/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180318.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, March 18, 2018, Vol. 22, No. 76 Headlines ACACIA CDO 5: Fitch Affirms 'D' Rating on Class B Notes APEX CREDIT 2018: Moody's Assigns (P)B3 Rating to Class F Notes ARES CLO XLVII: Moody's Assigns (P)Ba3 Rating to Class E Notes ARES LTD XXXVIII: Moody's Assigns Ba3 Rating to Class E-R Notes ATLAS SENIOR IX: S&P Assigns BB-(sf) Rating on Class E Notes BANC OF AMERICA 2005-1: S&P Affirms B+(sf) Rating on Class C Certs BANC OF AMERICA 2006-4: Moody's Lowers Class C Certs Rating to C BANK 2018-BNK10: DBRS Finalizes BB Rating on Class X-E Certs BANK OF AMERICA 2017-BNK3: DBRS Confirms B(high) Rating on F Debt BBCCRE TRUST 2015-GTP: S&P Affirms B (sf) Rating on Class F Notes BBCMS 2018-TALL: Moody's Assigns (P)B2 Rating to Class F Certs BEAR STEARNS 2007-PWR18: DBRS Hikes Rating on Cl. B Certs to B CARLYLE GLOBAL 2014-1: S&P Gives Prelim BB-(sf) Rating on E-R Notes CBA COMMERCIAL 2004-1: Fitch Corrects Jan. 17 Rating Release CFCRE TRUST 2018-TAN: DBRS Finalizes BB Rating on Class HRR Certs CIFC FUNDING 2015-III: Moody's Assigns B1 Rating to Cl. F-R Notes CIFC FUNDING 2018-I: Moody's Assigns Ba3 Rating to Class E Notes CITIGROUP COMMERCIAL 2015-GC27: DBRS Confirms B on 2 Tranches COMM 2003-LNB1: Moody's Affirms C Rating on Class X-1 Certificates COMM 2007-FL14: Moody's Affirms Ba3 Rating on Class E Certs COMM 2013-CCRE8: DBRS Confirms B(high) Rating on Class F Debt COMM 2014-UBS6: Fitch Affirms 'BB-sf' Rating on Cl. F Certs CONNECTICUT AVE 2018-C01: DBRS Finalizes BB Ratings on 17 Tranches CONNECTICUT AVE 2018-C02: Fitch Assigns Bsf Ratings to 19 Tranches CRESTLINE DENALI XVI: Moody's Assigns Ba3 Rating to Class E Notes DRYDEN 41: Moody's Assigns B3(sf) Rating to Class F-R Notes DT AUTO 2018-1: S&P Assigns BB(sf) Rating on $57MM Class E Notes DT AUTO OWNER: DBRS Reviews 39 Ratings From 10 ABS Transactions ECP CLO 2013-5: S&P Lowers Class D Notes Rating to B+(sf) EXETER AUTOMOBILE 2018-1: DBRS Finalizes (P)BB Rating on E Notes FREMF 2017-K63: Fitch Affirms 'BB+sf' Rating on Class C Certs GALAXY LTD XX: Moody's Assigns Ba3 Rating to Class E-R Notes GE COMMERCIAL 2005-C1: DBRS Lowers Cl. E Certs Rating to 'C' GMAC COMMERCIAL 2004-C3: Fitch Affirms Bsf Rating on Class D Debt GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs GS MORTGAGE 2015-GC28: DBRS Confirms BB Rating on Class X-C Certs GS MORTGAGE 2018-GS9: Fitch to Rate Class F-RR Certs 'B-sf' HALCYON LOAN 2014-2: Moody's Lowers Class E Notes Rating to Caa1 HERTZ VEHICLE 2018-1: DBRS Finalizes (P)BB Rating on Cl. D Notes HPS LOAN 7-2015: S&P Assigns B(sf) Rating on Class F-R Notes ICG US 2014-2: Moody's Assigns B3 Rating to Class F-RR Notes IMSCI 2015-6: DBRS Confirms BB Rating on Class F Certificates INTOWN HOTEL 2018-STAY: DBRS Finalizes 'B' Rating on Cl. G Certs KKR CLO 13: Moody's Assigns B2 Rating to Class F-R Notes MADISON PARK XXX: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes MARATHON CLO XI: Moody's Assigns Ba3 Rating to Class D Notes MASTR ADJUSTABLE 2003-6: Moody's Cuts Ratings on 2 Tranches to B1 MCF CLO VI: S&P Assigns BB-(sf) Rating on $7.934MM Class E-U Notes MORGAN STANLEY 2015-C23: Fitch Affirms B-sf Rating on Cl. F Certs MSBAM TRUST 2014-C15: DBRS Confirms B(low) Rating on Class H Certs MSC MORTGAGE 2012-C4: DBRS Confirms BB Rating on Class F Certs NATIXIS 2018-TECH: DBRS Finalizes Prov. B(high) Rating on G Certs NCLST: Fitch Maintains Rating Watch Neg. on 17 Tranches of 12 Deals NEW RESIDENTIAL 2018-1: DBRS Finalizes (P)B Ratings on 10 Tranches PALMER SQUARE 2018-1: S&P Assigns Prelim BB-(sf) Rating on D Notes PARALLEL LTD 2018-1: Moody's Assigns Ba3 Rating to Class D Notes PREFERREDPLUS TRUST: Moody's Cuts Ser. CZN-1 Certs. Rating to Caa1 SAPPHIRE AVIATION I: Fitch to Rate Series C Notes 'BBsf' SLM STUDENT 2008-9: Fitch Affirms 'Bsf' Ratings on 2 Tranches SLM STUDENT 2012-6: Fitch Affirms 'Bsf' Ratings on 2 Tranches UBS COMMERCIAL 2018-C9: Fitch to Rate Class F-RR Certificates B-sf UNITED AUTO 2018-1: DBRS Finalizes 'B' Rating on Cl. F Notes WELLS FARGO 2015-C27: DBRS Confirms B Rating on Cl. X-F Certs WFRBS COMMERCIAL 2013-C14: Fitch Affirms B Rating on Class F Certs [*] DBRS Reviews 209 Classes From 22 U.S. RMBS Transactions [*] DBRS Reviews 235 Classes From 23 U.S. RMBS Transactions [*] Moody's Takes Action on $182MM of RMBS Issued 2003-2007 [*] Moody's Upgrades $170MM Securities Backed by Housing Collateral [*] S&P