/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/221204.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, December 4, 2022, Vol. 26, No. 337 Headlines 3650R 2022-PF2 COMMERCIAL: Fitch Gives B- Rating on Cl. J-RR Certs BACM 2016-UBS10: Fitch Affirms CCCsf Rating on 2 Tranches BANK 2018-BNK10: Fitch Affirms BB-sf Rating on 2 Tranches CIFC FUNDING 2022-VII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes CIFC FUNDING 2022-VII: Moody's Assigns B3 Rating to $1MM F Notes COLT 2022-9: Fitch Gives Bsf Rating on Class B2 Certs CWABS INC 2002-BC3: Moody's Lowers Rating on Cl. M-1 Certs to Ba2 DRYDEN CLO 106: Fitch Assigns 'BB-sf' Rating on Class E Notes ELMWOOD CLO 21: S&P Assigns B- (sf) Rating on $4.5MM Class F Notes EXETER AUTO 2022-6: Fitch Assigns 'BB(EXP)' Rating on Class E Notes JP MORGAN 2022-DSC1: S&P Assigns B- (sf) Rating on Cl. B-2 Certs MORGAN STANLEY 2016-C29: Fitch Cuts Rating on 2 Tranches to B-sf PARK AVENUE 2022-2: S&P Assigns BB- (sf) Rating on Class D Notes SANTANDER BANK 2022-C: Moody's Assigns (P)B2 Rating to Cl. F Notes SAPPHIRE AVIATION II: Fitch Affirms 'Bsf' Rating on Cl. C Notes STRATUS STATIC 2022-3: Fitch Assigns 'B-sf' Rating on Class F Notes SYMPHONY CLO 37: Moody's Assigns (P)B3 Rating to $250,000 F Notes TRIMARAN CAVU 2022-2: S&P Assigns Prelim BB-(sf) Rating on E Notes VOYA CLO 2022-4: Fitch Assigns 'BB-sf' Rating on Class E Notes ********* 3650R 2022-PF2 COMMERCIAL: Fitch Gives B- Rating on Cl. J-RR Certs ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to 3650R 2022-PF2 Commercial Mortgage Trust commercial mortgage pass-through certificates, series 2022-PF2, as follows: Entity/Debt Rating Prior ----------- ------ ----- 3650R 2022-PF2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf A-SB LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E-RR LT BBB-sf New Rating BBB-(EXP)sf F-RR LT BB+sf New Rating BB+(EXP)sf G-RR LT BB-sf New Rating BB-(EXP)sf J-RR LT B-sf New Rating B-(EXP)sf NR-RR LT NRsf New Rating NR(EXP)sf X-A LT WDsf Withdrawn AAA(EXP)sf - $8,849,000 class A-1 'AAAsf'; Outlook Stable; - $65,444,000 class A-2 'AAAsf'; Outlook Stable; - $15,000,000 class A-3 'AAAsf'; Outlook Stable; - $190,000,000 class A-4 'AAAsf'; Outlook Stable; - $220,988,000 class A-5 'AAAsf'; Outlook Stable; - $9,439,000 class A-SB 'AAAsf'; Outlook Stable; - $72,818,000 class A-S 'AAAsf'; Outlook Stable; - $34,588,000 class B 'AA-sf'; Outlook Stable; - $30,947,000 class C 'A-sf'; Outlook Stable; - $14,408,000 class D 'BBBsf'; Outlook Stable; - $16,539,000a class E-RR 'BBB-sf'; Outlook Stable; - $10,013,000a class F-RR 'BB+sf'; Outlook Stable; - $6,371,000a class G-RR 'BB-sf'; Outlook Stable; - $7,282,000a class J-RR 'B-sf'; Outlook Stable. Fitch is not expected to rate the following classes: - $25,486,612a class NR-RR (a) Represents the "eligible horizontal interest". Since Fitch published its expected ratings on Nov. 9, 2022, the following changes have occurred: The balances for classes A-4 and A-5 were finalized. At the time the expected ratings were published, the initial aggregate certificate balance of classes A-4 and A-5 was expected to be approximately $410,988,000, subject to a variance of plus or minus 5%. The final class balances for classes A-4 and A-5 are $190,000,000 and $220,988,000, respectively. The classes above reflect the final ratings and deal structure. The final balance for class D decreased from $15,369,000 to $14,408,000. The final balance for class E-RR increased from $15,578,000 to $16,539,000. Fitch has withdrawn the expected rating of 'AAA (EXP)' for class X-A because the class was removed from the final deal structure. The ratings are based on information provided by the issuer as of Nov. 30, 2022. TRANSACTION SUMMARY The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 72 commercial properties having an aggregate principal balance of $728,172,612 as of the cut-off date. The loans were contributed to the trust by 3650 Real Estate Investment Trust 2 LLC, Citi Real Estate Funding Inc., German American Capital Corporation, and Column Financial, Inc. Midland Loan Services, a Division of PNC Bank, National Association, is expected to serve as the master servicer and 3650 REIT Loan Servicing LLC is expected to serve as the special servicer. Fitch has withdrawn the expected rating of 'AAA (EXP)' for class X-A because the class was removed from the final deal structure. KEY RATING DRIVERS Lower Leverage Compared to Recent Transactions: The pool has lower leverage compared to recent multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 97.8% is lower than both the 2022 YTD and 2021 averages of 100.3% and 103.3%, respectively. However, the pool's Fitch trust debt service coverage ratio (DSCR) of 1.25x is below the 2022 YTD and 2021 averages of 1.31x and 1.38x, respectively, driven in large part by a higher average mortgage rate. Excluding credit opinion loans, the pool's Fitch LTV and DSCR are 105.1% and 1.19x, respectively. Below-Average Pool Diversification; The pool's 10 largest loans represent 56.6% of its cutoff balance, which is greater than the 2022 YTD and 2021 averages of 55.2% and 51.2%, respectively. This results in a Loan Concentration Index (LCI) score of 455, which is higher than the 2022 YTD and 2021 averages of 420 and 381, respectively. Minimal Amortization: Based on scheduled balances at maturity, the pool will pay down by only 3.0%, which is below the 2022 YTD and 2021 averages of 3.3% and 4.8%, respectively. Twenty-six loans representing 78.3% of the pool are full-term IO loans, and one loan (3.8% of pool) is partial IO. There are six amortizing balloon loans (17.9% of pool). Investment-Grade Credit Opinion Loans: The pool includes two loans, representing 14.9% of the cutoff balance, that received an investment-grade credit opinion. This is in line with the 2022 YTD average of 14.9% and slightly lower than the 2021 average of 13.3%. Acropolis Garden Cooperative received a standalone credit opinion of 'Asf' and 330 West 34th Street received a standalone credit opinion of 'AA+sf'. 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 net cash flow (NCF): - Original Rating: 'AAAsf' / 'AA-sf' / 'A-sf' / 'BBBsf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'B-sf'; - 10% NCF Decline: 'A+sf' / 'BBB+sf' / 'BBB-sf' / 'BB+sf' / 'BB-sf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; - 20% NCF Decline: 'A-sf' / 'BBB-sf' / 'BBsf' / 'B-sf'/ 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'; - 30% NCF Decline: 'BBB-sf' / 'BB-sf' / 'CCCsf'/ 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf' / 'CCCsf'. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased and, therefore, Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors (What a Stagflation Scenario Would Mean for Global Structured Finance). Fitch expects the North American CMBS sector in the assumed adverse scenario to experience virtually no impact on ratings performance, indicating very few rating or Outlook changes. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above, which assumes a further 30% decline from Fitch's NCF at issuance. 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' / 'BB-sf' / 'B-sf'; - 20% NCF Increase: 'AAAsf' / 'AAAsf' / 'AA+sf' / 'A+sf' / 'A-sf' / 'BBB+sf' / 'BBBsf' / 'BBB-sf'. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BACM 2016-UBS10: Fitch Affirms CCCsf Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has affirmed the ratings for all classes of BACM 2016-UBS10 Commercial Mortgage Pass-Through Certificates, Series 2016-UBS10. The Rating Outlooks for classes E and X-E have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- BACM 2016-UBS10 A-3 06054MAD5 LT AAAsf Affirmed AAAsf A-4 06054MAE3 LT AAAsf Affirmed AAAsf A-S 06054MAH6 LT AAAsf Affirmed AAAsf A-SB 06054MAC7 LT AAAsf Affirmed AAAsf B 06054MAJ2 LT AA-sf Affirmed AA-sf C 06054MAK9 LT A-sf Affirmed A-sf D 06054MAW3 LT BBB-sf Affirmed BBB-sf E 06054MAY9 LT Bsf Affirmed Bsf F 06054MBA0 LT CCCsf Affirmed CCCsf X-A 06054MAF0 LT AAAsf Affirmed AAAsf X-B 06054MAG8 LT AA-sf Affirmed AA-sf X-D 06054MAL7 LT BBB-sf Affirmed BBB-sf X-E 06054MAN3 LT Bsf Affirmed Bsf X-F 06054MAQ6 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Stable Performance; Slight Increase in Losses: The affirmations reflect the overall pools performance relatively in-line with Fitch's prior rating action. The Outlook revisions to Stable reflects continued performance stabilization of the majority of pandemic affected loans, in addition to increased credit enhancement from the full repayment of three loans ($43 million) previously identified as Fitch Loans of Concern (FLOCs). Fitch's current ratings incorporate a base case loss of 7.40% of the current pool balance, which is a slight increase since Fitch's prior rating action due to higher base case losses for top-15 loans secured by underperforming retail and office properties. Fitch has identified eight loans as FLOCs (35.5% of the pool), including two specially serviced loans (3.0%). The largest contributor to modeled losses is the Belk Headquarters (FLOC; 9.1%), secured by a 473,698-sf single-tenant office property built in 1987 in Charlotte, NC. The property is 100% leased to Belk and has served as Belk's headquarters since 1989. Property performance has been steady with a drop in DSCR in 2018 due to amortization. In July 2021, Belk announced it was looking to sublease their headquarters building after the decision to shift to predominantly remote work for corporate employees. Fitch applied a 10% cap rate and a 25% stress to the YE 2021 NOI to account for the single Belk tenancy risks and the company's subleasing efforts. Fitch's base case loss of 18% factors a 75% loss recognition for the loan and reflects a stressed value of $86/sf, which is in-line with Fitch's dark value at issuance. The second largest contributor to modeled losses, and largest increase in losses since Fitch's last rating action is the Grove City Premium Outlets loan (4.0%). This FLOC is secured by a 531,200-sf outlet center located in Grove City, PA, approximately 50 miles north of Pittsburgh. Performance of the center continues to decline with occupancy falling to 70% as of March 2022 from 77% at YE 2020 and 82% at YE 2019. Approximately 32% of leases expire by the end of 2023. A substantial portion of tenants with prior lease expirations did not renew, and the tenants that have remained extended for abbreviated lease terms and reduced rates. While NOI has declined, the loan has remained current. As of the second quarter of 2022, servicer-reported NOI DSCR was 2.15x as compared to 2.29x at YE 2021, 2.23x at YE 2020 and 2.71x prior to the pandemic in 2019. The mall reported in-line sales of $381 psf as of YE 2021 as compared to TTM November 2018 sales of $363 and YE 2017 sales of $367. Sales reported at Issuance were $333 psf. Although sales on PSF basis have improved, total sales for 2021 are down 14% from YE 2017. Fitch's base case loss of 37% reflects a 15% cap rate and a 5% stress to YE 2021 NOI to reflect downward-trending occupancy and cash flow. Office Loans of Concern: Two additional office properties identified as FLOCs include 2100 Ross (5.7% of pool balance) and the Princeton Pike Corporate Center (3.3%). Occupancy for the 2100 Ross building declined to 60% as of the second quarter of 2022 due to CBRE (15% of NRA, 20% base rent) vacating at lease expiration in March 2022 and relocating to an office tower in the uptown area of Dallas. As of June 2022, NOI DSCR was 1.54x in-line with YE 2021. Per Costar, the Dallas CBD submarket had a vacancy rate of 26.4% with an elevated availability rate of 30.5% as of Q4-2022. The Princeton Pike Corporate Center loan returned to master servicing after the close of a modification in September 2021. Terms of the modification included the conversion of monthly payments to interest-only for the remaining loan term and an ongoing cash trap. The loan has remained current since returning to the master servicer. The property was 76% occupied as of June 2022 in line with YE 2021, but a decline from 82% as of YE 2020. However, occupancy will drop to approximately 65% following the departure of the largest tenant, Stark & Stark in December 2022. Increased Credit Enhancement (CE): CE has increased since the prior rating action due to the payoff of three loans ($42.7 million; 6.6% of the prior pool balance), and the defeasance of two additional loans representing 5.8% of the pool. As of the November 2022 remittance report, the pool's aggregate balance has been paid down by 32.1% to $593.9 million from $876.3 million at issuance. There are 13 loans (47.9% of the pool) with a partial IO component, 21 (29.3%) balloon loans, and 8 loans (22.3%) that are full-term interest-only (IO). RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades to A-3 through B are not likely due to the continued expected amortization, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. Downgrades to classes C, D and E along with the associated IO classes would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs and/or the transfer of loans to special servicing. Factors that could, individually or collectively, lead to positive rating action/upgrade: Factors that could lead to positive rating actions including upgrades would include stable to improved asset performance, coupled with additional paydown and/or defeasance. Upgrades to the 'A-sf' and 'AA-sf' rated classes would occur when CE improves, given the insulated CE relative to the 'BBB-sf' rated classes exposure to higher expected losses from FLOCs. The potential for outsized losses from FLOCs either in the future or at maturity on the Belk Headquarters, 2100 Ross, Princeton Pike Corporate Center, and Grove City Premium Outlets remains high. Upgrades to the 'BBB-sf' rated classes are considered unlikely and would be limited based on the sensitivity to concentrations or the potential for future concentrations. Classes would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. Upgrades to the 'Bsf' rated classes are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. BANK 2018-BNK10: Fitch Affirms BB-sf Rating on 2 Tranches --------------------------------------------------------- Fitch Ratings has affirmed 13 classes of BANK 2018-BNK10 Commercial Mortgage Pass-Through Certificates, Series 2018-BNK10. Entity/Debt Rating Prior ----------- ------ ----- BANK 2018-BNK10 A-3 065404AY1 LT AAAsf Affirmed AAAsf A-4 065404BA2 LT AAAsf Affirmed AAAsf A-5 065404BB0 LT AAAsf Affirmed AAAsf A-S 065404BC8 LT AAAsf Affirmed AAAsf A-SB 065404AZ8 LT AAAsf Affirmed AAAsf B 065404BD6 LT AA-sf Affirmed AA-sf C 065404BE4 LT A-sf Affirmed A-sf D 065404AA3 LT BBB-sf Affirmed BBB-sf E 065404AC9 LT BB-sf Affirmed BB-sf X-A 065404BF1 LT AAAsf Affirmed AAAsf X-B 065404BG9 LT A-sf Affirmed A-sf X-D 065404AN5 LT BBB-sf Affirmed BBB-sf X-E 065404AQ8 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Overall Stable Performance and Loss Expectations: Overall pool performance has remained relatively stable since Fitch's prior rating action. The majority of loans previously affected by the pandemic have stabilized. Fitch has identified five Fitch Loans of Concern (FLOCs; 7.8% of the pool balance) primarily due to deteriorating performance and upcoming rollover concerns. No loans are in special servicing. Fitch's current ratings incorporate a base case loss of 3.8%. The largest contributor to loss expectations, Warwick Mall loan (2.2% of the pool), is secured by an approximately 588,000-sf regional mall located in Warwick, RI. The loan sponsorship consists of Bliss Properties, Lane Family Trust and Mark T. Brennan. This FLOC was flagged for its secondary market regional mall location, continued performance recovery from the pandemic and refinance concerns. The mall reopened in June 2020 after being closed in March due to the pandemic. Non-collateral anchors include Macy's and Target. Major collateral tenants include JCPenney (23.4% NRA expiring March 2030), Jordan's Furniture (19.3%, extending for five years through December 2026), Nordstrom Rack (6.4%, November 2022) and Old