/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/220403.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, April 3, 2022, Vol. 26, No. 92 Headlines BBAM US CLO I: S&P Assigns BB-(sf) Rating on $15.4MM Class D Notes BENEFIT STREET XXII: Moody's Assigns Ba3 Rating to $16MM E-R Notes BX MORTGAGE 2022-MVRK: Moody's Assigns B3 Rating to Cl. F Certs BXSC COMMERCIAL 2022-WSS: S&P Assigns B- (sf) Rating on F Certs CANTOR COMMERCIAL 2016-C4: Fitch Affirms B- Rating on 2 Tranches CEDAR FUNDING XV: S&P Assigns BB- (sf) Rating on Class E Notes CSMC 2022-NQM2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes DRYDEN 97: S&P Assigns Prelim BB- (sf) Rating on Class E Notes DRYDEN CLO 109: Moody's Assigns (P)Ba3 Rating to $20MM Cl. E Notes ELMWOOD CLO 15: S&P Assigns BB- (sf) Rating on Class E Notes FANNIE MAE 2022-R03: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes GALAXY 30: S&P Assigns BB- (sf) Rating on $16MM Class E Notes GOLDENTREE LOAN 12: Fitch Gives BB+(EXP) Rating to Class E Debt GOLDENTREE LOAN 12: Moody's Assigns (P)B3 Rating to $10MM F Notes GULF STREAM 7: S&P Assigns BB- (sf) Rating on Class D Notes JEFFERSON MILL: Moody's Ups Rating on $18.5MM E-R Notes to Ba3 KKR CLO 41: Moody's Assigns Ba3 Rating to $20MM Class E Notes LAQ 2022-LAQ: S&P Assigns B- (sf) Rating in Class F Certificates MFA 2022-INV1: S&P Assigns Prelim B+ (sf) Rating on Cl. B-2 Notes MFA 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs MORGAN STANLEY 2006-4SL: Moody's Ups Rating on Cl. A-1 Bonds to B3 MTN COMMERCIAL 2022-LPFL: Moody's Assigns B3 Rating to Cl. F Certs NEUBERGER BERMAN 48: Moody's Assigns Ba3 Rating to $24MM E Notes OBX 2022-NQM3: S&P Assigns B (sf) Rating on Class B-2 Notes PALMER SQUARE 2021-1: Moody's Hikes Rating on Class D Notes to Ba1 PMT LOAN 2022-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs POST CLO 2022-1: S&P Assigns BB-(sf) Rating on $16MM Class E Notes SPRITE 2017-1: S&P Places 'B+' Rating on Class C Notes on Watch Neg STEELE CREEK 2022-1: Moody's Gives Ba3 Rating to $15.75MM E Notes TOWD POINT 2022-SJ1: Fitch Gives B- Rating to 9 Tranches UBS COMMERCIAL 2012-C1: Fitch Lowers Class E Certs to 'CC' VERUS SECURITIZATION 2022-3: S&P Assigns 'B-' Rating on B-2 Notes WELLS FARGO 2022-C62: Fitch Rates Class G-RR Certs 'B-' [*] Fitch Takes Actions in 5 US CMBS Transactions [*] Fitch Takes Ratings From 14 US Trust Preferred CDOs [*] S&P Places Ratings on 38 Classes from 26 US Deals on Watch Pos. [*] S&P Takes Various Actions on 42 Classes from 15 US RMBS Deals [*] S&P Takes Various Actions on 49 Classes from 19 U.S. RMBS Deals ********* BBAM US CLO I: S&P Assigns BB-(sf) Rating on $15.4MM Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to BBAM US CLO I Ltd./BBAM US CLO I LLC's floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by RBC Global Asset Management (U.S.) Inc., an affiliate of BlueBay Asset Management. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned BBAM US CLO I Ltd./BBAM US CLO I LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $46.00 million: AA (sf) Class B (deferrable), $30.00 million: A (sf) Class C (deferrable), $24.00 million: BBB- (sf) Class D (deferrable), $15.40 million: BB- (sf) Subordinated notes, $34.00 million: Not rated BENEFIT STREET XXII: Moody's Assigns Ba3 Rating to $16MM E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to two classes of CLO refinancing notes issued by Benefit Street Partners CLO XXII, Ltd. (the "Issuer"). Moody's rating action is as follows: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$16,000,000 Class E-R 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 and up to 10% of the portfolio may consist of second lien loans, unsecured loans, and bonds. BSP CLO Management L.L.C. (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; 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: Portfolio par: $400,000,000 Diversity Score: 81 Weighted Average Rating Factor (WARF): 2929 Weighted Average Spread (WAS): 3.38% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.07 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. BX MORTGAGE 2022-MVRK: 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 BX 2022-MVRK Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2022-MVRK: 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 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 over 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 1.29x 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 164.2%, compared to 164.3% 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 1.25. 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. BXSC COMMERCIAL 2022-WSS: S&P Assigns B- (sf) Rating on F Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to BXSC Commercial Mortgage Trust 2022-WSS's commercial mortgage pass-through certificates. The certificate issuance is a CMBS transaction backed by the borrowers' fee simple interests in 111 WoodSpring Suites extended-stay hotels across 30 U.S. states and the operating lessees' leasehold interests in the properties. The ratings reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the loan has a beginning and ending loan-to-value ratio of 122.8%, based on its value of the properties backing the transaction. The recent rapid spread of the omicron variant highlights the inherent uncertainties of the pandemic, as well as the importance and benefits of vaccines. S&P said, "While the risk of new, more severe variants displacing omicron and evading existing immunity cannot be ruled out, our current base case assumes that existing vaccines can continue to provide significant protection against severe illness. Furthermore, many governments, businesses, and households around the world are tailoring policies to limit the adverse economic impact of recurring COVID-19 waves. Consequently, we do not expect a repeat of the sharp global economic contraction of second-quarter 2020. Meanwhile, we continue to assess how well each issuer adapts to new waves in its geography or industry." Ratings Assigned(i) BXSC Commercial Mortgage Trust 2022-WSS Class A, $389,100,000: AAA (sf) Class X-CP, $476,980,000(i): BBB- (sf) Class X-EXT, $681,400,000(i): BBB- (sf) Class B, $109,900,000: AA- (sf) Class C, $65,300,000: A- (sf) Class D, $117,100,000: BBB- (sf) Class E, $148,300,000: BB- (sf) Class F, $136,200,000: B- (sf) Class G, $169,100,000: NR Class HRR, $60,000,000: NR (i)Notional balance. The class X-CP and class X-EXT certificates will not have certificate balances and will not be entitled to distributions of principal. The notional amount of the class X-CP certificates will be equal to the aggregate portion balances of the A-2 portion, B-2 portion, C-2 portion, and D-2 portion, and the notional amount of the class X-EXT certificates will be equal to the aggregate certificate balances of the class A, class B, class C, and class D certificates. NR--Not rated. CANTOR COMMERCIAL 2016-C4: Fitch Affirms B- Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has affirmed Cantor Commercial Real Estate Mortgage Trust (CFCRE) series 2016-C4 commercial mortgage pass-through certificates. The Rating Outlooks for four classes have been revised to Stable from Negative. DEBT RATING PRIOR ---- ------ ----- CFCRE 2016-C4 A-3 12531YAM0 LT AAAsf Affirmed AAAsf A-4 12531YAN8 LT AAAsf Affirmed AAAsf A-HR 12531YAP3 LT AAAsf Affirmed AAAsf A-M 12531YAU2 LT AAAsf Affirmed AAAsf A-SB 12531YAL2 LT AAAsf Affirmed AAAsf B 12531YAV0 LT AA-sf Affirmed AA-sf C 12531YAW8 LT A-sf Affirmed A-sf D 12531YAE8 LT BBB-sf Affirmed BBB-sf E 12531YAF5 LT BB-sf Affirmed BB-sf F 12531YAG3 LT B-sf Affirmed B-sf X-A 12531YAQ1 LT AAAsf Affirmed AAAsf X-B 12531YAS7 LT AA-sf Affirmed AA-sf X-E 12531YAB4 LT BB-sf Affirmed BB-sf X-F 12531YAC2 LT B-sf Affirmed B-sf X-HR 12531YAR9 LT AAAsf Affirmed AAAsf KEY RATING DRIVERS Stable Performance: Overall pool performance and loss expectations remain stable from the prior review and since issuance. Fitch has identified ten Fitch Loans of Concern (21% of the pool balance), including two loans in special servicing (3.0%). Fitch's current ratings incorporate a base case loss of 3.10%. The Outlook revisions to Stable from Negative reflect the reduction in FLOCs (from 41.0%) since the last rating action, as well as continued stabilization of properties affected by the pandemic and progress toward recovery of loans in special servicing. Fitch Loans of Concern/Contributors to Loss: The largest Fitch Loan of Concern is the Hyatt Regency St. Louis at The Arch (6.5%) loan, which is secured by a 910-key, full-service hotel in St. Louis, MO. As of TTM February 2022, occupancy, ADR and RevPAR improved slightly to 30.6%, $154 and $47, respectively, from 19.0%, $111 and $21 as of the same period in 2021; however, performance remains below levels reported in 2020, prior to the pandemic as performance is reliant on local demand generators which include Busch Stadium and America's Center Convention Complex. TTM February 2020 occupancy, ADR and RevPAR were 66.3%, $152, and $101, respectively. The hotel was ranked 5 of 5 in its competitive set with respect to RevPAR with a 79.9% penetration rate as of the TTM February 2022 STR report. Fitch's base case analysis incorporates a 10% stress to the property's YE 2019 NOI reflecting a stressed value of $145,100 per key. Given the loan's low leverage, no losses were applied in the base case; however, an additional sensitivity was incorporated to account for slow recovery into 2021 and underperformance of the subject relative to its competitive set. The largest contributor to loss is the Home Depot - Elk Grove Village loan (1.5%), which is secured by a 187,145-sf retail shopping center located in Elk Grove, IL. The center is anchored by a Home Depot which occupies 64.1% of the NRA. Home Depot had previously master leased the entire center through January 2020, but did not extend the master lease and renewed only for the occupied portion (64.1%) of the center through 2029. Occupancy for the center declined to 80% from 90% when Aldi (10% of NRA) vacated their previously subleased space in January 2020. Staples remains in their space through April 2026. As of September 2021, NOI DSCR declined to 1.29x from 1.66x at YE 2019. Fitch's analysis incorporates an 18% loss severity reflecting a value of $87 psf. The next largest contributor to loss is the Marketplace at Kapolei (3.0%) loan, which is secured by a 206,155-sf retail property located in the southwest section of Oahu, in Kapolei City, HI. The subject is shadow anchored by Safeway and Long's Drug. Occupancy declined to 91% in 2020 but has since recovered to 99% as of September 2021. NOI DSCR as of September 2021 was 1.59x as compared with 1.64x at YE 2020. The property has substantial near-term rollover with 29% of leases expiring through the end of 2022. Fitch's analysis reflects a 10% stress to YE 2020 NOI reflecting an 8% loss severity. Increasing Credit Enhancement (CE): CE has increased since issuance due to amortization and loan repayments, with 10.0% of the original pool balance repaid. The transaction has not realized any losses to date. Interest shortfalls are currently affecting the non-rated class G. Nine loans (33.5%) are full-term IO and the remaining 38 loans (66.5%) are amortizing. Alternative Loss Consideration: Fitch applied an additional sensitivity scenario on the Hyatt Regency St. Louis at the Arch loan to reflect hotel sector volatility and sustained underperformance of the subject relative to its competitive set. However, the additional sensitivity losses did not affect the overall stabilization of pool performance and revision of Outlooks to stable. 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 'AA-sf' and 'AAAsf' categories are not likely due to the position in the capital structure, but may occur should interest shortfalls affect the classes; -- Downgrades to the 'BBB-sf' and A-sf' category would occur should overall pool losses increase significantly and/or one or more large loans have an outsized loss, which would erode CE. Downgrades to the 'B-sf' and 'BB-sf' categories would occur should loss expectations increase and if performance of the FLOCs fail to stabilize or additional loans default and/or transfer to the special servicer. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Stable to improved asset performance coupled with pay down and/or defeasance. Upgrades of the 'A-sf' and 'AA-sf' categories would occur with significant improvement in CE and/or defeasance and performance improvement of the Hyatt Regency St. Louis at the Arch along with continued stabilization of the pool; however, adverse selection, increased concentrations and further underperformance of the FLOCs could cause this trend to reverse. -- Upgrades to the 'BBB-sf' category would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'Asf' if there is likelihood for interest shortfalls. Upgrades to the 'B-sf' and 'BB-sf' categories are not likely until the later years in a transaction and only if the performance of the remaining pool is stable 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. CEDAR FUNDING XV: S&P Assigns BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC's floating-rate debt. The debt issuance is a CLO transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through collateral selection, ongoing portfolio management, and trading; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Cedar Funding XV CLO Ltd./Cedar Funding XV CLO LLC Class A, $206.00 million: AAA (sf) Class A loan, $50.