Cuts Ratings on 45 Classes From 40 US RMBS Deals to D(sf) ********* ACACIA CDO 5: Fitch Affirms 'D' Rating on Class B Notes ------------------------------------------------------- Fitch Ratings has taken the following rating actions on 52 tranches from 13 structured finance collateralized debt obligations (SF CDOs) with exposure to various structured finance assets. -- Affirmed 49 tranches; -- Upgraded three tranches. KEY RATING DRIVERS Fitch affirmed 41 classes at 'Csf' that have credit enhancement (CE) levels exceeded by the expected losses (EL) from the distressed collateral (rated CCsf and lower) of each portfolio. For these classes, the probability of default was evaluated without factoring in potential losses from the performing assets. Default for these notes at or prior to maturity continues to appear inevitable. Fitch affirmed two classes of notes at 'CCsf' for which default remains probable. The classes' current CE levels exceed the EL, but their CE is lower than the losses projected at the 'CCCsf' rating stress under Fitch's Structured Finance Portfolio Credit Model (SF PCM) analysis. Fitch affirmed one non-deferrable class that has experienced interest payment shortfalls at 'Dsf'. Fitch affirmed the ratings on the remaining classes due to continued stable performance. The upgrades to Bernoulli High Grade CDO I Ltd./Inc., Orchard Park Ltd./Inc. and Pasadena CDO, Ltd. are attributed to significant deleveraging of each transaction's capital structure which has resulted in increased CE for the notes. According to the SF PCM analysis, these tranches are now able to withstand losses at a higher rating stress compared to Fitch's previous review. For the upgraded transactions, Fitch performed two additional sensitivity scenarios. In the first, the assets' weighted average lives were extended to half of their term to their legal maturities. In the second, the ratings of obligors which made up greater than 5% of the performing portfolio were lowered by one rating category to account for potential performance volatility of a concentrated portfolio. The results of the sensitivity analysis support the upgrades. The Stable Outlooks reflect Fitch's view that the notes have a sufficient level of protection to withstand potential deterioration of the underlying collateral going forward. VARIATIONS FROM CRITERIA The rating requirement for money market funds, as specified in the indenture documents for Pasadena CDO, Ltd. does not conform to Fitch's "Structured Finance and Covered Bond Counterparty Rating Criteria" (Counterparty Criteria). Fitch views the impact of this variation as sufficiently mitigated since eligible investments are short term and required to mature on the day before the next quarterly payment date. In addition, the indenture documents require money market funds to be rated by two other rating agencies at Fitch's rating equivalent of 'AA' or 'F1+'. RATING SENSITIVITIES Negative migration, defaults beyond those projected, and lower than expected recoveries could lead to downgrades for classes analysed under the SF PCM. Classes already rated 'Csf' have limited sensitivity to further negative migration given their highly distressed rating levels. However, there is potential for non-deferrable classes to be downgraded to 'Dsf' should they experience any interest payment shortfalls. This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Structured Finance CDOs Surveillance Rating Criteria'. A list of the Affected Ratings is available at: http://bit.ly/2HuPcnO APEX CREDIT 2018: Moody's Assigns (P)B3 Rating to Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of notes to be issued by Apex Credit CLO 2018 Ltd. Moody's rating action is: US$235,000,000 Class A-1A Senior Secured Floating Rate Notes due 2031 (the "Class A-1A Notes"), Assigned (P)Aaa (sf) US$20,500,000 Class A-1B Senior Secured Floating Rate Notes due 2031 (the "Class A-1B Notes"), Assigned (P)Aaa (sf) US$37,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$49,500,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$25,500,000 Class C Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf) US$25,500,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$21,500,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf) US$7,500,000 Class F Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Assigned (P)B3 (sf) The Class A-1A Notes, Class A-1B Notes, Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Apex CLO 2018 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expect the portfolio to be approximately 95% ramped as of the closing date. Apex Credit Partners 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, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 44.5% Weighted Average Life (WAL): 9 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 August 2017. 