, 'A' Stress Case - 67% -- AAL 2017-2 class A: Base Case - 61%, 'A' Stress Case - 93% -- AAL 2017-1 class AA: Base Case - 41%, 'A' Stress Case - 67% -- AAL 2017-1 class A: Base Case - 60%, 'A' Stress Case - 93% -- AAL 2015-1: Base Case - 67%, 'BB' Stress Case - 94% -- AAL 2014-1: Base Case - 67%, 'BBB' Stress Case - 99% -- AAL 2013-2: Base Case - 51%, 'BBB' Stress Case - 79% from Jan. 15, 2022 -- AAL 2013-1: Base Case - 77%, 'BB' Stress Case - 105% -- LCC 2013-1: Base Case - 54%, 'A' Stress Case - 80% -- LCC 2012-2: Base Case - 55%, 'A' Stress Case - 89% -- LCC 2012-1: Base Case - 46%, 'A' Stress Case - 68% Subordinated Tranche Ratings: Fitch has affirmed all of American's class B certificates. Fitch notches subordinated tranche EETC ratings from the airline IDR based on three primary variables: 1) the affirmation factor (0-3 notches); 2) the presence of a liquidity facility (0-1 notch); and 3) recovery prospects (0-1 notch). American's 2021 class B certificates are rated 'BB+' for its solid recovery prospects in a stress scenario. The LTVs for the AAL 2021-1 class Bs are lower than several precedent class B certificates issued by American Airlines, for which Fitch does not apply a one-notch uplift. Fitch also views this collateral pool as being favorable for recovery since the majority of the value resides in new technology narrowbody aircraft that are less likely to experience value volatility in the near term. American's other class B certificates are rated 'BB'. Tranches rated at 'BB' receive a +4 notch uplift for a high affirmation factor, one notch for the presence of a liquidity facility, and no notching for recovery. Fitch's recovery analysis generally assumes 'BB' level value stresses as defined in the EETC rating criteria. Fitch's criteria allow for one notch of uplift in cases where subordinate tranche recovery is expected to remain above 91%. Some of American's transactions meet this threshold, but no notching is applied due to the relatively weaker recovery prospects and higher LTVs compared to the 2021-1 transaction where Fitch applies a one-notch-uplift for recovery. Affirmation Factor: The pools of aircraft represented by the AAL EETCs are all considered strategically important and are likely to remain so over the intermediate term. Fitch considers the affirmation factor for the 2014, 2015, 2017 and 2021 transactions to be high while the other transactions receive more limited ratings uplift. The affirmation factor for the 2021-1 is high, supported by the A321 NEO's key role in American's narrowbody fleet along with the E-175s utility in allowing American to upgauge its regional offerings. The fuel efficiency of the A321 NEO supports the affirmation factor. Airbus estimates that the NEO is roughly 15% more fuel efficient than its predecessor, driving potential savings in fuel costs. Affirmation factor for AAL 2017-1, and 2017-2 benefits from the inclusion of 787-9s and 787-8s, which are strategically important to American as they replace older 767s and operate with a much higher level of fuel efficiency. The 2015, and 2017 transactions also contain attractive narrowbodies including newer delivery 737 MAXs and A321s, which are likely to play a prominent role in the fleet as older/higher maintenance narrowbodies are retired. Each of these transactions also contains sizable numbers of E-175s. Although the ERJ-175s arguably represent some of the weakest pieces of collateral compared with other collateral in the respective structure, they represent a positive in terms of affirmation factor. The ERJ-175s are considered a Tier I asset due to its prominence in the shift among major carriers to move away from smaller 50-seat RJs, and utility in allowing American to upgauge its regional offerings. As of year-end 2021, American operated a fleet 115 regional jets with 50 or fewer seats including eight regional aircraft being held in temporary storage. 50-seat regional aircraft are far more likely to be rejected in a potential restructuring than brand new ERJ 175s as the smaller planes are more costly to operate, and do not offer a business class cabin. The 2015-1 and 2014-1 transactions' collateral pools are weighted towards 777-300ERs delivered in 2014 with it representing 43% and 54% of the collateral pool, respectively. Fitch now considers the 777-300ER to be a tier 2 aircraft (from a Tier 1 aircraft in the prior review) due to continued secondary market pressures. The 777-300ERs continue to have a key position in American's fleet, particularly as other widebodies are being retired. American views the 777-300ER as its premier wide-body aircraft, and utilizes the plane on its key long-haul international routes. DERIVATION SUMMARY The certificates rated 'A+' are one notch higher than ratings for several class A certificates issued by other carriers. Stress scenario LTVs for the 2017-1 and 2017-2 class AA certificates remain low and continue to support the 'A+' rating. Class A certificates that are rated 'A' compare well with issuances from United, Air Canada and British Airways that are also rated 'A'. Rating similarities are driven by similar levels of overcollateralization and high-quality pools of collateral. Class A certificates rated at 'A-' are a notch lower than several other comparable issuances primarily due to weaker levels of overcollateralization. The 'BB' ratings on the class B certificates are derived through a four-notch uplift from American's IDR. The four-notch uplift reflects a high affirmation factor, benefit of a liquidity facility and no benefit for recovery expectations. The 2021-1 class Bs certificates is one notch above other class B certificates as it has lower LTVs and a better recovery prospects than other class B certificates. KEY ASSUMPTIONS -- Key assumptions within the rating case for the issuer include a harsh downside scenario in which American declares bankruptcy, chooses to reject the collateral aircraft, and where the aircraft are remarketed in the midst of a severe slump in aircraft values. An American Airlines bankruptcy is hypothetical, and is not Fitch's current expectation as reflected in American's 'B-' IDR. Fitch's models also incorporate a full draw on liquidity facilities and include assumptions for repossession and remarketing costs; -- Fitch's recovery analyses for subordinated tranches utilize its 'BB' level stress tests and include a full draw on liquidity facilities and assumptions for repossessions an remarketing costs; -- EETC models also include standard depreciation rates for aircraft values as outlined in Fitch's criteria; -- Fitch's 'A' level stress scenario includes a 20% haircut for A321 NEO; a 25% value haircut for the A321-200, B737-800 and B787-9; and a 30% value haircut for the B777-300ER and E-175; -- Fitch's analysis incorporates a 6% annual depreciation rate for Tier I aircraft and a 7% annual depreciation rate for Tier II aircraft. Fitch has increased its depreciation rate assumptions modestly reflecting updated analysis of historical aircraft value trends. RATING SENSITIVITIES Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Positive ratings on the class A certificates are not expected in the near-term; -- Class B certificates ratings are based on the underlying issuer rating. The class Bs may be upgraded if American Airlines' IDR was upgraded. Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The individual tranches that are rated in the 'A' or 'BBB' category are primarily based on a top-down analysis based on the value of the collateral. Therefore, negative rating actions could be driven by an unexpected decline in collateral values. American's 2017-2 and 2017-1 class AA certificates and the US Airways 2021-1, 2013-1, 2012-2, and 2012-1 class A certificates retain a high level of cushion within Fitch's 'A' level stress scenario, making negative rating actions less likely. American's other class A certificates pass their respective scenarios with more limited headroom making them more vulnerable to future downgrades. Senior tranche ratings could also be affected by a perceived change in the affirmation factor or deterioration in the underlying airline credit; -- Subordinated tranche ratings are based off of the underlying airline IDR. Fitch will downgrade in line with any future downgrades of American Airlines' ratings. Subordinate tranches are also subject to changes in Fitch's view of the likelihood of affirmation for the underlying collateral. BEST/WORST CASE RATING SCENARIO International scale credit ratings of Non-Financial Corporate issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three 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 four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. LIQUIDITY AND DEBT STRUCTURE AAL 2021-1 The Class A and B certificates feature a standard 18- month liquidity facility provided by Credit Agricole (rated A+/F1/Stable). AAL 2017-2 All three tranches of debt in this transaction feature 18-month dedicated liquidity facilities provided by National Australia Bank (NAB) Ltd. (rated A+/F1/Stable). AAL 2017-1 All three tranches of debt in this transaction feature 18-month dedicated liquidity facilities provided by NAB (rated A+/F1/Stable). AAL 2015-1 The 'A' and 'B' tranches feature an 18-month dedicated liquidity facility provided by Credit Agricole (rated A+/F1/Stable). AAL 2014-1 The Class A and Class B certificates benefit from a dedicated 18-month liquidity facility. The liquidity facility provider is by Natixis (rated A+/F1/Negative). The 'A' and 'B' tranches feature an 18-month dedicated liquidity facility provided by Credit Agricole (rated A+/F1/Stable). AAL 2013-2 The A tranche feature an 18-month dedicated liquidity facility provided by Morgan Stanley (rated A/F-1/Positive). AAL 2013-1 The A tranche feature an 18-month dedicated liquidity facility provided by Natixis (rated A+/F-1/Negative). LCC 2013-1 The Class A certificates benefit from a dedicated 18-month liquidity facility. The liquidity facility provider is by Natixis (rated A+/F1/Negative). LCC 2012-2 The Class A certificates benefit from a dedicated 18-month liquidity facility. The liquidity facility provider is by Landesbank Hessen Theuringen Girozentrale (rated A+/F1+/Stable). LCC 2012-1 The Class A certificates benefit from a dedicated 18-month liquidity facility. The liquidity facility provider is by Natixis (rated A+/F1/Negative). ESG Commentary Fitch does not provide separate ESG scores for American Airlines' EEETC transactions as ESG scores are derived from its parent. AMERICREDIT AUTOMOBILE 2022-1: Fitch to Rate Cl. E Debt 'BB(EXP)' ----------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to AmeriCredit Automobile Receivables Trust (AMCAR) 2022-1. DEBT RATING ---- ------ AmeriCredit Automobile Receivables Trust 2022-1 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral and Concentration Risks— Consistent Credit Quality: The pool has consistent credit quality versus recent pools based on the weighted average (WA) Fair Isaac Corp. (FICO) score of 589 and internal credit scores. Obligors with FICO scores of 600 and greater total 46.0%, up from 44.5% in 2021-3 and 40.9% in 2021-2. Extended-term (61+ month) contracts total 93.8%, which is consistent with prior deals. The 73-75 month contracts total 16.2%, in line with the 2021-3 transaction. However, 2022-1 is the sixth transaction to include 76-84 month contracts, at 14.9% of the pool, up from 9.9% and 9.5% in 2021-3 and 2021-2, respectively. Performance data for these contracts are limited due to lack of seasoning. However, these longer loans have obligors with stronger credit metrics; given this and initial performance observations, Fitch did not apply an additional stress to these loans. Forward-Looking Approach to Derive Base Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions in deriving the series loss proxy. Losses on GMF's managed portfolio and securitizations have been normalizing in recent years, with 2015-2017 vintages tracking higher than the strong 2010-2014 vintages. However, overall performance continues to be within Fitch's expectations. Fitch accounted for the weaker performance of recent vintages when deriving the cumulative net loss (CNL) proxy of 10.00%. Payment Structure - Sufficient Credit Enhancement: Initial hard credit enhancement (CE) is consistent with 2021-3, totaling 33.10%, 26.61%, 17.61%, 10.60% and 7.75% for classes A, B, C, D and E, respectively. Excess spread is expected to be 7.06% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base case CNL proxy. Seller/Servicer Operational Review - Consistent Origination/Underwriting/Servicing: Fitch rates GM and GMF 'BBB-'/'F3'/Outlook Stable. GMF demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch deems GMF capable of adequately servicing this series. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Unanticipated increases in the frequency of defaults could produce CNL levels higher than the base case, and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. -- Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base case CNL and recovery rate assumptions, as well as examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. -- Additionally, Fitch conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by up to two categories. 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 Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to 185 randomly selected sample loan contracts. Fitch considered this information in its analysis, and the findings did not have any impact on Fitch's analysis. 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. The concentration of hybrid and electric vehicles of approximately 0.86% did not have an impact on Fitch's ratings analysis or conclusion on this transaction and has no impact on Fitch's ESG Relevance Score. AMERICREDIT AUTOMOBILE 2022-1: Moody's Gives (P)Ba1 to Cl. E Notes ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2022-1 (AMCAR 2022-1). This is the first AMCAR auto loan transaction of the year for AmeriCredit Financial Services, Inc. (AFS; unrated), wholly owned subsidiary of General Motors Financial Company, Inc. (Baa3, stable). The notes will be backed by a pool of retail automobile loan contracts originated by AFS, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2022-1 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aaa (sf) Class C Notes, Assigned (P)Aa2 (sf) Class D Notes, Assigned (P)Baa1 (sf) Class E Notes, Assigned (P)Ba1 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of AFS as the servicer and administrator. Moody's median cumulative net loss expectation for the 2022-1 pool is 9.0% and the loss at a Aaa stress is 33.0%. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of AFS to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D, and Class E notes are expected to benefit from 33.10%, 26.61%, 17.61%, 10.60%, and 7.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for Class E notes which do not benefit from subordination. The notes may also benefit from excess spread. 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 Moody's could upgrade the subordinate notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include 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 things, high delinquencies or a servicer disruption that impacts obligor's payments. ANGEL OAK 2022-2: Fitch Gives 'B(EXP)' Rating to Class B-2 Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings to Angel Oak Mortgage Trust 2022-2 (AOMT 2022-2). DEBT RATING ---- ------ AOMT 2022-2 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 XS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed certificates to be issued by Angel Oak Mortgage Trust 2022-2 Mortgage-Backed Certificates, Series 2022-2 (AOMT 2022-2), as indicated above. The certificates are supported by 1,139 loans with a balance of $578.35 million as of the cutoff date. This represents the 22nd Fitch-rated AOMT transaction, and the second Fitch-rated AOMT transaction in 2022. The certificates are secured by mortgage loans originated by Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC, and Finance of America Mortgage, LLC, as well as various third-party originators, with each contributing less than 10% to the pool. Of the loans, 73.6% are designated as non-qualified mortgage (non-QM) loans, 0.4% are designated as qualified mortgage (QM) loans, and 26.0% are investment properties not subject to the Ability to Repay (ATR) Rule. There is Libor exposure in this transaction. Of the pool, 36 loans represent adjustable-rate mortgage loans that reference one-year Libor. The class A-1, A-2, A-3, are fixed rate and capped at the net weighted average coupon (WAC) while the M-1, B-1, B-2, and B-3 certificates are based off of 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 10.5% 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. Non-QM Credit Quality (Mixed): The collateral consists of 1,139 loans, totaling $578.35 million and seasoned approximately nine months in aggregate, according to Fitch, and seven months per the transaction documents. The borrowers have a strong credit profile (741 FICO and 38.6% debt to income [DTI] ratio, as determined by Fitch), and relatively moderate leverage with an original combined loan to value ratio (LTV) of 70.8%, as determined by Fitch, that translates to a Fitch-calculated sustainable LTV of 77.1%. Of the pool, 69.0% represent loans where the borrower maintains a primary residence, while 31.0% comprise an investor property or second home based on Fitch's analysis. Per the transaction documents, 69.3% represent loans where the borrower maintains a primary residence, while 30.7% comprise an investor property or second home. The discrepancy is due to Fitch's treatment of loans to foreign nationals, which Fitch considers to be investor occupied. Fitch determined that 14.1% of the loans were originated through a retail channel. Additionally, 73.6% are designated as non-QM and 0.4% are designated as QM, while the remaining 26.0% are exempt from QM status since they are investor loans. The pool contains 114 loans over $1 million, with the largest amounting to $4.2 million. Loans on investor properties (7.1% underwritten to the borrowers' credit profile and 19.2% comprising investor cash flow loans) represent 26.3% of the pool, as determined by Fitch. There are no second lien loans, and 1.4% of borrowers were viewed by Fitch as having a prior credit event in the past seven years. Per the transaction documents, 0.3% of the loans have subordinate financing; however, in Fitch's analysis, Fitch considers the 10 loans with deferred balances to have subordinate financing for a total of 1.0% of the pool. The deferred balances are not being securitized. 14 of the loans in the pool are to foreign nationals. Fitch treats foreign nationals as investor occupied, codes as ASF1 (no documentation) for employment and income documentation; if a credit score is not available, Fitch uses a credit score of 650 for these borrowers and removes the liquid reserves. Of the loans in the pool, none are agency-eligible loans underwritten to DU/LP with an "Approved/Eligible" status. The largest concentration of loans is in California (38.7%), followed by Florida and Texas. The largest MSA is Los Angeles (21.7%), followed by Miami (8.5%) and New York (4.7%). The top three MSAs account for 34.9% of the pool. As a result, a 1.02x probability of default (PD) penalty for geographic concentration was applied. Although the credit quality of the borrowers is higher than that of the AOMT transactions securitized in 2021 and 2020, the pool characteristics resemble non-prime collateral, and therefore, the pool was analyzed using Fitch's non-prime model. Loan Documentation (Negative): Fitch determined that 90.3% of loans in the pool were underwritten to borrowers with less than full documentation. Per the transaction documents, 90.2% of the loans in the pool were underwritten to borrowers with less than full documentation. Fitch may consider a loan to be less than a full documentation loan based on its review of the loan program and the documentation details provided in the loan tape, which explains the discrepancy between Fitch's percent and the transaction documents. Of the loans underwritten to borrowers with less than full documentation, 66.6% 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. To reflect the additional risk, Fitch increases the PD by 1.5x on the bank statement loans. Besides loans underwritten to a bank statement program, 2.6% are an asset depletion product and 19.2% comprise a debt service coverage ratio product. The pool has eight loans underwritten to a CPA or PnL product, which Fitch viewed as a negative. Eight loans to foreign nationals were underwritten to a full documentation program; however, in Fitch's analysis, these loans were treated as no documentation loans for income and employment. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent P&I. The limited advancing reduces loss severities as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside is the additional stress on the structure as liquidity is limited in the event of large and extended delinquencies. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while excluding the subordinate bonds from principal until all three A classes are reduced to zero. To the extent that either a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. There is excess spread in the transaction that is available to reimburse for losses or interest shortfalls should they occur. However, excess spread will be reduced after March 2026, since the class A-1 has a step up coupon feature where the A-1 coupon rate will step up to the net WAC rate subject to a cap equal to the initial fixed interest rate plus 1.0%. 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 41.8% 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. 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 AMC Diligence, Inc., Consolidated Analytics, Inc., Covius Real Estate Services, LLC, Infinity IPS, Inc., Selene Diligence LLC, Inglet Blair, LLC, and Recovco Mortgage Management, LLC, and Edge Mortgage Advisory Company, LLC. Clayton Services, LLC is listed as a third-party review firm in the term sheet, however a 15E was not prepared or provided by Clayton. None of the loans included in the final population were reviewed by Clayton Services, LLC or Edge Mortgage Advisory Company, LLC. The third-party due diligence described in Form 15E focused on three areas: compliance review, credit review, and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustment(s) to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.44%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged AMC Diligence, Inc., Consolidated Analytics, Inc., Infinity IPS, Inc., Selene Diligence LLC, Covius Real Estate Services, LLC, Inglet Blair, LLC, Recovco Mortgage Management, LLC, and Edge Mortgage Advisory Company, LLC to perform the review. Clayton Services, LLC is listed as a third-party review firm in the term sheet, however a 15E was not provided by Clayton. None of the loans included in the final population were reviewed by Clayton Services, LLC or Edge Mortgage Advisory Company, LLC. Loans reviewed under these engagements were given compliance, credit and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. 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 (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS AOMT 2022-2 has an ESG Relevance Score of '4'[+] for Transaction Parties & Operational Risk due to strong due diligence results on 100% of the pool and a 'RPS1-' Fitch-rated servicer, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BALLYROCK CLO 2016-1: Moody's Hikes Rating on E-R Notes to Ba2 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Ballyrock CLO 2016-1 Ltd.: US$36,750,000 Class B-R2 Senior Secured Floating Rate Notes Due 2028 (the "Class B-R2 Notes"), Upgraded to Aaa (sf); previously on January 15, 2021 Assigned Aa1 (sf) US$19,250,000 Class C-R2 Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class C-R2 Notes"), Upgraded to Aa1 (sf); previously on January 15, 2021 Assigned A1 (sf) US$22,050,000 Class D-R2 Mezzanine Secured Deferrable Floating Rate Notes Due 2028 (the "Class D-R2 Notes"), Upgraded to A2 (sf); previously on January 15, 2021 Assigned Baa2 (sf) US$19,250,000 Class E-R Junior Secured Deferrable Floating Rate Notes Due 2028 (the "Class E-R Notes"), Upgraded to Ba2 (sf); previously on September 3, 2020 Confirmed at Ba3 (sf) RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2021. The Class A notes have been paid down by approximately 40% or $88.6 million since that time. Based on the trustee's January 2022 quarterly payment report[1], the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 147.78%, 132.92%, 119.18%and 109.32%, respectively, versus February 2021[2] levels of 131.87%, 122.81%, 113.84%and 107.02%, respectively. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, 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: Performing par and principal proceeds balance: $255,072,746 Defaulted par: $0 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2503 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.06% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.53% Weighted Average Life (WAL): 3.12 years Par haircut in OC tests and interest diversion test: 0.28% In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others,near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS, and lower recoveries on defaulted assets. 