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $41.65 million: Not rated CSMC 2022-NQM2: S&P Assigns Prelim B- (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CSMC 2022-NQM2 Trust's mortgage pass-through notes. The note issuance is an RMBS transaction predominantly backed by newly originated first-lien, fixed- and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, townhouses, condominiums, two- to four-family residential properties, and one eight-unit multi-family property. The pool has 892 loans, which are primarily non-qualified mortgage/ability-to-repay-compliant (ATR-compliant) and ATR-exempt loans. The preliminary ratings are based on information as of March 24, 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 pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The transaction's geographic concentration; -- The mortgage aggregator, DLJ Mortgage Capital Inc., and the originators, which include AmWest Funding Corp. and Visio Financial Corp.; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and the liquidity available in the transaction. Preliminary Ratings Assigned CSMC 2022-NQM2 Trust Class A-1A, $308,337,000: AAA (sf) Class A-1B, $44,784,000: AAA (sf) Class A-1(i), $353,121,000: AAA (sf) Class A-2, $14,555,000: AA+ (sf) Class A-3, $29,334,000: A (sf) Class M-1, $16,122,000: BBB (sf) Class B-1, $12,315,000: BB (sf) Class B-2, $12,764,000: B- (sf) Class B-3, $9,628,877: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(ii): Not rated Class PT(i), $447,839,877: Not rated Class R: Not rated (i)Certain initial exchangeable notes are exchangeable for the exchangeable notes, and vice versa. (ii)The notional amount will equal the aggregate aggregate principal balance of the mortgage loans as of the first day of the related due period and is initially $447,839,877. DRYDEN 97: S&P Assigns Prelim BB- (sf) Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Dryden 97 CLO Ltd./Dryden 97 CLO 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 PGIM Inc. The preliminary ratings are based on information as of March 30, 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 pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Preliminary Ratings Assigned Dryden 97 CLO Ltd./Dryden 97 CLO LLC Class A, $320.00 million: AAA (sf) Class B, $60.00 million: AA (sf) Class C (deferrable), $30.00 million: A (sf) Class D (deferrable), $30.00 million: BBB- (sf) Class E (deferrable), $20.00 million: BB- (sf) Subordinated notes, $50.00 million: Not rated DRYDEN CLO 109: Moody's Assigns (P)Ba3 Rating to $20MM Cl. E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued and one class of loans to be incurred by Dryden 109 CLO, Ltd. (the "Issuer" or "Dryden 109"). Moody's rating action is as follows: US$107,000,000 Class A-1 Loans maturing 2035, Assigned (P)Aaa (sf) US$208,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2035, Assigned (P)Aaa (sf) US$5,000,000 Class A-2 Senior Secured Floating Rate Notes Due 2035, Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes Due 2035, Assigned (P)Aa1 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due 2035, Assigned (P)A2 (sf) US$30,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due 2035, Assigned (P)Baa3 (sf) US$20,000,000 Class E Junior Secured Deferrable Floating Rate Notes Due 2035, Assigned (P)Ba3 (sf) The notes and loan listed are referred to herein, collectively, as the "Rated Debt". The Class A-1 Loans may not be exchanged or converted into notes at any time. 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. Dryden 109 is a managed cash flow CLO. The issued debt 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 or unsecured loans. Moody's expect the portfolio to be approximately 90% ramped as of the closing date. PGIM, Inc. (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 Debt, 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 debt 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: 90 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47% 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 Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. ELMWOOD CLO 15: S&P Assigns BB- (sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned ratings to Elmwood CLO 15 Ltd./Elmwood CLO 15 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 Elmwood RR CLO LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Elmwood CLO 15 Ltd./Elmwood CLO 15 LLC Class X, $2.40 million: AAA (sf) Class A-1, $248.00 million: AAA (sf) Class A-2, $8.00 million: AAA (sf) Class B, $48.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D (deferrable), $23.00 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $35.20 million: Not rated FANNIE MAE 2022-R03: S&P Assigns BB- (sf) Rating on Cl. 1B-1 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fannie Mae Connecticut Avenue Securities Trust 2022-R03's (CAS 2022-R03) notes. The note issuance is an RMBS transaction in which the payments are determined by a reference pool of residential mortgage loans, deeds of trust, or similar security instruments encumbering mortgaged properties acquired by Fannie Mae. The ratings reflect S&P's view of: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The real estate mortgage investment conduit (REMIC) structure, which reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments, but also pledges the support of Fannie Mae (as a highly rated counterparty) to cover any shortfalls on interest payments and make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests in the transaction's performance between the issuer and the noteholders, which S&P believes enhances the notes' strength; -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representations and warranties framework; and -- The further impact that the COVID-19 pandemic will likely have on the U.S. economy and housing market, and the additional structural provisions included in the transaction to address corresponding forbearance and subsequent defaults. Fannie Mae Connecticut Avenue Securities Trust 2022-R03 Class 1A-H(i), $42,918,240,709: NR Class 1M-1, $484,882,000: A- (sf) Class 1M-1H(i), $25,521,069: NR Class 1M-2A(ii), $126,491,000: BBB+ (sf) Class 1M-AH(i), $6,657,627: NR Class 1M-2B(ii), $126,491,000: BBB (sf) Class 1M-BH(i), $6,657,627: NR Class 1M-2C(ii), $126,491,000: BBB- (sf) Class 1M-CH(i), $6,657,627: NR Class 1M-2(ii), $379,473,000: BBB- (sf) Class 1B-1A(ii), $105,409,000: BB+ (sf) Class 1B-AH(i), $5,548,189: NR Class 1B-1B(ii), $105,409,000: BB- (sf) Class 1B-BH(i), $5,548,189: NR Class 1B-1(ii), $210,818,000: BB- (sf) Class 1B-2(ii), $166,435,000: NR Class 1B-2H(i), $55,479,378: NR Class 1B-3H(i), $110,957,189: NR (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of these tranches. (ii)The class 1M-2 noteholders may exchange all or part of that class for proportionate interests in the class 1M-2A, 1M-2B, and 1M-2C notes, and vice versa. The class 1B-1 noteholders may exchange all or part of that class for proportionate interests in the class 1B-1A and 1B-1B notes, and vice versa. The class 1M-2A, 1M-2B, 1M-2C, 1B-1A, 1B-1B, and 1B-2 notes may exchange all or part of those classes for proportionate interests in the classes of RCR notes as specified in the offering documents. NR--Not rated. RCR--Related combinable and recombinable notes. RCR Exchangeable Classes(i) Fannie Mae Connecticut Avenue Securities Trust 2022-R03 Class 1M-2, $379,473,000: BBB- (sf) Class 1E-A1, $126,491,000: BBB+ (sf) Class 1A-I1, $126,491,000(ii): BBB+ (sf) Class 1E-A2, $126,491,000: BBB+ (sf) Class 1A-I2, $126,491,000(ii): BBB+ (sf) Class 1E-A3, $126,491,000: BBB+ (sf) Class 1A-I3, $126,491,000(ii): BBB+ (sf) Class 1E-A4, $126,491,000: BBB+ (sf) Class 1A-I4, $126,491,000(ii): BBB+ (sf) Class 1E-B1, $126,491,000: BBB (sf) Class 1B-I1, $126,491,000(ii): BBB (sf) Class 1E-B2, $126,491,000: BBB (sf) Class 1B-I2, $126,491,000(ii): BBB (sf) Class 1E-B3, $126,491,000: BBB (sf) Class 1B-I3, $126,491,000(ii): BBB (sf) Class 1E-B4, $126,491,000: BBB (sf) Class 1B-I4, $126,491,000(ii): BBB (sf) Class 1E-C1, $126,491,000: BBB- (sf) Class 1C-I1, $126,491,000(ii): BBB- (sf) Class 1E-C2, $126,491,000: BBB- (sf) Class 1C-I2, $126,491,000(ii): BBB- (sf) Class 1E-C3, $126,491,000: BBB- (sf) Class 1C-I3, $126,491,000(ii): BBB- (sf) Class 1E-C4, $126,491,000: BBB- (sf) Class 1C-I4, $126,491,000(ii): BBB- (sf) Class 1E-D1, $252,982,000: BBB (sf) Class 1E-D2, $252,982,000: BBB (sf) Class 1E-D3, $252,982,000: BBB (sf) Class 1E-D4, $252,982,000: BBB (sf) Class 1E-D5, $252,982,000: BBB (sf) Class 1E-F1, $252,982,000: BBB- (sf) Class 1E-F2, $252,982,000: BBB- (sf) Class 1E-F3, $252,982,000: BBB- (sf) Class 1E-F4, $252,982,000: BBB- (sf) Class 1E-F5, $252,982,000: BBB- (sf) Class 1-X1, $252,982,000(ii): BBB (sf) Class 1-X2, $252,982,000(ii): BBB (sf) Class 1-X3, $252,982,000(ii): BBB (sf) Class 1-X4, $252,982,000(ii): BBB (sf) Class 1-Y1, $252,982,000(ii): BBB- (sf) Class 1-Y2, $252,982,000(ii): BBB- (sf) Class 1-Y3, $252,982,000(ii): BBB- (sf) Class 1-Y4, $252,982,000(ii): BBB- (sf) Class 1-J1, $126,491,000: BBB- (sf) Class 1-J2, $126,491,000: BBB- (sf) Class 1-J3, $126,491,000: BBB- (sf) Class 1-J4, $126,491,000: BBB- (sf) Class 1-K1, $252,982,000: BBB- (sf) Class 1-K2, $252,982,000: BBB- (sf) Class 1-K3, $252,982,000: BBB- (sf) Class 1-K4, $252,982,000: BBB- (sf) Class 1M-2Y, $379,473,000: BBB- (sf) Class 1M-2X, $379,473,000: BBB- (sf) Class 1B-1, $210,818,000: BB- (sf) Class 1B-1Y, $210,818,000: BB- (sf) Class 1B-1X, $210,818,000: BB- (sf) Class 1B-2Y, $166,435,000: NR Class 1B-2X, $166,435,000: NR (i)See the offering documents for more detail on possible combinations. (ii)Notional amount. RCR--Related combinable and recombinable notes. NR--Not rated. GALAXY 30: S&P Assigns BB- (sf) Rating on $16MM Class E Notes ------------------------------------------------------------- S&P Global Ratings assigned its ratings to Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC's fixed- and floating-rate notes. The note issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by PineBridge Investments LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Galaxy 30 CLO Ltd./Galaxy 30 CLO LLC Class A, $252.00 million: AAA (sf) Class B-1, $47.00 million: AA (sf) Class B-2, $5.00 million: AA (sf) Class C, $24.00 million: A (sf) Class D, $24.00 million: BBB- (sf) Class E, $16.00 million: BB- (sf) Subordinated notes, $36.00 million: Not rated GOLDENTREE LOAN 12: Fitch Gives BB+(EXP) Rating to Class E Debt --------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GoldenTree Loan Management US CLO 12, Ltd. DEBT RATING ---- ------ GoldenTree Loan Management US CLO 12, Ltd. X LT NR(EXP)sf Expected Rating A LT AAA(EXP)sf Expected Rating A-J LT NR(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating E LT BB+(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating TRANSACTION SUMMARY GoldenTree Loan Management US CLO 12, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Loan Management II, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500.0 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.1% first-lien senior secured loans and has a weighted average recovery assumption of 74.8%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition (Positive): The largest three industries may comprise up to 37.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 4.9-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, the class A, B, C, D and E notes can withstand default rates of up to 61.2%, 54.6%, 49.0%, 42.0% and 37.9%, respectively, assuming portfolio recovery rates of 36.1%, 44.3%, 53.7%, 62.8% and 68.4% in Fitch's 'AAAsf', 'AAsf', 'Asf', 'BBB-' and 'BB+sf' scenarios, respectively. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A notes, between 'BB+sf' and 'AA-sf' for class B notes, between 'B+sf' and 'Asf' for class C notes, between less than 'B-sf' and 'BBB+sf' for class D notes, and between less than 'B-sf' and 'BB+sf' for class E notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrade scenarios are not applicable to the class A notes, as these notes are in the highest rating category of 'AAAsf'. -- At other rating levels, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AA+sf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and between 'BBB+sf' and 'A-sf' for class E 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. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. GOLDENTREE LOAN 12: Moody's Assigns (P)B3 Rating to $10MM F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to four classes of notes to be issued by GoldenTree Loan Management US CLO 12, Ltd.(the "Issuer" or "GoldenTree Loan Management US CLO 12"). Moody's rating action is as follows: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$307,500,000 Class A Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$17,500,000 Class A-J Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$10,000,000 Class F Junior Deferrable Floating Rate Notes due 2034, Assigned (P)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. GoldenTree Loan Management US CLO 12, Ltd. 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 senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans, DIP loans, bonds or senior secured notes, provided no more than 5% of the portfolio may consist of bonds or senior secured notes. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. GoldenTree Loan Management II, 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 will issue four other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3mS + 3.70% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8 years Methodology Used for the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in December 2021. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. GULF STREAM 7: S&P Assigns BB- (sf) Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Gulf Stream Meridian 7 Ltd./Gulf Stream Meridian 7 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 Meridian Credit Management LLC (doing business as Gulf Stream Asset Management). The ratings reflect: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Gulf Stream Meridian 7 Ltd./Gulf Stream Meridian 7 LLC Class A-1, $305.00 million: AAA (sf) Class A-2, $65.00 million: AA (sf) Class B (deferrable), $40.00 million: A (sf) Class C (deferrable), $30.00 million: BBB- (sf) Class D (deferrable), $17.50 million: BB- (sf) Subordinated notes, $47.20 million: Not rated JEFFERSON MILL: Moody's Ups Rating on $18.5MM E-R Notes to Ba3 -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Jefferson Mill CLO Ltd.: US$18,500,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class E-R Notes"), Upgraded to Ba3 (sf); previously on August 6, 2020 Downgraded to B1 (sf) Jefferson Mill CLO Ltd., originally issued in July 2015 refinanced in September 2018, 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 will end in October 2023. RATINGS RATIONALE This rating action today is primarily a result of improvement in the credit quality and an increase in the transaction's over-collateralization (OC) ratios since February 2021. Based on the trustee's February 2022 report[1], the weighted average rating factor is currently 2772, compared to 3139 in February 2021[2]. The overcollateralization (OC) ratios of the rated notes have also improved since February 2021. The OC ratios for the Class A/B, Class C, Class D, Class E and Class F notes are reported at 129.52%, 121.36%, 112.95%, 107.24% and 105.12%, respectively, in February 2022[3], versus February 2021[4] levels of 127.46%, 119.42%, 111.14%, 105.53% and 103.44% , 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: $391,763,539 Defaulted par: $1,142,400 Diversity Score: 76 Weighted Average Rating Factor (WARF): 2820 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.38% Weighted Average Recovery Rate (WARR): 47.8% Weighted Average Life (WAL): 5.7 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, decrease in overall WAS and lower recoveries on defaulted assets. Methodology Used for the Rating Action The principal methodology used in this rating 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 Rating: 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. KKR CLO 41: Moody's Assigns Ba3 Rating to $20MM Class E Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to three classes of notes issued and one class of loans incurred by KKR CLO 41 Ltd. (the "Issuer" or "KKR CLO 41"). Moody's rating action is as follows: US$250,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Assigned Aaa (sf) US$50,000,000 Class A-1L Loans due 2035, Assigned Aaa (sf) US$20,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2035, Assigned Aaa (sf) US$20,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2035, Assigned Ba3 (sf) The notes and loans listed above are referred to herein, collectively, as the "Rated Debt." The Class A-1L Loans may not be exchanged or converted into notes at any time. 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. KKR CLO 41 is a managed cash flow CLO. The issued debt will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, cash and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, unsecured loans and permitted non-loan assets. The portfolio is approximately 80% ramped as of the closing date. KKR Financial Advisors 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 Debt, 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 debt 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: 70 Weighted Average Rating Factor (WARF): 3184 Weighted Average Spread (WAS): SOFR + 3.50% Weighted Average Coupon (WAC): 5.75% 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 Debt is subject to uncertainty. The performance of the Rated Debt 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 Debt. LAQ 2022-LAQ: S&P Assigns B- (sf) Rating in Class F Certificates ---------------------------------------------------------------- S&P Global Ratings assigned its 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 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. Between preliminary and final ratings, the issuer removed the class X-CP and X-EXT notional certificates from the transaction's capital structure. Ratings Assigned LAQ 2022-LAQ Mortgage Trust(i) Class A, $304,815,000: AAA (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(ii), $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)Non-offered eligible horizontal interest. MFA 2022-INV1: S&P Assigns Prelim B+ (sf) Rating on Cl. B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MFA 2022-INV1 Trust's mortgage pass-through certificates series 2022-INV1. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residences, two- to four-family homes, condominiums, and townhomes to both prime and nonprime borrowers. The pool consists of 1,137 business-purpose investor loans (including 275 cross-collateralized loans backed by 1,151 properties) that are exempt from the qualified mortgage and ability-to-repay rules. The preliminary ratings are based on information as of March 30, 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 pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, and representation and warranty (R&W) framework; -- The mortgage aggregator and mortgage originator; and -- The further 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 MFA 2022-INV1 Trust(i) Class A-1 $160,215,000: AAA (sf) Class A-2 $22,316,000: AA (sf) Class A-3 $26,445,000: A (sf) Class M-1 $15,479,000: BBB (sf) Class B-1 $9,030,000: BB+ (sf) Class B-2 $10,320,000: B+ (sf) Class B-3 $14,190,346: NR Class A-IO-S Notional(ii): NR Class XS Notional(ii): NR Class R N/A: NR (i)The collateral and structural information in this report reflect the preliminary private placement memorandum (PPM) dated March 29, 2022. The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. N/A--Not applicable. MFA 2022-NQM1: S&P Assigns B (sf) Rating on Class B-2 Certs ----------------------------------------------------------- S&P Global Ratings assigned its ratings to MFA 2022-NQM1 Trust's mortgage pass-through certificates series 2022-NQM1. 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 residences, planned unit developments, condominiums, condotels, two- to four-family homes, and one manufactured housing property to both prime and nonprime borrowers. The pool has 701 loans, which are primarily nonqualified mortgage loans. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; -- The mortgage aggregator and mortgage originators; -- The geographic concentration; and -- The impact that the economic stress brought on by the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool and liquidity available in the transaction. Ratings Assigned MFA 2022-NQM1 Trust(i) Class A-1, $236,459,000: AAA (sf) Class A-2, $21,633,000: AA (sf) Class A-3, $23,629,000: A (sf) Class M-1, $15,808,000: BBB (sf) Class B-1, $12,314,000: BB (sf) Class B-2, $9,652,000: B (sf) Class B-3, $13,312,360: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R: NR (i)The ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount equals the loans' aggregate unpaid principal balance. NR--Not rated. MORGAN STANLEY 2006-4SL: Moody's Ups Rating on Cl. A-1 Bonds to B3 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of seven bonds from six US residential mortgage backed transactions (RMBS), backed by Second Lien and Resecuritized mortgages, issued by multiple issuers. A List of Affected Credit Ratings is available at https://bit.ly/3Dm2lh0 Complete rating actions are as follows: Issuer: CWABS Master Trust Revolving Home Equity Loan Asset Backed Notes, Series 2004-B Cl. 1-A, Upgraded to B1 (sf); previously on Jun 10, 2010 Downgraded to Caa2 (sf) Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-R Cl. 1-A, Upgraded to A3 (sf); previously on May 28, 2021 Upgraded to Baa3 (sf) Issuer: CWABS Revolving Home Equity Loan Trust, Series 2004-S Cl. A, Upgraded to B1 (sf); previously on Oct 31, 2019 Upgraded to Caa1 (sf) Issuer: Morgan Stanley Mortgage Loan Trust 2006-4SL Cl. A-1, Upgraded to B3 (sf); previously on Jun 11, 2021 Upgraded to Caa3 (sf) Issuer: CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES Cl. 04R-1a, Upgraded to A3 (sf); previously on May 28, 2021 Upgraded to Baa3 (sf) Cl. 04R-1b, Upgraded to A3 (sf); previously on May 28, 2021 Upgraded to Baa3 (sf) Issuer: HomeBanc Mortgage Trust 2005-2 Cl. B-1, Upgraded to Caa1 (sf); previously on Jun 3, 2010 Downgraded to C (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. The rating actions on the bonds from the resecuritization transaction CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES reflect the rating actions on the bonds underlying that transaction. Principal Methodologies The principal methodology used in rating all deals except CWHEQ Revolving Home Equity Loan Resecuritization Trust 2006-RES 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. 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. MTN COMMERCIAL 2022-LPFL: 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 MTN Commercial Mortgage Trust 2022-LPFL, Commercial Mortgage Pass-Through Certificates, Series 2022-LPFL: 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) Note: Moody's previously assigned a provisional rating to Class X-CP of (P) Aa1 (sf) and to Class X-NCP of (P) Aa1 (sf), described in the prior press release, dated March 2, 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 both Class X-CP and Class X-NCP and will not rate these certificates. 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. 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 2.03x 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 121.0%, compared to 121.1% 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 1.00. 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 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. NEUBERGER BERMAN 48: 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 48, Ltd. (the "Issuer" or "Neuberger Berman 48"). Moody's rating action is as follows: US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 [1], Definitive Rating Assigned Aaa (sf) US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2036, 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. Neuberger Berman 48 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 senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 95% 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 will issue four classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2892 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 45.0% Weighted Average Life (WAL): 8.08 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. OBX 2022-NQM3: S&P Assigns B (sf) Rating on Class B-2 Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to OBX 2022-NQM3 Trust's mortgage-backed notes. The note issuance is an RMBS transaction backed by newly originated first-lien, fixed-rate, and adjustable-rate residential mortgage loans to prime and nonprime borrowers, including mortgage loans with initial interest-only periods. The loans are primarily secured by single-family residential properties, planned-unit developments, condominiums, townhouses, and two- to four-family residential properties. The pool has 518 loans, which are primarily non-qualified mortgage/ability to repay-compliant (ATR-compliant) and ATR-exempt loans. S&P said, "After we assigned our preliminary ratings on March 14, 2022, the priority of payments in the transaction documents was updated such that beginning on the distribution date in April 2026 and thereafter (for as long as the class A-1A or A-1B notes are outstanding), the interest and interest carryforward amounts otherwise payable to the class B-3 notes will instead be reallocated to pay cap carryover amounts due on the class A-1A and A-1B notes. The B-3 interest amounts that were thus diverted will not be paid back to the class B-3 notes. Our ratings address the ultimate payment of interest (including interest carryforward amounts) and principal to the rated bonds and do not address the payment of any cap carryover amounts. The subordination credit enhancement on the rated classes remained the same and the final ratings assigned are unchanged from the preliminary ratings we assigned for all classes." The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, Onslow Bay Financial LLC, and the originators, which include AmWest Funding Corp.; and -- The impact that the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool. Ratings Assigned(i) OBX 2022-NQM3 Trust Class A-1A, $185,241,750: AAA (sf) Class A-1B, $61,747,250: AAA (sf) Class A-1, $246,989,000: AAA (sf) Class A-2, $15,792,000: AA (sf) Class A-3, $18,477,000: A (sf) Class M-1, $11,528,000: BBB (sf) Class B-1, $8,686,000: BB (sf) Class B-2, $6,948,000: B (sf) Class B-3, $7,422,909: Not rated Class A-IO-S, notional(ii): Not rated Class XS, notional(iii): Not rated Class R: Not rated (i)The ratings address the ultimate payment of interest and principal. (ii)For the class A-IO-S notes, the notional amount equals the loans' stated principal balance for loans serviced by Select Portfolio Servicing Inc. and Specialized Loan Servicing LLC. (iii)The notional amount equals the loans' stated principal balance. PALMER SQUARE 2021-1: Moody's Hikes Rating on Class D Notes to Ba1 ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Palmer Square Loan Funding 2021-1, Ltd.: US$48,000,000 Class A-2 Senior Secured Floating Rate Notes due 2029 (the "Class A-2 Notes"), Upgraded to Aaa (sf); previously on February 18, 2021 Definitive Rating Assigned Aa1 (sf) US$24,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class B Notes"), Upgraded to Aa2 (sf); previously on February 18, 2021 Definitive Rating Assigned A1 (sf) US$18,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C Notes"), Upgraded to A3 (sf); previously on February 18, 2021 Definitive Rating Assigned Baa1 (sf) US$16,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class D Notes"), Upgraded to Ba1 (sf); previously on February 18, 2021 Definitive Rating Assigned Ba2 (sf) Palmer Square Loan Funding 2021-1, Ltd., issued in February 2021, is a static cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. 