Navy (3.8%, January 2026). Showcase Cinema (9.7%) vacated when its lease expired in April 2021); however, the borrower has since re-leased the space to Apple Cinemas on a 15-year term which began in November 2021, with the theater opened in March 2022. Occupancy was 96% as of June 2022, compared with 94% occupied in June 2021. Recent tenant sales were requested from the master servicer, but not provided; the latest available inline sales were $499 psf as of TTM June 2017. Fitch's base case loss has increased to 31%, reflecting a 20% cap rate and 5% stress to the YE 2021 NOI, and factors a higher loss recognition due to anticipated refinance concerns at maturity. The second largest contributor to loss expectations and largest increase in loss since Fitch's prior rating action is the One Newark Center loan (2.7%), secured by a portion of a 418,000-sf office property located in the Newark CBD. The loan's collateral consists of floors 6-22 of an office building and an attached parking garage. Floors 1-5 are owned and occupied by Seton Hall Law School. Occupancy declined to 68% as of June 2022 from 94% in December 2020 due to a number of tenants vacating in 2021 and 2022. Global Crossing (8% of NRA) vacated upon its 2021 lease expiration, while Sedgwick (6% of NRA) vacated prior to its 2025 lease expiration. Additionally, K&L Gates reduced its space to 26,074 sf (6.2% of NRA) from 52,148 sf (12.5% of NRA). The loan has remained current, however NOI DSCR is low reporting at 1.07x as of YTD June 2022, down from 1.33x at YE 2021, 2.30x at YE 2020, and 2.87x at YE 2019. Fitch's analysis includes a 25% haircut and 9% cap rate to the YE 2021 NOI to reflect declining occupancy, upcoming lease rollover and high submarket vacancy resulting in a 24% modeled loss. The third largest contributor to loss expectations, Roedel Hotel Portfolio loan (3.2%), is secured by three hotels: two Hilton Garden Inns and one Holiday Inn Express. Portfolio performance was impacted by the pandemic, but continues to show signs of recovery. The portfolio NOI has significantly improved since the pandemic lows, but remains 23% below the issuers underwritten NOI. NOI DSCR has improved to 1.49x as of TTM June 2022 compared with 1.11x at YE 2021 and 0.44x at YE 2020. Collateral occupancy was 62% as of TTM June 2022 compared with 61% as of YE 2021, and 75% at issuance. Fitch's analysis reflects a 11.50% cap rate and a 5% stress to the TTM June 2022 NOI resulting in a 7% modeled loss. Minimal Change to Credit Enhancement (CE): As of the November 2022 distribution date, the pool's aggregate balance has been paid down by 3.4% to $1.24 billion from $1.29 billion at issuance. Two loans (7.4%) are defeased. Twenty-four loans representing 55.4% of the pool are full-term interest-only loans. Thirteen loans (21.9%) have a partial, interest-only component; nine loans representing 14% of the pool have begun to amortize. The pool is scheduled to amortize by 7.4% of the initial pool balance by maturity. Property Type Concentration: The highest concentration is office (25.4%), followed by retail (22.6%), self-storage (21.8%), hotel (13.4%) and multi-family (7.6%). Pari Passu Loans: Eight loans (29.4% of pool) are pari passu. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: - Sensitivity factors that could lead to downgrades include an increase in pool-level losses from underperforming loans/assets. - Downgrades to 'AAAsf' and 'AA-sf' are not likely due to the continued expected amortization, position in the capital structure and sufficient CE relative to loss expectations, but may occur should interest shortfalls affect these classes. - Downgrades to 'A-sf' and 'BBB-sf' would occur should expected losses for the pool increase substantially, with continued underperformance of the FLOCs and/or the transfer of loans to special servicing. - Downgrades to 'BB-sf' would occur should loss expectations increase as FLOC performance declines or fails to stabilize. Fitch has identified both a baseline and a worse-than-expected, adverse stagflation scenario based on fallout from the Russia-Ukraine war whereby growth is sharply lower amid higher inflation and interest rates; even if the adverse scenario should play out, Fitch expects virtually no impact on ratings performance, indicating very few rating or Outlook changes. However, for some transactions with concentrations in underperforming retail exposure, the ratings impact may be mild to modest, indicating some changes on sub-investment grade notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: - Sensitivity factors that could lead to upgrades include stable to improved asset performance, coupled with additional paydown and/or defeasance. - Upgrades to classes B, C and X-B may occur with significant improvement in CE and/or defeasance, and with the stabilization of performance on the FLOCs; however, adverse selection and increased concentrations could cause this trend to reverse. The class would not be upgraded above 'Asf' if there were any likelihood of interest shortfalls. - Upgrades to classes D, X-D, E and X-E are not likely until the later years in the transaction and only if the performance of the remaining pool is stable and/or there is sufficient CE to the bonds. ESG CONSIDERATIONS Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. CIFC FUNDING 2022-VII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2022-VII, Ltd. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2022-VII, Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2A LT AAAsf New Rating AAA(EXP)sf A-2B LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY CIFC Funding 2022-VII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC. 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 credit enhancement and standard U.S. CLO structural features. Asset Security (Positive): The indicative portfolio consists of 99.6% first lien senior secured loans and has a weighted average recovery assumption of 76.64%. 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 constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 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, all classes of notes could withstand appropriate default rates for their respective ratings assuming their respective recoveries. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'A-sf' and 'AAAsf' for class A-1, between 'BBB+sf' and 'AAAsf' for class A-2A and A-2B, between 'BB+sf' and 'AA+sf' for class B-1 and B-2, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'BB-sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrade scenarios are not applicable to the class A-1, A-2A and A-2B notes, as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. Results under these sensitivity scenarios are 'AAAsf' for class B-1 and B-2 notes, between 'A+sf' and 'AA+sf' for class C notes, 'A+sf' for class D notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, and together with any assumptions referred to above, 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. CIFC FUNDING 2022-VII: Moody's Assigns B3 Rating to $1MM F Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to two classes of notes issued by CIFC Funding 2022-VII, Ltd. (the "Issuer" or "CIFC 2022-VII"). US$300,000,000 Class A-1 Senior Secured Floating Rate Notes due 2035, Definitive Rating Assigned Aaa (sf) US$1,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Definitive Rating Assigned B3 (sf) The notes listed are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on Moody's methodology and considers all relevant risks, particularly those associated with the CLO's portfolio and structure. CIFC 2022-VII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of assets that are not senior secured loans or eligible investments. The portfolio is approximately 90% ramped as of the closing date. CIFC Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2910 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.15 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. COLT 2022-9: Fitch Gives Bsf Rating on Class B2 Certs ----------------------------------------------------- Fitch Ratings has assigned ratings to the residential mortgage-backed certificates to be issued by COLT 2022-9 Mortgage Loan Trust (COLT 2022-9) as follows: Entity/Debt Rating Prior ----------- ------ ----- COLT 2022-9 A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf R LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY The certificates are supported by 530 non-prime loans with a total balance of approximately $268 million as of the cut-off date. Loans in the pool were originated by multiple originators, including Northpointe Bank, Lendsure Mortgage Corp and others. Loans were aggregated by Hudson Americas L.P. Loans are currently serviced by Select Portfolio Servicing, Inc. (SPS) or Northpointe Bank. 