Rating Action: Moody's assigns provisional ratings to two CMBS classes of CXP Trust 2022-CXP1Global Credit Research - 01 Sep 2022Approximately $460.5 million of structured securities affectedNew York, September 01, 2022 -- Moody's Investors Service ("Moody's") has assigned provisional ratings to two classes of CMBS securities, to be issued by CXP Trust 2022-CXP1, Commercial Mortgage Pass Through Certificates, Series 2022-CXP1: Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B3 (sf) RATINGS RATIONALE The transaction represents the first securitization backed by a portion of a floating-rate, interest-only whole mortgage loan collateralized by the borrower's fee simple or leasehold interests in a portfolio of seven office properties located in New York City, San Francisco, Jersey City, and Boston. Our ratings are based on the credit quality of the loan and the strength of the securitization structure.The whole mortgage loan is comprised of 21 promissory notes, in the aggregate initial principal amount of $1,717,842,628: three pari-passu senior A-A notes with an aggregate principal balance of $681,400,000, three pari-passu A-B Notes with an aggregate principal balance of $135,600,000, three pari-passu A-C Notes with an aggregate principal balance of $119,900,000, three pari-passu A-D Notes with an aggregate principal balance of $136,200,000, three pari-passu A-E Notes with an aggregate principal balance of $212,800,000, three pari-passu A-F Notes with an aggregate principal balance of $271,942,628, three pari-passu junior B Notes with a principal balance of $160,000,000. Only the A-E Notes and the A-F Notes (collectively, the "Trust Notes" or the "Trust Loan", with an aggregate principal balance of $ $484,742,628) will be an asset of the fund.The A-A- Notes, A-B Notes, A-C Notes, A-D Notes, A-E Notes and A-F Notes are collectively referred to as the "A Notes" or the "Senior Loan", with an aggregate principal balance of $1,557,842,628. The A-A Notes are generally senior in right of payment to the A-B Notes, A-C Notes, A-D Notes, A-E Notes, A-F Notes and B Note; the A-B Notes are generally senior in right of payment to the A-C Notes, A-D Notes, A-E Notes, A-F Notes and B Note; the A-C Notes are generally senior in right of payment to the A-D Notes, A-E Notes, A-F Notes and B Note; the A-D Notes are generally senior in right of payment to the A-E Notes, A-F Notes and B Note; the A-E Notes are generally senior in right of payment to the A-F Notes and B Note; and the A-F Notes are generally senior in right of payment to the B Note. The A-A Notes, A-B Notes, A-C Notes, A-D Notes and the B Note will not be part of the trust fund, but may be securitized in one or more future securitizations.The whole loan is being serviced and administered pursuant to the trust and servicing agreement of this securitization.Moody's approach to rating this transaction involved the application of our Large Loan and Single Asset/Single Borrower CMBS methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, we also consider a range of qualitative issues as well as the transaction's structural and legal aspects.The whole mortgage loan is secured by the borrower's fee simple or leasehold interests in seven cross-collateralized office properties totaling 2,749,316 SF across four markets in New York, NY (three properties, 1,094,567 SF), San Francisco, CA (two properties, 729,493SF), Jersey City, NJ (one property, 652,329 SF) and Boston, MA (one property, 272,876 SF). Construction dates range between 1902 and 1991, with a weighted average year built of 1952. Property sizes range between 258,000 SF to 652,329 SF, with an average size of 392,752 SF. As of May 2022, the portfolio was approximately 84.5% leased to 116 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, we make various adjustments to the MLTV. We adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between our sustainable cap rates and market cap rates. We also use an adjusted loan balance that reflects each loan's amortization profile.The Moody's Senior Loan DSCR is 1.28x and Moody's first mortgage DSCR is 1.24x. Moody's Senior Loan stressed DSCR at a 9.25% constant is 0.67x and Moody's first mortgage stressed DSCR is 0.61x. Moody's DSCR is based on our stabilized net cash flow.Moody's LTV ratio for the Senior Loan balance is 138.0% and Moody's LTV ratio for the first mortgage balance is 152.1%, based on our Moody's Value. Adjusted Moody's LTV ratio for the Senior Loan balance is 119.8% and adjusted Moody's LTV ratio for the first mortgage balance is 132.1%, based on our 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 portfolio's weighted average quality grade is 1.05.Notable strengths of the transaction include locations, tenant quality, limited rollover, experienced sponsorship, and multiple property pooling.Notable concerns of the transaction include high Moody's LTV, floating-rate and interest-only mortgage loan profile, recent occupancy and NOI decline, and other credit-negative legal features.The principal methodology used in these ratings was " Large Loan and Single Asset/Single Borrower Commercial Mortgage-Backed Securitizations Methodology" published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/391055. Alternatively, please see the Rating Methodologies page on https://ratings.moodys.com for a copy of this methodology.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 our 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.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found on https://ratings.moodys.com/rating-definitions.Further information on the representations and warranties and enforcement mechanisms available to investors are available on https://ratings.moodys.com/documents/PBS_1314497.The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the issuer/deal page for the respective issuer on https://ratings.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website https://ratings.moodys.com.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at https://ratings.moodys.com/documents/PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the EU and is endorsed by Moody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322, Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that issued the credit rating is available on https://ratings.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement was issued by one of Moody's affiliates outside the UK and is endorsed by Moody's Investors Service Limited, One Canada Square, Canary Wharf, London E14 5FA under the law applicable to credit rating agencies in the UK. Further information on the UK endorsement status and on the Moody's office that issued the credit rating is available on https://ratings.moodys.com.Please see https://ratings.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the issuer/deal page on https://ratings.moodys.com for additional regulatory disclosures for each credit rating. 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