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 April 2021. The Class A-1 notes have been paid down by approximately 30.6% or $80.8 million since that time. Based on the trustee's February 2022 report[1], the OC ratios for the Class A, Class B, Class C and Class D notes are reported at 138.08%, 125.09%, 116.85% and 110.39%, respectively, versus April 2021 [2] levels of 127.94%, 118.80%, 112.76% and 107.88%, 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: $319,207,170 Defaulted par: $0 Diversity Score: 64 Weighted Average Rating Factor (WARF): 2589 Weighted Average Spread (WAS) (before accounting for LIBOR floors): 3.28% Weighted Average Recovery Rate (WARR): 48.3% Weighted Average Life (WAL): 4.6 years In addition to base case analysis, Moody's considered additional scenarios where outcomes could diverge from the base case. These additional scenarios includes, among others, 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. PMT LOAN 2022-INV1: Moody's Assigns B2 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 61 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2022-INV1 (PMTLT 2022-INV1). The ratings range from Aaa (sf) to B2 (sf). PMTLT 2022-INV1 securitization is backed by a pool of prime conforming, investment property mortgage loans acquired by PennyMac Corp. (PennyMac), the seller and sponsor of this transaction. PennyMac acquired the mortgage loans in the pool through its corresponding lending channel. All of the mortgage loans satisfy the eligibility criteria of Federal National Mortgage Association (Fannie Mae) or Federal Home Loan Mortgage Corporation (Freddie Mac) (collectively, GSEs). This deal represents the first PennyMac-sponsored 100% GSE eligible investor property transaction in 2022. Overall, the credit quality of the mortgage loans backing this transaction is in-line with recently issued GSE eligible investor property transactions Moody's have rated. PennyMac Loan Services, LLC is the servicer and responsible for making servicing and principal and interest (P&I) advances. There is no master servicer in this transaction. Citibank, N.A., will be the fiscal agent and will act as the backup advancing party with respect to advancing obligations. As of the closing date, the sponsor or a majority-owned affiliate of the sponsor intends to retain an eligible vertical interest or eligible horizontal residual interest, or any combination thereof, equal to at least 5% economic interest in the credit risk of assets collateralizing a securities transaction. Two third-party review (TPR) firms verified the accuracy of the loan level information that Moody's received from the sponsor. The firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 542 mortgage loans in the collateral pool. 30 sampled mortgage loans were removed from the mortgage pool by the Sponsor after the review, resulting in 512 sampled mortgage loans being part of the final mortgage pool. The number of mortgage loans that went through a full due diligence review meets Moody's credit neutral threshold. However, certain weaknesses were identified in the TPR. Issuer: PMT Loan Trust 2022-INV1 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1(sf) Cl. A-30, Definitive Rating Assigned Aa1(sf) Cl. A-31, Definitive Rating Assigned Aaa (sf) Cl. A-32, Definitive Rating Assigned Aaa (sf) Cl. A-33, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aaa (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aaa (sf) Cl. A-X33*, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (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 0.82%, in a baseline scenario-median is 0.58%, and reaches 5.43% at a stress level consistent with Moody's Aaa ratings. 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, the strength of the TPR and the representations & warranties (R&W) framework of the transaction. Collateral Description As of the cut-off date, the mortgage loans will consist of 1,298 conforming mortgage loans secured by first lien investment property with an aggregate stated principal balance (UPB) of approximately $419,590,555, with an original term to maturity between 17 and 30 years. All of the mortgage loans in the pool were run through one of the GSE automated underwriting systems (AUS) and received an "Approve" or "Accept" recommendation. Overall, the pool has strong credit quality and consists of borrowers with high FICO scores, low loan-to-value (LTV) ratios, high income, and liquid cash reserves. The average liquid/cash reserves is $296,026 with approximately 71.7% of the borrowers (by UPB) having more than 60 months of liquid/cash reserves. The weighted average (WA) FICO for the aggregate pool is 775 with a WA LTV of 63.5% and WA CLTV of 63.6%. Approximately 36.5% of the mortgage loans (by UPB) were originated in California and approximately 1.7% of the mortgage loans (by UPB) have primary mortgage insurance coverage. The pool has weighted average (WA) seasoning of approximately three months and consists of 21 loans (1.62% by loan count) which have been delinquent since origination, however, are current as of cut-off date. No borrower under any mortgage loan is currently in an active COVID-19 related forbearance plan with the servicer. Approximately 6.0% (by UPB) of the mortgage loans and 96 loans by count are "Appraisal Waiver" (AW) loans, whereby the sponsor obtained an AW for each such mortgage loan from Fannie Mae or Freddie Mac through their respective programs. In each case, neither Fannie Mae nor Freddie Mac required an appraisal of the related mortgaged property as a condition of approving the related mortgage loan for purchase by Fannie Mae or Freddie Mac, as applicable. All of the AW loans had a secondary valuation. The valuations for 4 loans had variances between -10% and -35%. Because AW loans 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 its analysis to account for the increased risk associated with such loans. Aggregation and Origination Quality PennyMac's loan program consists of retail origination, correspondent lending, and whole loan purchases nationwide. All the mortgage loans in the pool were acquired by PennyMac via correspondent lending. Based on the available information related to PennyMac's valuation and risk management practices, Moody's considered qualitative factors during the ratings process including Moody's review of the origination quality and servicing arrangement, the results of the TPR, and the R&W framework. Moody's consider PennyMac to be an adequate originator of conforming mortgages. As a result, Moody's did not make any adjustments to Moody's base case and Aaa stress loss assumptions based on Moody's review of PennyMac's origination practices/underwriting, audit/quality control and loan performance. Servicing Arrangement Moody's assess the overall servicing arrangement for this pool as adequate, given the ability, scale and experience of PennyMac Loan Services, LLC as a servicer. However, compared to other prime transactions which typically have a master servicer, servicer oversight for this transaction is relatively weaker. Overall, Moody's did not apply any adjustment to Moody's expected losses for the lack of master servicer due to the following mitigants: (i) PennyMac Loan Services, LLC was established in 2008 and is an experienced servicer of residential mortgage loans; PennyMac Loan Services, LLC is an approved servicer for both Fannie Mae and Freddie Mac; (ii) PennyMac had no instances of non-compliance for its 2020 Regulation AB or Uniformed Single Audit Program (USAP) independent servicer reviews; (iii) Although not directly related to this transaction, there is still third party oversight of PennyMac Loan Services, LLC from the GSEs, the CFPB, the accounting firms and state regulators; (iv) The complexity of the loan product is relatively low, reducing the complexity of servicing and reporting; and (v) Citibank, N.A., is the securities administrator and fiscal agent, and backup advancing party with respect to P&I advances. Third-Party Review Two TPR firms verified the accuracy of the loan level information that Moody's received from the sponsor. The firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 542 loans. 30 sampled mortgage loans were removed from the mortgage pool by the Sponsor on conclusion of the review, resulting in 512 Sampled Mortgage Loans being part of the final mortgage pool. The number of mortgage loans that went through a full due diligence review meets Moody's credit neutral threshold. However, the results of the TPR are weaker than those for other confirming transactions from other programs. According to the preliminary TPR results, 13 mortgage loans had a final credit grade C or D, 3 mortgage loans had a final compliance grade D, and 7 mortgage loans had a final valuation grade D. While these mortgage loans were ultimately excluded from the final mortgage pool, Moody's nevertheless made an adjustment to Moody's losses by extrapolating the aforementioned results to the non-sampled portion of the pool. Representations & Warranties Moody's assessed the R&Ws framework based on three factors: (a) the financial strength of the remedy provider; (b) the strength of the R&Ws (including qualifiers and sunsets) and (c) the effectiveness of the enforcement mechanisms. Moody's evaluated the impact of these factors collectively on the ratings in conjunction with the transaction's specific details and in some cases, the strengths of some of the factors can mitigate weaknesses in others. PennyMac (the R&W provider) makes the loan level R&Ws for the mortgage loans. Moody's applied a qualitative adjustment in Moody's model analysis to account for certain weaknesses in the R&W framework. The R&W provider (unrated) may not have the financial wherewithal to remedy defective mortgage loans in a stressed economic environment, given that its monoline mortgage business is highly correlated with the economy. Transaction Structure PMTLT 2022-INV1 has one pool with a shifting interest structure that benefits from a subordination floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. Tail Risk & 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 1.00% 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. POST CLO 2022-1: S&P Assigns BB-(sf) Rating on $16MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to Post CLO 2022-1 Ltd./Post CLO 2022-1 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 Post Advisory Group LLC. The ratings reflect S&P's view of: -- The collateral pool's diversification; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated notes through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Post CLO 2022-1 Ltd./Post CLO 2022-1 LLC Class A, $252.00 million: AAA (sf) Class B, $52.00 million: AA (sf) Class C (deferrable), $24.00 million: A+ (sf) Class D (deferrable), $24.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $35.40 million: Not rated SPRITE 2017-1: S&P Places 'B+' Rating on Class C Notes on Watch Neg ------------------------------------------------------------------- S&P Global Ratings placed its 'BBB (sf)', 'BB (sf)', and 'B+ (sf)' ratings on Sprite 2017-1 Ltd./Sprite 2017-1 US LLC's (Sprite 2017-1) series 2017-1 A, B, and C notes, respectively, on CreditWatch with negative implications. The CreditWatch placements primarily reflect the concentration of the portfolio that consists of three aircraft on lease to Eastar Jet, which is subject to judicial rehabilitation proceedings in South Korea. As of November 2021, Sprite 2017-1 was backed by lease revenues and sales proceeds from a portfolio of 19 commercial aircraft. All 19 aircraft are expected to be acquired by Sprite 2021-1 Ltd./Sprite 2021-1 US LLC (Sprite 2021-1) and the Sprite 2017-1 notes are expected to be redeemed. To date, Sprite 2021-1 purchased 16 of the aircraft from Sprite 2017-1. Sprite 2021-1 is expected to acquire the remaining three aircraft within 360 days of its Nov. 19, 2021, closing date. The acquisition of the aircraft is subject to resolution of Eastar Jet's judicial rehabilitation proceedings, the timing of which remains uncertain. As of the March 15, 2022, payment date, the outstanding note balance on Sprite 2017-1's class A, B, and C notes was approximately $40.2 million. As of the closing of Sprite 2021-1 in November 2021, there was approximately $50 million on deposit in Sprite 2021-1 accounts for the acquisition of the three aircraft. However, until the acquisition of the aircraft from Sprite 2017-1, this amount is reduced monthly to pay amounts due on the Sprite 2021-1 notes. To resolve the CreditWatch placements, S&P will review the transaction over the next 90 days. STEELE CREEK 2022-1: Moody's Gives Ba3 Rating to $15.75MM E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes 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, Definitive Rating Assigned Aaa (sf) US$7,000,000 Class A-2 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$42,000,000 Class B Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aa2 (sf) US$19,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned A2 (sf) US$21,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned Baa3 (sf) US$15,750,000 Class E Mezzanine 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. 