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 13% above a long-term sustainable level (versus 12.2% on a national level as of October 2022, up 1.2% since last quarter). Underlying fundamentals are not keeping pace with the growth in prices. These trends have led to significant home price increases over the past year, with home prices rising 13.1% yoy nationally as of August 2022. Non-QM Credit Quality (Negative): The collateral consists of 530 loans, totaling $268 million and seasoned approximately four months in aggregate. The borrowers have a moderate credit profile — 736 model FICO and 41% model debt-to-income ratio (DTI) — and leverage — 85.4% sustainable loan-to-value ratio (sLTV) and 74.4% combined LTV (cLTV). The pool consists of 62.1% of loans where the borrower maintains a primary residence, while 32.8% comprise an investor property. Additionally, 66.8% are non-qualified mortgage (non-QM) and less than 1% are QM; the QM rule does not apply to the remainder. Fitch's expected loss in the 'AAAsf' stress is 24.25%. This is mostly driven by the non-QM collateral and the significant investor cash flow product concentration. Loan Documentation (Negative): Approximately 84.1% of the loans in the pool were underwritten to less than full documentation and 60.6% were underwritten to a bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program. A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's (CFPB) Ability to Repay (ATR) Rule (ATR Rule, or the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's mandates with respect to the underwriting and documentation of the borrower's ATR. Fitch's treatment of alternative loan documentation increased the 'AAAsf' expected loss by 675 bps relative to a fully documented loan. High Percentage of DSCR Loans (Negative): There are 167 debt service coverage ratio (DSCR) products in the pool (32% by loan count). These business purpose loans are available to real estate investors that are qualified on a cash flow basis, rather than DTI, and borrower income and employment are not verified. Compared to standard investment properties, for DSCR loans, Fitch converts the DSCR values to a DTI and treats as low documentation. Fitch's treatment for DSCR loans results in a higher Fitch reported non-zero DTI. Fitch's expected loss for these loans is 33.3 % in the 'AAAsf' stress, which is driving the higher pool expected losses due to the 19.9% WA concentration. Modified Sequential-Payment Structure with Limited Advancing (Mixed): The structure distributes principal pro rata among the senior certificates while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event, delinquency trigger event or credit enhancement (CE) trigger event occurs in a given period, principal will be distributed sequentially to class A-1, A-2 and A-3 certificates until they are reduced to zero. Advances of delinquent principal and interest (P&I) will be made on the mortgage loans for the first 180 days of delinquency, to the extent such advances are deemed recoverable. If the P&I advancing party fails to make a required advance, the master servicer and then securities administrator will be obligated to make such advance. The limited advancing reduces loss severities, as a lower amount is repaid to the servicer when a loan liquidates and liquidation proceeds are prioritized to cover principal repayment over accrued but unpaid interest. The downside to this is the additional stress on the structure, as there is limited liquidity in the event of large and extended delinquencies. COLT 2022-9 has a step-up coupon for the senior classes (A-1, A-2 and A-3). After four years, the senior classes pay the lesser of a 100-bp increase to the fixed coupon or the net weighted average coupon (WAC) rate. Fitch expects the senior classes to be capped by the Net WAC. Additionally, the unrated class B-3 interest allocation goes toward the senior cap carryover amount for as long as the senior classes are outstanding. This increases the P&I allocation for the senior classes. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 43.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that could, individually or collectively, lead to positive rating action/upgrade: Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. 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. CWABS INC 2002-BC3: Moody's Lowers Rating on Cl. M-1 Certs to Ba2 ----------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Class M-1 issued by CWABS, Inc., Asset-Backed Certificates, Series 2002-BC3. The collateral backing this deal consists of subprime mortgages. Complete rating action is as follows: Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2002-BC3 Cl. M-1, Downgraded to Ba2 (sf); previously on Feb 17, 2017 Downgraded to Baa3 (sf) RATINGS RATIONALE The rating action reflects the recent performance as well as Moody's updated loss expectations on the underlying pool. The rating downgrade is primarily due to a decline in credit enhancement available to the bond due to the deal passing performance triggers. Principal Methodologies The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in July 2022. Factors that would lead to an upgrade or downgrade of the rating: 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. DRYDEN CLO 106: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Dryden 106 CLO, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Dryden 106 CLO, Ltd. A LT NRsf New Rating NR(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-2 LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinate Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Dryden 106 CLO, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500.00 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.7 versus a maximum covenant, in accordance with the initial expected matrix point of 25.9. 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 97.5% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 75.79% versus a minimum covenant, in accordance with the initial expected matrix point of 73.57%. Portfolio Composition (Positive): The largest three industries may constitute up to 39.0% of the portfolio balance in aggregate, while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 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 its stress scenarios at the initial expected matrix point, the rated notes can withstand default rates and recovery assumptions consistent with other recent Fitch-rated CLO notes. The performance of all class at the other permitted matrix points is in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B-1 and B-2, between 'B-sf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B-1 and B-2 notes, between 'A+sf' and 'AA-sf' for class C notes, between 'Asf' and 'A+sf' for class D notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ELMWOOD CLO 21: S&P Assigns B- (sf) Rating on $4.5MM Class F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Elmwood CLO 21 Ltd./Elmwood CLO 21 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 Elmwood Asset Management 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 21 Ltd./Elmwood CLO 21 LLC Class A-1, $180.00 million: AAA (sf) Class A-2, $10.00 million: AAA (sf) Class B-1, $18.00 million: AA (sf) Class B-2, $20.00 million: AA (sf) Class C (deferrable), $16.50 million: A (sf) Class D (deferrable), $15.75 million: BBB- (sf) Class E (deferrable), $10.50 million: BB- (sf) Class F (deferrable), $4.50 million: B- (sf) Subordinated notes, $25.00 million: Not rated EXETER AUTO 2022-6: Fitch Assigns 'BB(EXP)' Rating on Class E Notes ------------------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to Exeter Automobile Receivables Trust (EART) 2022-6. Entity/Debt Rating ----------- ------ Exeter Auto Receivables Trust 2022-6 A-1 ST F1+(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating A-3 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB(EXP)sf Expected Rating E LT BB(EXP)sf Expected Rating KEY RATING DRIVERS Collateral Performance — Subprime Credit Quality: EART 2022-6 is backed by collateral with subprime credit attributes, including a weighted average (WA) FICO score of 579, a WA loan-to-value ratio of 114.72%, and a WA annual percentage rate of 20.78%. In addition, 98.78% of the loans are backed by used cars and the WA payment-to-income ratio is 12.38%. Forward-Looking Approach to Derive Base-Case Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series loss proxy. Although recessionary performance data from Exeter are not available, the initial base-case credit net loss proxy was derived utilizing 2006-2010 data from Santander Consumer as proxy recessionary static managed portfolio data and 2016-2017 vintage data from Exeter to arrive at a forward-looking base-case cumulative net loss expectation of 19.00%. Payment Structure: Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 59.10%, 44.10%, 31.00%, 20.40% and 10.70% for classes A, B, C, D and E, respectively, in line with 2022-5, and generally in range of recent transactions. Excess spread is expected to be 8.81% per annum. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's base-case CNL proxy of 19%. Seller/Servicer Operational Review: Adequate Origination/Underwriting/Servicing: Exeter demonstrates adequate abilities as the originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch does not rate Exeter, but deems the company as capable to service this transaction. In addition, Citibank, N.A., which Fitch rates 'A+'/'F1'/Stable, has been contracted as backup servicer for this transaction. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the base case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial base-case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf' based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Fitch has revised its global economic outlook forecasts as a result of the war in Ukraine and related economic sanctions. Downside risks have increased, and Fitch has published an assessment of the potential rating and asset performance impact of a plausible, albeit worse than expected, adverse stagflation scenario on Fitch's major structured finance and covered bond subsectors ("What Global Stagflation Would Mean for Structured Finance and Covered Bond Ratings"). Fitch expects the North American subprime auto ABS sector in the assumed adverse scenario to experience "Virtually No Impact" on rating performance, indicating very few (less than 5%) rating or Rating Outlook changes. Fitch expects "Mild to Modest Impact" on asset performance, indicating asset performance to be modestly negatively affected relative to current expectations, and a 25% chance of sector outlook revision by YE 2023. Fitch expects the asset performance impact of the adverse case scenario to be more modest than the most stressful scenario shown above that increases the default expectation by 2.0x. Factors that could, individually or collectively, lead to positive rating action/upgrade: Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected subordinate note ratings could be upgraded by up to one category. ESG CONSIDERATIONS The concentration of electric and hybrid vehicles in the pool is low and did not have an impact on Fitch's ratings analysis or conclusion of this transaction and has no impact on Fitch's ESG Relevance Score. Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. JP MORGAN 2022-DSC1: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Mortgage Trust 2022-DSC1's mortgage-backed certificates series 2022-DSC1. The note 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, planned-unit developments, two- to four-family homes, condominiums, townhomes, and a site condo to both prime and nonprime borrowers. The pool consists of 980 business-purpose investor loans (including 88 cross-collateralized loans backed by 480 properties) that are exempt from the qualified mortgage and ability-to-repay rules. The ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, geographic concentration, the mortgage aggregators and mortgage originators, and representation and warranty framework; and -- Recent economic indicators, which now show cracks in the foundation as the U.S. economy heads into 2023, as rising prices and interest rates eat away at household purchasing power. Extremely high home prices coupled with aggressive interest rate increases are also weighing heavily on the demand for housing. S&P said, "Despite all of this, we expect economic momentum will protect the U.S. economy for the remainder of 2022, but what's around the bend in 2023 is the bigger worry. With the Russia-Ukraine conflict and a slowdown in China exacerbating supply chains and pricing pressures, it's hard to see the economy walking out of 2023 unscathed. As a result, we continue to maintain our revised outlook to our RMBS criteria, which increased the archetypal 'B' projected foreclosure frequency to 3.25% from 2.50%." Ratings Assigned(i) J.P. Morgan Mortgage Trust 2022-DSC1 Class A-1, $202,188,000: AAA (sf) Class A-2, $27,585,000: AA- (sf) Class A-3, $34,983,000: A- (sf) Class M-1, $15,873,000: BBB- (sf) Class B-1, $11,404,000: BB- (sf) Class B-2, $8,476,000: B- (sf) Class B-3, $7,705,406: NR Class A-IO-S, Notional(ii): NR Class XS, Notional(ii): NR Class A-R, Not applicable: NR (i)The collateral and structural information in this report reflect the private placement memorandum dated Nov. 18, 2022. The 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. MORGAN STANLEY 2016-C29: Fitch Cuts Rating on 2 Tranches to B-sf ---------------------------------------------------------------- Fitch Ratings has downgraded two and affirmed 12 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) Mortgage Trust 2016-C29 commercial mortgage pass-through certificates. The Rating Outlooks remains Negative for classes E and X-E. Entity/Debt Rating Prior ----------- ------ ----- MSBAM 2016-C29 A-3 61766EBD6 LT AAAsf Affirmed AAAsf A-4 61766EBE4 LT AAAsf Affirmed AAAsf A-S 61766EBH7 LT AAAsf Affirmed AAAsf A-SB 61766EBC8 LT AAAsf Affirmed AAAsf B 61766EBJ3 LT AA-sf Affirmed AA-sf C 61766EBK0 LT A-sf Affirmed A-sf D 61766EAL9 LT BBB-sf Affirmed BBB-sf E 61766EAN5 LT B-sf Downgrade BB-sf F 61766EAQ8 LT CCCsf Affirmed CCCsf X-A 61766EBF1 LT AAAsf Affirmed AAAsf X-B 61766EBG9 LT AA-sf Affirmed AA-sf X-D 61766EAA3 LT BBB-sf Affirmed BBB-sf X-E 61766EAC9 LT B-sf Downgrade BB-sf X-F 61766EAE5 LT CCCsf Affirmed CCCsf KEY RATING DRIVERS Increased Loss Expectations: The downgrades and Negative Outlooks reflect increased loss expectations since Fitch's prior rating action, primarily driven by higher losses on the Grove City Premium Outlets (4.3%), Gulfport Premium Outlets (2.4%) and 696 Centre (2.1%) loans. In total, there are seven Fitch Loans of Concern (FLOCs; 18.8%), including two specially serviced loans (2.7%). Fitch's current ratings incorporate a base case loss of 6.9%. The Negative Outlook on classes E and X-E, which was previously assigned due to the transaction's exposure to weakening outlet centers and for additional coronavirus-related stresses applied on hotel, retail and multifamily loans, now reflects performance concerns on the aforementioned FLOCs. Fitch Loans of Concern - Outlet Malls: The pool has exposure to two Simon-owned outlet malls, which represent 6.7% of the pool. The largest increase in loss since the prior rating