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. BANK 2018-BNK11: Fitch Affirms 'B-' Rating on Class F Debt ---------------------------------------------------------- Fitch Ratings has affirmed 14 classes of BANK 2018-BNK11. Additionally, Fitch has revised the Rating Outlooks on classes E, F and X-E to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- BANK 2018-BNK11 A-1 06540TAA8 LT AAAsf Affirmed AAAsf A-2 06540TAC4 LT AAAsf Affirmed AAAsf A-3 06540TAD2 LT AAAsf Affirmed AAAsf A-S 06540TAG5 LT AAAsf Affirmed AAAsf A-SB 06540TAB6 LT AAAsf Affirmed AAAsf B 06540TAH3 LT AA-sf Affirmed AA-sf D 06540TAP5 LT BBB-sf Affirmed BBB-sf E 06540TAR1 LT BB-sf Affirmed BB-sf F 06540TAT7 LT B-sf Affirmed B-sf X-A 06540TAE0 LT AAAsf Affirmed AAAsf X-B 06540TAF7 LT AA-sf Affirmed AA-sf X-D 06540TAK6 LT BBB-sf Affirmed BBB-sf X-E 06540TAM2 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Improved Loss Expectations: The Outlook revisions to Stable from Negative reflect lower loss expectations on properties recovering from the coronavirus pandemic; in particular, the Northwest Hotel Portfolio loan (5.6%). Fitch's current ratings reflect a base case loss of 3.8%. Two loans (4.3%) have been flagged as Fitch Loans of Concern (FLOCs) for high vacancy and low NOI DSCR. As of the February 2022 reporting period, there were no loans in special servicing. The largest change in expected losses since prior rating action is Northwest Hotel Portfolio (5.6%), which is secured by a portfolio of seven limited service hotels, all located in the Pacific Northwest. This loan was previously flagged as a loan of concern for underperformance due to the coronavirus pandemic. Portfolio TTM September 2021 NOI has recovered 7.8% above YE 2019 and is 83% higher than YE 2020. TTM September 2021 weighted average occupancy, ADR and RevPAR for the portfolio was 70%, $148, and $103, respectively with a weighted average RevPAR index of 109%. The largest contributor to modelled losses is One Lincoln Station (FLOC, 4.0%), which is secured by a suburban office property located in Lone Tree, CO. Subject December 2021 occupancy has fallen to 47% from 100% at YE 2019 due to Nationwide (NRA 53%) vacating ahead of its scheduled lease expiration Q4 2020. As a result, YTD September 2021 NOI DSCR has fallen to 0.26x. At issuance, Nationwide accounted for 52% of underwritten gross rents. Per the borrower, the vacant space was being marketed as three distinct units. Additionally, a $4.7 million early termination fee collected from Nationwide has been deposited into a reserve account. Fitch's expected loss of 22% reflects a 25% haircut and 9% cap rate on YE 2020 NOI to reflect Nationwide's departure. Minimal Change to Credit Enhancement: As of the February 2022 payment period, the pool's aggregate balance has been paid down by 2.4% to $672.2 million from $688.2 million at issuance. There are 15 loans comprising 50.3% of the pool that are interest only for the full term. No loans have been defeased. Additionally, no loans are scheduled to mature until January 2028. ADDITIONAL LOSS CONSIDERATIONS Investment-Grade Credit Opinion Loans: Three loans comprising 22.8% of the transaction received an investment-grade credit opinion at issuance. Twelve Oaks Mall (9.3%) received a credit opinion of 'BBB-sf' on a standalone basis. Apple Campus 3 (9.4%) received a credit opinion of 'BBB-sf' on a standalone basis. The Gateway (4.1%) received a standalone credit opinion of 'BBBsf'. Fitch no longer considers the Twelve Oaks Mall loan as credit opinion due to performance declines and lower sales since issuance. 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 X-D are possible should performance of the FLOCs continue to decline. Classes E, F and X-E could be downgraded should loans transfer to special servicing 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 'A-sf' and 'AA-sf' rated classes are not expected but would likely occur with significant improvement in credit enhancement and/or defeasance. Classes would not be upgraded above 'Asf' if there is a likelihood of interest shortfalls. -- 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. An upgrade to the 'B-sf'- and 'BB-sf'-rated classes is not likely unless 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. BEECHWOOD PARK: Moody's Assigns Ba3 Rating to $36.4MM E-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by Beechwood Park CLO, Ltd. (the "Issuer"). Moody's rating action is as follows: US$36,000,000 Class A-2-R Senior Secured Floating Rate Notes Due 2035, Assigned Aaa (sf) US$36,400,000 Class E-R 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. 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 consist of first lien loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, first lien last out loans, unsecured loans and senior secured bonds. Blackstone CLO Management LLC (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, 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; change of Issuer's jurisdiction of incorporation; 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: Performing par and principal proceeds balance: $800,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3154 Weighted Average Spread (WAS): 3.4% Weighted Average Recovery Rate (WARR): 47% Weighted Average Life (WAL): 7.88 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. BIG COMMERCIAL 2022-BIG: Moody's Assigns B3 Rating to Cl. F Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of CMBS securities, issued by BIG Commercial Mortgage Trust 2022-BIG, Commercial Mortgage Pass-Through Certificates, Series 2022-BIG: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The certificates are collateralized by the borrower's fee interests in 39 primarily industrial properties located across 18 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. The portfolio contains approximately 7,593,169 SF of aggregate net rentable area (NRA) across the following six property subtypes - Warehouse/Distribution (20 properties; 70.1% of NRA), Light Manufacturing (12; 22.2%), Manufacturing (2; 4.4%), Flex/Office (2; 1.3%), General Industrial (2; 1.5%) and R&D/Flex (1; 0.5%). The portfolio is geographically diverse as the properties are located across 18 states and 27 markets. The top five market concentrations by net rentable area are Minneapolis (1 property, 15.7% of NRA), Chicago (4, 14.3%), Roanoke (2; 9.2%), Jacksonville (2, 8.6%) and Cleveland (3; 4.7%). Only 22.2% of the properties are located in global gateway markets, generally situated within close proximity to major transportation arteries and population density. Construction dates for properties in the portfolio range between 1948 and 2016, with a weighted average year built of 1983 (average age of 39 years). Property sizes for assets range between 32,688 SF and 1,190,400 SF, with an average size of approximately 115,348 SF. Clear heights for properties range between 12 feet and 38 feet, with a weighted average maximum clear height for the portfolio of approximately 27.2 feet. As of January 1, 2022, the portfolio was approximately 97.4% leased to 28 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 2.08x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.68x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 138.4% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 119.9%, compared to 120.0% issued at Moody's provisional ratings, 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 1.75. Notable strengths of the transaction include: the geographic diversity, strong occupancy, long term tenancy and recapitalization financing Notable concerns of the transaction include: the asset quality and functionality, lack of historical operating performance, low population demos, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. 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. BX MORTGAGE 2022-MVRK: Moody's Gives (P)B3 Rating to Cl. F Certs ---------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, to be issued by BX 2022-MVRK Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2022-MVRK: 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)B3 (sf) RATINGS RATIONALE The certificates are collateralized by the borrower's fee interests in 77 primarily industrial properties located across ten 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 Commercial Mortgage-Backed Securitization 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. The portfolio contains approximately 7,138,755 SF of aggregate net rentable area ("NRA") across the following six property subtypes - light industrial (42.8% of NRA), warehouse (32.7% of NRA), bulk warehouse (19.6% of NRA), manufacturing (3.0% of NRA), parking (1.5% of NRA), and covered land (0.5% of NRA). The portfolio is geographically diverse as the properties are located across 10 states and 13 markets. The top five market concentrations by NRA are El Paso (21 properties; 23.8% of NRA), Inland Empire (2 properties; 19.6% of NRA), Minneapolis (13 properties; 15.3% of NRA), Atlanta (17 properties; 12.5% of NRA and Charlotte (5 properties; 4.1% of NRA). The portfolio properties are primarily located in gateway markets and generally situated within close proximity to major transportation arteries. Construction dates for properties in the portfolio range between 1952 and 2021, with a weighted average year built of 1991. Property sizes for assets range between 8,192 SF and 796,841 SF, with an average size of approximately 92,711 SF. Clear heights for properties range between 12 feet and 36 feet, with a weighted average maximum clear height for the portfolio of approximately 24.9 feet. As of February 7, 2022, the Portfolio was approximately 95.4% leased to approximately 123 individual 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 1.34x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.47x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 189.6% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 164.3% 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 1.25. Notable strengths of the transaction include: the proximity to global gateway markets, infill locations, rent upside, geographic diversity, low percentage of flex industrial and experienced sponsorship. Notable concerns of the transaction include: the high Moody's LTV ratio, tenant concentration and rollover, average property size, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. 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. CEDR COMMERCIAL 2022-SNAI: Moody's Assigns B3 Rating to HRR Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CMBS securities, issued by CEDR Commercial Mortgage Trust 2022-SNAI, Commercial Mortgage Pass-Through Certificates, Series 2022-SNAI: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) Cl. HRR, Definitive Rating Assigned B3 (sf) Note: Moody's previously assigned a provisional rating to Class X-CP of (P) Aa3 (sf), described in the prior press release, dated February 14, 2022. Subsequent to the release of the provisional ratings for this transaction, the structure was modified. Based on the current structure, Moody's has withdrawn its provisional rating for Class X-CP and will not rate this certificate. RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interest in two, Class-A medical office buildings (8631 and 8635 West 3rd Street), totaling 330,892 SF, located in the West Hollywood submarket of Los Angeles, CA (the "collateral"). Moody's ratings are based on the credit quality of the loan and the strength of the securitization structure. 8631 and 8635 West 3rd Street are two 11-story medical office buildings developed upon a single 3.75-acre parcel in Los Angeles, CA. The two structures were built in 1979 and were most recently renovated between 2016 to 2020 for $19.2 million ($58 PSF). The scope of the work consisted of lobby and common area renovations, elevator modernization, parking garage renovations, and pedestrian bridge modernization. The properties feature several amenities including building concierge, on-site banking (Wells Fargo), a sit-down deli, multiple pharmacies within walking distance, a coffee bar, cleaners and a car wash/detail service. Collateral for the loan also includes two parking structures with a total of 1,602 spaces (4.8 spaces/1,000 SF of NRA). The medical office buildings are part of the larger Cedars-Sinai campus. Cedars-Sinai Medical Center is an 886-bed multi-specialty hospital ranked by U.S. News & World Report as the #6 hospital in the United States, and the #2 hospital in California for 2021-2022. Cedars-Sinai Medical Center is one of the largest non-profit academic medical centers in the United States. The Cedars-Sinai Medical Center sits directly north of the subject site and is connected to the two medical buildings via bridge. As a cohesive extension of the hospital, each medical tower also features a helicopter landing pad for emergency use only. The property is currently 89.4% occupied by approximately 68 primarily medical office tenants. Tenancy is anchored by the Cedars-Sinai Medical Center tenant and Cedars-Sinai Medical Care Foundation tenant (together "Cedars-Sinai"; Aa3, senior most revenue backed, 45.0% NRA, 50.3% base rent). Cedars-Sinai is the largest tenant in the office complex occupying 149,063 SF of NRA. Aside from anchor tenant Cedars-Sinai, no tenant accounts for more than 3.1% of NRA or base rent. Leases representing 40.7% of NRA (45.7% of base rent) roll over the 5-year loan term. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations 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. 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 Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations 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 3.21x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.69x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 125.9% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 109.1% , compared to 109.2% issued at Moody's provisional ratings, 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 property's weighted average property quality grade is 0.50. Notable strengths of the transaction include: property quality, location, investment grade tenancy, stable occupancy history, capital investment, and rollover profile. Notable concerns of the transaction include: high leverage, full-term interest-only loan profile, tenant concentration, property age and credit negative legal considerations. 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. CIFC FUNDING 2022-I: Moody's Gives Ba3 Rating to $20.75MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by CIFC Funding 2022-I, Ltd. (the "Issuer" or "CIFC 2022-I"). Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,750,000 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. CIFC 2022-I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans or bonds, provided that not more than 5.0% of the portfolio consists of bonds. The portfolio is approximately 100% ramped as of the closing date. CIFC Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 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 three classes of senior 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: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3155 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.0% 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. CIM TRUST 2019-R5: Moody's Upgrades Rating on Cl. B2 Notes to Ba2 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 16 tranches from six transactions issued by Chimera, Freddie Mac and GCAT between 2016 and 2019. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers. A List of Affected Credit Ratings is available at https://bit.ly/3pWe5Bz The complete rating actions are as follows: Issuer: CIM Trust 2019-R2 Cl. M1, Upgraded to Aaa (sf); previously on Oct 11, 2019 Definitive Rating Assigned Aa2 (sf) Cl. M2, Upgraded to A2 (sf); previously on Oct 11, 2019 Definitive Rating Assigned A3 (sf) Issuer: CIM Trust 2019-R5 Cl. M1, Upgraded to Aaa (sf); previously on Dec 10, 2019 Definitive Rating Assigned Aa2 (sf) Cl. M2, Upgraded to Aa3 (sf); previously on Dec 10, 2019 Definitive Rating Assigned A3 (sf) Cl. M3, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B1, Upgraded to Baa3 (sf); previously on Jun 17, 2021 Upgraded to Ba1 (sf) Cl. B2, Upgraded to Ba2 (sf); previously on Jun 17, 2021 Upgraded to B1 (sf) Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1 Cl. M-2, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1 Cl. M-1, Upgraded to Baa1 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Issuer: Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2 Cl. M-1, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Issuer: GCAT 2019-RPL1 Trust Cl. M-1, Upgraded to Aaa (sf); previously on Aug 29, 2019 Definitive Rating Assigned Aa2 (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Aug 29, 2019 Definitive Rating Assigned A3 (sf) Cl. M-3, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) Cl. B-1, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-2, Upgraded to B1 (sf); previously on Sep 28, 2020 Confirmed at B3 (sf) Cl. B-3, Upgraded to Ca (sf); previously on Aug 29, 2019 Definitive Rating Assigned C (sf) RATINGS RATIONALE The rating upgrades reflect the increase in the level of credit enhancement available to these bonds due to higher prepayment rates, which have averaged between 12.0% and 17.6% in the last 12 months. The rating action also reflects Moody's updated loss expectations on the underlying pools. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, but have declined from peak levels observed in 2020. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. In cases where loan level data is not available, Moody's assumed that the proportion of borrowers enrolled in payment relief programs would be equal to levels observed in transactions of comparable asset quality. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 3% and 9% among RMBS RPL transactions. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. Moody's also considered a scenario where the population of non-cashflowing loans default with higher roll rates. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. Given the lack of servicer advancing, an elevated percentage of non-cash flowing loans related to borrowers enrolled in payment relief programs can result in interest shortfalls, especially on the junior bonds. However, the risk of incurring such interest shortfalls has reduced since the proportion of non-cash flowing loans has decreased from the June 2020 peak. Furthermore, based on transaction documents, reimbursement of missed interest on the more senior notes has a higher priority than even scheduled interest payments on the more subordinate notes. Based on this interest reimbursement feature, along with declining levels of borrowers enrolled in payment relief plans, Moody's expect any such interest shortfalls incurred to be temporary and fully reimbursed over the subsequent months. None of the tranches in the rating action have any interest shortfalls outstanding currently. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. 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. Principal Methodologies The methodologies used in these ratings were "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. CITIGROUP COMMERCIAL 2016-P3: Fitch Affirms CCC Rating on F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of Citigroup Commercial Mortgage Trust CGCMT 2016-P3 commercial mortgage pass-through certificates. In addition, the Rating Outlooks for six classes were revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CGCMT 2016-P3 A-2 29429CAB1 LT AAAsf Affirmed AAAsf A-3 29429CAC9 LT AAAsf Affirmed AAAsf A-4 29429CAD7 LT AAAsf Affirmed AAAsf A-AB 29429CAE5 LT AAAsf Affirmed AAAsf A-S 29429CAF2 LT AAAsf Affirmed AAAsf B 29429CAG0 LT AA-sf Affirmed AA-sf C 29429CAH8 LT A-sf Affirmed A-sf D 29429CAM7 LT BB-sf Affirmed BB-sf E 29429CAP0 LT Bsf Affirmed Bsf EC 29429CAL9 LT A-sf Affirmed A-sf F 29429CAR6 LT CCCsf Affirmed CCCsf X-A 29429CAJ4 LT AAAsf Affirmed AAAsf X-B 29429CAK1 LT AA-sf Affirmed AA-sf X-D 29429CAV7 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Lower Loss Expectations: Overall pool loss expectations have decreased since Fitch's last rating action due to performance stabilization of some of the Fitch Loans of Concern (FLOCs) affected by the pandemic, and improved recovery expectations on the specially serviced loans. Fitch's current ratings reflect a base case loss of 7.10%. The Negative Outlooks reflect losses that could reach 10.70% after factoring a potential outsized loss on the Empire Mall and additional stresses on three hotel loans to account for ongoing pandemic-related business disruption. Twelve loans (40.7% of pool) are considered FLOCs, including two specially serviced loans (9.7%), due to pandemic-related performance declines, occupancy declines from tenants vacating and/or upcoming rollover concerns. Largest Change to Loss/Specially Serviced Loan: The largest contributor to the improved loss expectations for the pool since the last rating action is the Marriott Midwest Portfolio loan (8.4% of pool), which is secured by a portfolio of 10 hotels (1,103 rooms) located across the midwestern U.S, including three properties in Michigan (36% loan balance, 338 rooms), six properties in Minnesota (54%, 653 rooms) and one property in Wisconsin (10%, 112 rooms). Three of the hotels operate as SpringHill Suites and seven operate as TownePlace Suites. Each of the hotels is in a 15-year franchise agreement with Marriott that expires February 2031, nearly 10 years past the loan's maturity. The loan was transferred to special servicing in June 2020 due to coronavirus-related hardships. The loan matured in March 2021. Cash management was triggered due to payment default. The special servicer has pursued remedies under the loan documents for a potential foreclosure; however, the borrower has proposed an extension of the debt coupled with an equity injection to bring all past due amounts current, fund reserves as needed, and an additional reserve amount for future franchise property improvement plan requirements. Documentation of the final terms is in process. Fitch's base case loss of 6% reflects a value per key of approximately $74,250. The largest contributor to overall loss expectations is the largest loan, Empire Mall (9.4% of pool), which is secured by a 1,023,176-sf superregional mall located in Sioux Falls, SD. The largest tenants include JCPenney (12% of NRA, lease expires in April 2026), Macy's (ground leased; 9%, March 2024), Hy-Vee Food Stores (7.7%, December 2026), Dick's Sporting Goods (4.5%, January 2024), and The District (restaurant; 3.6%, January 2024). This FLOC was flagged for declining performance and occupancy. The loan entered into hard cash management after the property lost anchors Sears and Yonkers in late 2018/2019. Additionally, Gordmans filed bankruptcy and vacated in September 2020. As of September 2021, the most recent reported inline occupancy was 75.3%, with upcoming rollover of 10% of the NRA in 2022 and 4.5% in 2023. The most recently reported inline sales for tenants less than 10,000 sf were $327 psf as of YE 2020, down from $409 as of YE 2019. Fitch's base case loss of 30% reflects a 20% cap rate and 10% stress to the annualized September 2021 NOI to account for upcoming rollover. Alternative Loss Considerations: Fitch performed an additional sensitivity analysis which applied a potential outsized loss of 50% to the Empire Mall to reflect refinancing concerns, and an additional stress to the pre-pandemic cash flow for three hotel loans given significant pandemic-related 2020 NOI declines; this analysis contributed to maintaining the Negative Outlooks on classes D, E and X-D. Credit Opinion Loan: One loan, 225 Liberty Street (6.2% of pool), received an investment-grade credit opinion of 'BBBsf' on a stand-alone basis at issuance. 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 classes A-2, A-3, A-4, A-AB, A-S, X-A, B, and X-B are not likely due to the position in the capital structure, but may occur at 'AAAsf' or 'AAsf' should interest shortfalls occur. Downgrades to classes C and EC are possible should overall pool losses increase significantly, all of the loans susceptible to the coronavirus pandemic suffer losses. -- Downgrades to classes D, X-D and E would occur should loss expectations increase due to a continued performance decline of the FLOCs, additional loans transfer to special servicing and/or the Empire Mall loan experiences an outsized loss. Downgrades to the distressed class F would occur as losses are realized and/or become more certain. The Negative Outlooks may be revised back to Stable if performance of the FLOCs and specially serviced loans improves and/or properties vulnerable to the pandemic stabilize. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance, particularly on the FLOCs, coupled with paydown and/or additional defeasance. Upgrades of classes B, X-B, C and EC would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs, but would be limited based on concentrations and/or sensitivities to future concentrations. -- Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. An upgrade to classes D, X- D, E and F is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or properties vulnerable to the coronavirus return to pre-pandemic levels, and there is sufficient CE to the class. 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. DIAMETER CAPITAL 3: S&P Assigns Prelim BB- (sf) Rating on D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Diameter Capital CLO 3 Ltd./Diameter Capital CLO 3 LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Diameter CLO Advisors LLC. The preliminary ratings are based on information as of March 3, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. -- 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. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Diameter Capital CLO 3 Ltd./Diameter Capital CLO 3 LLC Class A-1A, $240.00 million: AAA (sf) Class A-1B, $12.00 million: AAA (sf) Class A-2, $50.00 million: AA (sf) Class B (deferrable), $26.00 million: A (sf) Class C (deferrable), $24.00 million: BBB- (sf) Class D (deferrable), $16.00 million: BB- (sf) Subordinated notes, $33.25 million: Not rated DT AUTO 2022-1: S&P Assigns BB (sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its 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 ratings reflect S&P's view of: -- The credit support of approximately 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% for classes A, B, C, D, and E, 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 we deem appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.40x S&P's expected loss level), all else being equal, its 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. 