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. The portfolio is 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 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: $350,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2746 Weighted Average Spread (WAS): S + 3.60% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.8% 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. TOWD POINT 2022-SJ1: Fitch Gives B- Rating to 9 Tranches -------------------------------------------------------- Fitch Ratings has assigned ratings to Towd Point Mortgage Trust 2022-SJ1 (TPMT 2022-SJ1). DEBT RATING PRIOR ---- ------ ----- TPMT 2022-SJ1 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf M1 LT A-sf New Rating A-(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf B4 LT NRsf New Rating NR(EXP)sf B5 LT NRsf New Rating NR(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1AX LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1BX LT AAAsf New Rating AAA(EXP)sf A1C LT AAAsf New Rating AAA(EXP)sf A1CX LT AAAsf New Rating AAA(EXP)sf A1D LT AAAsf New Rating AAA(EXP)sf A1DX LT AAAsf New Rating AAA(EXP)sf A2A LT AA-sf New Rating AA-(EXP)sf A2AX LT AA-sf New Rating AA-(EXP)sf A2B LT AA-sf New Rating AA-(EXP)sf A2BX LT AA-sf New Rating AA-(EXP)sf A2C LT AA-sf New Rating AA-(EXP)sf A2CX LT AA-sf New Rating AA-(EXP)sf A2D LT AA-sf New Rating AA-(EXP)sf A2DX LT AA-sf New Rating AA-(EXP)sf A3 LT AA-sf New Rating AA-(EXP)sf A4 LT A-sf New Rating A-(EXP)sf A5 LT BBB-sf New Rating BBB-(EXP)sf A6 LT NRsf New Rating NR(EXP)sf M1A LT A-sf New Rating A-(EXP)sf M1AX LT A-sf New Rating A-(EXP)sf M1B LT A-sf New Rating A-(EXP)sf M1BX LT A-sf New Rating A-(EXP)sf M1C LT A-sf New Rating A-(EXP)sf M1CX LT A-sf New Rating A-(EXP)sf M1D LT A-sf New Rating A-(EXP)sf M1DX LT A-sf New Rating A-(EXP)sf M2A LT BBB-sf New Rating BBB-(EXP)sf M2AX LT BBB-sf New Rating BBB-(EXP)sf M2B LT BBB-sf New Rating BBB-(EXP)sf M2BX LT BBB-sf New Rating BBB-(EXP)sf M2C LT BBB-sf New Rating BBB-(EXP)sf M2CX LT BBB-sf New Rating BBB-(EXP)sf M2D LT BBB-sf New Rating BBB-(EXP)sf M2DX LT BBB-sf New Rating BBB-(EXP)sf B1A LT BB-sf New Rating BB-(EXP)sf B1AX LT BB-sf New Rating BB-(EXP)sf B1B LT BB-sf New Rating BB-(EXP)sf B1BX LT BB-sf New Rating BB-(EXP)sf B1C LT BB-sf New Rating BB-(EXP)sf B1CX LT BB-sf New Rating BB-(EXP)sf B1D LT BB-sf New Rating BB-(EXP)sf B1DX LT BB-sf New Rating BB-(EXP)sf B2A LT B-sf New Rating B-(EXP)sf B2AX LT B-sf New Rating B-(EXP)sf B2B LT B-sf New Rating B-(EXP)sf B2BX LT B-sf New Rating B-(EXP)sf B2C LT B-sf New Rating B-(EXP)sf B2CX LT B-sf New Rating B-(EXP)sf B2D LT B-sf New Rating B-(EXP)sf B2DX LT B-sf New Rating B-(EXP)sf B3A LT NRsf New Rating NR(EXP)sf B3AX LT NRsf New Rating NR(EXP)sf B3B LT NRsf New Rating NR(EXP)sf B3BX LT NRsf New Rating NR(EXP)sf B3C LT NRsf New Rating NR(EXP)sf B3CX LT NRsf New Rating NR(EXP)sf XA LT NRsf New Rating NR(EXP)sf XS1 LT NRsf New Rating NR(EXP)sf XS2 LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Fitch has assigned ratings to the residential mortgage-backed notes backed by seasoned and re-performing first-lien and closed-end junior-lien, residential mortgage loans to be issued by Towd Point Mortgage Trust 2022-SJ1 (TPMT 2022-SJ1), as indicated. The notes are supported by one collateral group that consists of 14,929 seasoned performing (SPLs) and re-performing (RPLs), with a total balance of approximately $548.24 million, including $6.5 million, or 1.2%, of the aggregate pool balance in non-interest-bearing deferred principal amounts, as of the statistical calculation date. Approximately 95.2% of the pool by unpaid principal balance (UPB) are junior-lien loans, and the remaining 4.8% are first-lien loans. Distributions of principal and interest (P&I) and loss allocations are based on a traditional senior-subordinate, sequential structure. The sequential-pay structure locks out principal to the subordinated notes until the most senior notes outstanding are paid in full. The servicers will not advance delinquent monthly payments of P&I. 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. RPL Credit Quality with Closed-End Junior Liens (Negative): The collateral pool consists of peak-vintage SPL and RPLs seasoned approximately 180 months in aggregate, as calculated by Fitch. Approximately 4.8% of the pool by UPB are first liens and the remaining 95.2% are junior liens. As of the statistical calculation date, the pool was 97.9% current and 2.1% delinquent (DQ). 78.7% of the loans have had a clean pay history for the last two years (under the Mortgage Bankers Association [MBA] method), after adjusting for Fitch's treatment of coronavirus-related forbearance and deferral loans. Additionally, 32% of loans have been modified. The borrowers have a moderate credit profile (716 FICO) and low leverage (60% sLTV). 100% Loss Severity Assumed on Junior Liens (Negative): Fitch assumed no recovery and 100% loss severity (LS) on junior lien loans based on the historical behavior of junior lien loans in economic stress scenarios and a transactional feature that applies the balance of a defaulted loan as a realized loss to the trust at 150 days' DQ using the Office of Thrift Supervision (OTS) methodology, excluding forbearance mortgage loans. Fitch assumes junior lien loans default at a rate comparable with first lien loans; after controlling for credit attributes, no additional default penalty was applied. Realized Loss and Write-down Feature (Positive): Junior lien loans that are DQ for 150 days or more under the OTS method will be considered a realized loss (excluding forbearance mortgage loans) and, therefore, will cause the most subordinated class to be written down. Despite the 100% LS assumed for each defaulted junior lien loan, Fitch views the write-down feature positively, as cash flows will not be needed to pay timely interest to the 'AAAsf' and 'AA-sf' notes during loan resolution by the servicers. In addition, subsequent recoveries realized after the write-down at 150 days DQ (excluding forbearance mortgage loans) will be passed on to bondholders as principal. No Servicer P&I Advancing (Mixed): The servicers will not advance DQ monthly payments of P&I, which reduces liquidity to the trust. P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust. Due to the lack of P&I advancing, the loan-level LS is less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for timely payments of interest to the 'AAAsf' and 'AA-sf' rated classes. Sequential-Pay 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 'AA-sf' rated notes prior to other principal distributions is highly supportive of timely interest payments to those classes in the absence of servicer advancing. Similar to the prior Fitch-rated TPMT 2021-SJ2 and TPMT 2021-SJ1 transactions, excess cash flow will not be used to turbo down the senior classes. RATING SENSITIVITIES Factor that could, individually or collectively, lead to negative rating action/downgrade: -- 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 41.7% at 'AAAsf'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factor that could, individually or collectively, lead to positive rating action/upgrade: -- 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'. 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, Clayton and Westcor. The third-party due diligence described in Form 15E focused on regulatory compliance, pay history, servicing comments, the presence of key documents in the loan file and data integrity. In addition, AMC and Westcor were retained to perform an updated title and tax search, as well as a review to confirm that the mortgages were recorded in the relevant local jurisdiction and the related assignment chains. A regulatory compliance and data integrity review was completed on 24.5% of the pool by loan count. The regulatory compliance review indicated that 395 reviewed loans, or approximately 10.8% of the total pool, received a final grade of 'C' or 'D'. For 217 of these loans, this was due to missing loan documentation that prevented testing for predatory lending compliance. The inability to test for predatory lending may expose the trust to potential assignee liability, which creates added risk for bond investors. Typically, Fitch makes LS adjustments to account for this. However, all loans that received a grade of 'C' or 'D' are junior liens and are already receiving 100% LS; therefore, no adjustments were made. Reasons for the remaining 178 'C' and 'D' grades include missing final HUD1s that are not subject to predatory lending, missing state disclosures and other compliance-related documents. Fitch believes these issues do not add material risk to bondholders, as the statute of limitations has expired. No adjustment to loss expectations were made for any of the 395 loans that received either a 'C' or 'D' grade. The diligence results indicated similar operational risk as in prior TPMT transactions, as well as other Fitch-reviewed RPL transactions. ESG CONSIDERATIONS TPMT 2022-SJ1 has an ESG Relevance Score of '4' for Transaction Parties and Operational Risk, due to elevated operational risk, which resulted in an increase in expected losses. While the originator, aggregator and servicing parties did not have an impact on the expected losses, the Tier 2 R&W framework with an unrated counterparty and the transaction due diligence resulted in an increase in the expected losses. This has a negative impact on the credit profile and is relevant to the ratings in conjunction with other factors. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. UBS COMMERCIAL 2012-C1: Fitch Lowers Class E Certs to 'CC' ---------------------------------------------------------- Fitch Ratings has downgraded two classes and affirmed three classes of UBS Commercial Trust 2012-C1 (UBS 2012-C1) commercial mortgage pass-through certificates. DEBT RATING PRIOR ---- ------ ----- UBS 2012-C1 B 90269GAF8 LT AAAsf Affirmed AAAsf C 90269GAL5 LT AAsf Affirmed AAsf D 90269GAN1 LT BBsf Downgrade BBB-sf E 90269GAQ4 LT CCsf Downgrade CCCsf F 90269GAS0 LT Csf Affirmed Csf KEY RATING DRIVERS Increased Loss Expectations/Concentrated Pool: The downgrades to classes D and E reflect increased loss expectations and greater certainty of loss on the two largest specially serviced loans, as well as the pool's increased concentration and adverse selection. Only 11 loans, including two cross collateralized and cross defaulted portfolio loans, remain in the pool. Three loans (43.1% of the pool) are currently in special servicing. All performing loan are scheduled to mature in the next 45 days. Due to the concentrated nature of the pool, Fitch performed a look-through analysis that grouped the remaining loans based on the likelihood of repayment and recovery prospects. The affirmations of the senior classes reflect the significant credit enhancement to the classes and expectation of full repayment of several of the performing loans, which are lowly leveraged loans secured by properties with stable performance. Fitch's analysis assumes the defaulted Poughkeepsie Galleria loan (31.2% of the pool) will be the last remaining loan in the pool. Classes E and below are reliant on recoveries from this loan for payoff. Fitch Loans of Concern: The largest remaining loan in the pool is the specially serviced Poughkeepsie Galleria loan, which transferred to special servicing in April 2020 due to imminent default related to pandemic impacts. The loan is now 90+ days delinquent, and the special servicer is reportedly moving forward with foreclosure while negotiations with the borrower remain ongoing. The loan is sponsored by the Pyramid Companies. The loan is secured by a 691,325-sf portion of a two-level 1.2 million sf enclosed regional mall located in Poughkeepsie, NY, which is approximately 70 miles north of New York City. The center is anchored by non-collateral Macy's and Target. Two collateral anchors are now dark; both Sears (ground lease) and JC Penney (26% of NRA) closed permanently in 2020. The loss of the two anchors will likely lead to co-tenancy issues at the property. The property, which was built in 1987, has served as the anchor of a large retail corridor along Route 9. It has good access and visibility from Route 9, I-87 and I-84. The property is also near four higher education institutions. Per the December 2021 rent roll, the collateral was approximately 57% occupied. Large tenants include Dick's Sporting Goods, DSW, H&M (8,968 sf of 21,101 total sf included in the collateral) and Regal Cinemas. YE 2021 in line sales were reported at approximately $360 psf compared to $384 psf for TTM August 2019. The YE 2021 NOI DSCR was 0.88x compared to YE 2020 at 0.48x during the pandemic when much of the mall was closed or operating at limited capacity. Performance was trending downward prior to the pandemic with the YE 2019 NOI DSCR at 0.94x and YE 2018 NOI DSCR of 1.11x. Fitch's expected loss on the loan of 73% reflects an implied cap rate of approximately 23% on YE 2021 NOI. The next largest specially serviced loan is the Westminster Square loan (6.5% of the pool), which was secured by an office property located in downtown Providence, RI. Per the special servicer, the real property was sold subsequent to the March 2022 monthly trustee report for a substantial loss of over 75% of the loan balance. It's uncertain if principal proceeds will be available to pay down the notes. Further, the servicer has indicated that it will continue to pursue the loan guarantors for any shortfalls. The largest performing loan is the Hartford 21 loan (27.4% of the pool), which is secured by a leasehold interest in a 36-floor tower, which consists of a 262-unit multifamily building, 106,530-sf of office space and a 57,139-sf retail component. The property, which was constructed in 2006, is considered one of the top upscale apartment complexes in Hartford, CT. As of December 2021, the multifamily portion of the property, which is by far the largest revenue generator at the property, was 97.3% occupied, an increase over the prior year occupancy of 80.2%. The office portion remained 46.3% occupied by St. Joseph College through 2022 with the retail portion at 48.2% leased; the largest retail tenant TD Bank (24.9% of retail NRA) recently extended through 2027. The YE 2021 NOI DSCR of 0.81x does not reflect the improved occupancy noted in the December 2021 rent roll. The loan is currently cash managed. Per recent servicer reporting, there are combined reserve balances in excess of $5 million related to the property. The loan matures April 2022; however, an update on the payoff status of the loan has not been provided by the servicer. Fitch will continue to monitor the loan. Increased Credit Enhancement: As of the March 2022 distribution date, the pool's aggregate principal balance had been paid down by 82% to $240.1 million from $1.3 billion at issuance. Over the last year, 45 loans ($747.2 million) paid off with no losses. Realized losses to date remain at $4.9 million. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- The 'AAAsf' rated class is not expected to be downgraded due to the substantial CE to the class and expectation of near- term payoff. The 'AAsf' rated class is also not expected to be downgraded, but the Negative Rating Outlook reflects the possibility for interest shortfalls should the Hartford 21 and/or Gladstone portfolio loans have difficulty refinancing, and the workouts of the existing specially serviced loans prolonged. -- The 'BBsf' rated class could be further downgraded should additional loans fail to repay at upcoming maturities and should loan performance deteriorate. The distressed classes could be further downgraded should losses occur or become more certain. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- Upgrades are unlikely due to the near-term maturities of the loan, adverse selection concerns and high loss expectations on the Poughkeepsie Galleria and Westminster Square loans, but could occur if performance improves substantially and ultimate recoveries on the loans are better than expected. -- Deutsche Bank is the trustee for the transaction and also serves as the backup advancing agent. Fitch's Issuer Default Rating for Deutsche Bank is currently 'BBB+'/'F2'/Positive. Fitch relies on the master servicer, Wells Fargo & Company (A+/F1/Negative), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Dec. 12, 2018. 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. VERUS SECURITIZATION 2022-3: S&P Assigns 'B-' Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2022-3's mortgage-backed notes. The note issuance is an RMBS securitization backed by primarily first-lien, fixed-rate, and adjustable-rate residential mortgage loans, including mortgage loans with initial interest-only periods and/or balloon terms. The loans are secured by single-family residences, planned-unit developments, two- to four-family residential properties, condominiums, mixed-use properties, and 5-10-unit multifamily residences to both prime and non-prime borrowers. The pool has 1,252 loans backed by 1,336 properties, which are primarily non-qualified mortgage/ability-to-repay (ATR) compliant and ATR-exempt loans. Of the 1,252 loans, 21 are cross-collateralized loans backed by 105 properties. S&P said, "Since we assigned the preliminary ratings and published our presale report on March 16, 2022, the sponsor (VMC Asset Pooler LLC) decreased the size of the A-1, M-1, and B-1 notes and increased the size of the class A-2, B-2, and B-3 notes, resulting in an increase in the subordination credit enhancement of the A-1, M-1, B-1, and B-2 notes. The re-sizing did not affect our ratings, which remain the same as the preliminary ratings." The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representations and warranties framework, and geographic concentration; -- The mortgage aggregator, Invictus Capital Partners; and -- The impact the COVID-19 pandemic will likely have on the performance of the mortgage borrowers in the pool. Ratings Assigned Verus Securitization Trust 2022-3 Class A-1, $465,843,000: AAA (sf) Class A-2, $47,851,000: AA (sf) Class A-3, $76,351,000: A (sf) Class M-1, $42,925,000: BBB- (sf) Class B-1, $20,407,000: BB (sf) Class B-2, $27,796,000: B- (sf) Class B-3, $22,518,396: Not rated Class A-IO-S, $703,691,396(i): Not rated Class XS, $703,691,396(i): Not rated Class DA, $132,702: Not rated Class R, N/A: Not rated (i)The notional amount equals the aggregate stated principal balance of loans in the pool as of the cut-off date. WELLS FARGO 2022-C62: Fitch Rates Class G-RR Certs 'B-' ------------------------------------------------------- Fitch Ratings has issued a presale report on Wells Fargo Commercial Mortgage Trust 2022-C62, commercial mortgage pass-through certificates, Series 2022-C62. Fitch expects to rate the transaction and assign Rating Outlooks as follows: WFCM 2022-C62 -- $6,056,000 Class A-1 'AAAsf'; Outlook Stable; -- $38,861,000 Class A-2 'AAAsf'; Outlook Stable; -- $11,189,000 Class A-SB 'AAAsf'; Outlook Stable; -- $77,500,000ab Class A-3 'AAAsf'; Outlook Stable; -- $0b Class A-3-1 'AAAsf'; Outlook Stable; -- $0bc Class A-3-X1 'AAAsf'; Outlook Stable; -- $0b Class A-3-2 'AAAsf'; Outlook Stable; -- $0bc Class A-3-X2 'AAAsf'; Outlook Stable; -- $238,724,000ab Class A-4 'AAAsf'; Outlook Stable; -- $0b Class A-4-1 'AAAsf'; Outlook Stable; -- $0bc Class A-4-X1 'AAAsf'; Outlook Stable; -- $0b Class A-4-2 'AAAsf'; Outlook Stable; -- $0bc Class A-4-X2 'AAAsf'; Outlook Stable; -- $372,330,000c Class X-A 'AAAsf'; Outlook Stable; -- $95,078,000c Class X-B 'A-sf'; Outlook Stable; -- $46,542,000 Class A-S 'AAAsf'; Outlook Stable; -- $0b Class A-S-1 'AAAsf'; Outlook Stable; -- $0bc Class A-S-X1 'AAAsf'; Outlook Stable; -- $0b Class A-S-2 'AAAsf'; Outlook Stable; -- $0bc Class A-S-X2 'AAAsf'; Outlook Stable; -- $24,600,000 Class B 'AA-sf'; Outlook Stable; -- $0b Class B-1 'AA-sf'; Outlook Stable; -- $0bc Class B-X1 'AA-sf'; Outlook Stable; -- $0b Class B-2 'AA-sf'; Outlook Stable; -- $0bc Class B-X2 'AA-sf'; Outlook Stable; -- $23,936,000 Class C 'A-sf'; Outlook Stable; -- $0b Class C-1 'A-sf'; Outlook Stable; -- $0bc Class C-X1 'A-sf'; Outlook Stable; -- $0b Class C-2 'A-sf'; Outlook Stable; -- $0bc Class C-X2 'A-sf'; Outlook Stable; -- $24,600,000cd Class X-D 'BBB-sf'; Outlook Stable; -- $15,292,000d Class D 'BBBsf'; Outlook Stable; -- $9,308,000d Class E 'BBB-sf'; Outlook Stable; -- $15,292,000d Class F 'BB-sf'; Outlook Stable; -- $15,292,000cd Class X-F 'BB-sf'; Outlook Stable; -- $5,319,000de Class G-RR 'B-sf'; Outlook Stable. The following class are not expected to be rated by Fitch: -- $19,282,216de H-RR 'NRsf'. (a) The initial certificate balances of class A-3 and A-4 are not yet known but expected to be $316,224,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $0 -$155,000,000, and the expected class A-4 balance range is $161,224,000 - $316,224,000. Balances of classes A-3 and A-4 shown above reflect the midpoint of each range. In the event that class A-4 certificates are issued with an initial certificate balance of $316,224,000, class A-3 certificates will not be issued. (b) Exchangeable Certificates. The class A-3, A-4, A-S, B and C certificates are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding classes of exchangeable certificates and vice versa. The dollar denomination of each of the received classes of certificates must be equal to the dollar denomination of each of the corresponding classes of exchangeable certificates. Class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-1 and A-3-X1. Class A-3 may be surrendered (or received) for the received (or surrendered) classes A-3-2 and A-3-X2. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-1 and A-4-X1. Class A-4 may be surrendered (or received) for the received (or surrendered) classes A-4-2 and A-4-X2. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-1 and A-S-X1. Class A-S may be surrendered (or received) for the received (or surrendered) classes A-S-2 and A-S-X2. Class B may be surrendered (or received) for the received (or surrendered) classes B-1 and B-X1. Class B may be surrendered (or received) for the received (or surrendered) classes B-2 and B-X2. Class C may be surrendered (or received) for the received (or surrendered) classes C-1 and C-X1. Class C may be surrendered (or received) for the received (or surrendered) classes C-2 and C-X2. (c) Notional amount and interest only. (d) Privately placed and pursuant to Rule 144A. (e) Horizontal risk retention. The expected ratings are based on information provided by the issuer as of March 25, 2021. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 46 loans secured by 82 commercial properties having an aggregate principal balance of $531,901,217 as of the cut-off date. The loans were contributed to the trust by LMF Commercial, LLC, Argentic Real Estate Finance LLC, BSPRT CMBS Finance, LLC, UBS AG, New York Branch and Wells Fargo Bank, National Association. The master servicer is expected to be Wells Fargo Bank, National Association and the special servicer is expected to be Argentic Services Company LP. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 8.4% of the properties by balance, cash flow analyses of 87.2% of the pool, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Leverage Exceeds that of Recent Transactions: This transaction's leverage is higher than that of other multiborrower transactions recently rated by Fitch. The pool's Fitch debt service coverage ratio (DSCR) of 1.26x is lower than the 2021 and 2020 averages of 1.38x and 1.32x, respectively. Additionally, the pool's Fitch loan to value (LTV) ratio of 105.4% is higher than the 2021 and 2020 averages of 103.3% and 99.6%, respectively. Investment-Grade Credit Opinion Loans: One loan, ILPT Logistics Portfolio, representing 2.8% of the pool, is the only loan in the pool that received an investment-grade credit opinion. ILPT Logistics Portfolio received a standalone credit rating of 'BBB-sf'. Above-Average Pool Diversification: The pool's 10 largest loans comprise 48.6% of the pool's cutoff balance, which is a lower concentration than the 2021 and 2020 averages of 51.2% and 56.8%, respectively. The Loan Concentration Index (LCI) of 365 is lower than the 2021 and 2020 averages of 381 and 440, respectively. The Sponsor Concentration Index (SCI) of 377 is also lower than the 2021 and 2020 averages of 407 and 474, respectively, and indicates there is little sponsor concentration. Below-Average Amortization: The pool is scheduled to amortize by 3.5% of the initial pool balance prior to maturity, which is below the 2021 and 2020 averages of 4.8% and 5.3%, respectively. Thirty-four loans (76.8%) are full interest-only loans, which is above the 2021 and 2020 averages of 70.5% and 67.7%, respectively. Three loans (9.7%) are partial interest-only loans, which is below the 2021 and 2020 averages of 16.8% and 20.0%, respectively. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB-sf'/ 'B-sf'; -- 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' /'BB- sf' / 'CCCsf'/ 'CCCsf'; -- 20% NCF Decline: 'BBB+sf' / 'BBB-sf' / 'BBsf' / 'B-sf' / 'CCCsf' / 'CCCsf'/ 'CCCsf'; -- 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'/ 'CCCsf'. Factors that could, individually or collectively, lead to positive rating action/upgrade: Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: -- Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB- sf' / 'BB-sf'/ 'B-sf'; -- 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A- sf' / 'BBBsf'/ 'BBB-sf'. 