action and largest contributor to losses is the largest loan, Grove City Premium Outlets, which is secured by a 531,200-sf outlet center located in Grove City, PA, approximately 50 miles north of Pittsburgh. Performance of the center continues to decline with occupancy falling to 70% as of March 2022 from 77% at YE 2020 and 82% at YE 2019. As of the first quarter of 2022, servicer-reported NOI DSCR was 2.06x as compared to 2.29x at YE 2021, 2.23x at YE 2020 and 2.71x prior to the pandemic in 2019. The mall reported in-line sales of $381 psf as of YE 2021 as compared to TTM November 2018 sales of $363 and YE 2017 sales of $367. Sales reported at Issuance were $333 psf. Although sales on PSF basis have improved, total sales for 2021 are down 14% from YE 2017. Approximately 37% of leases expire by the end of 2023. A substantial portion of tenants with prior lease expirations did not renew and the tenants that have remained extended for abbreviated lease terms and reduced rates. Fitch's base case loss of 37% reflects a 15% cap rate and a 5% stress to YE 2021 NOI to reflect downward-trending occupancy and cash flow. The next largest contributor to expected losses is Gulfport Premium Outlets loan, which is secured by a 300,238-sf outlet center located in Gulfport, MS. Occupancy for the center continues to decline, falling to 74% as of June 2022 from 76% at YE 2021, 80% at YE 2020 and 85% at YE 2019. The servicer reported a YE 2021 NOI DSCR of 2.87x. The largest tenants include H&M (6.5%; January 2029), VF Factory Outlet (5.8%; January 2023), Nike Factory Store (4.5%; January 2022) and Polo Ralph Lauren Factory Store (3.5%; January 2026). Leases totaling approximately 49% of NRA expire by 204, including 17% in 2022 and 14% in 2023. Most recently reported in-line sales as of YE 2021 were $433 psf as compared to $318 in 2019, $326 in 2018, and $347 psf in 2016. Fitch's base case loss of 24% reflects a 15% cap rate and 10% stress to the YE 2021 NOI to address near-term rollover concerns and declining occupancy. Office Loans of Concern: Two office properties identified as FLOC include 696 Centre and the Princeton Pike Corporate Center (2.1%). Occupancy for 696 Centre has declined to an estimated 35% after losing two of the top tenants - Botsford Hospital (25% of NRA) terminated its lease in 2021 and Google (41%) has vacated upon its recent lease expiration in November 2022. The loan remains current and the servicer is working to establish a cash management account. Given the increase in vacancy and suburban location, Fitch's base case loss of approximately 23% reflects a stressed value of $50/sf. The Princeton Pike Corporate Center loan returned to master servicing after the close of a modification in September 2021. Terms of the modification included the conversion of monthly payments to interest-only for the remaining loan term and an ongoing cash trap. The loan has remained current since returning to the master servicer. The property was 76% occupied as of June 2022, in line with YE 2021, but a decline from 82% as of YE 2020. Increased Credit Enhancement (CE): As of the November 2022 distribution date, the pool's principal balance has paid down by 12.9% to $704.8 million from $809 million at issuance. Fourteen loans (17.8%) are defeased, up from nine loans (11%) at the prior rating action. Ten loans (32.1%) are full-term interest-only and the remainder of the pool is now amortizing. 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 classes A-2, A-3, A-4, A-SB, A-S and X-A are not likely due to the position in the capital structure, but may occur should interest shortfalls affect these classes. Downgrades to classes B, C and X-B may occur should expected pool losses increase significantly and/or the FLOCs suffer losses. Downgrades to classes D, E, X-D and X-E are possible should loss expectations increase from continued performance decline of the FLOCs, additional loans default or transfer to special servicing, higher realized losses than expected on the specially serviced assets and/or with outsized losses on the 696 Centre loan. Further downgrades to classes F and X-F would occur as losses are realized and/or become more certain. Factors that could, individually or collectively, lead to positive rating action/upgrade: Upgrades would occur with stable to improved asset performance, particularly of the FLOCs, coupled with additional paydown and/or defeasance. Upgrades to classes B, C and X-B would only occur with significant improvement in CE, defeasance, and/or performance stabilization of FLOCs. Classes would not be upgraded above 'Asf' if there were likelihood of interest shortfalls. Upgrades to classes D, E, X-D and X-E may occur as the number of FLOCs are reduced and there is sufficient CE to the classes. Upgrades to classes F and X-F are unlikely absent significant performance improvement of the FLOCs and substantially higher recoveries than expected on the specially serviced loans, and there is sufficient CE to the classes. 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. PARK AVENUE 2022-2: S&P Assigns BB- (sf) Rating on Class D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Park Avenue Institutional Advisers CLO Ltd. 2022-2/Park Avenue Institutional Advisers CLO LLC 2022-2'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 Park Avenue Institutional Advisers 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 debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. Ratings Assigned Park Avenue Institutional Advisers CLO Ltd. 2022-2/ Park Avenue Institutional Advisers CLO LLC 2022-2 Class A-1, $204.75 million: AAA (sf) Class A-2a, $17.00 million: AA (sf) Class A-2b, $25.25 million: AA (sf) Class B (deferrable), $19.50 million: A (sf) Class C (deferrable), $16.25 million: BBB- (sf) Class D (deferrable), $9.75 million: BB- (sf) Subordinated notes, $32.11 million: Not rated SANTANDER BANK 2022-C: Moody's Assigns (P)B2 Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to the Santander Bank Auto Credit-Linked Notes, Series 2022-C (SBCLN 2022-C) notes to be issued by Santander Bank, N.A. (SBNA). SBCLN 2022-C is the third credit linked notes transaction issued by SBNA in 2022 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. Issuer/Deal Name: Santander Bank, N.A./Santander Bank Auto Credit-Linked Notes, Series 2022-C Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) Class F Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The rated notes are fixed-rate obligations secured by a cash collateral account. There is also a letter of credit in place to cover up to five months of interest in case of a failure to pay by Santander Bank, N.A. or as a result of a FDIC conservator or receivership. This deal is similar to SBCLN 2022-B but differs from many other bank sponsored credit linked note transactions in that the source of principal payments for the notes will be a cash collateral account held by a financial depository with a rating of A2 or P-1 by Moody's, initially Citibank, N.A. SBNA will pay principal in the unlikely event that the cash collateral account does not have enough funds. The transaction also benefits from a Letter of Credit provided by a financial depository with a rating of A2 or P-1 by Moody's, initially Banco Santander S.A., New York Branch. As a result, the rated notes are not capped by the issuer rating of Santander Bank, N.A. (Baa1). The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of Santander Consumer USA Inc. as the servicer. Moody's median cumulative net loss expectation for the 2022-C reference pool is 2.00% and a loss at a Aaa stress of 8.00%, the same as the prior transaction. Moody's based its cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2, B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 12.00%, 8.15%, 6.45%, 4.80%, 4.00%, and 2.55% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in November 2022. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. 