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) FIRST INVESTORS 2022-1: S&P Assigns BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to First Investors Auto Owner Trust 2022-1's asset-backed notes. The note issuance is an ABS securitization backed by subprime auto loan receivables. The ratings reflect S&P's view of: -- The availability of approximately 36.21%, 31.59%, 24.74%, 19.09%, and 15.07% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide approximately 3.65x, 3.15x, 2.40x, 1.80x, and 1.40x coverage of our 9.25%-9.75% expected cumulative net loss range for the class A, B, C, D, and E notes, respectively. -- The timely interest and principal payments by the legal final maturity date made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.80x S&P's expected loss level), all else being equal, its ratings will be within the limits specified within the credit stability section of "S&P Global Ratings Definitions," published Nov. 10, 2021. -- The collateral characteristics of the pool, which includes 62.28% of direct-originated loans. Direct loans, historically, have lower losses than indirect-originated loans. -- The transaction's prefunding of approximately $62.33 million, about 20% of the pool. The subsequent receivables, with eligibility criteria similar to those established for the initial receivables pool, are expected to be transferred into the trust within three months from the closing date. -- Stellantis Financial Services Inc.'s (doing business as First Investors Financial Services) 31-year history of originating and underwriting auto loans, 24-year history of self-servicing auto loans, 22-year track record of securitizing auto loans, and 26 years of origination static pool data, segmented by direct and indirect loans. -- The transaction's sequential payment and credit structure, which builds credit enhancement, based on a percentage of receivables as the pool amortizes. Ratings Assigned First Investors Auto Owner Trust 2022-1 Class A, $230.77 million: AAA (sf) Class B, $16.67 million: AA (sf) Class C, $26.80 million: A (sf) Class D, $22.12 million: BBB (sf) Class E, $15.28 million: BB- (sf) GCAT 2022-NQM1: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GCAT 2022-NQM1 Trust's mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans primarily secured by single-family residential properties, townhouses, planned-unit developments, condominiums, cooperatives, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 694 loans, which are either nonqualified or ability to repay (ATR)-exempt mortgage loans. The preliminary ratings are based on information as of March 8, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The asset pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty framework; -- The mortgage aggregator, Blue River Mortgage III LLC; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. Preliminary Ratings Assigned(i) GCAT 2022-NQM1 Trust Class A-1A, $165,542,000: AAA (sf) Class A-1B, $55,180,000: AAA (sf) Class A-1, $220,722,000: AAA (sf) Class A-1FL, $75,000,000: AAA (sf) Class A-2, $19,534,000: AA (sf) Class A-3, $23,596,000: A (sf) Class M-1, $15,666,000: BBB (sf) Class B-1, $11,798,000; BB (sf) Class B-2, $9,283,000: B (sf) Class B-3, $11,218,646: Not rated Class A-IO-S, Notional(ii): Not rated Class X, Notional(ii): Not rated Class R, N/A: Not rated (i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount equals the aggregate principal balance of the loans. GLS AUTO 2022-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GLS Auto Receivables Issuer Trust 2022-1's automobile receivables-backed notes series 2022-1. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of March 3, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 54.93%, 47.06%, 37.37%, 27.75%, and 23.25% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.25x, 2.75x, 2.15x, 1.55x, and 1.27x S&P's 16.25%-17.25% expected cumulative net loss for the class A, B, C, D, and E notes, respectively. These break-even scenarios withstand cumulative gross losses of approximately 87.8%, 75.2%, 62.2%, 46.2%, and 38.7%, respectively. -- S&P's expectations that under a moderate ('BBB') stress scenario (1.60x its expected loss level), all else being equal, the preliminary 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB- (sf)', and 'BB- (sf)' ratings on the class A, B, C, D, and E notes, respectively, will be within the credit stability limits specified by section A.4 of the Appendix contained in S&P Global Rating Definitions. -- S&P's analysis of more than eight years of origination static pool and securitization performance data on Global Lending Services LLC's 17 Rule 144A securitizations. -- The collateral characteristics of the subprime automobile loans securitized in this transaction, including the representation in the transaction documents that all contracts in the pool have made a least one payment. -- The notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A, B, C, D, and E notes. -- The timely interest and principal payments made to the notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. Preliminary Ratings Assigned GLS Auto Receivables Issuer Trust 2022-1 Class A, $253.88 million: AAA (sf) Class B, $62.15 million: AA (sf) Class C, $65.57 million: A (sf) Class D, $66.35 million: BBB- (sf) Class E, $35.93 million: BB- (sf) GS MORTGAGE 2022-PJ3: Moody's Gives (P)B3 Rating to Cl. B-5 Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 57 classes of residential mortgage-backed securities (RMBS) issued by GS Mortgage-Backed Securities Trust 2022-PJ3. The ratings range from (P)Aaa (sf) to (P)B3 (sf). GS Mortgage-Backed Securities Trust 2022-PJ3 (GSMBS 2022-PJ3) is the fifth prime jumbo transaction in 2022 issued by Goldman Sachs Mortgage Company (GSMC), the sponsor and the primary mortgage loan seller. Overall, pool strengths include the high credit quality of the underlying borrowers, indicated by high FICO scores, strong reserves for prime jumbo borrowers, mortgage loans with fixed interest rates and no interest-only loans. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (approximately 98.0% by UPB), and MCLP Asset Company, Inc. (MCLP) (approximately 2.0% by UPB), the mortgage loan sellers, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 3.4% of the mortgage loans by UPB). NewRez LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service approximately 82.8% (by UPB) of the mortgage loans and United Wholesale Mortgage, LLC (UWM) will service approximately 17.2% (by UPB) of the mortgage loans in the pool. Wells Fargo Bank, N.A. will be the master servicer. Computershare Trust Company, N.A. will be the securities administrator and the custodian for this transaction. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure with a five-year lockout period that benefits from a senior and subordination floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2022-PJ3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-1-X*, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4A, Assigned (P)Aaa (sf) Cl. A-4-X*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6A, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-X*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-X*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-16-X*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-19-X*, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. A-21, Assigned (P)Aaa (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-22-X*, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. A-25, Assigned (P)Aaa (sf) Cl. A-25-X*, Assigned (P)Aaa (sf) Cl. A-26, Assigned (P)Aaa (sf) Cl. A-27, Assigned (P)Aaa (sf) Cl. A-28, Assigned (P)Aaa (sf) Cl. A-28-X*, Assigned (P)Aaa (sf) Cl. A-29, Assigned (P)Aaa (sf) Cl. A-30, Assigned (P)Aaa (sf) Cl. A-31, Assigned (P)Aaa (sf) Cl. A-31-X*, Assigned (P)Aaa (sf) Cl. A-32, Assigned (P)Aaa (sf) Cl. A-33, Assigned (P)Aaa (sf) Cl. A-34, Assigned (P)Aaa (sf) Cl. A-34-X*, Assigned (P)Aaa (sf) Cl. A-35, Assigned (P)Aaa (sf) Cl. A-36, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa2 (sf) Cl. B-2, Assigned (P)A1 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) Cl. A-X*, Assigned (P)Aaa (sf) Cl. PT, Assigned (P)Aaa (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected loss for this pool in a baseline scenario-mean is 0.58%, in a baseline scenario-median is 0.39% and reaches 4.19% at stress level consistent with Moody's Aaa rating. Moody's base its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, strength of the third-party review (TPR) and the representation and warranties (R&W) framework of the transaction. Collateral Description As of the March 1, 2022 cut-off date, the aggregate collateral pool comprises 647 (98.89% by UPB) prime jumbo (non-conforming) and 22 (1.11% by UPB) conforming, 30-year loan-term, fully-amortizing fixed-rate mortgage loans, none of which have the benefit of primary mortgage guaranty insurance, with an aggregate stated principal balance (UPB) of approximately $705,757,011 and a weighted average (WA) mortgage rate of 3.1%. The WA current FICO score of the borrowers in the pool is 769. The WA Original LTV ratio of the mortgage pool is 71.2%, which is in line with GSMBS 2022-PJ2 and also with other prime jumbo transactions. Top 10 MSAs comprise 58.6% of the pool, by UPB. The high geographic concentration in high cost MSAs is reflected in the high average balance of the pool ($1,054,943). As of the cut-off date, none of the mortgage loans are subject to a COVID-19 related forbearance plan. All the mortgage loans in the aggregate pool are Qualified Mortgage (QM) loans some of which meeting the requirements of the QM-Safe Harbor rule (Appendix Q) or the new General QM rule. A portion of the loans purchased from various sellers into the pool were originated pursuant to the new general QM rule (91.76% by UPB). The majority of these loans are UWM loans underwritten to AUS underwriting guidelines. As part of the origination quality review and in consideration of the detailed loan-level TPR reports, Moody's concluded that these loans were full documentation loans, for purposes of Moody's analysis. However, Moody's increased Moody's Aaa and expected loss assumptions for the new General QM rule non-conforming loans due to the lack of performance information, track record of originating such loans through AUS, and notable AUS overlays. The other characteristics of the mortgage loans in the pool are generally comparable to that of GSMBS 2022-PJ2 and recent prime jumbo transactions. Aggregator/Origination Quality GSMC is the loan aggregator and the primary mortgage seller for the transaction. GSMC's general partner is Goldman Sachs Real Estate Funding Corp., and its limited partner is Goldman Sachs Bank USA. Goldman Sachs Real Estate Funding Corp. is a wholly owned subsidiary of Goldman Sachs Bank USA. GSMC is an affiliate of Goldman Sachs & Co. LLC. GSMC is overseen by the mortgage capital markets group within Goldman Sachs. Senior management averages 16 years of mortgage experience and 15 years of Goldman Sachs tenure. The mortgage loans for this transaction were acquired by GSMC, the sponsor and the primary mortgage loan seller (98.0% by UPB), and MCLP (2.0% by UPB), the mortgage loan sellers, from certain of the originators or the aggregator, MAXEX Clearing LLC (which aggregated 3.4% of the mortgage loans by UPB). The mortgage loans in the pool are underwritten to either GSMC's underwriting guidelines, or seller's applicable guidelines. The mortgage loan sellers do not originate any mortgage loans, including the mortgage loans included in the mortgage pool. Instead, the mortgage loan sellers acquired the mortgage loans pursuant to contracts with the originators or the aggregator. Overall, Moody's consider GSMC's aggregation platform to be comparable to that of peer aggregators and therefore did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing GSMC's aggregation quality, Moody's have also reviewed the origination quality of each of the originators which contributed at least approximately 10% of the mortgage loans (by UPB) to the transaction. For such originators, Moody's reviewed their underwriting guidelines, performance history, and quality control and audit processes and procedures (to the extent available, respectively). Approximately 54.5% of the mortgage loans, by UPB as of the cut-off date, were originated by United Wholesale Mortgage, LLC (UWM). No other originator or group of affiliated originators originated more than 10% of the mortgage loans. Moody's increased its base case and Aaa loss expectations for certain originators of non-conforming loans where Moody's do not have clear insight into the underwriting practices, quality control and credit risk management (neutral for CrossCountry Mortgage, Guaranteed Rate, loanDepot.com, LLC, NewRez LLC, Caliber Homes and Proper Rate under the old QM guidelines). Moody's did not make an adjustment for GSE-eligible loans, regardless of the originator, since those loans were underwritten in accordance with GSE guidelines. Moody's made an adjustment to Moody's losses for loans originated by UWM primarily due to the fact that underwriting prime jumbo loans mainly through AUS is fairly new and no performance history has been provided to Moody's on these types of loans. More time is needed to assess UWM's ability to consistently produce high-quality prime jumbo residential mortgage loans under this program. Also, Moody's applied an adjustment for loanDepot loans originated under the new QM rules as more time is needed to fully evaluate this origination program. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. Shellpoint and UWM will act as the servicer's for this transaction and will service all the loans in the pool. Cenlar FSB will act as a sub-servicer for UWM. Furthermore, Wells Fargo Bank, N.A. will be the master servicer and Computershare will be the securities administrator and the custodian. Moody's consider the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Third-party Review The transaction benefits from TPR on 100% of the mortgage loans for regulatory compliance, credit and property valuation. The TPR results confirm compliance with the originator's underwriting guidelines for the vast majority of loans, no material regulatory compliance issues, and no material property valuation issues. The loans that had exceptions to the originator's underwriting guidelines had significant compensating factors that were documented. Representations & Warranties GSMBS 2022-PJ3's R&W framework is generally in line with that of prior GSMBS transactions Moody's have rated where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance except for certain carve-outs. The loan-level R&Ws meet or exceed the baseline set of credit-neutral R&Ws we have identified for US RMBS. R&W breaches are evaluated by an independent third-party using a set of objective criteria. The transaction requires mandatory independent reviews of loans that become 120 days delinquent and those that liquidate at a loss to determine if any of the R&Ws are breached. However, because most of the R&W providers in this transaction are unrated and/or exhibit limited financial flexibility, Moody's applied an adjustment to the mortgage loans for which these entities provided R&Ws. Tail Risk and Locked Out Percentage The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.20% of the cut-off date pool balance, and as subordination lock-out amount of 0.90% of the cut-off date pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. GS MORTGAGE-BACKED 2022-PJ3: Fitch Gives 'B+(EXP)' to B-5 Certs ---------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed certificates issued by GS Mortgage-Backed Securities Trust 2022-PJ3 (GSMBS 2022-PJ3). DEBT RATING ---- ------ GSMBS 2022-PJ3 A-1 LT AA+(EXP)sf Expected Rating A-1-X LT AA+(EXP)sf Expected Rating A-10 LT AAA(EXP)sf Expected Rating A-10-X LT AAA(EXP)sf Expected Rating A-11 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-16 LT AAA(EXP)sf Expected Rating A-16-X LT AAA(EXP)sf Expected Rating A-17 LT AAA(EXP)sf Expected Rating A-18 LT AAA(EXP)sf Expected Rating A-19 LT AAA(EXP)sf Expected Rating A-19-X LT AAA(EXP)sf Expected Rating A-2 LT AA+(EXP)sf Expected Rating A-20 LT AAA(EXP)sf Expected Rating A-21 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-24 LT AAA(EXP)sf Expected Rating A-25 LT AAA(EXP)sf Expected Rating A-25-X LT AAA(EXP)sf Expected Rating A-26 LT AAA(EXP)sf Expected Rating A-27 LT AAA(EXP)sf Expected Rating A-28 LT AAA(EXP)sf Expected Rating A-28-X LT AAA(EXP)sf Expected Rating A-29 LT AAA(EXP)sf Expected Rating A-3 LT AA+(EXP)sf Expected Rating A-30 LT AAA(EXP)sf Expected Rating A-31 LT AAA(EXP)sf Expected Rating A-31-X LT AAA(EXP)sf Expected Rating A-32 LT AAA(EXP)sf Expected Rating A-33 LT AAA(EXP)sf Expected Rating A-34 LT AA+(EXP)sf Expected Rating A-34-X LT AA+(EXP)sf Expected Rating A-35 LT AA+(EXP)sf Expected Rating A-36 LT AA+(EXP)sf Expected Rating A-4 LT AAA(EXP)sf Expected Rating A-4-X LT AAA(EXP)sf Expected Rating A-4A LT AAA(EXP)sf Expected Rating A-5 LT AAA(EXP)sf Expected Rating A-6 LT AAA(EXP)sf Expected Rating A-6A 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-IO-S LT NR(EXP)sf Expected Rating A-R LT NR(EXP)sf Expected Rating A-X LT AA+(EXP)sf Expected Rating B-1 LT AA(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 PT LT AA+(EXP)sf Expected Rating TRANSACTION SUMMARY The certificates are supported by 669 prime-jumbo and agency conforming loans with a total balance of approximately $706 million, as of the cut-off date. The transaction is expected to close on March 31, 2022. 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 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 18.8% yoy nationally as of December 2021. High Quality Mortgage Pool (Positive): The collateral consists of 30-year, fixed-rate mortgage (FRM) fully amortizing loans seasoned approximately four months in aggregate. The collateral comprises a mix of prime-jumbo (98.9%) and agency conforming loans (1.1%). The borrowers in this pool have strong credit profiles (a 764 model FICO) and moderate leverage (a 78.8% sustainable loan-to-value ratio [sLTV] and a 69.8% mark-to-market [MTM] combined loan-to-value ratio [CLTV]). Fitch treated 95.0% of the loans as full documentation collateral, while almost 100% of the loans are safe-harbor qualified mortgages (SHQMs). Of the pool, 94.0% are loans for which the borrower maintains a primary residence, while 6.0% are for second homes. Additionally, 44.0% of the loans were originated through a retail channel or a correspondent's retail channel. Shifting-Interest Deal Structure (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. Due to the leakage to the subordinate bonds, the shifting-interest structure requires more CE. While there is only minimal leakage to the subordinate bonds early in the life of the transaction, the structure is more vulnerable to defaults occurring at a later stage compared to a sequential or modified-sequential structure. Subordination Floors (Positive): To help mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.20% of the original balance will be maintained for the senior certificates, and a subordination floor of 0.90% of the original balance will be maintained for the subordinate certificates. Servicer Advances (Mixed): Shellpoint Servicing and United Wholesale Mortgage (UWM) will provide full advancing for the life of the transaction. The master servicer will serve as the ultimate advancing backstop. While this helps the liquidity of the structure, it also increases the expected loss due to unpaid servicer advances. 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 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. 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 AMC Diligence LLC, Opus Capital Market Consultants, Consolidated Analytics Inc., Evolve Mortgage Services LLC, and Infinity International Processing Services Inc. The third-party due diligence described in Form 15E focused on a review of credit, regulatory compliance and property valuation for each loan and is consistent with Fitch criteria for RMBS loans. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% reduction to each loan's probability of default. This adjustment resulted in a 29bps 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. HPS LOAN 15-2019: Moody's Gives Ba3 Rating to $20MM Cl. E-R Notes ----------------------------------------------------------------- Moody’s Investors Service has assigned ratings to three classes of CLO refinancing notes issued by HPS Loan Management 15-2019, Ltd. (the "Issuer"). Moody’s rating action is as follows: US$4,500,000 Class X Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$310,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class E-R 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. 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% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, first lien last out loans, unsecured loans and permitted non-loan assets. HPS Investment Partners CLO (UK) LLP (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 issuance of the Refinancing Notes, the other classes of secured 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: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 3015 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.5% 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. ILPT COMMERCIAL 2022-LPFX: Moody's Gives (P)Ba1 Rating to HRR Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, to be issued by ILPT Commercial Mortgage Trust 2022-LPFX, Commercial Mortgage Pass-Through Certificates, Series 2022-LPFX: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa2 (sf) Cl. HRR, Assigned (P)Ba1 (sf) Cl. X*, Assigned (P)Aa1 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by the borrower's fee and leasehold interests in 17 primarily industrial properties located across 12 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 both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology and Moody's IO Rating 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. The portfolio offers 9,438,321 SF of aggregate area across the following two property subtypes - warehouse/distribution (14 properties; 90.6% of NRA), and manufacturing/distribution (3 properties; 9.4% of NRA). The portfolio facilities offer superior functionality as they average 555,195 SF and range between 95,953 SF and 1,194,744 SF. Clear heights for properties exhibit a weighted average maximum clear height of 31.9 feet and range between 27 feet and 39 feet. The portfolio is in good condition as it reports a weighted average year built of 2008 (average age of 14 years) based on development dates of between 1973 and 2020. The portfolio is geographically diverse as the 17 properties are located across 13 markets in 12 states. The largest state concentration is Tennessee, which represents 17.6% of NRA and 13.5% of base rent. The largest market concentration is the Philadelphia, PA, which represents 19.4% of NRA and 20.3% of base rent. The portfolio's property-level Herfindahl score is 12.2 based on ALA. As of February 1, 2022, the portfolio was 100.0% leased to 19 individual tenants. The largest tenant in the portfolio, Amazon, accounts for approximately 3.0 million SF and represents 32.3% of NRA. 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 2.12x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.87x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 99.2% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 86.0% based on Moody's Value using a cap rate adjusted for the current interest rate environment. In addition to the mortgage loan, there is mezzanine financing secured by a pledge of the direct equity interests in the borrower totaling $255.0 million. The total debt Moody's LTV ratio increases to 156.1% based on the Moody's Value and 135.2% based on the 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 1.00. Notable strengths of the transaction include: the asset quality, strong tenancy, geographic diversity, and experienced sponsorship. Notable concerns of the transaction include: the additional mezzanine debt, tenant concentration, rollover risk, and interest-only mortgage loan profile. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in 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. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. 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. INVESCO CLO 2022-1: Moody's Assigns Ba3 Rating to $28.8MM E Notes ----------------------------------------------------------------- Moody’s Investors Service has assigned ratings to five classes of notes issued by Invesco CLO 2022-1, Ltd. (the “Issuer” or “Invesco 2022-1”). Moody’s rating action is as follows: US$384,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$72,000,000 Class B Senior Secured Floating Rate Notes due 2035, Assigned Aa2 (sf) US$30,000,000 Class C Deferrable Mezzanine Secured Floating Rate Notes due 2035, Assigned A2 (sf) US$37,200,000 Class D Deferrable Mezzanine Secured Floating Rate Notes due 2035, Assigned Baa3 (sf) US$28,800,000 Class E Deferrable Junior Secured 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. Invesco 2022-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, and up to 10.0% of the portfolio may consist of second lien loans, senior unsecured loans, first-lien last-out loans and permitted debt securities. The portfolio is 100% ramped as of the closing date. Invesco CLO Equity Fund 3 L.P. (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 Class Y Notes and 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: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2908 Weighted Average Spread (WAS): SOFR + 3.60% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.0 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. IVY HILL IX-R: S&P Assigns BB- (sf) Rating on Class E-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-RR, A-1R-RR, A-1T-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR replacement notes from Ivy Hill Middle Market Credit Fund IX-R LLC, a CLO originally issued in October 2014 that is managed by Ivy Hill Asset Management L.P. On the March 3, 2022, refinancing date, the proceeds from the replacement notes were used to redeem the original notes. As a result, S&P withdrew its ratings on the class A-R notes and assigned ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which outlines the terms of the replacement notes. According to the supplemental indenture: -- The replacement class X-RR, A-1R-RR, A-1T-RR, A-2-RR, B-RR, C-RR, D-RR, and E-RR notes were issued at a floating spread over three-month secured overnight financing rate (SOFR), which replaced the spread over three-month LIBOR on the original notes. -- The original class A-R notes were split into the replacement class A-1R-RR, A-1T-RR, and A-2-RR notes. -- The class A-2-RR notes were issued at fixed coupon and pro rata with the replacement class A-1R-RR and A-1T-RR notes. -- The class A-1R-RR notes are variable funding notes that can be drawn, during the reinvestment period only, to fund underlying delayed-draw or revolving loans. -- The class A-1R-RR notes can experience increased costs associated with taxes and changes in law; however, S&P's rating only addresses the full and timely payment of principal and the base interest amount. The stated interest rate includes both the interest rate on the funded amounts and any commitment fees due on the undrawn commitment. Any increased costs are subordinate to the loan distributions in the waterfall and, therefore, do not affect scheduled distributions to the rated notes. -- The S&P Global Ratings' 'A-1' rating is required for the variable funding notes holder and the replacement mechanism or funding requirement is in place if the rating falls below 'A-1'. -- The transaction upsized from a target initial par amount of approximately $324 million to $450 million. -- There was an additional $33.4 million in subordinated notes issued in connection with the refinancing. The subordinated notes' maturity date was amended to match the other replacement notes. -- The transaction amended its ability to purchase workout-related assets and also conformed to updated rating agency methodology. In addition, the transaction amended the required minimums on the overcollateralization tests. -- The stated maturity, reinvestment period, and non-call period were extended by approximately 4.25 years. -- The class X-RR notes are to be paid down using interest proceeds in equal quarterly installments, beginning with the April 2022 payment date and ending with the January 2026 payment date. 