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. [*] Fitch Takes Actions in 5 US CMBS Transactions ------------------------------------------------- Fitch Ratings has taken various actions in five U.S. commercial mortgage-backed securities (CMBS) transactions, four of the transactions consist of only distressed bonds. DEBT RATING PRIOR ---- ------ ----- Credit Suisse Commercial Mortgage Trust 2007-C5 A-1-AJ 22546BBW9 LT Dsf Affirmed Dsf A-1-AJ 22546BBW9 LT WDsf Withdrawn Dsf A-J 22546BAJ9 LT Dsf Affirmed Dsf A-J 22546BAJ9 LT WDsf Withdrawn Dsf A-M 22546BAH3 LT Dsf Affirmed Dsf A-M 22546BAH3 LT WDsf Withdrawn Dsf B 22546BAK6 LT Dsf Affirmed Dsf B 22546BAK6 LT WDsf Withdrawn Dsf C 22546BAM2 LT Dsf Affirmed Dsf C 22546BAM2 LT WDsf Withdrawn Dsf D 22546BAP5 LT Dsf Affirmed Dsf D 22546BAP5 LT WDsf Withdrawn Dsf E 22546BAR1 LT Dsf Affirmed Dsf E 22546BAR1 LT WDsf Withdrawn Dsf F 22546BAT7 LT Dsf Affirmed Dsf F 22546BAT7 LT WDsf Withdrawn Dsf G 22546BAV2 LT Dsf Affirmed Dsf G 22546BAV2 LT WDsf Withdrawn Dsf H 22546BAX8 LT Dsf Affirmed Dsf H 22546BAX8 LT WDsf Withdrawn Dsf J 22546BAZ3 LT Dsf Affirmed Dsf J 22546BAZ3 LT WDsf Withdrawn Dsf K 22546BBB5 LT Dsf Affirmed Dsf K 22546BBB5 LT WDsf Withdrawn Dsf L 22546BBD1 LT Dsf Affirmed Dsf L 22546BBD1 LT WDsf Withdrawn Dsf M 22546BBF6 LT Dsf Affirmed Dsf M 22546BBF6 LT WDsf Withdrawn Dsf N 22546BBH2 LT Dsf Affirmed Dsf N 22546BBH2 LT WDsf Withdrawn Dsf Morgan Stanley Capital I Trust 1998-WF2 M 61745MHK2 LT Dsf Affirmed Dsf M 61745MHK2 LT WDsf Withdrawn Dsf Morgan Stanley Capital I Trust 2007-TOP27 AW34 61754JAZ1 LT AAAsf Affirmed AAAsf D 61754JAM0 LT Dsf Affirmed Dsf E 61754JAN8 LT Dsf Affirmed Dsf F 61754JAP3 LT Dsf Affirmed Dsf G 61754JAQ1 LT Dsf Affirmed Dsf H 61754JAR9 LT Dsf Affirmed Dsf J 61754JAS7 LT Dsf Affirmed Dsf K 61754JAT5 LT Dsf Affirmed Dsf L 61754JAU2 LT Dsf Affirmed Dsf M 61754JAV0 LT Dsf Affirmed Dsf N 61754JAW8 LT Dsf Affirmed Dsf O 61754JAX6 LT Dsf Affirmed Dsf TIAA Seasoned Commercial Mortgage Trust 2007-C4 N 87246AAT5 LT Dsf Affirmed Dsf N 87246AAT5 LT WDsf Withdrawn Dsf P 87246AAU2 LT Dsf Affirmed Dsf P 87246AAU2 LT WDsf Withdrawn Dsf Q 87246AAV0 LT Dsf Affirmed Dsf Q 87246AAV0 LT WDsf Withdrawn Dsf S 87246AAW8 LT Dsf Affirmed Dsf S 87246AAW8 LT WDsf Withdrawn Dsf J.P. Morgan Chase Mortgage Securities Trust 2008-C2 A-J 46632MCL2 LT Dsf Affirmed Dsf A-M 46632MCJ7 LT Dsf Downgrade Csf B 46632MAG5 LT Dsf Affirmed Dsf C 46632MAJ9 LT Dsf Affirmed Dsf D 46632MAL4 LT Dsf Affirmed Dsf E 46632MAN0 LT Dsf Affirmed Dsf F 46632MAQ3 LT Dsf Affirmed Dsf G 46632MAS9 LT Dsf Affirmed Dsf H 46632MAU4 LT Dsf Affirmed Dsf J 46632MAW0 LT Dsf Affirmed Dsf K 46632MAY6 LT Dsf Affirmed Dsf L 46632MBA7 LT Dsf Affirmed Dsf M 46632MBC3 LT Dsf Affirmed Dsf N 46632MBE9 LT Dsf Affirmed Dsf P 46632MBG4 LT Dsf Affirmed Dsf Q 46632MBJ8 LT Dsf Affirmed Dsf T 46632MBL3 LT Dsf Affirmed Dsf Fitch has affirmed and subsequently withdrawn all 15 ratings in Credit Suisse Commercial Mortgage Trust Series 2007-C5, all four ratings in TIAA Seasoned Commercial Mortgage Trust 2007-C4 and the one remaining rating in Morgan Stanley Capital I Trust 1998-WF2 as there is no remaining collateral and the trust balances have been reduced to zero. These transactions are no longer considered by Fitch to be relevant to the agency's coverage. AUTOMATIC WITHDRAWAL OF THE LAST DEFAULT RATING Default ratings ('Dsf') assigned to the last rated class of a transaction will be automatically withdrawn within 11 months from the date of this rating action. A separate RAC will not be issued at that time. KEY RATING DRIVERS Fitch has downgraded one class of J.P. Morgan Chase Mortgage Securities Trust 2008-C2 to 'Dsf' as the class took its first dollar loss. Per the March remittance report, class A-M received $0 in principal paydown and $1.7 million in losses. The class was previously rated 'Csf', indicating default was inevitable. Fitch has also affirmed 16 classes of J.P. Morgan Chase Mortgage Securities Trust 2008-C2 at 'Dsf' as a result of previously incurred losses. Fitch has affirmed 15 classes of Credit Suisse Commercial Mortgage Trust Series 2007-C5, four classes of TIAA Seasoned Commercial Mortgage Trust 2007-C4 and one class of Morgan Stanley Capital I Trust 1998-WF2 at 'Dsf' as there is no remaining collateral and the trust balances have been reduced to zero. Additionally, Fitch has affirmed 11 classes of Morgan Stanley Capital I Trust 2007-TOP27 at 'Dsf' as a result of previously incurred losses. Fitch has affirmed class AW34 in Morgan Stanley Capital I Trust 2007-TOP27 at 'AAAsf'. The class references the 330 West 34th Street non-pooled component. Performance has remained stable since issuance. The loan is collateralized by a 46,412-sf parcel of land, which is ground-leased to Vornado Realty Trust (BBB/Stable) on a triple-net basis until 2149. The parcel is improved with an 18-story, 636,915-sf office property located in Manhattan, NY. The class has been rated 'AAAsf' since issuance and is expected to pay in full at the underlying loan's upcoming maturity in July 2022. ESG - Transaction & Collateral Structure: J.P. Morgan Chase Commercial Mortgage Securities Trust series 2008-C2 has experienced modified payments from the Westin Portfolio, which was determined by the bankruptcy court and causes losses to the trust. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: -- Fitch does not expect any further negative rating changes to the 'Dsf'-rated classes as these bonds have incurred principal losses. -- Class AW34 of Morgan Stanley Capital I Trust 2007-TOP27 is not expected to be downgraded due to the leverage metrics. Factors that could, individually or collectively, lead to positive rating action/upgrade: -- While the bonds that have defaulted are not expected to recover any material amount of lost principal in the future, there is a limited possibility this may happen. In this unlikely scenario, Fitch would further review the affected classes. -- Class AW34 of Morgan Stanley Capital Trust 2007-TOP27 is already rated 'AAAsf' and is not subject to upgrades. 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 J.P. Morgan Chase Mortgage Securities Trust 2008-C2 has an ESG Relevance Score of '5' for Transaction & Collateral Structure due to the modified payment of the Westin Portfolio, which was determined by the bankruptcy court and resulted in losses to the trust, which has a negative impact on the credit profile, and is highly relevant to the rating, resulting in an implicitly lower rating due to expected losses that will impact all remaining classes. 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. [*] Fitch Takes Ratings From 14 US Trust Preferred CDOs ------------------------------------------------------- Fitch Ratings has affirmed the ratings on 84 classes, upgraded 32 classes and assigned Rating Outlooks to eight classes from 14 collateralized debt obligations (CDOs). Fitch has also removed 25 notes from Under Criteria Observation (UCO) and has withdrawn 97 classes from 12 CDOs. DEBT RATING PRIOR ---- ------ ----- Trapeza CDO XIII, Ltd./Inc. A-1 894135AA0 LT AAsf Affirmed AAsf A-1 894135AA0 LT WDsf Withdrawn AAsf A-2A 894135AC6 LT A+sf Affirmed A+sf A-2A 894135AC6 LT WDsf Withdrawn A+sf A-2B 894135AY8 LT A+sf Affirmed A+sf A-2B 894135AY8 LT WDsf Withdrawn A+sf A-3 894135AE2 LT A+sf Affirmed A+sf A-3 894135AE2 LT WDsf Withdrawn A+sf B 894135AG7 LT BBB+sf Affirmed BBB+sf B 894135AG7 LT WDsf Withdrawn BBB+sf C-1 894135AJ1 LT BB+sf Affirmed BB+sf C-1 894135AJ1 LT WDsf Withdrawn BB+sf C-2 894135AL6 LT BB+sf Affirmed BB+sf C-2 894135AL6 LT WDsf Withdrawn BB+sf D 894135AN2 LT CCsf Affirmed CCsf D 894135AN2 LT WDsf Withdrawn CCsf E 894135AS1 LT Csf Affirmed Csf E 894135AS1 LT WDsf Withdrawn Csf F 894135AW2 LT Csf Affirmed Csf F 894135AW2 LT WDsf Withdrawn Csf G 894138AC0 LT Csf Affirmed Csf G 894138AC0 LT WDsf Withdrawn Csf Trapeza CDO X, Ltd/Inc. A-1 89413CAA5 LT AAsf Affirmed AAsf A-1 89413CAA5 LT WDsf Withdrawn AAsf A-2 89413CAC1 LT Asf Affirmed Asf A-2 89413CAC1 LT WDsf Withdrawn Asf B 89413CAE7 LT BBB-sf Affirmed BBB-sf B 89413CAE7 LT WDsf Withdrawn BBB-sf C-1 89413CAG2 LT Csf Affirmed Csf C-1 89413CAG2 LT WDsf Withdrawn Csf C-2 89413CAN7 LT Csf Affirmed Csf C-2 89413CAN7 LT WDsf Withdrawn Csf D-1 89413CAJ6 LT Csf Affirmed Csf D-1 89413CAJ6 LT WDsf Withdrawn Csf D-2 89413CAL1 LT Csf Affirmed Csf D-2 89413CAL1 LT WDsf Withdrawn Csf Subordinated Notes 89413DAA3 LT Csf Affirmed Csf Subordinated Notes 89413DAA3 LT WDsf Withdrawn Csf Trapeza CDO XII, LTD./INC. A-1 89413GAA6 LT AAsf Affirmed AAsf A-1 89413GAA6 LT WDsf Withdrawn AAsf A-2 89413GAC2 LT A+sf Affirmed A+sf A-2 89413GAC2 LT WDsf Withdrawn A+sf A-3 89413GAE8 LT A+sf Affirmed A+sf A-3 89413GAE8 LT WDsf Withdrawn A+sf B 89413GAG3 LT BBBsf Affirmed BBBsf B 89413GAG3 LT WDsf Withdrawn BBBsf C-1 89413GAJ7 LT Bsf Affirmed Bsf C-1 89413GAJ7 LT WDsf Withdrawn Bsf C-2 89413GAL2 LT Bsf Affirmed Bsf C-2 89413GAL2 LT WDsf Withdrawn Bsf D-1 89413GAN8 LT Csf Affirmed Csf D-1 89413GAN8 LT WDsf Withdrawn Csf D-2 89413GAQ1 LT Csf Affirmed Csf D-2 89413GAQ1 LT WDsf Withdrawn Csf E-1 89413GAS7 LT Csf Affirmed Csf E-1 89413GAS7 LT WDsf Withdrawn Csf E-2 89413GAU2 LT Csf Affirmed Csf E-2 89413GAU2 LT WDsf Withdrawn Csf F 89413EAA1 LT Csf Affirmed Csf F 89413EAA1 LT WDsf Withdrawn Csf ALESCO Preferred Funding VIII, Ltd./Inc. A-1A First Priority Floating 01449CAA8 LT AAsf Affirmed AAsf A-1A First Priority Floating 01449CAA8 LT WDsf Withdrawn AAsf A-1B First Priority Floating 01449CAB6 LT AAsf Affirmed AAsf A-1B First Priority Floating 01449CAB6 LT WDsf Withdrawn AAsf A-2 Second Priority Floating 01449CAG5 LT A+sf Upgrade BBBsf A-2 Second Priority Floating 01449CAG5 LT WDsf Withdrawn A+sf B-1 Defer. Third Priority 01449CAH3 LT BBB-sf Upgrade BBsf B-1 Defer. Third Priority 01449CAH3 LT WDsf Withdrawn BBB-sf B-2 Defer. Third Priority 01449CAJ9 LT BBB-sf Upgrade BBsf B-2 Defer. Third Priority 01449CAJ9 LT WDsf Withdrawn BBB-sf C-1 Defer. Fourth Priority 01449CAK6 LT Csf Affirmed Csf C-1 Defer. Fourth Priority 01449CAK6 LT WDsf Withdrawn Csf C-2 Defer. Fourth Priority 01449CAL4 LT Csf Affirmed Csf C-2 Defer. Fourth Priority 01449CAL4 LT WDsf Withdrawn Csf C-3 Defer. Fourth Priority 01449CAM2 LT Csf Affirmed Csf C-3 Defer. Fourth Priority 01449CAM2 LT WDsf Withdrawn Csf D-1 Defer. Fifth Priority 01449CAN0 LT Csf Affirmed Csf D-1 Defer. Fifth Priority 01449CAN0 LT WDsf Withdrawn Csf D-2 Defer. Fifth Priority 01449CAP5 LT Csf Affirmed Csf D-2 Defer. Fifth Priority 01449CAP5 LT WDsf Withdrawn Csf E Defer. Sixth Priority 01449CAQ3 LT Csf Affirmed Csf E Defer. Sixth Priority 01449CAQ3 LT WDsf Withdrawn Csf ALESCO Preferred Funding IX, Ltd./Inc. A1 First Priority Delay 01449TAA1 LT AAAsf Upgrade Asf A1 First Priority Delay 01449TAA1 LT WDsf Withdrawn AAAsf A2A Second Priority 01449TAB9 LT AAsf Upgrade BBBsf A2A Second Priority 01449TAB9 LT WDsf Withdrawn AAsf A2B Second Priority 01449TAC7 LT AAsf Upgrade BBBsf A2B Second Priority 01449TAC7 LT WDsf Withdrawn AAsf B1 Defer. Third Party 01449TAD5 LT Asf Upgrade BBsf B1 Defer. Third Party 01449TAD5 LT WDsf Withdrawn Asf B2 Defer.Third Priority 01449TAE3 LT Asf Upgrade BBsf B2 Defer.Third Priority 01449TAE3 LT WDsf Withdrawn Asf C1 Defer. 4th Priority 01449TAF0 LT CCsf Affirmed CCsf C1 Defer. 4th Priority 01449TAF0 LT WDsf Withdrawn CCsf C2 Defer. 4th Priority 01449TAG8 LT CCsf Affirmed CCsf C2 Defer. 4th Priority 01449TAG8 LT WDsf Withdrawn CCsf C3 Defer. 4th Priority 01449TAH6 LT CCsf Affirmed CCsf C3 Defer. 4th Priority 01449TAH6 LT WDsf Withdrawn CCsf C4 Defer. 4th Priority 01449TAJ2 LT CCsf Affirmed CCsf C4 Defer. 4th Priority 01449TAJ2 LT WDsf Withdrawn CCsf D1 Defer. 5th Priority 01449TAK9 LT Csf Affirmed Csf D1 Defer. 5th Priority 01449TAK9 LT WDsf Withdrawn Csf D2 Defer. 5th Priority 01449TAL7 LT Csf Affirmed Csf D2 Defer. 5th Priority 01449TAL7 LT WDsf Withdrawn Csf Trapeza CDO XI, Ltd./Inc. A-1 89412KAA8 LT AAsf Affirmed AAsf A-1 89412KAA8 LT WDsf Withdrawn AAsf A-2 89412KAC4 LT A+sf Affirmed A+sf A-2 89412KAC4 LT WDsf Withdrawn A+sf A-3 89412KAE0 LT BBB+sf Affirmed BBB+sf A-3 89412KAE0 LT WDsf Withdrawn BBB+sf B 89412KAG5 LT BBsf Affirmed BBsf B 89412KAG5 LT WDsf Withdrawn BBsf C 89412KAJ9 LT CCsf Affirmed CCsf C 89412KAJ9 LT WDsf Withdrawn CCsf D-1 89412KAN0 LT Csf Affirmed Csf D-1 89412KAN0 LT WDsf Withdrawn Csf D-2 89412KAQ3 LT Csf Affirmed Csf D-2 89412KAQ3 LT WDsf Withdrawn Csf E-1 89412KAS9 LT Csf Affirmed Csf E-1 89412KAS9 LT WDsf Withdrawn Csf E-2 89412KAU4 LT Csf Affirmed Csf E-2 89412KAU4 LT WDsf Withdrawn Csf F 89412JAA1 LT Csf Affirmed Csf F 89412JAA1 LT WDsf Withdrawn Csf Tropic CDO II Ltd./Corp. Class A-1L 89707UAA0 LT AA+sf Affirmed AA+sf Class A-1L 89707UAA0 LT WDsf Withdrawn AA+sf Class A-2L 89707UAB8 LT Asf Affirmed Asf Class A-2L 89707UAB8 LT WDsf Withdrawn Asf Class A-3L 89707UAC6 LT BBsf Affirmed BBsf Class A-3L 89707UAC6 LT WDsf Withdrawn BBsf Class A-4 89707UAL6 LT Csf Affirmed Csf Class A-4 89707UAL6 LT WDsf Withdrawn Csf Class A-4L 89707UAD4 LT Csf Affirmed Csf Class A-4L 89707UAD4 LT WDsf Withdrawn Csf Class B-1L 89707UAF9 LT Csf Affirmed Csf Class B-1L 89707UAF9 LT WDsf Withdrawn Csf ALESCO Preferred Funding VI, Ltd./Inc. Class A-1 Floating Rate Notes 01448XAA3 LT AA-sf Upgrade Asf Class A-2 Floating Rate Notes 01448XAB1 LT A+sf Upgrade Asf Class A-3 Fixed/Floating Note 01448XAG0 LT A+sf Upgrade Asf Class B-1 Deferrable Notes 01448XAC9 LT BBB+sf Upgrade BBBsf Class B-2 Deferrable Notes 01448XAH8 LT BBB+sf Upgrade BBBsf Class C-1 Deferrable Notes 01448XAD7 LT Csf Affirmed Csf Class C-2 Deferrable Notes 01448XAE5 LT Csf Affirmed Csf Class C-3 Deferrable Notes 01448XAJ4 LT Csf Affirmed Csf Class C-4 Deferrable Notes 01448XAL9 LT Csf Affirmed Csf Class D-1 Deferrable Notes 01448XAF2 LT Csf Affirmed Csf Class D-2 Deferrable Notes 01448XAK1 LT Csf Affirmed Csf Preferred Term Securities XXII, Ltd./Inc. A-1 Senior Notes 74042MAA4 LT AAsf Affirmed AAsf A-1 Senior Notes 74042MAA4 LT WDsf Withdrawn AAsf A-2 Senior Notes 74042MAC0 LT AA-sf Upgrade Asf A-2 Senior Notes 74042MAC0 LT WDsf Withdrawn AA-sf B-1 Mezzanine Notes 74042MAE6 LT A-sf Upgrade BBBsf B-1 Mezzanine Notes 74042MAE6 LT WDsf Withdrawn A-sf B-2 Mezzanine Notes 74042MAG1 LT A-sf Upgrade BBBsf B-2 Mezzanine Notes 74042MAG1 LT WDsf Withdrawn A-sf B-3 Mezzanine Notes 74042MAQ9 LT A-sf Upgrade BBBsf B-3 Mezzanine Notes 74042MAQ9 LT WDsf Withdrawn A-sf C-1 Mezzanine Notes 74042MAJ5 LT B+sf Upgrade Bsf C-1 Mezzanine Notes 74042MAJ5 LT WDsf Withdrawn B+sf C-2 Mezzanine Notes 74042MAL0 LT B+sf Upgrade Bsf C-2 Mezzanine Notes 74042MAL0 LT WDsf Withdrawn B+sf D Mezzanine Notes 74042MAN6 LT Csf Affirmed Csf D Mezzanine Notes 74042MAN6 LT WDsf Withdrawn Csf ALESCO Preferred Funding XV, Ltd./Inc. A-1 01450BAA6 LT AA-sf Upgrade Asf A-1 01450BAA6 LT WDsf Withdrawn AA-sf A-2 01450BAB4 LT A-sf Upgrade BBBsf A-2 01450BAB4 LT WDsf Withdrawn A-sf B-1 01450BAC2 LT BBsf Upgrade CCCsf B-1 01450BAC2 LT WDsf Withdrawn BBsf B-2 01450BAG3 LT BBsf Upgrade CCCsf B-2 01450BAG3 LT WDsf Withdrawn BBsf C-1 01450BAD0 LT Csf Affirmed Csf C-1 01450BAD0 LT WDsf Withdrawn Csf C-2 01450BAE8 LT Csf Affirmed Csf C-2 01450BAE8 LT WDsf Withdrawn Csf D 01450BAF5 LT Csf Affirmed Csf D 01450BAF5 LT WDsf Withdrawn Csf Preferred Term Securities XIX, Ltd./Inc. A-1 74042HAA5 LT AAsf