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 vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. SAPPHIRE AVIATION II: Fitch Affirms 'Bsf' Rating on Cl. C Notes --------------------------------------------------------------- Fitch Ratings has affirmed the ratings on the Sapphire Aviation Finance II Limited (SAPA II) class A, B, and C notes. The Rating Outlook remains Negative. Entity/Debt Rating Prior ----------- ------ ----- Sapphire Aviation Finance II Limited A 80307AAA7 LT Asf Affirmed Asf B 80307AAB5 LT BBBsf Affirmed BBBsf C 80307AAC3 LT Bsf Affirmed Bsf TRANSACTION SUMMARY The rating actions reflect the transaction's current performance, Fitch's cash flow projections, and its expectation for the structure to withstand stress scenarios commensurate with the respective ratings. The rating actions also consider lease terms, lessee credit, updated aircraft values, and Fitch's assumptions and stresses that inform modeled cash flows and coverage levels. Fitch's updated rating assumptions for both rated and non-rated airlines are based on a variety of performance metrics and airline characteristics. Recessionary timing was assumed to start immediately. This scenario stresses airline credits, asset values and lease rates while incurring remarketing and repossession costs and downtime at each relevant rating stress level. Avolon Aerospace Leasing Limited (Avolon) is the servicer for the transaction and is an indirect subsidiary of Avolon Holdings Limited (Issuer Default Rating [IDR] BBB-/Stable). Avolon and certain of its subsidiaries were the initial sellers of the assets. Fitch deems the servicer to be adequate to service this transaction based on its experience as a lessor and its overall servicing capabilities. KEY RATING DRIVERS Airline Lessee Credit: The credit quality of the lessees in this pool has generally improved since the last review. Two airlines have emerged from bankruptcy better capitalized and are meeting their lease obligations. Lease restructures and deferrals are not as common as lessees recover post pandemic. Power-by-the-hour contracts have also decreased as leases convert to more stable fixed rent contracts. Although delinquency has generally improved, one lessee representing 11.6% of the pool remains under significant financial stress. Ratings were updated for publicly rated airlines in the pool whose ratings changed since the last review. Asset Quality and Appraised Pool Value: The pool is comprised of 71% narrow body and 29% widebody aircraft with a weighted average age of 10 years. 17 aircraft are last generation technology, but the pool also includes two latest-technology aircraft (A320-200NEO, 13% of the pool). The bulk of the pool is A320s and 737-800s for which there is firming demand, particularly for younger aircraft in good maintenance condition. The widebody aircraft in the pool remain challenged from a value perspective, although they are currently on leases through 2026 or beyond. The aircraft in the pool overall depreciated 12% from 2020 to 2021; however, widebody aircraft depreciated at a faster rate of 26% as last generation widebodies continue to face considerable value challenges given the lag in recovery of long-haul traffic. Sapphire Aviation Finance II Limited updates its appraisals annually, with current appraisals as of December 2021. For modeling purposes, Fitch assumed the lower of mean and median (LMM) of maintenance-adjusted base value (MABV) of the three external appraisals. The resulting collateral value is $525.7 million. Fitch conducted several sensitivity scenarios. The first increased residual realization to 52.5% from 50%, resulting in the C notes hurdling the 'Bsf' stress scenario. Fitch also ran various net cash flow scenarios to evaluate how sensitive the ratings are to changes in cash flows. A 5% decrease to NCF results in the C notes not passing any stress levels. A 5% increase in net cash flows results in A and B notes passing at the 'Asf' scenario and C notes hurdling the 'Bsf' scenario. Asset Value and Lease Rate Volatility: The weighted average lease rate factor has improved since the prior review due to power-by-the-hour agreements converting to fixed rental agreements and stronger re-lease and extension terms. Transaction Performance: All aircraft in the pool are currently on lease. Lease collections have fluctuated since the start of 2021 but have trended positively. While collections have seen a slight decline in the last six-months versus the prior six-months, year-over-year collections are up 23%. The increase in lease collections is a result of firmer lease rates with respect to re-leases and extensions, power-by-the-hour contracts converting to more stable fixed rents, and the collection of past-due amounts. LTV has increased modestly for the A notes due to higher than expected aircraft value depreciation rates, driven principally by the widebody aircraft in the pool. LTVs for the B and C notes have increased because they continue to not receive scheduled principal payments. Fitch forecasts, however, that as lease collections stabilize and the A note principal payments are fully caught-up, the B notes will begin receiving principal payments over the medium term, thereby improving LTV. The transaction has been in DSCR Cash Trap and Early Amortization since September 2020 due to DSCR falling below the threshold (1.20x). As of the November 2022 payment date, the DSCR of 0.59x remains below the threshold. Overall Market Recovery: Major differences in performance by region have emerged for both international and domestic markets. As such, a transaction's regional concentration of lessees can be a meaningful driver of performance. This pool has significant concentration in APAC, which is experiencing ongoing pressure compared to other regions. APAC revenue passenger kilometers (RPKs) are approximately 52% lower than pre-pandemic levels. Domestic RPKs are improving but still face challenges in certain countries, such as China, where they are still below pre-pandemic levels. Macro Risks: While the commercial aviation market is recovering, the industry continues to face multiple unknowns and potential headwinds including the emergence of new COVID variants with associated travel restrictions, on-going geopolitical risks, elevated and volatile oil prices, and rising interest rates, as well as potential reductions in passenger demand due to inflationary pressures and recessionary concerns. Such events may lead to increased lessee delinquencies, lease restructurings, defaults, and reductions in lease rates and asset values, particularly for older aircraft, all of which would cause downward pressure on future cash flows needed to meet debt service obligations. Fitch considered these risks when estimating transaction cash flows and establishing rating stresses. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Downgrades are possible if the concentration of grounded aircraft or lease deferrals result in material cash flows declines, increased LTVs, and impaired credit enhancement. Factors that could, individually or collectively, lead to positive rating action/upgrade: Key drivers of potential upgrades would be strong collections, debt service coverage ratio above trigger levels and a decline in LTVs sustained over a period of time, among other factors. Rating upgrades are limited as Fitch caps aircraft ABS ratings at 'Asf'. This is due to heavy servicer reliance, historical asset and performance risks and volatility, and its pronounced exposure to exogenous risks. This was evidenced by the effects of the events of Sept. 11, 2001, the 2008-2010 credit crisis and the global pandemic, all impacting demand for air travel. Finally, the risks that aviation market cyclicality presents to these transactions are compounded because when lessee default probability is highest, aircraft values and lease rates are typically depressed. Fitch also considers jurisdictional concentrations per the "Structured Finance and Covered Bonds Country Risk Rating Criteria," which could result in lower rating caps. Hence, senior class 'Asf' rated notes are capped, and there is no potential for upgrades for certain tranches at this time. For classes rated below 'Asf', upgrades are also limited given ongoing pressure on transaction performance and the ongoing geopolitical risk, which combined will retain negative ABS rating pressure, especially for transactions that are underperforming relative to Fitch's COVID recovery expectation. 