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2700 to 3105) Rating Impact in Rating Notches Class A-1A Notes: 0 Class A-1B Notes: -1 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes : 0 Percentage Change in WARF -- increase of 30% (from 2700 to 3510) Rating Impact in Rating Notches Class A-1A Notes: -1 Class A-1B Notes: -3 Class A-2 Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -1 ARES CLO XLVII: Moody's Assigns (P)Ba3 Rating to Class E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of notes to be issued by Ares XLVII CLO Ltd. Moody's rating action is: US$406,000,000 Class A-1 Senior Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$49,000,000 Class A-2 Senior Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$73,500,000 Class B Senior Floating Rate Notes due 2030 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$41,300,000 Class C Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned (P)A2 (sf) US$44,800,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$29,400,000 Class E Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Ares XLVII CLO 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 collateral obligations that are not senior secured loans. Moody's expect the portfolio to be approximately 80% ramped as of the closing date. Ares CLO Management II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $700,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 3010 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 49.0% Weighted Average Life (WAL): 9 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 August 2017. 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 3010 to 3462) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 3010 to 3913) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 ARES LTD XXXVIII: Moody's Assigns Ba3 Rating to Class E-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes (the "Refinancing Notes") issued by Ares XXXVIII CLO Ltd.: Moody's rating action is: US$1,500,000 Class X Senior Floating Rate Notes due 2030 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$236,000,000 Class A-1-R Senior Floating Rate Notes due 2030 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$28,000,000 Class A-2-R Senior Floating Rate Notes due 2030 (the "Class A-2-R Notes"), Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B-R Senior Floating Rate Notes due 2030 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$20,000,000 Class C-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) US$26,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$19,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Ares CLO Management II LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on March 13, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on December 17, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to certain concentration limits. 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 August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2995 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 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 August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2995 to 3444) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: 0 Class A-2-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 2995 to 3894) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: -1 Class A-2-R Notes: -3 Class B-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 ATLAS SENIOR IX: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Atlas Senior Loan Fund IX Ltd./Atlas Senior Loan Fund IX LLC's $374.70 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Atlas Senior Loan Fund IX Ltd./Atlas Senior Loan Fund IX LLC Class Rating Amount (mil. $) X AAA (sf) 3.20 A AAA (sf) 254.00 B AA (sf) 53.00 C (deferrable) A (sf) 25.00 D (deferrable) BBB- (sf) 22.00 E (deferrable) BB- (sf) 17.50 Subordinated notes NR 48.95 NR--Not rated. BANC OF AMERICA 2005-1: S&P Affirms B+(sf) Rating on Class C Certs ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on two classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Inc.'s series 2005-1, a U.S. commercial mortgage-backed securities (CMBS) transaction. For the affirmations, S&P's expectation of credit enhancement was in line with the affirmed rating levels. While available credit enhancement levels suggest positive rating movements on classes B and C, our analysis also considered the bonds' susceptibility to reduced liquidity support due to potential refinancing risk on the sole specially serviced loan, The Mall at Stonecrest ($91.9 million, 96.9%). The Mall at Stonecrest loan (details below) has an upcoming maturity date in August 2018. Our concern stems from the fact that the loan has previously failed to pay off at two prior scheduled maturity dates, resulting in loan modifications pushing the maturity date to August 2018. In addition, recent tenancy issues, such as the closing of the Sears store (non-collateral), add to the refinancing risks. TRANSACTION SUMMARY As of the Feb. 12, 2018, trustee remittance report, the collateral pool balance was $94.8 million, which is 4.1% of the pool balance at issuance. The pool currently includes two loans, down from 135 loans at issuance. The largest loan, The Mall at Stonecrest, is the largest loan and with the special servicer. For the remaining performing loan, CVS ($2.9 million, 3.1%), S&P calculated a 1.15x S&P Global Ratings' weighted average debt service coverage (DSC) and 72.2% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.75% S&P Global Ratings' weighted average capitalization rate. To date, the transaction has experienced $192.3 million in principal losses, or 8.3% of the original pool trust balance. S&P expects losses to reach approximately 8.7% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the specially serviced loan. CREDIT CONSIDERATIONS As of the Feb. 12, 2018, trustee remittance report, one loan in the pool was with the special servicer, C-III Asset Management LLC (C-III). Details of the specially serviced loan are as follows: The Mall at Stonecrest loan ($91.9 million, 96.9%) is the largest loan in the pool and has a total reported exposure of $91.9 million. The loan is secured by 396,840 sq. ft. of a 1.17 million-sq.-ft. regional mall in Lithonia, Ga. The loan was transferred to the special servicer on Jan. 3, 2013, due to imminent payment default. After loan modification, the loan defaulted again on its extended maturity in October 2016, at which time, the maturity date was extended to August 2018. C-III stated that the loan will remain with them through the maturity date. We expect a minimal loss (less than 25%) upon this loan's eventual resolution. RATINGS LIST Banc of America Commercial Mortgage Inc. Commercial mortgage pass through certificates series 2005-1 Rating Class Identifier To From B 05947UD62 BBB- (sf) BBB- (sf) C 05947UD70 B+ (sf) B+ (sf) BANC OF AMERICA 2006-4: Moody's Lowers Class C Certs Rating to C ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes and downgraded the rating on one class in Banc of America Commercial Mortgage Inc. Commercial Mortgage Pass-Through Certificates, Series 2006-4: Cl. B, Affirmed B3 (sf); previously on Mar 22, 2017 Downgraded to B3 (sf) Cl. C, Downgraded to C (sf); previously on Mar 22, 2017 Downgraded to Ca (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on P&I class B was affirmed because the ratings are consistent with expected recovery of principal and interest from specially and troubled loans. The rating on P&I class C was downgraded due to anticipated losses and realized losses from specially serviced and troubled loans that were higher than Moody's had previously expected. The rating on one IO class was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 64.8% of the current pooled balance, compared to 39.7% at Moody's last review. While the percentage base expected loss figure increased substantially since prior review, the numeric base expected loss figure declined substantially. Moody's base expected loss plus realized losses is now 11.8% of the original pooled balance, compared to 11.