Affirmed AAsf A-1 74042HAA5 LT WDsf Withdrawn AAsf A-2 74042HAB3 LT A+sf Upgrade BBBsf A-2 74042HAB3 LT WDsf Withdrawn A+sf B 74042HAC1 LT BBBsf Upgrade BBsf B 74042HAC1 LT WDsf Withdrawn BBBsf C 74042HAE7 LT B+sf Upgrade CCCsf C 74042HAE7 LT WDsf Withdrawn B+sf D 74042HAG2 LT CCsf Affirmed CCsf D 74042HAG2 LT WDsf Withdrawn CCsf Tropic CDO V Ltd. A-1L1 89708BAA1 LT AAAsf Upgrade AAsf A-1L2 89708BAB9 LT AA-sf Upgrade Asf A-1LB 89708BAC7 LT BBB-sf Upgrade BBsf A-2L 89708BAD5 LT B+sf Upgrade Bsf A-3F 89708BAF0 LT Csf Affirmed Csf A-3L 89708BAE3 LT Csf Affirmed Csf B-1L 89708BAG8 LT Csf Affirmed Csf B-2L 89708CAA9 LT Csf Affirmed Csf ALESCO Preferred Funding XVI, Ltd./Inc. Class A 01450GAA5 LT A-sf Upgrade BBsf Class A 01450GAA5 LT WDsf Withdrawn A-sf Class B 01450GAB3 LT BBBsf Upgrade Bsf Class B 01450GAB3 LT WDsf Withdrawn BBBsf Class C 01450GAC1 LT Csf Affirmed Csf Class C 01450GAC1 LT WDsf Withdrawn Csf Class D 01450GAE7 LT Csf Affirmed Csf Class D 01450GAE7 LT WDsf Withdrawn Csf Trapeza CDO III, LLC B 89412MAE6 LT AAsf Affirmed AAsf B 89412MAE6 LT WDsf Withdrawn AAsf C-1 89412MAG1 LT CCCsf Affirmed CCCsf C-1 89412MAG1 LT WDsf Withdrawn CCCsf C-2 89412MAJ5 LT CCCsf Affirmed CCCsf C-2 89412MAJ5 LT WDsf Withdrawn CCCsf D 89412MAL0 LT Csf Affirmed Csf D 89412MAL0 LT WDsf Withdrawn Csf E 89412MAN6 LT Csf Affirmed Csf E 89412MAN6 LT WDsf Withdrawn Csf TRANSACTION SUMMARY The CDOs are collateralized primarily by trust preferred securities (TruPS) issued by banks and insurance companies. Fitch is withdrawing the ratings of notes issued by 12 CDOs for commercial reasons, as referenced in the report "Fitch Plans to Withdraw Ratings of 35 TruPS CDOs and 4 REIT TruPS CDOs," published on Feb. 10, 2022. KEY RATING DRIVERS Out of 14 transactions, eight CDOs experienced moderate deleveraging from collateral redemptions and/or excess spread, which led to the senior classes of notes receiving paydowns ranging from 2% to 41% 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 the eight transactions last reviewed in 2021, the credit quality of the collateral portfolios, as measured by a combination of Fitch's bank scores and public ratings, improved. Of the six CDOs that were previously reviewed in 2022, one transaction's credit quality improved, while the other five exhibiting negative credit migration, due to the change in bank scores between 3Q21 and 4Q21. Since last review there were two new cures across two CDOs, both issuers had deferred interest for five years. One structured finance issue deferred, one bank issuer in one CDO and one insurance issuer in two CDOs cured and re-deferred again, and one insurance issuer defaulted during this review period. The Stable Outlooks on 60 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. The rating for class A-1 in Alesco Preferred Funding VI, Ltd./Inc. is two notches lower than its model-implied rating (MIR). The transaction document does not have requirements for the hedge counterparty that conform to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria" (Counterparty Criteria). As a result, the rating of the most senior class is capped at the same rating category as that of the interest rate swap counterparty. The swap does not expire until December 2033. Fitch considered the rating of the issuer account bank in the ratings for the senior classes of notes in Alesco Preferred Funding VIII, Ltd./Inc., Preferred Term Securities XIX, Ltd./Inc., Preferred Term Securities XXII, Ltd./Inc., Trapeza CDO III, Ltd./Inc., Trapeza X, Trapeza CDO XI, Ltd./Inc., Trapeza XII, and Trapeza XIII, due to the transaction documents not conforming to Fitch's Counterparty 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 ratings for the class B notes in Trapeza CDO X, Ltd./Inc. (Trapeza X), the class C-1 and C-2 notes in Trapeza CDO XII, Ltd./Inc. (Trapeza XII), and the class B, C-1 and C-2 notes in Trapeza CDO XIII, Ltd./Inc. (Trapeza XIII) are one notch higher than their MIR, which were driven by the outcome of the sector-wide migration sensitivity analysis. The rating for the class A-2L notes in Tropic CDO II Ltd./Corp. (Tropic II) is one rating category lower than its MIR, and the rating for the class A-3L notes is two rating categories lower than its MIR. In deviating from MIR for both classes, Fitch considered the outcome of the additional sensitivity scenario that was applied, as referenced in the TruPS CDO Criteria, due to the presence of the swap, to evaluate sensitivity of interest payments to non-deferrable classes (A-1L, A-2L, and A-3L) to potential prepayments from largest issuers. 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. CRITERIA VARIATION For Tropic II, the class A-3L notes' two rating category deviation from its MIR does not conform to the TruPS CDO Criteria which only allows for a deviation up to one rating category from the MIR in certain situations. 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. [*] S&P Places Ratings on 38 Classes from 26 US Deals on Watch Pos. ------------------------------------------------------------------- S&P Global Ratings placed its ratings on 38 classes from 26 U.S. CLO transactions on CreditWatch with positive implications. S&P said, "Nearly all the CLOs in the CreditWatch placements had one or more tranches downgraded during the pandemic in 2020. During those actions, our analysis considered a number of factors under our criteria, including the tranches' cash flow results and the CLOs' exposure to 'CCC'/'CCC-' rated collateral. Since then, the overall market and sentiment have improved significantly with the strong economic rebound, and a significant number of corporate loan issuers have seen their ratings raised out of the 'CCC' range. As a result, we began taking rating actions on such previously downgraded tranches in fall 2021, and the actions are similar in terms of our analysis and approach. "We note that the reduction in CLO portfolio exposure to 'CCC' assets has been particularly prominent for CLOs still within their reinvestment period. As a result, many overcollateralization (O/C) ratios for these CLOs increased, and many tranches' cash flow results improved. These made some of the previously downgraded tranches potential candidates for an upgrade, in our view. However, at the same time, we compared the tranches' current pure O/C ratios to the overall market average for such rating categories and also considered the CLOs' exposures to 'CCC' assets. Although 'CCC' exposures might have declined, our actions took into account whether the current exposures remained at elevated levels. "Some of the CLOs in today's CreditWatch placements are CLOs in their amortization phase that continue to experience paydowns to senior notes. While paydowns to senior notes are generally a positive for the tranche credit enhancement, portfolio concentration can increase the credit risk of the mezzanine and junior CLO notes. This was a limiting factor for our analysis of which ratings to place on CreditWatch positive for some amortizing transactions. "Our rating actions today also include some ratings in the 'CCC' category for which we rely primarily on our 'CCC' criteria and guidance. "We intend to resolve these CreditWatch placements within 90 days, following cash flow analysis and committee review for ratings on the affected transactions. We will continue to monitor the transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." S&P Global Ratings acknowledges a high degree of uncertainty about the extent, outcome, and consequences of the military conflict between Russia and Ukraine. Irrespective of the duration of military hostilities, sanctions and related political risks are likely to remain in place for some time. Potential effects could include dislocated commodities markets--notably for oil and gas--supply chain disruptions, inflationary pressures, weaker growth, and capital market volatility. As the situation evolves, we will update our assumptions and estimates accordingly. Ratings List RATING ISSUER CLASS CUSIP TO FROM Wind River 2013-1 CLO Ltd. C-R 87244DAP9 BBB- (sf)/Watch Pos BBB- (sf) OZLM Funding IV Ltd. C-R 67108FAU0 BBB- (sf)/Watch Pos BBB- (sf) Fortress Credit BSL III Ltd. E-R 34960HAE9 BB- (sf)/Watch Pos BB- (sf) Fortress Credit BSL V Ltd. E 34961NAA3 BB- (sf)/Watch Pos BB- (sf) Carlyle Global Market Strategies CLO 2014-4-R Ltd. C 14316CAL7 BB+ (sf)/Watch Pos BB+ (sf) BlueMountain CLO 2013-2 Ltd. E-R 09626XAG7 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2013-2 Ltd. F-R 09626XAJ1 CCC+ (sf)/Watch Pos CCC+ (sf) Greywolf CLO V Ltd. D-R 39808TAE8 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2015-4 Ltd. E-R 095766AG6 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2015-4 Ltd. F-R 095766AJ0 CCC+ (sf)/Watch Pos CCC+ (sf) OHA Loan Funding 2016-1 Ltd. E-R 67110VAE7 B+ (sf)/Watch Pos B+ (sf) Carlyle Global Market Strategies CLO 2014-3-R Ltd. D 14315MAA0 B+ (sf)/Watch Pos B+ (sf) Madison Park Funding XLIII Ltd. E 04965HAA5 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2018-2 Ltd. E 09629WAA9 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2018-2 Ltd. F 09629WAC5 CCC+ (sf)/Watch Pos CCC+ (sf) Carlyle Global Market Strategies CLO 2014-5 Ltd. E-RR 14311BBG4 B (sf)/Watch Pos B (sf) Madison Park Funding XXIX Ltd. E 55820EAA9 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2015-3 Ltd. E-R 09628MAJ3 CCC+ (sf)/Watch Pos CCC+ (sf) Carlyle Global Market Strategies CLO 2014-2-R Ltd. E 14314NAC5 CCC+ (sf)/Watch Pos CCC+ (sf) BlueMountain CLO 2018-1 Ltd. E 09629UAA3 B+ (sf)/Watch Pos B+ (sf) BlueMountain CLO 2018-1 Ltd. F 09629UAC9 CCC+ (sf)/Watch Pos CCC+ (sf) NewStar Arlington Senior Loan Program LLC E-R 65251PBG7 B+ (sf)/Watch Pos B+ (sf) Garrison Funding 2018-2 Ltd. B-R 36655LAF2 BBB+ (sf)/Watch Pos BBB+ (sf) Longfellow Place CLO Ltd. C-R3 54303PBC8 A+ (sf)/Watch Pos A+ (sf) Longfellow Place CLO Ltd. D-RR 54303PAW5 BB+ (sf)/Watch Pos BB+ (sf) Longfellow Place CLO Ltd. E-RR 54303NAF7 CCC+ (sf)/Watch Pos CCC+ (sf) Dryden 30 Senior Loan Fund D-R 26249BAW1 BB+ (sf)/Watch Pos BB+ (sf) Dryden 30 Senior Loan Fund E-R 26249BAY7 B (sf)/Watch Pos B (sf) Dryden 30 Senior Loan Fund F-R 26249BBA8 CCC+ (sf)/Watch Pos CCC+ (sf) Benefit Street Partners CLO III Ltd. C-R 08180EAW4 BB+ (sf)/Watch Pos BB+ (sf) Trinitas CLO V Ltd. B-RR 89641AAW5 AA (sf)/Watch Pos AA (sf) Trinitas CLO V Ltd. C-RR 89641AAY1 A (sf)/Watch Pos A (sf) Trinitas CLO V Ltd. D-R 89641AAU9 BBB- (sf)/Watch Pos BBB- (sf) Marathon CLO IX Ltd. B 56577PAG4 A- (sf)/Watch Pos A- (sf) Marathon CLO IX Ltd. C 56577PAJ8 BB+ (sf)/Watch Pos BB+ (sf) NXT Capital CLO 2017-2 LLC E-R 62953JAS4 B+ (sf)/Watch Pos B+ (sf) Benefit Street Partners CLO II Ltd. C-R 08179XAU9 BB+ (sf)/Watch Pos BB+ (sf) Benefit Street Partners CLO II Ltd. D-R 08180CAG3 B- (sf)/Watch Pos B- (sf) [*] S&P Takes Various Actions on 42 Classes from 15 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 42 ratings from 15 U.S. RMBS transactions issued between 1997 and 2007. The review yielded 16 upgrades, two downgrades, 23 affirmations, and one discontinuance. A list of Affected Ratings can be viewed at: https://bit.ly/35a4GPp Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics, and their potential effects on certain classes." Some of these considerations may include: -- Factors related to the COVID-19 pandemic, -- Collateral performance or delinquency trends, -- Increase or decrease in available credit support, -- Available subordination and/or overcollateralization, -- Expected duration, -- Historical and/or outstanding missed interest payments/interest shortfalls, -- Credit-related reductions in interest, and/or -- Payment priority. 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. See the ratings list for the specific rationales associated with each of the classes with rating transitions. "The ratings affirmations reflect our opinion that our projected credit support, collateral performance, and credit-related reductions in interest on these classes has remained relatively consistent with our prior projections." [*] S&P Takes Various Actions on 49 Classes from 19 U.S. RMBS Deals ------------------------------------------------------------------- S&P Global Ratings completed its review of 49 ratings from 19 U.S. RMBS transactions issued between 1999 and 2007. The review yielded 21 upgrades, three downgrades, 24 affirmations, and one withdrawal. A list of Affected Ratings can be viewed at: https://bit.ly/3wEhDMT Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance and/or structural characteristics and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance or delinquency trends, -- Increase or decrease in available credit support, -- Expected duration, -- Historical and/or outstanding missed interest payments or interest shortfalls, -- Small loan count, and -- Payment priority. Rating Actions S&P said, "The rating changes reflect our view regarding the associated transaction-specific collateral performance, structural characteristics, and/or the application of specific criteria applicable to these classes. See the ratings list below for the specific rationales associated with each of the classes with rating transitions. "The rating affirmations reflect our view that our projected credit support, collateral performance, and credit-related reductions in interest on these classes have remained relatively consistent with our prior projections. "We withdrew our rating on one class due to the small number of loans remaining within the related group or structure. Once a pool has declined to a de minimis amount, 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. 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