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. STRATUS STATIC 2022-3: Fitch Assigns 'B-sf' Rating on Class F Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Stratus Static CLO 2022-3, Ltd. Entity/Debt Rating ----------- ------ Stratus Static CLO 2022-3, Ltd. A LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D LT BBB-sf New Rating E LT BB-sf New Rating F LT B-sf New Rating Subordinated Notes LT NRsf New Rating TRANSACTION SUMMARY Stratus Static CLO 2022-3, Ltd. (the issuer) is a static arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Blackstone Liquid Credit Strategies LLC. 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 purchased 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 purchased portfolio consists of 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 76.42%. Portfolio Composition (Positive): The largest three industries constitute 46.7% of the portfolio balance in aggregate while the top five obligors constitute 3.3% of the portfolio balance in aggregate. The levels of diversity by industry, obligor and geographic concentrations are in line with levels of other recent U.S. CLOs. Portfolio Management (Neutral): The transaction does not have a reinvestment period; however, the issuer has the ability to extend the weighted average life of the portfolio as a result of maturity amendments. Fitch's analysis was based on a stressed portfolio incorporating potential maturity amendments on the underlying loans as well as a one-notch downgrade on the Fitch Issuer Default Rating Equivalency Rating for assets with a Negative Rating Outlook on the driving rating of the obligor. 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 its stress scenario, each class of notes was able to withstand default rates in excess of the respective rating hurdle. The assigned ratings are in line with the model-implied ratings. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are between 'BBB+sf' and 'AAAsf' for class A, between 'BB+sf' and 'AA-sf' for class B notes, between 'B-sf' and 'A-sf' for class C notes, between less than 'B-sf' and 'BBB-sf' for class D notes, between less than 'B-sf' and 'B+sf' for class E notes, and less than 'B-sf' for class F notes. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, between 'A+sf' and 'AAsf' for class C notes, 'A+sf' for class D notes, 'BBB+sf' for class E notes, and between 'BBB-sf' and 'BBB+sf' for class F notes. Upgrade scenarios are not applicable to the class A notes, as these notes are in the highest rating category of 'AAAsf'. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or Credit Opinions from Fitch and/or other nationally-recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis, according to its applicable rating methodologies, indicates that it is adequately reliable. SYMPHONY CLO 37: Moody's Assigns (P)B3 Rating to $250,000 F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to three classes of notes to be issued and one class of loans to be incurred by Symphony CLO 37, Ltd. (the "Issuer" or "Symphony CLO 37"). Moody's rating action is as follows: US$30,000,000 Class A-1a Loans maturing 2034, Assigned (P)Aaa (sf) US$203,000,000 Class A-1a Senior Secured Floating Rate Notes due 2034, Assigned (P)Aaa (sf) US$15,000,000 Class A-1b Senior Secured Fixed Rate Notes due 2034, Assigned (P)Aaa (sf) US$250,000 Class F Senior Secured Deferrable Floating Rate Notes due 2034, Assigned (P)B3 (sf) The notes and loans listed are referred to herein, collectively, as the "Rated Debt." On the closing date, the Class A-1a Notes and Class A-1a Loans have a principal balance of $203,000,000 and $30,000,000, respectively. At any time, the Class A-1a Loans may be converted in whole or in part to Class A-1a Notes, thereby decreasing the principal balance of the Class A-1a Loans and increasing, by the corresponding amount, the principal balance of the Class A-1a Notes. The aggregate principal balance of the Class A-1a Loans and Class A-1a Notes will not exceed $233,000,000, less the amount of any principal repayments. Neither Class A-1a Notes nor any other Notes may be converted into Class A-1a Loans. 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. Symphony CLO 37 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, and non-loan assets, provided that no more than 5% of the portfolio may consist of non-loan assets and no more than 2.5% of the portfolio may consist non-loan asset that are not senior secured bonds. Moody's expect the portfolio to be approximately 60% ramped as of the closing date. Symphony Alternative Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's three year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Debt, the Issuer will issue seven other classes of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in December 2021. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2880 Weighted Average Spread (WAS): SOFR + 3.40% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 47% Weighted Average Life (WAL): 6.5 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. TRIMARAN CAVU 2022-2: S&P Assigns Prelim BB-(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Trimaran CAVU 2022-2 Ltd./Trimaran CAVU 2022-2 LLC's floating- and fixed-rate notes. The transaction is managed by Trimaran Advisors LLC. 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 preliminary ratings are based on information as of Nov. 29, 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 Trimaran CAVU 2022-2 Ltd./Trimaran CAVU 2022-2 LLC Class A, $248 million: AAA (sf) Class B-1, $47 million: AA (sf) Class B-2, $5 million: AA (sf) Class C (deferrable), $22 million: A (sf) Class D (deferrable), $24 million: BBB- (sf) Class E (deferrable), $11 million: BB- (sf) Subordinated notes, $43 million: Not rated VOYA CLO 2022-4: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Voya CLO 2022-4, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Voya CLO 2022-4 Ltd. A LT NRsf New Rating NR(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf TRANSACTION SUMMARY Voya CLO 2022-4, Ltd. is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC. 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. The weighted average rating factor (WARF) of the indicative portfolio is 22.6 versus a maximum covenant, in accordance with the initial matrix point of 24.6. 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 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 76.98%, versus a minimum covenant of, in accordance with the initial matrix point of 74.50%. Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs. Portfolio Management (Neutral): The transaction has a 2.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, each class of notes are able to withstand appropriate default rates for their respective rating scenarios. The performance of all classes of rated notes at the other permitted matrix points are in line with other recent CLOs. RATING SENSITIVITIES Factors that could, individually or collectively, lead to negative rating action/downgrade: Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are between 'BB+sf' and 'AA+sf' for class B, between 'Bsf' and 'A+sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2, and between less than 'B-sf' and 'B+sf' for class E. Factors that could, individually or collectively, lead to positive rating action/upgrade: Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; results under these sensitivity scenarios are 'AAAsf' for class B notes, 'A+sf' for class C notes, 'A+sf' for class D-1 notes, between 'Asf' and 'A+sf' for class D-2 notes, and 'BBB+sf' for class E notes. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. 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