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 Ivy Hill Middle Market Credit Fund IX-R LLC Class X-RR, $4.50 million: AAA (sf) Class A-1R-RR(i), $15.00 million: AAA (sf) Class A-1T-RR, $209.25 million: AAA (sf) Class A-2-RR, $30.00 million: AAA (sf) Class B-RR, $58.50 million: AA (sf) Class C-RR (deferrable), $33.75 million: A- (sf) Class D-RR (deferrable), $20.25 million: BBB- (sf) Class E-RR (deferrable), $29.25 million: BB- (sf) (i)The class A-1R-RR variable funding notes can be drawn during the reinvestment period to fund underlying delayed-draw or revolving loans. JAMESTOWN CLO V: Moody's Hikes Rating on $20MM Class E Notes to B3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Jamestown CLO V Ltd. (the "CLO" or "Issuer"): US$21,000,000 Class D Senior Secured Deferrable Floating Rate Notes Due January 2027, Upgraded to Aa1 (sf); previously on August 13, 2021 Upgraded to A3 (sf) US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes Due January 2027, Upgraded to B3 (sf); previously on October 2, 2020 Downgraded to Caa1 (sf) The CLO, originally issued in December 2014 and partially refinanced in April 2017, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2019. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since August 2021. The Class A-R Senior Secured Floating Rate notes have been paid down by 100% or approximately $3.0 million since August 2021. The Class B-1-R and Class B-2-R notes have also been paid down by about 79.5% or approximately $41 million since August 2021. Based on the trustee's February 2022 report [1], the OC ratios for the Class A/B, Class C, Class D and Class E notes are reported at 735.64%, 264.03%, 154.53% and 110.78%, respectively, versus the trustee's July 2021 report [2] levels of 195.37%, 152.38%, 122.56 and 103.31%, respectively. 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." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, 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: Performing par and principal proceeds balance: $78,998,805 Defaulted par: $0 Diversity Score: 28 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.25% Weighted Average Recovery Rate (WARR): 47.35% Weighted Average Life (WAL): 2.74 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, decrease in overall WAS and lower recoveries on defaulted assets. 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. JP MORGAN 2010-C2: Fitch Affirms 'C' Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has upgraded one and affirmed four classes of J.P. Morgan Chase Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2010-C2 (JPMCC 2010-C2). Fitch has also assigned a Stable Outlook to the one class that was upgraded. DEBT RATING PRIOR ---- ------ ----- J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 D 46635GAQ3 LT Bsf Upgrade CCCsf E 46635GAS9 LT CCsf Affirmed CCsf F 46635GAU4 LT CCsf Affirmed CCsf G 46635GAW0 LT Csf Affirmed Csf H 46635GAY6 LT Csf Affirmed Csf KEY RATING DRIVERS Regional Mall Concentration: Two loans remain in the pool, both secured by regional malls in special servicing. Due to the concentrated nature of the pool, Fitch performed a paydown analysis that grouped these loans based on the likelihood of repayment and expected losses from the liquidation of these loans. Based on this scenario, the upgrade for class D was capped at 'Bsf' due to its reliance on proceeds from underperforming regional malls in special servicing with uncertainty around timing/recovery and ultimate disposition of these loans. The Mall at Greece Ridge (70% of pool) is secured by a 1.05 million sf portion of a 1.60 million sf regional mall located in Greece, NY. The loan, which is sponsored by Wilmorite Properties, transferred to special servicing in November 2019 at the borrower's request to allow for early payoff. The borrower was unsuccessful in obtaining financing and the loan matured in October 2020. A short-term forbearance expired in July 2020 and modification discussions are ongoing. Target (ground lease; 11.7% NRA; exp. January 2029) is a collateral anchor, and JCPenney and Macy's are non-collateral anchors. Sears and Bon-Ton, both non-collateral, closed in 2018 and 2012, respectively. Bed Bath & Beyond, (previously 3.3% NRA) closed in February 2021. Collateral occupancy was 85% as of June 2021 and has remained relatively flat since 2018. Servicer-reported NOI DSCR was 1.19x as of the YTD June 2021 compared with 1.13x at YE 2020, 1.41x at YE 2019 and 1.41x at YE 2018. In-line tenant sales were $308 psf at YE 2018. Fitch's loss expectation on this loan is approximately 59%; the loss considers a discount to the most recent servicer reported appraisal value. Fitch's loss implies a 27% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties. Valley View Mall (30%) is secured by a 373,497-sf portion of a 628,093-sf regional mall located in La Crosse, WI. The loan transferred to special servicing in April 2020 and matured in July 2020. The borrower was unable to obtain financing and a stipulated foreclosure is in process. Per servicer updates, collateral occupancy was 81% as of December 2021, and overall mall occupancy was approximately 50%. Servicer-reported NOI DSCR was 0.75x at YE 2021, down from 1.07x at YE 2020, 1.17x at YE 2019 and 2.31x at YE 2018. Per the January 2022 rent roll, near term rollover includes approximately 8% NRA and 25% rent by 2022. The largest collateral tenant, JCPenney, which leases approximately 30% NRA, renewed its lease for an additional five years through July 2025. A non-collateral Sears closed in November 2018, a non-collateral Herberger's closed in August 2018 and a non-collateral Macy's closed in the first quarter of 2017. Per servicer updates, HyVee Grocery acquired the former Sears parcel and construction on the space is underway; however, there is no time table on completion and/or opening. Also, a VA Clinic recently opened in 24,000 sf of the former Herberger's non collateral box, and the former Macy's is in contract to be sold in 1Q 2022. Fitch's loss expectation on this loan is approximately 79%; the loss considers a discount to the most recent servicer reported appraisal value. Fitch's loss implies a 34% cap rate on the YE 2019 NOI and is consistent with Fitch stressed values on similar defaulted mall properties. Lower Loss Expectations: The upgrade to class D reflects the improved loss expectations for the pool since Fitch's prior rating action due to better than expected recoveries on Arizona Mills and Bryan Tower; both loans paid in full. Increased Credit Enhancement: Credit enhancement has increased since Fitch's prior rating action, primarily from the repayment of two loans ($203.9 million balance at Fitch's prior rating action) in full. One additional loan ($4.7 million balance) was disposed with a $2.1 million loss to the trust. As of the February 2022 distribution date, the pool's aggregate principal balance has been reduced by 92.1% to $86.9 million from $1.1 billion at issuance. No loans are defeased. Actual realized losses of $2.1 million impacted the non-rated NR class, and cumulative interest shortfalls of $1.5 million are currently affecting classes F through NR. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Sensitivity factors that could lead to a downgrade to class D include increased loss expectations from continued performance declines and/or lower valuations on the remaining two loans; -- Downgrades to the distressed rated classes E through H will occur as losses are realized or with greater certainty of losses. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- An upgrade to class D is not expected as the rating is capped due to the specially serviced, regional mall concentration; -- Upgrades to the distressed rated classes E through H are not likely unless one of the regional malls disposes with better than expected recoveries. 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. LAQ 2022-LAQ: S&P Assigns Prelim B- (sf) Rating on Cl. F Certs -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to LAQ 2022-LAQ Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is a U.S. CMBS transaction backed by the borrowers' fee simple and leasehold interests in 107 limited-service La Quinta flagged hotels, one limited-service Baymont by Wyndham flagged hotel, and a pledge of cash flow from one limited-service La Quinta flagged hotel, totaling 15,507 guestrooms across 22 U.S. states. The preliminary ratings are based on information as of March 9, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the mortgage loan terms, and the transaction's structure. Preliminary Ratings Assigned LAQ 2022-LAQ Mortgage Trust(i) Class A, $304,815,000: AAA (sf) Class X-CP(ii), $198,345,000: BBB- (sf) Class X-EXT(ii), $264,460,000: BBB- (sf) Class B, $97,026,000: AA- (sf) Class C, $67,459,000: A- (sf) Class D, $99,975,000: BBB- (sf) Class E, $150,262,000: BB- (sf) Class F, $133,088,000: B- (sf) Class G, $135,565,000: Not rated Class HRR(iii), $52,010,000: Not rated (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-CP and class X-EXT certificates will not have a certificate balance or be entitled to receive distributions of principal. The notional amount of the class X-CP certificates will be equal to the aggregate balances of the portion balances of the class B-2, C-2, and D-2 portions. The notional amount of the class X-EXT certificates will be equal to the aggregate balances of the class B, C, and D certificates. (iii)Non-offered eligible horizontal interest. MAPS TRUST 2021-1: Moody's Reviews Ba1 Rating on Class C Notes -------------------------------------------------------------- Moody's Investors Service has placed four notes from two asset-backed securitizations (ABS) issued by Castlelake Aircraft Structured Trust 2021-1 (Castlelake 2021-1) and MAPS 2021-1 Trust (MAPS 2021-1) on review for possible downgrade. The notes are backed by a portfolio of aircraft and their related initial and future leases. Castlelake Aviation Holdings (Ireland) Limited (Castlelake Aviation) and Merx Aviation Servicing Limited (Merx), an affiliate of Merx Aviation Finance, LLC (together with their affiliates, Merx Group), are the servicers of the underlying assets and related leases in Castlelake 2021-1 and MAPS 2021-1, respectively. The complete rating actions are as follows: Issuer: Castlelake Aircraft Structured Trust 2021-1 Class A Notes, A2 (sf) Placed Under Review for Possible Downgrade; previously on Jan 28, 2021 Definitive Rating Assigned A2 (sf) Class B Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on Jan 28, 2021 Definitive Rating Assigned Baa2 (sf) Class C Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on Feb 10, 2021 Definitive Rating Assigned B2 (sf) Issuer: MAPS 2021-1 Trust Class C Notes, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on Jun 17, 2021 Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE The rating actions are a result of the expected reduction in ABS cash flow due to foregone lease income tied to early lease terminations and increased transaction costs stemming from potentially prolonged repossession and remarketing timelines associated with the aircraft on lease to Russian airlines. Also reducing ABS cash flow, the ban on certain Russian banks from SWIFT, an international bank communication system, will disrupt payments from Russian airlines prior to the lease terminations. The Castlelake 2021-1 transaction contains four aircraft that are currently on lease to Russian airlines. These aircraft correspond to approximately 20% of the pool, as a percentage of Moody's assumed value. The MAPS 2021-1 transaction contains two aircraft that are currently on lease to Russian airlines, corresponding to approximately 16% of the pool, as a percentage of Moody's assumed value. The severe sanctions that Western countries have imposed on Russia (long-term issuer rating of Ca, with negative outlook) in response to its military invasion of Ukraine require EU-domiciled companies to terminate leases to Russian airlines by March 28. As a result, the leases to Russian airlines, which are currently held by Irish entities, will be subject to these sanctions and require termination. These early lease terminations will result in foregone lease rents to the transactions for the time the affected aircraft are off lease and increased costs that the securitizations will have to absorb due to potentially prolonged aircraft repossession and remarketing. The regulations also require that EU-based insurers and reinsurers cease providing insurance coverage of aviation assets to Russia-based airlines, effective February 26. Lessors maintain their own insurance policies in case airlines fail to maintain required coverage and should the lessors be unable to repatriate aircraft, they can file claims under these policies, subject to grace periods. Insurers may take steps to unilaterally cancel some policies, subject to required notice periods, before lessors incur losses, which could limit lessors' recoveries and add to potential future loss in the transactions. To identify tranches to be placed on review for downgrade, Moody's considered the following sensitivity scenarios with respect to the aircraft on lease to Russian airlines in order to gauge potential downside risks: (1) non-payment of remaining lease payments as certain Russian banks have been banned from SWIFT, and (2) extended repossession/remarketing periods longer than the 4-to-11 month period Moody's typically assumes for defaulted lessees, as aircrafts leased to the Russian airlines are currently in Russia posing challenges to repossession. Moody's also considered a severe stress scenario where aircrafts on lease to Russian airlines are not repossessed and their value is lost. Moody's also took into account transaction structural features such as overcollateralization, available security deposits, liquidity facilities, and reserve funds, as applicable, as well as the increased likelihood that certain notes could be locked out of receiving future payments due to the priority of payments waterfall upon occurrence of a rapid amortization trigger. The affected notes that are being placed on review are mostly mezzanine and junior notes that have lower credit enhancement available to protect them, making them more vulnerable to any increase in defaults relative to the senior notes in the deals, which have greater credit protections. During the review period, Moody's will review strategies adopted by the servicers to repossess the affected aircrafts and to minimize the associated timelines and costs, as well as payment disruptions on the leases. Moody's will continue to assess the evolving market conditions in the broader airline industry, including any impact of the military conflict on non-Russian domiciled airlines, aircraft lease rates and valuations. As the conditions unfold, Moody's will also assess any additional support that may be available to mitigate the payment disruptions and the likelihood of any insurance proceeds being available to cover losses. In particular, Moody's will monitor closely developments around lessor insurance coverage in case lessors are not able to repatriate aircraft. Moody's will also consider the effects of the military conflict on the broader airline market, including the pace of recovery of the global airline industry from the pandemic, and evaluate the impact of various parties including the government, servicers and issuers on the performance of all of the underlying leases in the deals. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Securities Backed by Aircraft and Associated Leases" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Factors that could lead to an upgrade of the ratings on the notes are (1) collateral cash flows that are significantly greater than Moody's initial expectations, and (2) significant improvement in the credit quality of the airlines leasing the aircraft. Moody's updated expectations of collateral cash flows may be better than its original expectations because of lower frequency of lessee defaults, lower than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to stronger global air travel demand, higher than expected aircraft disposition proceeds and higher than expected EOL payments received at lease expiry that are used to prepay the notes. As the primary drivers of performance, positive changes in the condition of the global commercial aviation industry could also affect the ratings. Down Factors that could lead to a downgrade of the ratings on the notes are (1) collateral cash flows that are materially below Moody's initial expectations, (2) a significant decline in the credit quality of the airlines leasing the aircraft, and 3) inability to repossess the aircraft on lease to Russian airlines. Other reasons for worse-than-expected transaction performance could include poor servicing of the assets, for example aircraft sales disadvantageous to noteholders, or error on the part of transaction parties. Moody's updated expectations of collateral cash flows may be worse than its original expectations because of a higher frequency of lessee defaults, greater than expected depreciation in the value of the aircraft that secure the lessees' promise of payment under the leases owing to weaker global air travel demand, credit drift as the pool composition changes, lower than expected aircraft disposition proceeds, and lower than expected EOL payments received at lease expiry. Transaction performance also depends greatly on the strength of the global commercial aviation industry. MARBLE POINT XXIV: Moody's Assigns (P)Ba3 Rating to $20MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of notes to be issued by Marble Point CLO XXIV Ltd. (the "Issuer" or "Marble Point CLO XXIV"). Moody’s rating action is as follows: US$315,000,000 Class A-1 Senior Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$5,000,000 Class A-2a Senior Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$5,000,000 Class A-2b Senior Fixed Rate Notes due 2035, Assigned (P)Aaa (sf) US$20,000,000 Class E Junior Deferrable Floating Rate Notes due 2035, Assigned (P)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. Marble Point CLO XXIV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans, unsecured loans and permitted bond, provided no more than 5% of the portfolio may consist of permitted bond. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. Marble Point CLO 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 will issue six other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2780 Weighted Average Spread (WAS): 3mS + 3.50% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8.06 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. MORGAN STANLEY 2016-C31: Fitch Affirms 'CC' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust, Commercial Mortgage Pass-Through Certificates, series 2016-C31 (MSBAM 2016-C31). In addition, Fitch has revised the Rating Outlook for one class to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- MSBAM 2016-C31 A-3 61766RAX4 LT AAAsf Affirmed AAAsf A-4 61766RAY2 LT AAAsf Affirmed AAAsf A-5 61766RAZ9 LT AAAsf Affirmed AAAsf A-S 61766RBC9 LT AA-sf Affirmed AA-sf A-SB 61766RAW6 LT AAAsf Affirmed AAAsf B 61766RBD7 LT Asf Affirmed Asf C 61766RBE5 LT BBBsf Affirmed BBBsf D 61766RAJ5 LT B-sf Affirmed B-sf E 61766RAL0 LT CCCsf Affirmed CCCsf F 61766RAN6 LT CCsf Affirmed CCsf X-A 61766RBA3 LT AAAsf Affirmed AAAsf X-B 61766RBB1 LT Asf Affirmed Asf X-D 61766RAA4 LT B-sf Affirmed B-sf X-E 61766RAC0 LT CCCsf Affirmed CCCsf X-F 61766RAE6 LT CCsf Affirmed CCsf KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect relatively stable loss expectations for the pool since Fitch's prior rating action. The Outlook Revision to Stable for class A-S reflects the better than expected pandemic performance and stabilization for several loans in the pool. Fitch has identified 17 loans (41.1% of the pool) as Fitch Loans of Concern (FLOCs), which include three loans (11.6%) in special servicing. Loss expectations remain high due to continued underperformance of the larger FLOCs. Fitch's current ratings reflect a base case loss of 10.3%. The Negative Outlooks on classes B, C, D, X-B and X-D reflect losses that could reach 12.5% when factoring in potential outsized loss on the Simon Premium Outlets and Vintage Park loans. Fitch Loans of Concern: The largest contributor to losses is the Hyatt Regency Sarasota loan (5.8% of the pool), which is secured by a 294-key full-service hotel located in Sarasota, FL. Pre-pandemic property performance and cash flow had already been negatively affected by increased competition and higher operating expenses. The pandemic had caused further performance declines with negative cash flow reported for YE 2020. The property has shown recent improvement to pre-pandemic levels, with the YE 2021 NOI DSCR at 0.89x, which is in-line with YE 2019 at 0.90x. However, NOI DSCR remains well below 1.35x at YE 2018 and 1.98x at issuance. As of the YE 2021 STR Report, occupancy, average daily rate (ADR), and revenue-per-available key (RevPAR) have rebounded to 57.8%, $178, and $103, respectively, which is in-line with pre-pandemic levels of 56.2%, $169, and $95, respectively, at YE 2019. Despite performance levels rebounding to pre-pandemic levels, the penetration rates had trailed relative to the hotel's competitive set at 76.7% occupancy, 95.1% ADR, and 73% RevPAR, respectively, at YE 2021. Fitch's base case loss expectation of 50% is based off a 11.25% cap rate and a 10% haircut to the YE 2021 NOI, and accounts for the hotel's sustained performance declines and underperformance relative to its comparative set. The second largest contributor to losses is the specially serviced One Stamford Forum loan (4.0% of the pool), which is secured by a 505,471-sf suburban office property 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 for 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 and 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 third largest contributor to overall loss expectations is the Simon Premium Outlets loan (4.5%), 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 June 30, 2022), Nike (11,735sf; LXP Jan. 31, 2022), Crate & Barrel (11,354 sf; LXP Jan. 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 of 20.5% incorporates a 25% cap rate and a 10% 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. Alternative Loss Considerations: 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 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 D and X-D. Minimal Change to Credit Enhancement: As of the February distribution date, the pool's principal balance has paid down by 10.9% to $849.8 million from $953.2 million. Fifty-four of the original 60 loans remain. Five loans (5.9%) are fully defeased. Five loans (12.2%) are full-term, interest only; 29 loans (40.1%) are fully amortizing; and 20 loans (47.7%) are still in their partial, interest-only period. Since Fitch's prior rating action, two loans (2.2% of the pool) have fully defeased, one loan paid in full at maturity, and two loans were disposed with realized losses totaling $6.4 million and was absorbed by the unrated class NR. Two loans (4.1%) will mature in 2023, one loan (1.7%) will mature in 2025, and 46 loans (96%) will mature in 2026. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'Asf' and 'AAsf' categories would only occur with significant improvement in CE and/or defeasance and with the stabilization of performance on the FLOCs particularly Hyatt Regency Sarasota, Springhill Suites Seattle, Simon Premium Outlets and One Stamford Forum; -- An upgrade to the 'BBBsf' category also would 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 likelihood for interest shortfalls; -- An upgrade to the 'Bsf' category is not likely until the later years in a transaction and only if the performance of the remaining pool is stable and/or performance of the FLOCs significantly improve including properties impacted by coronavirus returning to pre-pandemic levels, and there is sufficient CE to the classes; -- Upgrades to the 'CCsf' and 'CCCsf' categories are unlikely absent significant performance improvement on the FLOCs and substantially higher recoveries than expected on the specially serviced loans. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- An increase in pool level losses from underperforming or specially serviced loans. Downgrades of classes A-1, A-2, A- SB, A-3, A-4, A-5 and X-A are not considered likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. -- Downgrades of classes A-S, B and X-B would occur should expected losses for the pool increase substantially, all of the loans susceptible to the coronavirus pandemic suffer losses, the Simon Premium Outlets and One Stamford Forum loans incur outsized losses and/or if interest shortfalls occur; -- A downgrade of the 'BBBsf' category would occur if overall pool losses increase substantially, performance of the FLOCs further deteriorates, properties vulnerable to the coronavirus fail to stabilize to pre-pandemic levels and/or losses on the specially serviced loans are higher than expected; -- A downgrade of the 'B-sf' rated class would occur should loss expectations increase and if performance of the FLOCs or loans vulnerable to the coronavirus pandemic fail to stabilize or additional loans default and/or transfer to the special servicer; -- Further downgrades of the 'CCsf' and 'CCCsf' rated classes would occur with increased certainty of losses or as losses are realized. 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. MTN COMMERCIAL 2022-LPFL: Moody's Assigns (P)B3 Rating to F Certs ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of CMBS securities, to be issued by MTN Commercial Mortgage Trust 2022-LPFL, Commercial Mortgage Pass-Through Certificates, Series 2022-LPFL: 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)B3 (sf) Cl. X-CP*, Assigned (P)Aa1 (sf) Cl. X-NCP*, Assigned (P)Aa1 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by the borrower's fee and leasehold interests in 82 primarily industrial properties located across 25 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 both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitization methodology and Moody's IO Rating 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. The portfolio offers 15,854,234 SF of aggregate area across the following three property subtypes — warehouse/distribution (70 properties; 88.1% of NRA), manufacturing (10 properties; 10.8% of NRA) and light manufacturing (2 properties; 1.1% of NRA). The portfolio facilities offer superior functionality with a weighted average year built of 2011 (average age of 11 years) based on development dates ranging between 1985 and 2021. Property sizes average 193,344 SF and range between 12,500 SF and 832,000 SF. Clear heights for properties have a weighted average maximum clear height of 29.5 feet and range between 16 feet and 40 feet. The portfolio is geographically diverse as the 82 properties are located across 52 markets in 25 states. The largest state concentration is Texas, which represents 8.6% of NRA and 11.3% of base rent. The largest market concentration is the Charlotte, NC, which represents 5.4% of NRA and 6.8% of base rent. The Portfolio's property-level Herfindahl score is 52.9 based on ALA. As of February 1, 2022, the portfolio was 96.5% leased to 81 individual tenants. The largest tenant in the portfolio, FedEx, accounts for approximately 7.4 million SF and represents 46.8% of NRA. 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 2.32x and Moody's first mortgage stressed DSCR at a 9.25% constant is 0.62x. Moody's DSCR is based on Moody's stabilized net cash flow. Moody's LTV ratio for the first mortgage balance is 139.8% based on Moody's Value. Adjusted Moody's LTV ratio for the first mortgage balance is 121.1% 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 1.00. Notable strengths of the transaction include: the asset quality, strong tenancy, geographic diversity, tenant rollover profile and experienced sponsorship. Notable concerns of the transaction include: the high Moody's loan-to value (MLTV) ratio, tenant concentration, locations, floating-rate/interest-only mortgage loan profile and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in 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. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. 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. NEUBERGER BERMAN 47: Moody's Assigns Ba3 Rating to $24MM E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by Neuberger Berman Loan Advisers CLO 47, Ltd. (the "Issuer" or "Neuberger Berman 47"). Moody's rating action is as follows: US$384,000,000 Class A Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$24,000,000 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. Neuberger Berman 47 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans and cash eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 100% ramped as of the closing date. Neuberger Berman Loan Advisers II 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 three 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: $600,000,000 Diversity Score: 50 Weighted Average Rating Factor (WARF): 2925 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 8.11 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. NEW RESIDENTIAL 2022-NQM2: Fitch Rates Class B-2 Notes 'B' ---------------------------------------------------------- Fitch Ratings assigns ratings to the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2022-NQM2 (NRMLT 2022-NQM2). DEBT RATING PRIOR ---- ------ ----- NRMLT 2022-NQM2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2 LT Bsf New Rating B(EXP)sf B-3 LT NRsf New Rating NR(EXP)sf A-IO-S LT NRsf New Rating NR(EXP)sf XS-1 LT NRsf New Rating NR(EXP)sf XS-2 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf 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- 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 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 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. 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 Recovco Mortgage Management, Canopy Financial and Infinity IPS. The third-party due diligence described in Form 15E focused on a full review of the loans as it relates to credit, compliance and property valuation. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit was applied to each loan's probability of default assumption. This adjustment resulted in a 50bps 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. NEW RESIDENTIAL: Moody's Hikes 137 Tranches From 11 Deals --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 137 tranches from 11 transactions issued by New Residential Mortgage Loan Trust between 2016 and 2020. The transactions are backed by seasoned performing and modified re-performing residential mortgage loans (RPL). The collateral has multiple servicers and Nationstar Mortgage LLC is the master servicer for all deals. A List of Affected Credit Ratings is available at https://bit.ly/37ogkaj The complete rating actions are as follows: Issuer: New Residential Mortgage Loan Trust 2016-2 Cl. B-1, Upgraded to Aa1 (sf); previously on May 31, 2016 Definitive Rating Assigned Aa2 (sf) Cl. B1-IO*, Upgraded to Aa1 (sf); previously on May 31, 2016 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on May 7, 2019 Upgraded to A2 (sf) Cl. B2-IO*, Upgraded to Aa3 (sf); previously on May 7, 2019 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on May 31, 2016 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Issuer: New Residential Mortgage Loan Trust 2016-3 Cl. B-3, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B-3B, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B-3C, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B3-IOA*, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B3-IOB*, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B3-IOC*, Upgraded to A3 (sf); previously on Jan 22, 2020 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Jan 22, 2020 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Jan 22, 2020 Upgraded to B1 (sf) Issuer: New Residential Mortgage Loan Trust 2018-2 Cl. A-2, Upgraded to Aaa (sf); previously on May 3, 2018 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Jan 22, 2020 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Jan 22, 2020 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Jan 22, 2020 Upgraded to A3 (sf) Cl. B-4, Upgraded to A3 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on May 7, 2019 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-5A, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-5B, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-5C, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-5D, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-7, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Issuer: New Residential Mortgage Loan Trust 2018-5 Cl. B-2, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded to Aa2 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded to Aa2 (sf) Cl. B-2B, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded to Aa2 (sf) Cl. B-2C, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded to Aa2 (sf) Cl. B-2D, Upgraded to Aa1 (sf); previously on Jun 15, 2021 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Jun 15, 2021 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Jun 15, 2021 Upgraded to A2 (sf) Cl. B-3B, Upgraded to A1 (sf); previously on Jun 15, 2021 Upgraded to A2 (sf) Cl. B-3C, Upgraded to A1 (sf); previously on Jun 15, 2021 Upgraded to A2 (sf) Cl. B-3D, Upgraded to A1 (sf); previously on Jun 15, 2021 Upgraded to A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5A, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5B, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5C, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-5D, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa3 (sf) Cl. B-7, Upgraded to Baa1 (sf); previously on Jun 15, 2021 Upgraded to Baa2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-1 Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-2 Cl. A-2, Upgraded to Aaa (sf); previously on Apr 12, 2019 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1B, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1C, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-1D, Upgraded to Aaa (sf); previously on Jun 15, 2021 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2C, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-2D, Upgraded to Aa2 (sf); previously on Jun 15, 2021 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3A, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3B, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3C, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-3D, Upgraded to A2 (sf); previously on Jun 15, 2021 Upgraded to A3 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-4A, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-4B, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Cl. B-4C, Upgraded to A3 (sf); previously on Jun 15, 2021 Upgraded to Baa1 (sf) Issuer: New Residential Mortgage Loan Trust 2019-4 Cl. B-3, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3B, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3C, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-3D, Upgraded to A3 (sf); previously on Sep 28, 2020 Confirmed at Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4A, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4B, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Cl. B-4C, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba2 (sf) Issuer: New Residential Mortgage Loan Trust 2019-5 Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Upgraded to Aa1 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Upgraded to Aa1 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Upgraded to Aa1 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2B, Upgraded to Aa3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2C, Upgraded to Aa3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned A3 (sf) Cl. B-2D, Upgraded to Aa3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3A, Upgraded to A3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3B, Upgraded to A3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3C, Upgraded to A3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-3D, Upgraded to A3 (sf); previously on Oct 9, 2019 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-4A, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-4B, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-4C, Upgraded to Baa3 (sf); previously on Sep 28, 2020 Confirmed at Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5A, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5B, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5C, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Cl. B-5D, Upgraded to Ba1 (sf); previously on Sep 28, 2020 Confirmed at Ba3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-RPL2 Cl. A-2, Upgraded to Aaa (sf); previously on Aug 2, 2019 Definitive Rating Assigned Aa2 (sf) Cl. A-3, Upgraded to Aaa (sf); previously on Aug 2, 2019 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aa1 (sf); previously on Aug 2, 2019 Definitive Rating Assigned A1 (sf) Cl. M-1, Upgraded to Aa3 (sf); previously on Aug 2, 2019 Definitive Rating Assigned A3 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Aug 2, 2019 Definitive Rating Assigned Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2019-RPL3 Cl. A-2, Upgraded to Aaa (sf); previously on Oct 4, 2019 Definitive Rating Assigned Aa2 (sf) Cl. A-3, Upgraded to Aaa (sf); previously on Oct 4, 2019 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aa1 (sf); previously on Oct 4, 2019 Definitive Rating Assigned A1 (sf) Cl. M-1, Upgraded to Aa3 (sf); previously on Oct 4, 2019 Definitive Rating Assigned A3 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Oct 4, 2019 Definitive Rating Assigned Baa3 (sf) Issuer: New Residential Mortgage Loan Trust 2020-RPL1 Cl. A-2, Upgraded to Aaa (sf); previously on Feb 7, 2020 Definitive Rating Assigned Aa2 (sf) Cl. A-3, Upgraded to Aaa (sf); previously on Feb 7, 2020 Definitive Rating Assigned Aa1 (sf) Cl. A-4, Upgraded to Aa3 (sf); previously on Feb 7, 2020 Definitive Rating Assigned A1 (sf) Cl. M-1, Upgraded to Aa3 (sf); previously on Feb 7, 2020 Definitive Rating Assigned A3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Sep 28, 2020 Confirmed at Baa3 (sf) *Reflects Interest Only Classes RATINGS RATIONALE The rating upgrades reflect the increase in the level of credit enhancement available to these bonds due to higher prepayment rates, which have averaged between 16.1% and 20.8% in the last 12 months. The rating action also reflects Moody's updated loss expectations on the underlying pools. In light of the current macroeconomic environment, Moody's revised loss expectations based on forecast uncertainties with regard to the COVID-19 pandemic. Specifically, Moody's have observed an increase in delinquencies, payment forbearance, and payment deferrals since the start of pandemic, but have declined from peak levels observed in 2020. Moody's rating actions also take into consideration the buildup in credit enhancement of the bonds, especially in an environment of elevated prepayment rates, which has helped offset the impact of the increase in expected losses spurred by the pandemic. Moody's estimated the proportion of loans granted payment relief in a pool based on a review of loan level cashflows. In Moody's analysis, Moody's considered a loan to be enrolled in a payment relief program if (1) the loan was not liquidated but took a loss in the reporting period (to account for loans with monthly deferrals that were reported as current), or (2) the actual balance of the loan increased in the reporting period, or (3) the actual balance of the loan remained unchanged in the last and current reporting period, excluding interest-only loans and pay ahead loans. In cases where loan level data is not available, Moody's assumed that the proportion of borrowers enrolled in payment relief programs would be equal to levels observed in transactions of comparable asset quality. Based on Moody's analysis, the proportion of borrowers that are currently enrolled in payment relief plans varied greatly, ranging between approximately 3% and 9% among RMBS RPL transactions. In Moody's analysis, Moody's assume these loans to experience lifetime default rates that are 50% higher than default rates on the performing loans. Moody's also considered a scenario where the population of non-cashflowing loans default with higher roll rates. In addition, for borrowers unable to make up missed payments through a short-term repayment plan, servicers will generally defer the forborne amount as a non-interest-bearing balance, due at maturity of the loan as a balloon payment. Moody's analysis considered the impact of six months of scheduled principal payments on the loans enrolled in payment relief programs being passed to the trust as a loss. The magnitude of this loss will depend on the proportion of the borrowers in the pool subject to principal deferral and the number of months of such deferral. The treatment of deferred principal as a loss is credit negative for junior bonds, which could incur write-downs on bonds when missed payments are deferred. There are no outstanding interest shortfalls on any rated tranche in these transactions. Transactions with shifting interest structures are generally protected against the risk of interest shortfalls since principal collections can be redirected to pay missed interest. In addition, these transactions also require servicers to advance missed P&I payments. However, given the lack of servicer advancing in the three transactions (New Residential Mortgage Loan Trust 2019-RPL2, New Residential Mortgage Loan Trust 2019-RPL3, and New Residential Mortgage Loan Trust 2020-RPL1) structured with sequential pay waterfalls, an elevated percentage of non-cash flowing loans related to borrowers enrolled in payment deferral programs can result in interest shortfalls, especially on the junior bonds. Based on transaction documents, reimbursement of missed interest on the more senior notes has a higher priority than even scheduled interest payments on the more subordinate notes. As such, Moody's expect any future shortfalls to be reimbursed as the proportion of borrowers enrolled in payment deferrals declines. In addition, documents also allow for interest shortfalls to be reimbursed from principal collections. Given that Moody's expect any future interest shortfalls to be temporary and fully reimbursed within a short period of time, the risk of potential shortfalls did not impact the ratings adversely. Moody's updated loss expectations on the pools incorporate, amongst other factors, Moody's assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. 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. Principal Methodologies The methodologies used in rating all deals except interest-only classes were "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. OBX TRUST 2022-INV3: Moody's Assigns (P)B3 Rating to Cl. B-5 Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to 35 classes of residential mortgage-backed securities (RMBS) issued by OBX 2022-INV3 Trust (OBX 2022-INV3). The ratings range from (P)Aaa (sf) to (P)B3 (sf). OBX 2022-INV3, the third Moody's rated issue from Onslow Bay Financial LLC (Onslow Bay) in 2022, is a prime RMBS securitization of 10-year to 30-year, fixed-rate, mostly agency eligible mortgage loans secured by first liens on mainly non-owner occupied residential properties (designated for investment purposes by the borrower), and 2 fixed-rate, non-agency-eligible mortgage loans (each of which is agency-eligible but had an original loan balance that exceeded agency limits). All the loans were underwritten using one of the government-sponsored enterprises' (GSE) automated underwriting systems (AUS) and 99.7% by unpaid principal balance (UPB) received an “Approve” or “Accept” recommendation. As of the cut-off date, no borrower under any mortgage loan is currently in an active Covid-19 related forbearance plan with the related servicer. The mortgage loans in the pool were originated by various originators. 25.8% of the mortgage loans in the pool were originated by Better Mortgage Corporation, 11.7% by Fairway Independent Mortgage Corporation, 11.4% by Cardinal Financial Company LP, 10.2% by Home Point Financial Corporation, 7.9% by General Mortgage Capital Corporation and all other originators represent less than 7.0% by loan balance. Approximately 50.2% of the loans (by UPB) were acquired from different originators and the rest were acquired from Bank of America, National Association. NewRez LLC d/b/a Shellpoint Mortgage Servicing and Select Portfolio Servicing, Inc. will service 49.8% and 50.2% (by UPB) of the mortgage loans respectively on behalf of the issuing entity, starting March 1, 2022. Computershare Trust Company, N.A. (Computershare) will act as master servicer. Certain servicing advances and advances for delinquent scheduled interest and principal payments will be funded unless the related mortgage loan is 120 days or more delinquent or the servicer determines that such delinquency advances would not be recoverable. The master servicer is obligated to fund any required monthly advances if the servicer fails in its obligation to do so. The master servicer and servicer will be entitled to reimbursements for any such monthly advances from future payments and collections with respect to those mortgage loans. The sponsor, directly or through a majority-owned affiliate, intends to retain an eligible horizontal residual interest with a fair value of at least 5% of the aggregate fair value of the notes issued by the trust. OBX 2022-INV3 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordination floor. In Moody's analysis of tail risk, Moody's considered the increased risk from borrowers with more than one mortgage in the pool. The complete rating actions are as follows: Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa1 (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-IO1*, Assigned (P)Aaa (sf) Cl. A-IO4*, Assigned (P)Aaa (sf) Cl. A-IO6*, Assigned (P)Aaa (sf) Cl. A-IO8*, Assigned (P)Aaa (sf) Cl. A-IO10*, Assigned (P)Aaa (sf) Cl. A-IO12*, Assigned (P)Aaa (sf) Cl. A-IO14*, Assigned (P)Aa1 (sf) Cl. A-IO16*, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-IO1*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-2A, Assigned (P)A2 (sf) Cl. B-IO2*, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-3A, Assigned (P)Baa2 (sf) Cl. B-IO3*, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses in a base case scenario are 0.92% and reach 5.47% at a stress level consistent with Moody's Aaa rating scenario. Moody's base its ratings on the notes on the credit quality of the mortgage loans, the structural features of the transaction, Moody's assessments of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral Description The OBX 2022-INV3 transaction is a securitization of 1,053 agency-eligible mortgage loans, secured by 10 to 30-year fixed-rate, mainly non-owner occupied first liens on one-to four-family residential properties, planned unit developments, condominiums and townhouses with an unpaid principal balance of approximately $330,822,750. The notes are backed by 99.8% investment property mortgage loans and the remaining 0.2% are second home loans. The mortgage pool has a WA seasoning of about 5 months. The loans in this transaction have strong borrower credit characteristics with a weighted average current FICO score of 771 and a weighted-average original combined loan-to-value ratio (CLTV) of 63.5%. In addition, 18.8% of the borrowers are self-employed and refinance loans comprise about 60.0% of the aggregate pool. The pool has a high geographic concentration with 36.2% of the aggregate pool located in California, with 8.3% located in the Los Angeles-Long Beach-Anaheim MSA and 7.5% located in the Seattle-Tacoma-Bellevue MSA. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed by investment property mortgage loans that Moody's have rated. As of the cut-off date, no borrower under any mortgage loan is currently in an active Covid-19 related forbearance plan with the related servicer. In the event that, after cut-off date, a borrower enters into or requests an active Covid-19 related forbearance plan, such mortgage loan will remain in the mortgage pool. Furthermore, there are also six loans (0.6% by UPB) that are 30-days delinquent as per MBA Method due to a servicing transfer. Appraisal Waiver (AW) loans, all of which are agency-eligible loans, which constitute approximately 3.1% of the mortgage loans by aggregate cut-off date balance, may present a greater risk as the value of the related mortgaged properties may be less than the value ascribed to such mortgaged properties. Moody's made an adjustment in Moody's analysis to account for the increased risk associated with such loans. However, Moody's have tempered this adjustment by taking into account the GSEs' robust risk modeling, which helps minimize collateral valuation risk, as well as the GSEs' conservative eligibility requirements for AW loans which helps to support deal collateral quality. Origination Quality Majority of the mortgage loans in the pool were originated by Better Mortgage Corp., Fairway Independent Mortgage Corporation, Cardinal Financial Company LP, Home Point Financial Corporation and General Mortgage Capital Corp. All other originators represent less than 7.0% by loan balance. All the mortgage loans comply with Freddie Mac and Fannie Mae underwriting guidelines, with 99.7% (by UPB) receiving an "Approve" or "Accept" recommendation, which take into consideration, among other factors, the income, assets, employment and credit score of the borrower. With exception for loans originated by Home Point Financial Corp. (approximately 10.2% by UPB), LendUS, LLC (approximately 6.2% by UPB), Rocket Mortgage LLC (approximately 0.4% by UPB) and 2 loans that are not GSE eligible, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions, regardless of the originator, since the loans were all underwritten in accordance with GSE guidelines. Moody's increased its loss assumption for loans originated by Rocket Mortgage due to the relatively weaker performance of their investment property mortgage transactions compared to similar transactions from other originators. Moody's increased Moody's loss assumption for loans originated by LendUS due to insufficient performance information. Servicing Arrangement Moody's consider the overall servicing arrangement for this pool to be adequate, and as a result Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on the servicing arrangement. NewRez LLC d/b/a Shellpoint Mortgage Servicing and Select Portfolio Servicing, Inc. (SPS) will be the named primary servicers for this transaction and will service 49.8% and 50.2% of the pool respectively, starting March 1, 2022. Computershare will act as master servicer and as custodian under the custodial agreement. Computershare is a national banking association and a wholly-owned subsidiary of Computershare Ltd (Baa2, long term rating), an Australian financial services company with over $5 billion (USD) in assets as of June 30, 2021. Computershare Ltd and its affiliates have been engaging in financial service activities, including stock transfer related services since 1997, and corporate trust related services since 2000. The P&I Advancing Party (Onslow Bay) will make principal and interest advances (subject to a determination of recoverability) for the mortgage loans for the SPS serviced mortgage loans, while Shellpoint will make P&I advances for the rest of the mortgage loans which is serviced by Shellpoint. As the P&I advancing party, Onslow Bay Financial LLC's role is limited to funding P&I advances for the mortgage loans that are serviced by SPS, but only to the extent that such amounts are not funded by amounts held for future distribution, a reduction in the excess servicing strip fee or a reduction in the P&I advancing party fee. Similar to the OBX 2022-INV1 transaction Moody's have rated, and in contrast to the OBX 2021-J shelf, no advances of delinquent principal or interest will be made for mortgage loans that become 120 days or more delinquent under the MBA method. Subsequently, if there are mortgage loans that are 120 days or more delinquent on any payment date, there will be a reduction in amounts available to pay principal and interest otherwise payable to note holders. Moody's did not make an adjustment for the stop advance feature due to the strong reimbursement mechanism for liquidated mortgage loans. Proceeds from liquidated mortgage loans are included in the available distribution amount and are paid according to the waterfall. Third Party Review (TPR) Six third-party review (TPR) firms including AMC Diligence, LLC (AMC), Inglet Blair, LLC, Canopy Financial Technology Partners, LLC, Clayton Services LLC, Consolidated Analytics, INC and Wipro Opus Risk Solutions, LLC, verified the accuracy of the loan level information that Moody's received from the sponsor. Six TPR firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 99.9% of the mortgage loans (by loan count) in the final collateral pool. The TPR checked to ensure that all of the reviewed loans were in compliance with (AUS) underwriting guidelines and AUS loan eligibility requirements with generally no material compliance, credit, data or valuation issues. Representations & Warranties (R&W) Moody's analysis of the R&W framework considers the adequacy of the R&Ws and enforcement mechanisms, and the creditworthiness of the R&W provider. Overall, the loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of the mortgage. In connection with the conveyance of the Mortgage Loans to the Depositor under the mortgage loan purchase agreement (the “Mortgage Loan Purchase Agreement”), the Seller will make the representations and warranties to the Depositor, AAR), which will be assigned by the Depositor to the Issuer and pledged by the Issuer to the Indenture Trustee for the benefit of the Noteholders. Onslow Bay Financial LLC which is the rep provider is an unrated entity with weak financial that may not have the financial wherewithal to purchase defective loans. Moody's have increased Moody's loss levels to account for the financial weakness of the R&W provider (Onslow Bay). Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool balance declines, senior bonds are exposed to eroding credit enhancement over time, and increased performance volatility, as a result. To mitigate this risk, the transaction provides for a senior subordination floor of 1.15% of the closing pool balance, and a subordination lock-out amount equal to 1.15% of the closing pool balance. The floors are consistent with the credit neutral floors for the assigned ratings according to Moody's methodology. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in rating all classes except interest-only classes was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in February 2022. OCP CLO 2015-9: Fitch Assigns 'BB-' Rating to Class E-R Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OCP CLO 2015-9, Ltd. Refinancing Notes. DEBT RATING ---- ------ OCP CLO 2015-9, Ltd. A-1-R2 LT AAAsf New Rating A-2-R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated Notes LT NRsf New Rating X LT AAAsf New Rating TRANSACTION SUMMARY OCP CLO 2015-9, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Onex Credit Partners LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 25.06 versus a maximum covenant, in accordance with the initial expected matrix point of 26.0. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement 38.0%, 35.0%, 24.0%, 18.0%, 12.0% and 8.0% for class A-1-R2, A-2-R2, B-R2, C-R2, D-R and E-R, respectively, and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.6% first-lien senior secured loans. The weighted average recovery assumption (WARR) of the indicative portfolio is 74.96% versus a maximum covenant, in accordance with the initial expected matrix point of 70.6%. Portfolio Composition (Positive): The largest three industries may comprise up to 48.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, class X, A-1-R2, A-2-R2, B-R2, C-R2, D-R and E-R notes can withstand default rates of up to 100%, 58.1%, 55.6%, 51.6%, 46.3%, 39.3% and 34.6% respectively, assuming portfolio recovery rates of 35.2% in the 'AAAsf' stress scenario, 44.6% in the 'AAsf' stress scenario, 53.7% in the 'Asf' stress scenario, 62.8% in the 'BBB-sf' stress scenario, and 69.3% in the 'BB-sf' stress scenario. The performance of all classes of rated debt at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. -- The results under these sensitivity scenarios are between 'AAAsf' and 'AAAsf' for class X, between 'BBB+sf' and 'AAAsf' for class A-1-R2, between 'BBB+sf' and 'AAAsf' for class A-2- R2, between 'BB+sf' and 'AA-sf' for class B-R2, between 'B+sf' and 'Asf' for class C-R2, between less than 'B-sf' and 'BBBsf' for class D-R, and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrade scenarios are not applicable to the class X, A-1-R2, and A-2-R2 notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. -- Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-R2 notes, between 'A+sf' and 'AA+sf' for class C-R2 notes, between 'Asf' and 'A+sf' for class D-R notes, and between 'BBB-sf' and 'BBB+sf' for class E-R notes. 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. OCTAGON INVESTMENT 45: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1-R, B-R, C-1-R, C-2-R, D-R, and E-R replacement notes from Octagon Investment Partners 45 Ltd., a CLO originally issued in November 2019 that is managed by Octagon Credit Investors LLC, which is majority owned by Conning & Co. We did not rate the class A-2-R replacement notes. At the same time, S&P withdrew its ratings on the original class A, B-1, B-2, C, D-1, D-2, and E notes following payment in full on the March 4, 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 replacement class A-1-R, A-2-R, B-R, C-1-R, C-2-R, D-R, and E-R notes will be issued at a spread over three-month Term Secured Overnight Financing Rate (SOFR), which will replace the spread over three-month LIBOR on the original class A, B-1, C, D-1, D-2, and E notes. -- The replacement class A-1-R, A-2-R, C-1-R, C-2-R, D-R, and E-R notes will be issued at a floating spread, replacing the current floating spread. -- The replacement class B-R notes will be issued at a floating spread, replacing both the floating spread on the original class B-1 notes and the fixed coupon on the original class B-2 notes. -- The stated maturity and reinvestment period will be extended approximately 2.5 years. -- The non-call period will be re-established through April 2024. 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 Octagon Investment Partners 45 Ltd. Class A-1-R, $416.00 million: AAA (sf) Class A-2-R, $6.50 million: NR Class B-R, $71.50 million: AA (sf) Class C-1-R (deferrable), $26.00 million: A+ (sf) Class C-2-R (deferrable), $13.00 million: A (sf) Class D-R (deferrable), $39.00 million: BBB- (sf) Class E-R (deferrable), $26.00 million: BB- (sf) Subordinated notes, $61.50 million: NR Ratings Withdrawn Octagon Investment Partners 45 Ltd. Class A: 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-1 (deferrable): to NR from 'BBB- (sf)' Class D-2 (deferrable): to NR from 'BBB- (sf)' Class E (deferrable): to NR from 'BB- (sf)' NR--Not rated. PALMER SQUARE 2022-1: Moody's Assigns Ba3 Rating to $25MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Palmer Square CLO 2022-1, Ltd. (the "Issuer" or "Palmer Square 2022-1"). 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$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2035, Assigned A2 (sf) US$30,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2035, Assigned Baa3 (sf) US$25,000,000 Class E 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. Palmer Square 2022-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and permitted non-loan assets. The portfolio is approximately 90% ramped as of the closing date. Palmer Square Capital 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 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: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2830 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% 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. PARK AVENUE 2022-1: S&P Assigns BB- (sf) Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Park Avenue Institutional Advisers CLO Ltd. 2022-1's fixed- and floating-rate notes. The note issuance is a CLO securitization backed by primarily broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The preliminary ratings are based on information as of March 4, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool. -- The credit enhancement provided through subordination, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management. -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Park Avenue Institutional Advisers CLO Ltd. 2022-1/ Park Avenue Institutional Advisers CLO LLC 2022-1 Class A-1, $256.00 million: AAA (sf) Class A-2, $48.00 million: AA (sf) Class B-1, $16.00 million: A (sf) Class B-2, $8.00 million: A (sf) Class C-1 (deferrable), $14.00 million: BBB+ (sf) Class C-2 (deferrable), $10.00 million: BBB- (sf) Class D (deferrable), $16.00 million: BB- (sf) Subordinated notes, $40.00 million: Not rated PPLUS TRUST RRD-1: Moody's Lowers Rating on 2 Tranches to Caa1 -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings on the following certificates issued by PPLUS Trust Series RRD-1: US$60,000,000 Class A Trust Certificates due 2029, Downgraded to Caa1; previously on November 10, 2021 B3 Placed Under Review for Possible Downgrade Class B Trust Certificates due 2029, Downgraded to Caa1; previously on November 10, 2021 B3 Placed Under Review for Possible Downgrade RATINGS RATIONALE The rating actions are a result of the change in the rating of the Underlying Securities, the 6.625% Senior Debentures due April 15, 2029 issued by R.R. Donnelley & Sons Company, which was downgraded by Moody's on March 4, 2022. The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in June 2020. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The ratings will be sensitive to any change in the rating of the 6.625% Senior Debentures due April 15, 2029 issued by R.R. Donnelley & Sons Company. ROCKFORD TOWER I: Moody's Assigns (P)Ba3 Rating to $24.3MM E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to five classes of notes to be issued by Rockford Tower Credit Funding I, Ltd. (the "Issuer"). Moody's rating action is as follows: US$178,200,000 Class A Senior Secured Fixed Rate Notes due 2040, Assigned (P)Aaa (sf) US$53,100,000 Class B Senior Secured Fixed Rate Notes due 2040, Assigned (P)Aa3 (sf) US$13,500,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned (P)A3 (sf) US$20,700,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Assigned (P)Baa3 (sf) US$24,300,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, Assigned (P)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 CDO's portfolio and structure. Rockford Tower Credit Funding I, Ltd. is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate loans and bonds. At least 30% of the portfolio must consist of first lien senior secured loans, senior secured notes and eligible investments, and up to 15% of the portfolio may consist of second lien loans. Moody's expect the portfolio to be approximately 20% ramped as of the closing date. Rockford Tower Capital Management, 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 approximately 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 will issue 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: $360,000,000 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3178 Weighted Average Coupon (WAC): 5.30% Weighted Average Recovery Rate (WARR): 36.0% Weighted Average Life (WAL): 10 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. ROCKFORD TOWER I: Moody's Assigns Ba3 Rating to $24.3MM E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Rockford Tower Credit Funding I, Ltd. (the “Issuer”). Moody's rating action is as follows: US$178,200,000 Class A Senior Secured Fixed Rate Notes due 2040, Definitive Rating Assigned Aaa (sf) US$53,100,000 Class B Senior Secured Fixed Rate Notes due 2040, Definitive Rating Assigned Aa3 (sf) US$13,500,000 Class C Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Definitive Rating Assigned A3 (sf) US$20,700,000 Class D Mezzanine Secured Deferrable Fixed Rate Notes due 2040, Definitive Rating Assigned Baa3 (sf) US$24,300,000 Class E Junior Secured Deferrable Fixed Rate Notes due 2040, Definitive Rating 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 CDO's portfolio and structure. Rockford Tower Credit Funding I, Ltd. is a managed cash flow CDO. The issued notes will be collateralized primarily by corporate loans and bonds. At least 30% of the portfolio must consist of senior secured loans, senior secured notes and eligible investments, and up to 15% of the portfolio may consist of second lien loans. The portfolio is approximately 20% ramped as of the closing date. Rockford Tower Capital Management, 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 approximately 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 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: $360,000,000 Diversity Score: 45 Weighted Average Rating Factor (WARF): 3178 Weighted Average Coupon (WAC): 5.30% Weighted Average Recovery Rate (WARR): 36.0% Weighted Average Life (WAL): 10 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. SATURNS TRUST NO. 2003-7: S&P Raises Class B Units Rating to 'BB' ----------------------------------------------------------------- S&P Global Ratings raised its rating on Structured Asset Trust Unit Repackagings (SATURNS) Trust No. 2003-7's $25 million callable class B units due Jan. 15, 2032, to 'BB' from 'BB-'. S&P's rating on the class B units is dependent on its rating on the underlying security, Macy's Retail Holdings Inc.'s 6.90% debentures due Jan. 15, 2032 ('BB'). SG RESIDENTIAL 2022-1: S&P Assigns B- (sf) Rating on Class B Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to SG Residential Mortgage Trust 2022-1's residential mortgage pass-through certificates. The certificate issuance is an RMBS securitization backed by a pool of first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 579 loans, which are primarily non-qualified mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; and -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator, SG Capital doing business as ClearEdge Lending; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool. Ratings Assigned(i) SG Residential Mortgage Trust 2022-1 Class A-1, $216,219,000: AAA (sf) Class A-2, $24,862,000: AA (sf) Class A-3, $33,042,000: A (sf) Class M-1, $17,163,000: BBB (sf) Class B-1, $11,388,000: BB (sf) Class B-2, $10,587,000: B- (sf) Class B-3, $7,538,525: NR Class B-3-C, $7,538,525: NR Class A-IO-S, Notional(ii): NR Class C, $1,000 (notional): NR Class XS, Notional(iii): NR Class XS-1, Notional(iii): NR Class XS-2, Notional(iii): NR Class XS-2-C, Notional(iii): NR Class P, $1,000 (notional): NR Class R, Not applicable: NR Class LT-R, Not applicable: NR (i)The ratings address the ultimate payment of interest and principal. (ii)The notional amount will be equal to the aggregate scheduled principal balance of the mortgage loans as of the first day of the related due period. (iii)The notional amount will be equal to the aggregate certificate principal balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 or B-3-C certificates (immediately before that distribution date). NR--Not rated. SOUND POINT XXV: Moody's Assigns Ba3 Rating to $18MM Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Sound Point CLO XXV, Ltd. (the "Issuer"). Moody's rating action is as follows: US$278,500,000 Class A-1-R Senior Secured Floating Rate Notes due 2033, Assigned Aaa (sf) US$14,000,000 Class A-2-R Senior Secured Fixed Rate Notes due 2033, Assigned Aaa (sf) US$49,500,000 Class B-R Senior Secured Floating Rate Notes due 2033, Assigned Aa2 (sf) US$27,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2033, Assigned A2 (sf) US$27,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2033, Assigned Baa3 (sf) US$18,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2033, 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% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, senior unsecured loans and bonds. Sound Point Capital Management, LP (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 three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing 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. 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: $450,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2692 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.00% Weighted Average Life (WAL): 7.22 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. SOUND POINT XXXIII: Moody's Assigns Ba3 Rating to $20MM E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Sound Point CLO XXXIII, Ltd (the "Issuer"). Moody's rating action is as follows: US$315,000,000 Class A Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$65,000,000 Class B Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aa2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned A2 (sf) US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned Baa3 (sf) US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2035, Definitive Rating 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. Sound Point CLO XXXIII, 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 and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, senior unsecured loans and bonds. The portfolio is approximately 85% ramped as of the closing date. Sound Point Capital Management, LP. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued 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: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2790 Weighted Average Spread (WAS): S+3.50% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.14 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. STARWOOD MORTGAGE 2022-2: Fitch Gives Final B- Rating to 2 Tranches ------------------------------------------------------------------- Fitch Ratings has assigned final ratings to Starwood Mortgage Residential Trust 2022-2. DEBT RATING PRIOR ---- ------ ----- STAR 2022-2 A-1A LT AAAsf New Rating AAA(EXP)sf A-1B LT AAAsf New Rating AAA(EXP)sf A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAsf New Rating AA(EXP)sf A-3 LT Asf New Rating A(EXP)sf M-1 LT BBBsf New Rating BBB(EXP)sf B-1 LT BBsf New Rating BB(EXP)sf B-2-1 LT B-sf New Rating B-(EXP)sf B-2-2-RR LT B-sf New Rating B-3-1-RR LT NRsf New Rating NR(EXP)sf B-3-2-RR LT NRsf New Rating A-IO-S LT NRsf New Rating NR(EXP)sf XS-RR LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch rates the residential mortgage-backed certificates to be issued by Starwood Mortgage Residential Trust 2022-2, series 2022-2 (STAR 2022-2), as indicated. The certificates are supported by 831 loans with a balance of approximately $513.7 million as of the cutoff date. This is the second Fitch-rated STAR transaction in 2022 and eighth STAR transaction that Fitch has rated since 2020. The certificates are secured primarily by mortgage loans originated by third-party originators, with Luxury Mortgage Corporation, HomeBridge Financial Services, Inc. and CrossCountry Mortgage LLC sourcing 90.8% of the pool. The remaining 9.2% of the mortgage loans were originated by various originators that contributed less than 7.0% each to the pool. Fitch assessed Luxury Mortgage Corporation, HomeBridge Financial Services, Inc. and CrossCountry Mortgage LLC as 'Average' originators. Of the loans in the pool, 65.3% are designated as non-qualified mortgages (non-QMs, or NQMs), and 34.7% are not subject to the Consumer Finance Protection Bureau's (CFPB) Ability to Repay Rule (ATR Rule, or the rule). There is no LIBOR exposure in this transaction. The collateral does not contain LIBOR exposure as all the adjustable-rate loans reference one-month SOFR Secured Overnight Financing Rate (SOFR). The certificates are fixed rate and capped at the net weighted average coupon (WAC) or based on the net WAC. Fitch viewed positively the lack of LIBOR exposure. After the presale report was published, the one adjustable rate loan that referenced LIBOR was removed from the pool. This did not have a material impact on the losses and the losses remain unchanged from the losses published in the presale report. The transaction priced on March 4, 2022 and a revised structure was analyzed. Although the losses remain unchanged from the presale report that was published, the transaction's credit enhancement (CE) increased due to the increase in coupons. Fitch ran the revised structure and found that the CE provided was sufficient to pass the assigned rating stresses. Fitch's losses and revised transaction CE are listed below. -- A-1A rated 'AAAsf'; Fitch expected loss 18.50%; transaction CE 20.95%; -- A-1B rated 'AAAsf'; Fitch expected loss 18.50%; transaction CE 20.95%; -- A-1 rated 'AAAsf'; Fitch expected loss 18.50%; transaction CE 20.95%; -- A-2 rated 'AAsf'; Fitch expected loss 14.00%; transaction CE 15.45%; -- A-3 rated 'Asf'; Fitch expected loss 10.00%; transaction CE 11.80%; -- M-1 rated 'BBBsf'; Fitch expected loss 6.50%; transaction CE 7.20%; -- B-1 rated 'BBsf'; Fitch expected loss 4.75%; transaction CE 5.30%; -- B-2-1 rated 'B-sf'; Fitch expected loss 2.50%; transaction CE 2.90%. -- B-2-2-RR rated 'B-sf'; Fitch expected loss 2.50%; transaction CE 2.90%. The final ratings assigned remain unchanged from the expected ratings. 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 10.6% above a long-term sustainable level, versus 10.6% on a national level. Underlying fundamentals are not keeping pace with 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. Nonprime Credit Quality (Mixed): The collateral consists mainly of 30-year, fixed-rate fully amortizing loans (75.4%), 13.4% fixed-rate loans with an initial IO term, 5.0% 7/1 ARMs with an initial IO term and 2.7% 10/1 ARMs with an initial IO term. The pool is seasoned at approximately four months in aggregate, as determined by Fitch. Borrowers in this pool have relatively strong credit profiles, with a 741 weighted average (WA) FICO score and a 40% debt to income (DTI) ratio, as determined by Fitch, and relatively high leverage with an original combined loan to value (CLTV) ratio of 71.7% that translates to a Fitch-calculated sustainable loan to value (sLTV) ratio of 79.8%. The Fitch DTI is higher than the DTI in the transaction documents (DTI is 28.4% in the transaction documents) due to Fitch assuming a 55% DTI for asset depletion loans and converting the debt service coverage ratio (DSCR) to a DTI for the DSCR loans. Of the pool, 59.9% consist of loans where the borrower maintains a primary residence, while 35.1% comprise an investor property or second home; 46.9% of the loans were originated through a retail channel. Additionally, 65.3% are designated as non-QM and 34.7% are exempt from QMs. The pool contains 133 loans over $1 million, with the largest being $3.5 million. Self-employed non-DSCR borrowers make up 60.2% of the pool, 3.5% are asset depletion loans and 28.2% are investor cash flow DSCR loans. Approximately 35% of the pool comprise loans on investor properties (7% underwritten to the borrowers' credit profile and 28% comprising investor cash flow loans). A 0.7% portion of the loans has subordinate financing and there are no second lien loans. Four loans in the pool were underwritten to foreign nationals. Fitch treated these loans as being investor occupied and having no documentation for income and employment. Fitch assumed a FICO of 650 for foreign nationals without a credit score. Although the credit quality of the borrowers is higher than in prior NQM transactions, the pool characteristics resemble nonprime collateral; therefore, the pool was analyzed using Fitch's nonprime model. Geographic Concentration (Negative): Approximately 41.7% of the pool are concentrated in California. The largest MSA concentration is in the Los Angeles-Long Beach-Santa Ana, CA MSA (20.0%), followed by the New York-Northern New Jersey-Long Island, NY-NJ-PA MSA (17.8%) and the San Francisco-Oakland-Fremont MSA (6.5%). The top three MSAs account for 44.2% of the pool. As a result, there was a 1.04x probability of default (PD) penalty for geographic concentration, which increased the 'AAA' loss by 0.48%. Loan Documentation (Negative): Approximately 91.8% of the pool were underwritten to less than full documentation, and 57.7% 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 CFPB's ATR Rule, which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to the rigor of the rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Additionally, 3.5% of loans in the pool are an asset depletion product, 0% are a CPA or PnL product and 28.2% are a DSCR product. Limited Advancing (Mixed): The deal is structured to six months of servicer advances for delinquent principal and interest (P&I). The limited advancing reduces loss severities, as 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 is the additional stress on the structure side, as there is limited liquidity in the event of large and extended delinquencies. Sequential Payment Structure (Positive): The transaction's cash flow is based on a sequential-pay structure whereby the subordinate classes do not receive principal until the senior classes are repaid in full. Losses are allocated in reverse-sequential order. Furthermore, the provision to re-allocate principal to pay interest on the 'AAAsf' and 'AAsf' rated notes prior to other principal distributions is highly supportive of timely interest payments to that class with limited advancing. There is excess spread in the transaction that will be used to absorb realized losses if needed; however, the excess spread will be diminished on and after March 2026 as the A-1A and A-1B have a step up coupon feature where the coupon rates will be the lesser of the initial fixed rate plus 1.0% and the net WAC rate on and after March 2026. 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 41.9% 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. 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 SitusAMC and Recovco Mortgage Management, LLC. The third-party due diligence described in Form 15E focused on compliance review, credit review and valuation review. Fitch considered this information in its analysis and, as a result, Fitch did not make any adjustments to its analysis due to the due diligence findings. Based on the results of the 100% due diligence performed on the pool, the overall expected loss was reduced by 0.45%. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor, Starwood Non-Agency Lending, LLC, engaged SitusAMC and Recovco Mortgage Management, LLC to perform the review. Loans reviewed under these engagements were given compliance, credit, and valuation grades and assigned initial grades for each subcategory. An exception and waiver report was provided to Fitch, indicating the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that the exceptions and waivers do not materially affect the overall credit risk of the loans due to the presence of compensating factors such as having liquid reserves or FICO above guideline requirements or LTV or DTI lower than guideline requirement. Therefore, no adjustments were needed to compensate for these occurrences. 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 (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout was populated by the due diligence company and no material discrepancies were noted. ESG CONSIDERATIONS STAR 2022-2 has an ESG Relevance Score of '4' [+] for Transaction Parties & Operational Risk due to operational risk being well controlled for in STAR 2022-2, strong transaction due diligence as well as a 'RPS1-' Fitch-rated servicer, which has a positive impact on the credit profile, and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. STEELE CREEK 2022-1: Moody's Assigns (P)Ba3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody’s Investors Service has assigned provisional ratings to six classes of notes to be issued by Steele Creek CLO 2022-1, Ltd. (the "Issuer" or "Steele Creek 2022-1"). Moody’s rating action is as follows: US$217,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$7,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035, Assigned (P)Aaa (sf) US$42,000,000 Class B Senior Secured Floating Rate Notes due 2035, Assigned (P)Aa2 (sf) US$19,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned (P)A2 (sf) US$21,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned (P)Baa3 (sf) US$15,750,000 Class E Mezzanine Secured Deferrable Floating Rate Notes due 2035, Assigned (P)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. Steele Creek 2022-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second-lien loans, unsecured loans, and permitted non-loan assets. Moody's expect the portfolio to be approximately 95% ramped as of the closing date. Steele Creek Investment 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 will issue 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: $350,000,000 Diversity Score: 72 Weighted Average Rating Factor (WARF): 2750 Weighted Average Spread (WAS): S + 3.61% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.80% Weighted Average Life (WAL): 8.0 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. TCW CLO 2022-1: S&P Assigns Prelim BB- (sf) Rating on Cl. E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC's fixed- and floating-rate notes. The note issuance is a CLO transaction governed by collateral quality tests and backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans. The preliminary ratings are based on information as of March 9, 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 collateral selection and ongoing portfolio management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned TCW CLO 2022-1 Ltd./TCW CLO 2022-1 LLC Class X(i), $4.0 million: AAA (sf) Class A1, $241.0 million: AAA (sf) Class AF, $15.0 million: AAA (sf) Class B, $48.0 million: AA (sf) Class C (deferrable), $24.0 million: A (sf) Class D1 (deferrable), $20.0 million: BBB+ (sf) Class DJ (deferrable), $4.0 million: BBB- (sf) Class E (deferrable), $16.0 million: BB- (sf) Subordinated notes, $37.1 million: Not rated (i)The class X notes are expected to be paid primarily using interest proceeds in equal installments over the first 11 payment dates. TRINITAS CLO X: Moody's Assigns B3 Rating to $4MM Class F-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of CLO refinancing notes issued by Trinitas CLO X, Ltd. (the "Issuer"). Moody's rating action is as follows: US$6,000,000 Class X Floating Rate Notes Due 2035, Assigned Aaa (sf) US$378,000,000 Class A-R Floating Rate Notes Due 2035, Assigned Aaa (sf) US$53,000,000 Class B-1-R Floating Rate Notes Due 2035, Assigned Aa2 (sf) US$21,500,000 Class B-2-R Fixed Rate Notes Due 2035, Assigned Aa2 (sf) US$28,000,000 Class C-R Deferrable Floating Rate Notes Due 2035, Assigned A2 (sf) US$37,500,000 Class D-R Deferrable Floating Rate Notes Due 2035, Assigned Baa3 (sf) US$31,000,000 Class E-R Deferrable Floating Rate Notes Due 2035, Assigned Ba3 (sf) US$4,000,000 Class F-R Deferrable Floating Rate Notes Due 2035, Assigned B3 (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 92.5% of the portfolio must consist of senior secured loans and eligible investments and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans, unsecured bonds and permitted non-loan assets. Trinitas Capital Management, LLC (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 extended 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, 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 "Moody's Default Probability Rating" 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): 2855 Weighted Average Spread (WAS): 3mS + 3.40% Weighted Average Coupon (WAC): 5.15% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 7.86 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. UBS COMMERCIAL 2019-C16: Fitch Affirms 'B-' Rating on H-RR Certs ---------------------------------------------------------------- Fitch Ratings has affirmed all ratings and revised one Outlook to Stable from Negative for UBS Commercial Mortgage Trust 2019-C16 commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- UBS 2019-C16 A-1 90276YAA1 LT AAAsf Affirmed AAAsf A-2 90276YAB9 LT AAAsf Affirmed AAAsf A-3 90276YAD5 LT AAAsf Affirmed AAAsf A-4 90276YAE3 LT AAAsf Affirmed AAAsf A-S 90276YAH6 LT AAAsf Affirmed AAAsf A-SB 90276YAC7 LT AAAsf Affirmed AAAsf B 90276YAJ2 LT AA-sf Affirmed AA-sf C 90276YAK9 LT A-sf Affirmed A-sf D 90276YAN3 LT BBB+sf Affirmed BBB+sf D-RR 90276YAQ6 LT BBBsf Affirmed BBBsf E-RR 90276YAS2 LT BBB-sf Affirmed BBB-sf F-RR 90276YAU7 LT BB+sf Affirmed BB+sf G-RR 90276YAW3 LT BB-sf Affirmed BB-sf H-RR 90276YAY9 LT B-sf Affirmed B-sf X-A 90276YAF0 LT AAAsf Affirmed AAAsf X-B 90276YAG8 LT A-sf Affirmed A-sf KEY RATING DRIVERS Decreasing Loss Expectations: Performance for the majority of the pool has remained relatively stable since issuance and Fitch's loss expectation for the pool have decreased since the prior rating action. The Outlook revision on class H-RR reflects better than expected 2020 and/or 2021 performance on loans previously flagged as Fitch Loans of Concern (FLOCs) due to the pandemic. Fitch has designated six FLOCs (21.7% of the pool) including three specially serviced loans (10.9%). Fitch's current ratings incorporate a base case loss of 3.5%. The Colonnade Office Complex (7.0%), the largest loan in the pool, has been designated as a FLOC due to declining performance metrics. The loan is secured by a 1.1 million-sf suburban office complex located in Addison, TX within the Dallas-Ft. Worth metropolitan statistical area. Occupancy at the property has declined to 75% as of the October 2021 rent roll compared with 80% at YE 2020 and 91% at Securitization. Reduced occupancy has resulted in a decline in NOI DSCR to 2.63x as of YE 2020 from 3.44x at YE 2019. Scheduled upcoming tenant rollover per the October 2021 rent roll is minimal with rollover of 1.2%, 7.1%, 4.2%, and 3.4% scheduled to rollover in 2021 (November 2021 through December 2021), 2022, 2023, and 2024, respectively. Fitch applied an additional haircut to the YE 2020 NOI to reflect loss income related to the continued occupancy decline. SkyLoft Austin (5.3%), is the second largest FLOC in the pool and the largest specially serviced loan. The loan is secured by a 212-unit, high rise, class-A student housing property with 676-beds across 18-stories. The property was built in 2018 and is located in Austin, Texas, approximately one block from the West Campus of the University of Texas-Austin. The loan was transferred to SS in November 2021 due to imminent non-monetary default (litigation) and imminent monetary default. The servicer has expressed concerns that the borrower is not maintaining the property's condition and funds generated from rent payments were being misappropriated. According to media reports, the developer is being sued by several investors looking to recoup up to $75 million related to allegations which include the diverting of funds to other projects. According to the servicer, the preferred equity holder and the original borrower have spent a large part of 2021 in litigation regarding the preferred equity investment and related issues after the preferred equity holder exercised certain remedies under the preferred equity documents, which resulted in the transfer of the property to a new borrower entity (and related assumption of the subject loan) in late 2020. Occupancy at the property declined to 86% at YE 2020 from 97% at YE 2019 resulting in declining NOI DSCR to 2.94x at YE 2020 from 3.45x at YE 2019. Fitch applied additional stresses to account for the declining performance metrics and the risk of a prolonged workout. Great Value Storage Portfolio (4.5%), a 64-property, 4.1 million-sf self-storage portfolio located across 10 states is the third largest FLOC in the pool and the second largest specially serviced loan. The loan transferred on June 2021 to special servicing as a result of the borrower, World Class Holding Company, filing bankruptcy on June 17, 2021. According to the special servicer, the resolution is either through a property sale in May 2022 or potentially the Mezzanine lenders buying the senior debt provided they have the right and are not in default under the intercreditor agreement. Minimal Changes to Credit Enhancement (CE): As of the February 2022 distribution date, the pool's aggregate principal balance has been paid down by 1.2% to $675 million from $683 million at issuance. There are 14 loans (38%) structured as full-term interest-only and an additional 18 loans (39.7%) structured with a partial interest-only period, four (7.6%) of which have not yet begun amortizing. There are two loans (3.3%) covered by fully defeased collateral. 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-SB, X-A, X-B and A-S classes, along with class B and C are not expected 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 D, D-RR, E-RR, F-RR, and G-RR are possible should additional defaults occur or loss expectations increase. -- Downgrades to class H-RR would occur if loss expectations increase due to property underperformance, additional loans default or transfer to special servicing, and/or higher than expected losses are incurred on the specially serviced loans. 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 C, D, X-B and D-RR would only occur with significant improvement in CE, defeasance and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. -- Upgrades to classes E-RR, F-RR, and G-RR may occur as the number of FLOCs are reduced and there is sufficient CE to the classes. 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. UBS-BARCLAYS 2012-C3: Moody's Affirms B3 Rating on Cl. F Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on six classes and upgraded the ratings on three classes in UBS-Barclays Commercial Mortgage Trust 2012-C3 as follows: Cl. A-4, Affirmed Aaa (sf); previously on Oct 12, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Oct 12, 2020 Affirmed Aaa (sf) Cl. B, Upgraded to Aa1 (sf); previously on Oct 12, 2020 Affirmed Aa2 (sf) Cl. C, Upgraded to A1 (sf); previously on Oct 12, 2020 Affirmed A2 (sf) Cl. D, Upgraded to Baa2 (sf); previously on Oct 12, 2020 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Oct 12, 2020 Affirmed Ba2 (sf) Cl. F, Affirmed B3 (sf); previously on Oct 12, 2020 Downgraded to B3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Oct 12, 2020 Affirmed Aaa (sf) Cl. X-B*, Affirmed B2 (sf); previously on Oct 12, 2020 Downgraded to B2 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The rating on the P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on three P&I classes, Cl. B, Cl. C and Cl. D, were upgraded based primarily on an increase in credit support resulting from loan paydowns and amortization. The deal has paid down approximately 11% since Moody's last review. Furthermore, there has been a significant increase in defeasance, to 60% of the current pool balance from 26% at the last review. The ratings on the Interest-Only (IO) classes were affirmed based on the credit quality of their referenced classes. Moody's rating action reflects a base expected loss of 2.6% of the current pooled balance, compared to 4.8% at Moody's last review. Moody's base expected loss plus realized losses is now 1.7% of the original pooled balance, compared to 3.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating all classes except the interest-only classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology" published in November 2021. DEAL PERFORMANCE As of the February 11, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 35% to $699.7 million from $1.08 billion at securitization. The certificates are collateralized by 68 mortgage loans ranging in size from less than 1% to 4.4% of the pool, with the top ten exposures (excluding defeasance) constituting 21.5% of the pool. Thirty-two loans, constituting 60% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 23, compared to 17 at Moody's last review. As of the February 2022 remittance report, loans representing 99% were current or within their grace period on their debt service and 1% were greater than 30 days delinquent or in foreclosure. Fifteen loans, constituting 16.9% of the pool, are on the master servicer's watchlist, of which four loans, representing 4.8% of the pool, indicate the borrower has received loan modifications in relation to the coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Three loans, constituting 3% of the pool, are currently in special servicing. All of the specially serviced loans have transferred to special servicing since May 2020. There have been no loans liquidated from the pool resulting in a loss. The largest specially serviced loan is the Cooper Retail Portfolio Loan ($12.9 million -- 1.9% of the pool), which is secured by three separate retail centers totaling 211,750 square feet (SF) and located in suburban areas of MS, KY, and FL. The loan transferred to special servicing in May 2020 due to imminent monetary default at the borrower's request as a result of the coronavirus pandemic. Two of the properties have been impacted by the departure of their respective largest tenants during 2019, however, the sponsor has been actively working on leasing up the vacant space and has executed two new leases with replacement tenants. The special servicer executed a forbearance agreement with the borrower in June 2021. The portfolio was collectively 49% leased as of June 2021 compared to 59% leased as of March 2020, however, occupancy is expected to increase to 63% with the recently executed leases. The loan is last paid through the September 2021 payment date and has amortized 16% since securitization. The remaining two specially serviced loans (1.1% of the pool) are secured by a mixed-use property in Brooklyn, NY and a retail property in Des Moines, IA, both of which were impacted by business disruptions stemming from the pandemic. Moody's estimates an aggregate $5.6 million loss for the specially serviced loans (27% expected loss on average). The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2020 operating results for 100% of the pool, and full or partial year 2021 operating results for 88% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 97%, compared to 101% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 19% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2020 / 2021. Moody's value reflects a weighted average capitalization rate of 10.6%. Moody's actual and stressed conduit DSCRs are 1.35X and 1.24X, respectively, compared to 1.51X and 1.20X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit exposures represent 9.5% of the pool balance. The largest loan is the Crossways Shopping Center Loan ($30.7 million -- 4.4% of the pool), which is secured by an approximately 351,000 SF retail power center located in Chesapeake, VA, approximately 15 miles west of Virginia Beach. The property was 94% leased as of September 2021 compared to 93% in March 2020, 96% in December 2018 and 99% at securitization. As of December 2021, ten tenants totaling 26% of the net rentable area (NRA) have leases that are expired or set to expire in the next 12 months. The borrower initially submitted a request for relief as a result of the pandemic but has since cancelled the request. The loan has amortized 24% since securitization and Moody's LTV and stressed DSCR are 77% and 1.33X, respectively, compared to 82% and 1.26X at last review. The second largest loan is the GBP Portfolio II Loan ($20.2 million -- 2.9% of the pool), which is secured by three cross-collateralized/cross-defaulted loans consisting of three anchored retail centers in Indianapolis, IN, located within the same zip code. The three properties were collectively 81% leased as of September 2021. Moody's LTV and stressed DSCR are 77% and 1.5X, respectively, compared to 80% and 1.44X at the last review. The third largest loan is the Hamptons Mixed Use Portfolio Loan ($16.0 million -- 2.3% of the pool), which is secured by a portfolio of seven retail, restaurant and mixed-use properties located on the east end of Long Island, NY. As of September 2021, the portfolio was approximately 89% leased. Lease rollover is significant, with approximately 60% of the NRA maturing within the next two years. The borrower did not request covid relief and the loan has remained current, amortizing by 16%. Moody's LTV and stressed DSCR are 126% and 0.97X, respectively, compared to 121% and 0.84X at the last review. VIBRANT CLO VI: Moody's Hikes Rating on $25MM Class E Notes to Ba3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Vibrant CLO VI, Ltd.: US$57,500,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Upgraded to Aaa (sf); previously on June 14, 2021 Assigned Aa1 (sf) US$30,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Upgraded to Aa3 (sf); previously on June 14, 2021 Assigned A2 (sf) US$27,500,000 Class D Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Upgraded to Baa2 (sf); previously on September 4, 2020 Downgraded to Ba1 (sf) US$25,000,000 Class E Secured Deferrable Floating Rate Notes due 2029 (the "Class E Notes"), Upgraded to Ba3 (sf); previously on September 4, 2020 Downgraded to B1 (sf) Vibrant CLO VI, Ltd., originally issued in June 2017 and partially refinanced in June 2021, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction’s reinvestment period ended in September 2021. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction’s over-collateralization (OC) ratios since June 2021. The Class A-R notes have been paid down by approximately 21% or $68.6 million since then. Based on Moody’s calculation, the OC ratios for the Class A/B, Class C, Class D and Class E notes are currently 135.79%, 123.77%, 114.48%, and 107.17%, respectively, versus June 2021 levels of 129.44%, 119.91%, 112.33%, and 106.23%, respectively. 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.” The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average spread, 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: Performing par and principal proceeds balance: $418,230,496 Defaulted par: $3,301,206 Diversity Score: 66 Weighted Average Rating Factor (WARF): 2807 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.34% Weighted Average Recovery Rate (WARR): 47.4% Weighted Average Life (WAL): 4 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios include, among others, near term defaults by companies facing liquidity pressure, deterioration in credit quality of the underlying portfolio, and lower recoveries on defaulted assets. 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. WELLS FARGO 2022-ONL: Moody's Assigns B2 Rating to Cl. F Certs -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of CMBS securities, issued by Wells Fargo Commercial Mortgage Trust 2022-ONL, Commercial Mortgage Pass-Through Certificates, Series 2022-ONL: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned 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 105.8%, compared to 105.9% issued at Moody's provisional rating, 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. WESTLAKE 2022-1: S&P Assigns Prelim 'B' Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Westlake Automobile Receivables Trust 2022-1's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of March 3, 2022. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 45.55%, 39.25%, 30.38%, 23.71%, 20.62%, and 15.53% credit support for the class A-1, A-2-A/A-2-B, and A-3 (collectively referred to as class A), B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These provide approximately 3.50x, 3.00x, 2.30x, 1.75x, 1.50x, and 1.10x, respectively, of our 12.50%-13.00% expected cumulative net loss (CNL) range. -- The transaction's ability to make timely interest and principal payments under stressed cash flow modeling scenarios appropriate for the assigned preliminary ratings. -- The expectation that under a moderate ('BBB') stress scenario (1.75x S&P's expected loss level), all else being equal, its ratings 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 collateral characteristics of the securitized pool of subprime automobile loans. -- The originator/servicer's long history in the subprime/specialty auto finance business. -- S&P's analysis of approximately 16 years (2006-2021) of static pool data on the company's lending programs. -- The transaction's payment, credit enhancement, and legal structures. Preliminary Ratings Assigned Westlake Automobile Receivables Trust 2022-1 Class A-1, $172.00 million: A-1+ (sf) Class A-2-A/A-2-B, $331.00 million: AAA (sf) Class A-3, $114.79 million: AAA (sf) Class B, $81.90 million: AA (sf) Class C, $107.18 million: A (sf) Class D, $87.46 million: BBB (sf) Class E, $29.33 million: BB (sf) Class F, $76.34 million: B (sf) (i)The interest rate for each class will be determined on the pricing date. (ii)The sizes of classes A-2-A and A-2-B will be determined at pricing, and the maximum size of class A-2-B will be 50.00% of the overall class. Class A-2-A may be sized at 100% of the overall class with a fixed coupon. The class A-2-B coupon will be expressed as a spread tied to 30-day SOFR. SOFR--Secured Overnight Financing Rate. WFRBS COMMERCIAL 2013-C15: Moody's Lowers Cl. C Certs Rating to B2 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on five classes and downgraded the ratings on three classes in WFRBS Commercial Mortgage Trust 2013-C15 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Nov 4, 2020 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Nov 4, 2020 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Nov 4, 2020 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Nov 4, 2020 Affirmed Aaa (sf) Cl. B, Downgraded to Baa2 (sf); previously on Apr 23, 2021 Downgraded to A3 (sf) Cl. C, Downgraded to B2 (sf); previously on Apr 23, 2021 Downgraded to Ba3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Nov 4, 2020 Affirmed Aaa (sf) Cl. PEX**, Downgraded to Ba2 (sf); previously on Apr 23, 2021 Downgraded Baa3 (sf) * Reflects interest-only classes ** Reflects exchangeable classes RATINGS RATIONALE The ratings on two P&I classes, Cl. B and Cl. C, were downgraded primarily due to higher anticipated losses and increased interest shortfall concerns from the pool's exposure to regional malls and specially serviced loans. Three specially serviced loans, constituting 11.8% of the pool, are already REO and have each recognized appraisal reductions exceeding 50% of their remaining loan balances. Additionally, Moody's has identified one additional troubled loan (10.3% of the pool) secured by a regional mall with an upcoming maturity in June 2023 that may be at heightened refinance risk due to its declining performance. The ratings on four P&I classes were affirmed because of their credit support and the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class was affirmed based on the credit quality of its referenced classes. The rating on class PEX was downgraded due to the decline in credit quality of its referenced exchangeable classes. The action has considered how the coronavirus pandemic has reshaped the US economic environment and the way its aftershocks will continue to reverberate and influence the performance of commercial real estate. 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 14.6% of the current pooled balance, compared to 12.6% at Moody's last review. Moody's base expected loss plus realized losses is now 11.5% of the original pooled balance, compared to 10.7% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Additionally, significant changes in the 5-year rolling average of 10-year US Treasury rates will impact the magnitude of the interest rate adjustment and may lead to future rating actions. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except the interest only and exchangeable classes were "US and Canadian Conduit/Fusion Commercial Mortgage-Backed Securitizations Methodology” published in November 2021. DEAL PERFORMANCE As of the February 17, 2022 distribution date, the transaction's aggregate certificate balance has decreased by 33% to $738.0 million from $1.1 billion at securitization. The certificates are collateralized by 64 mortgage loans ranging in size from less than 1% to 14.9% of the pool, with the top ten loans (excluding defeasance) constituting 62.1% of the pool. One loan, constituting 1.5% of the pool, has an investment-grade structured credit assessment. Nineteen loans, constituting 14.6% of the pool, have defeased and are secured by US government securities. The pool contains 14 low leverage cooperative loans, constituting 4.9% of the pool balance, that were too small to credit assess; however, have Moody's leverage that is consistent with other loans previously assigned an investment grade Structured Credit Assessments. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 12, compared to 13 at Moody's last review. As of the February 2022 remittance report, loans representing 88% were current or within their grace period on their debt service payments and nearly 12% were real estate owned (REO). Twelve loans, constituting 34% of the pool, are on the master servicer's watchlist, of which one loan, representing 1% of the pool, indicate the borrower has received loan modifications in relation to the coronavirus impact on the property. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Two loans have been liquidated from the pool, resulting in an aggregate realized loss of $20.4 million (for an average loss severity of 98%). Three loans, constituting 11.8% of the pool, are currently in special servicing. One of the specially serviced loans, representing 10% of the pool, has transferred to special servicing since May 2020. The largest specially serviced loan is the Kitsap Mall Loan ($74.0 million -- 10.0% of the pool), which is secured by a 533,480 square feet (SF) component of a 715,225 SF enclosed regional mall located on the Kitsap Peninsula in Silverdale, Washington, which is approximately 18 miles west of Seattle, Washington. The property is currently anchored by Kohl's (which is not part of the collateral), JC Penney (on a ground lease) and Macy's. One non-collateral anchor space was vacant following the October 2019 closure of Sears (105,600 SF) but has recently been fully leased to grocery chain WinCo. Other major tenants include Barnes & Noble, Dick's Sporting Goods and H&M. As of the September 2021 rent roll, collateral and inline occupancy 86% and 56%, respectively, compared to 90% and 66%, respectively, in September 2020. Property performance has generally declined since 2017 and the year-end 2019 net operating income (NOI) was nearly 31% lower than at securitization. The loan transferred to special servicing in May 2020 due to imminent monetary default. The property's revenue and NOI has declined further in 2021 and the September 2021 NOI DSCR was 1.05X compared to 1.44X in 2019 and 1.82X in 2018. The loan is last paid through its May 2021 payment date and has amortized 4% since securitization. A receiver was appointed in August 2020 and foreclosure sale occurred in December 2021. The special servicer is working to maximize recovery by maximizing rent collections, renewing existing tenant and attempting to lease space to new tenants. However, the property's value has declined significantly from securitization and as of the February 2022 remittance statement the Master Servicer has recognized a $40.7 million appraisal reduction (55% based on the loan's current balance). The second largest specially serviced loan is the former Gander Mountain Portfolio Loan ($8.7 million -- 1.2% of the pool), which is secured by two single-tenant retail properties in Opelika, Alabama and Valdosta, Georgia. The former sole tenant at both properties, Gander Mountain, filed for Chapter 11 Bankruptcy in March 2017 and the loan subsequently transferred to special servicing in August 2017. Foreclosure occurred on both properties in January 2018. As of April 2021, the Opelika, Alabama property was 100% leased to a new tenant while the Valdosta, Georgia property remains vacant. The loan has amortized 16% since securitization. The special servicer plans to start marketing the portfolio for sale once the Voldosta asset has a lease in place. The property's value has declined significantly from securitization and as of the February 2022 remittance statement, the Master Servicer has recognized a $4.7 million appraisal reduction (54% based on the loan's current balance). The remaining specialty serviced loan represents 0.6% of the pool and is secured by an anchored retail center which was impacted by several large tenant departures causing the occupancy to decline to 10%. Moody's has also assumed a high default probability for one poorly performing loans, constituting 10% of the pool, and has estimated an aggregate loss of $87.8 million (a 54% expected loss on average) from these specially serviced and troubled loans. The troubled loan is the Carolina Place loan. As of the February 2022 remittance statement cumulative interest shortfalls were $4.7 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's make various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also use an adjusted loan balance that reflects each loan's amortization profile. The MLTV reported in this publication reflects the MLTV before the adjustments described in the methodology. Moody's received full year 2020 operating results for 96% of the pool, and full or partial year 2021 operating results for 95% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 102% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 13% to the most recently available net operating income (NOI), excluding hotel properties that had significantly depressed NOI in 2020 / 2021. Moody's value reflects a weighted average capitalization rate of 10.3%. Moody's actual and stressed conduit DSCRs are 1.64X and 1.22X, respectively, compared to 1.74X and 1.22X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the 33 Greenwich Owners Corp. Loan ($10.8 million -- 1.5% of the pool), which is secured by a residential cooperative located in Manhattan's Greenwich Village neighborhood. Moody's structured credit assessment is aaa (sca.pd). The top three conduit loans represent 36% of the pool balance. The largest loan is the Augusta Mall Loan ($110 million -- 14.9% of the pool), which represents a pari-passu portion of a $170 million mortgage loan. The loan is secured by a 500,000 SF portion of a 1.1 million SF super regional mall in Augusta, Georgia. The property is the only regional mall within a 25-mile radius. The mall's anchors include Dillard's, Macy's, and JC Penney and each anchor is excluded from the loan collateral. Former non-collateral anchor Sears vacated in the spring of 2020. As of September 2021, the inline occupancy was 91% compared to 93% in June 2020 and 96% in December 2018. The loan is interest-only loan for the entire loan term and matures in August 2023. Through year-end 2020 the property's NOI has remained in line with expectations at securitization. Moody's LTV and stressed DSCR are 113% and 0.91X, respectively, the same as at last review. The second largest loan is the Meritage Resort and Spa Loan ($78.9 million -- 10.7% of the pool), which is secured by a full-service independent hotel located in Napa, California. Amenities include a restaurant, wine bar, business center, bocce court, fitness room, pool, wine tasting rooms and a spa. Despite the business disruptions resulting from the pandemic, the borrower has kept the loan current. Property performance was exceeding underwritten expectations prior to the pandemic and the year-end 2019 NOI DSCR was 2.17X. Due to the pandemic, the property's revenue was insufficient to cover operating expenses in 2020, however, the property's performance has begun to rebound in 2021. The loan has amortized 14% since securitization and Moody's LTV and stressed DSCR are 110% and 1.10X, respectively, compared to 113% and 1.08X at the last review. The third largest loan is the Carolina Place Loan ($75.7 million -- 10.3% of the pool), which represents a pari-passu portion of a $155.9 million mortgage loan. The loan is secured by a 647,511 SF component of a 1.2 million SF super-regional mall located in Pineville, North Carolina. The mall is anchored by Dillard's, Belk, Dick's Sporting Goods, and JCPenney. JCPenney is the only current anchor that is part of the collateral. A former collateral anchor, Sears, had vacated the property in early 2019. As of September 2021, collateral and inline occupancy were 67% and 85%, respectively, compared to 73% and 92% in June 2020 and 75% and 95% in September 2019. Total mall occupancy declined to 83% from 99% largely due to the departure of Sears in January 2019. The loan was put on the watchlist in September 2019 due to the occupancy dropping below 80% and the borrower reports continuing conversations with several potential tenants. After an initial three-year IO period, the loan has amortized 11% since securitization. However, the property's revenue and NOI has declined significantly since 2019. The September 2021 NOI DSCR was 1.24X compared to 1.48X in 2020 and 1.84X in 2019. Due to declining occupancy and NOI and upcoming refinance risk in approximately 16 months, Moody's considers this as a troubled loan. [*] Fitch Takes Ratings on 9 US Trust Preferred CDOs ---------------------------------------------------- Fitch Ratings, on March 7, 2022, affirmed the ratings on 33 classes, upgraded 31 classes, downgraded one class and assigned Rating Outlooks to eight classes from nine collateralized debt obligations (CDOs). Fitch has also removed 29 notes from Under Criteria Observation (UCO). DEBT RATING PRIOR ---- ------ ----- Preferred Term Securities XXI, Ltd./Inc. A-1 74042JAA1 LT AAsf Upgrade Asf A-2 74042JAB9 LT Asf Upgrade BBBsf B-1 74042JAC7 LT BB+sf Upgrade BBsf B-2 74042JAJ2 LT BB+sf Upgrade BBsf C-1 74042JAE3 LT CCsf Affirmed CCsf C-2 74042JAK9 LT CCsf Affirmed CCsf D 74042JAG8 LT Csf Affirmed Csf Preferred Term Securities XXVII, Ltd./Inc. A-1 74042TAA9 LT AAsf Upgrade Asf A-2 74042TAC5 LT A+sf Upgrade BBBsf B 74042TAE1 LT BBB-sf Upgrade BBsf C-1 74042TAJ0 LT CCCsf Affirmed CCCsf C-2 74042TAL5 LT CCCsf Affirmed CCCsf D 74042TAN1 LT Csf Affirmed Csf Trapeza CDO XIII, Ltd./Inc. A-1 894135AA0 LT AAsf Affirmed AAsf A-2A 894135AC6 LT A+sf Upgrade Asf A-2B 894135AY8 LT A+sf Upgrade Asf A-3 894135AE2 LT A+sf Upgrade BBBsf B 894135AG7 LT BBB+sf Upgrade BBsf C-1 894135AJ1 LT BB+sf Upgrade Bsf C-2 894135AL6 LT BB+sf Upgrade Bsf D 894135AN2 LT CCsf Upgrade Csf E 894135AS1 LT Csf Affirmed Csf F 894135AW2 LT Csf Affirmed Csf G 894138AC0 LT Csf Affirmed Csf Trapeza CDO XII, LTD./INC. A-1 89413GAA6 LT AAsf Affirmed AAsf A-2 89413GAC2 LT A+sf Upgrade BBBsf A-3 89413GAE8 LT A+sf Upgrade BBBsf B 89413GAG3 LT BBBsf Upgrade BBsf C-1 89413GAJ7 LT Bsf Upgrade CCCsf C-2 89413GAL2 LT Bsf Upgrade CCCsf D-1 89413GAN8 LT Csf Affirmed Csf D-2 89413GAQ1 LT Csf Affirmed Csf E-1 89413GAS7 LT Csf Affirmed Csf E-2 89413GAU2 LT Csf Affirmed Csf F 89413EAA1 LT Csf Affirmed Csf Preferred Term Securities XVII, Ltd./Inc. A-1 74042EAA2 LT AAsf Affirmed AAsf A-2 74042EAB0 LT A+sf Upgrade BBBsf Class B 74042EAC8 LT BB+sf Upgrade BBsf Class C 74042EAD6 LT CCsf Affirmed CCsf Class D 74042EAE4 LT Csf Affirmed Csf Preferred Term Securities XV, Ltd./Inc. A-1 74041CAA7 LT AAsf Affirmed AAsf A-2 74041CAB5 LT AAsf Upgrade Asf A-3 74041CAC3 LT AAsf Upgrade Asf B-1 74041CAE9 LT CCCsf Upgrade CCsf B-2 74041CAF6 LT CCCsf Upgrade CCsf B-3 74041CAG4 LT CCCsf Upgrade CCsf C 74041CAH2 LT CCsf Upgrade Csf Preferred Term Securities XVIII, Ltd./Inc. Class A 1 Senior Notes 74042WAA2 LT AAsf Affirmed AAsf Class A 2 Senior Notes 74042WAB0 LT AAsf Affirmed AAsf Class B Mezz Notes 74042WAC8 LT Asf Upgrade BBBsf Class C Mezz Notes 74042WAD6 LT CCCsf Affirmed CCCsf Class D Mezz Notes 74042WAE4 LT Csf Affirmed Csf ALESCO Preferred Funding V, Ltd./Inc. A-1 Floating 01448TAA2 LT AAsf Affirmed AAsf A-2 Floating 01448TAB0 LT A+sf Downgrade AAsf B Floating 01448TAC8 LT Asf Affirmed Asf C-1 Floating 01448TAD6 LT CCsf Affirmed CCsf C-2 Fixed 01448TAE4 LT CCsf Affirmed CCsf C-3 01448TAF1 LT CCsf Affirmed CCsf D Floating 01448TAG9 LT Csf Affirmed Csf Preferred Term Securities XVI, Ltd./Inc. Class A-1 74041EAA3 LT AAsf Affirmed AAsf Class A-2 74041EAB1 LT A+sf Upgrade BBBsf Class A-3 74041EAL9 LT A+sf Upgrade BBBsf Class B 74041EAC9 LT BBB-sf Upgrade BBsf Class C 74041EAD7 LT CCsf Affirmed CCsf Class D 74041EAG0 LT Csf Affirmed Csf TRANSACTION SUMMARY The CDOs are collateralized primarily by trust preferred securities (TruPS) issued by banks and insurance companies. KEY RATING DRIVERS All of the transactions experienced moderate deleveraging from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 5% to 47% of their last review note balances. This deleveraging in conjunction with the impact of Fitch's recently updated U.S. Trust Preferred CDOs Surveillance Rating Criteria (TruPS CDO Criteria) and CLOs and Corporate CDOs Rating Criteria led to the upgrades. For all nine transactions, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, improved. No new cures, deferrals or defaults have been reported. The class A-2 notes in Alesco Preferred Funding V, Ltd./Inc. was downgraded to 'A+sf' due to the risk of interest shortfall at the rating commensurate level of stress evaluated under the TruPS CDO Criteria. The CDO has an out-of-money interest rate swap that will not expire until September 2032. The swap payment has diverted an average of 41% of the interest collections over the last four payments. The ratings for the class C-1 and C-2 notes in Preferred Term Securities XXVII, Ltd./Inc. are one category higher than their model-implied rating, which were driven by the outcome of the sector-wide migration sensitivity analysis. Upgrades were mainly limited by the outcome of the sector wide migration sensitivity analysis described in the TruPS CDO Criteria for most notes. Fitch considered the rating of the issuer account bank in the ratings for the class A-1 notes in all transactions and the class A-2 notes in Preferred Term Securities XVIII, Ltd./Inc. due to the transaction documents not conforming to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria." These transactions are allowed to hold cash, and their transaction account bank (TAB) does not collateralize cash. Therefore, these classes of notes are capped at the same rating as that of their TAB. The Stable Outlooks on 37 tranches in this review reflect Fitch's expectation that the classes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolios in stress scenarios commensurate with such classes' rating. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Downgrades to the rated notes may occur if a significant share of the portfolio issuers default and/or experience negative credit migration, which would cause a deterioration in rating default rates. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- Future upgrades to the rated notes may occur if a transaction experiences improvement in credit enhancement through deleveraging from collateral redemptions and/or interest proceeds being used for principal repayment. 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 The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities. Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. [*] Moody's Cuts 8 Tranches Issued by 7 Navient FFELP Deals ----------------------------------------------------------- Moody's Investors Service has downgraded eight tranches issued by seven FFELP student loan securitizations sponsored and administered by Navient Solutions, LLC. The securitizations are backed by student loans originated under the Federal Family Education Loan Program (FFELP) that are guaranteed by the US government for a minimum of 97% of defaulted principal and accrued interest. The complete rating actions are as follows: Issuer: SLM Student Loan Trust 2007-2 Cl. A-4, Downgraded to Ba3 (sf); previously on Jul 29, 2021 Downgraded to Ba1 (sf) Issuer: SLM Student Loan Trust 2008-2 Cl. A-3, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2008-5 Cl. A-4, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2008-6 Cl. A-4, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2008-7 Cl. A-4, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) Issuer: SLM Student Loan Trust 2008-8 Cl. A-4, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) Cl. B, Downgraded to Baa1 (sf); previously on Jun 3, 2020 Downgraded to A3 (sf) Issuer: SLM Student Loan Trust 2008-9 Cl. A, Downgraded to Ba3 (sf); previously on Nov 1, 2016 Downgraded to Baa3 (sf) RATINGS RATIONALE The downgrade actions are primarily a result of the Class A bonds' approaching their legal final maturities and the reliance on Navient's support to pay off the bonds in full by their legal final maturity dates. The maturity dates for these bonds are between July 2022 and July 2023. In the action, Moody's considered Navient's willingness and ability to support the bonds by paying off the outstanding amount of the bonds at their legal final maturity dates. The transactions include a 10% clean-up call provision by Navient. In addition, Navient had previously amended the transactions to allow for 10% additional purchase of collateral or to establish a revolving credit facility that enables the trust to borrow money from Navient Corporation on a subordinated basis in order to pay off the notes. Earlier this year, for SLM 2007-3 Navient paid off the class A bond on its legal final maturity date by exercising the optional clean up call and for SLM 2008-1 Navient paid off the class A bond on its legal final maturity date by using the revolving credit facility. However, for SLM 2007-7 and SLM 2008-3, Navient's revolving credit facility was not used to pay off the class A bonds at their legal final maturity dates. The actions also reflect the updated performance of the transactions and updated expected loss on the tranches across Moody's cash flow scenarios. Moody's quantitative analysis derives the expected loss for a tranche using 28 cash flow scenarios with weights accorded to each scenario. Moody's ratings on the Class A notes of the affected transactions are lower than the ratings on the subordinated Class B notes. Although transaction structures stipulate that Class B interest is diverted to pay Class A principal upon default on the Class A notes, Moody's analysis indicates that the cash flow available to make payments on the Class B notes will be sufficient to make all required payments, including accrued interest, to Class B noteholders by the Class B final maturity dates, which occur later than the final maturity dates of the downgraded Class A notes. The Class B maturities are July 2025 for SLM 2007-2 and range between July 2073 to October 2083 for other affected transactions. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating Securities Backed by FFELP Student Loans" published in April 2021. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the ratings if the paydown speed of the loan pool increases as a result of declining borrower usage of deferment, forbearance and IBR, increasing voluntary prepayment rates, or prepayments with proceeds from sponsor repurchases of student loan collateral. Moody's could also upgrade the ratings owing to a build-up in credit enhancement. Down Moody's could downgrade the ratings if the paydown speed of the loan pool declines as a result of lower than expected voluntary prepayments, and higher than expected deferment, forbearance and IBR rates, which would threaten full repayment of the class by its final maturity date. In addition, because the US Department of Education guarantees at least 97% of principal and accrued interest on defaulted loans, Moody's could downgrade the rating of the notes if it were to downgrade the rating on the United States government. [*] Moody's Hikes $191.9MM Scratch & Dent RMBS Issued 2004-2007 --------------------------------------------------------------- Moody's Investors Service, on March 7, 2022, upgraded the ratings of twenty-one bonds from thirteen US residential mortgage backed transactions (RMBS), backed by scratch and dent mortgages issued by multiple issuers. A List of Affected Credit Ratings is available at https://bit.ly/3KnyLtS Complete rating actions are as follows: Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-B Cl. M-2, Upgraded to Aa1 (sf); previously on Dec 17, 2019 Upgraded to A2 (sf) Cl. M-3, Upgraded to Caa2 (sf); previously on May 31, 2011 Downgraded to C (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-D Cl. M-1, Upgraded to Caa3 (sf); previously on May 31, 2011 Downgraded to C (sf) Cl. 1-A4, Upgraded to Aa2 (sf); previously on May 20, 2019 Upgraded to A3 (sf) Cl. 1-A5, Upgraded to Aa2 (sf); previously on May 20, 2019 Upgraded to A3 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust, Series 2004-A Cl. B-1, Upgraded to Baa2 (sf); previously on Dec 17, 2019 Upgraded to Ba2 (sf) Cl. M-3, Upgraded to Aaa (sf); previously on Dec 17, 2019 Upgraded to Aa2 (sf) Cl. M-4, Upgraded to Aa3 (sf); previously on Dec 17, 2019 Upgraded to A3 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2007-2 Cl. A-3, Upgraded to Ba1 (sf); previously on Mar 18, 2019 Upgraded to B3 (sf) Issuer: GMACM Mortgage Loan Trust 2004-GH1 Cl. M-1, Upgraded to Aa1 (sf); previously on May 20, 2019 Upgraded to A1 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on May 20, 2019 Upgraded to B3 (sf) Issuer: RAAC Series 2005-RP2 Trust Cl. M-4, Upgraded to Aaa (sf); previously on Jun 3, 2021 Upgraded to Aa1 (sf) Cl. M-5, Upgraded to A1 (sf); previously on Jun 3, 2021 Upgraded to Baa1 (sf) Issuer: RAAC Series 2005-RP3 Trust Cl. M-2, Upgraded to Ba1 (sf); previously on Nov 22, 2016 Upgraded to B1 (sf) Issuer: RAAC Series 2006-RP3 Trust Cl. A, Upgraded to Aa1 (sf); previously on Jun 3, 2021 Upgraded to A2 (sf) Issuer: RAAC Series 2007-RP1 Trust Cl. A, Upgraded to Aa1 (sf); previously on Jun 3, 2021 Upgraded to A2 (sf) Cl. M-1, Upgraded to B3 (sf); previously on Nov 22, 2016 Upgraded to Caa2 (sf) Issuer: RAAC Series 2007-RP2 Trust Cl. A, Upgraded to A2 (sf); previously on Oct 28, 2019 Upgraded to Ba1 (sf) Issuer: Structured Asset Securities Corporation 2006-GEL1 Cl. M2, Upgraded to Aa2 (sf); previously on Feb 1, 2019 Upgraded to A2 (sf) Issuer: Structured Asset Securities Corporation 2006-GEL4 Cl. M1, Upgraded to B1 (sf); previously on Apr 25, 2018 Upgraded to Caa2 (sf) Issuer: Structured Asset Securities Corporation 2007-GEL2 Cl. A3, Upgraded to Ba1 (sf); previously on Feb 1, 2019 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance as well as Moody's updated loss expectations on the underlying pools. The rating upgrades are a result of an increase in credit enhancement available to the bonds and the improving performance of the related pools. Principal Methodologies The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in July 2020. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. [*] S&P Takes Various Actions on 84 Classes from 17 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 84 ratings from 17 U.S. RMBS transactions issued between 2001 and 2007. The review yielded 16 upgrades, 17 downgrades, 43 affirmations, and eight withdrawals. A list of Affected Ratings can be viewed at: https://bit.ly/3pMc8HG Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes. Some of these considerations may include: -- Factors related to the COVID-19 pandemic; -- Collateral performance; -- Historical and/or outstanding missed interest payments; -- Increases or decreases in credit support; -- Payment priority; and -- Tail risk. Rating Actions S&P said, "The rating changes reflect our opinion regarding the associated transaction-specific collateral performance and/or structural characteristics, and/or reflect the application of specific criteria applicable to these classes. "The ratings affirmations reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We raised our rating on class M-4 from Opteum Mortgage Acceptance Corp.'s U.S. $883.987 million asset-backed pass-through certificates series 2005-2 to 'AA (sf)' from 'BBB (sf)'. The bond began receiving principal payments May 2021 and is likely to pay off within the next year and a half. "We withdrew our ratings on eight classes from four transactions due to the small number of loans remaining in the related group. Once a pool has declined to a de minimis amount, their future performance becomes more difficult to project. As such, we believe there is a high degree of credit instability that is incompatible with any rating level." ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Philadelphia, Pa., USA. Randy Antoni, Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Joel Anthony G. Lopez, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2022. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***