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. XC were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 42% of the pool is in special servicing and Moody's has identified one additional troubled loan representing 49% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the February 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $39.5 million from $2.73 billion at securitization. The certificates are collateralized by three mortgage loans ranging in size from 8% to 49% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to a Herf of five at Moody's last review. Two loans, constituting 58% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-nine loans have been liquidated from the pool, resulting in or contributing to an aggregate realized loss of $295.1 million (for an average loss severity of 42%). One loan, constituting 42% of the pool, is currently in special servicing. The largest specially serviced loan is the Beach Plaza Loan ($16.7 million -- 42.2% of the pool), which is secured by an approximately 163,400 square foot (SF) retail property located in Jacksonville Beach, Florida. The property was built in 1965 and renovated in 2006. The property suffered damage from Hurricane Irma and has become Real Estate Owned (REO). Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 100% of the pool (excluding specially serviced and defeased loans). The largest loan not in special servicing is the Holiday Inn Gaithersburg Loan ($19.5 million -- 49.4% of the pool), which is secured by a 300-room hotel located in Gaithersburg, Maryland. Amenities include an indoor pool, exercise facility, onsite restaurant, shuttle and a car rental service. The loan is on the master servicer's watchlist due to low DSCR and Moody's has identified this as a troubled loan. The second largest loan not in special servicing is the Quantico Gateway Building Loan ($3.3 million -- 8.3% of the pool), which is secured by an approximately 36,700 SF, four-story office property. The property is located in Dumfries, Virginia, and was built in 2006. The loan is currently on the master servicer's watchlist due to low DSCR. The Borrower is working to expand the space that the second floor tenant occupies. The loan is fully amortizing and matures in September 2026. The loan has amortized 40% since securitization. Moody's LTV and stressed DSCR are 121% and 0.89X, respectively, compared to 130% and 0.83X at the last review. BANK 2018-BNK10: DBRS Finalizes BB Rating on Class X-E Certs ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK10 (the Certificates) issued by BANK 2018-BNK10: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. Classes X-D, D, X-E, E, X-F and F will be privately placed. Class X-A, X-B, X-D, X-E and X-F balances are notional. The collateral consists of 68 fixed-rate loans secured by 181 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The trust asset contributed from two loans, representing 10.5% of the pool, are shadow-rated investment grade by DBRS. Proceeds for each shadow-rated loan are floored at their respective rating within the pool. When 10.5% of the pool have no proceeds assigned below the rated floor, the resulting pool subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, no loans had a DBRS Term debt-service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 22 loans, representing 52.4% of the pool, having refinance DSCRs below 1.00x, and 14 loans, representing 35.6% of the pool, having refinance DSCRs below 0.90x. Two of the ten largest loans in the pool, Apple Campus 3 and Moffett Towers II – Building 2, exhibit credit characteristics consistent with shadow ratings of AA (high) and BBB, respectively. These loans represent 10.5% of the transaction balance. Additionally, there are 16 loans, representing 4.5% of the pool, that are secured by cooperative properties and are very low leverage with minimal term and refinance default risk. Term default risk is low, as indicated by the strong DBRS Term DSCR of 1.90x. In addition, 49 loans, representing 75.4% of the pool, have a DBRS Term DSCR in excess of 1.50x. This includes nine of the largest ten loans. Even when excluding the two loans' shadow-rated investment grade and the co-operative loans, the deal exhibits a robust weighted-average (WA) DBRS Term DSCR of 1.79x. Only six loans, totaling 13.5% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. The vast majority of this concentration, or 77.9%, is attributed to the two shadow-rated loans, Apple Campus 3 and Moffett Towers II – Building 2, which are both very recently constructed properties occupied by technology giants, Apple Inc. and Amazon.com, Inc., respectively. Both have invested a significant amount of capital into the subject assets. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. The pool has a relatively high concentration of loans secured by non-traditional property types, such as self-storage, hospitality and manufactured housing community assets, which, on a combined basis, represent 36.6% of the pool across 18 loans. There are ten loans, totaling 21.1% of the transaction balance, secured by self-storage properties, and seven loans, totaling 14.8% of the pool, secured by hotels. Each of these asset types is vulnerable to high NCF volatility because of the relatively short-term leases compared with other commercial properties, which can cause the NCF to quickly deteriorate in a declining market. However, such loans exhibit a WA DBRS Debt Yield and DBRS Exit Debt Yield of 9.0% and 10.1%, respectively, which are slightly worse than, but still generally in line with, the overall deal. Additionally, the majority, or 75.3%, of such loans are located in established urban or suburban markets that benefit from increased liquidity and more stable performance. Although the transaction's WA DBRS Refinance (Refi) DSCR is 1.11x, which is relatively moderate. This figure decreases to 0.97x when excluding the two loans' shadow-rated investment grade and the co-operative loans, which are indicative of higher refinance risk on an overall pool level. In addition, 14 loans, representing 39.0% of the pool, have DBRS Refi DSCRs below 1.00x, including five of the top ten loans and six of the top 15 loans. Twelve of these loans, comprising 33.1% of the pool, have DBRS Refi DSCRs less than 0.90x, including four of the top ten loans and six of the top 15 loans. This is mitigated by the fact that the pool's DBRS Refi DSCRs for such loans are based on a WA stressed refinance constant of 9.84%, which implies an interest rate of 8.49%, amortizing on a 30-year schedule. This represents a significant stress of 4.12% over the WA contractual interest rate of the loans in the pool. Classes X-A, X-B, X-D, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO ratings mirror the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. BANK OF AMERICA 2017-BNK3: DBRS Confirms B(high) Rating on F Debt ----------------------------------------------------------------- DBRS Limited confirmed all classes of Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class F at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The collateral consists of 63 fixed-rate loans secured by 94 commercial and multifamily properties. As at the January 2018 remittance, there has been a collateral reduction of 0.4% as a result of scheduled loan amortization. Loans representing 93.5% of the pool balance reported Q3 2017 financials and reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 2.04 times (x) and 10.6%, respectively, compared with the DBRS Term DSCR and DBRS Debt Yield derived at issuance of 1.82x and 9.6%, respectively. Sixteen loans, representing 54.0% of the pool balance, including 14 of the top 15 loans, are structured with full-term interest-only (IO) payments. An additional 19 loans, representing 20.7% of the pool, were structured with partial-term IO payments. As at the January 2018 remittance, 18 loans have partial-term IO payments remaining and five loans representing 7.3% of the pool balance will begin amortizing within the upcoming 12 months. The largest 15 loans reported a WA DSCR and WA debt yield of 2.21x and 11.0%, respectively, representing a WA cash flow improvement of 14.7% over the DBRS net cash flow figures derived at issuance. The pool has a high concentration of retail properties, as loans comprising 34.9% of the pool are secured by this property type. Given the current environment for the retail sector in the volume of recent store closures and chain bankruptcies, this is a particularly noteworthy characteristic. Six of the top 15 loans in the pool secured by retail properties, representing 21.3% of the pool balance, are reporting Q3 2017 cash flows with a WA annualized DSCR and WA occupancy rate of 1.97x and 98.0%, respectively. At issuance, DBRS noted that the majority of the retail loans in the overall pool are secured by anchored retail or regional mall properties, which are generally more desirable as compared with unanchored retail. In addition, DBRS noted the bulk of the pool's retail exposure includes collateral properties located in established suburban markets with strong sales figures reported for retail loans in the top ten. As at the January 2018 remittance, there is one loan, Harwood Hills (Prospectus ID #29; 1.0% of the pool balance), being monitored on the servicer's watch list. The loan is being monitored for the collateral's loss of the grocery anchor in place at issuance, Fiesta Mart, which represented 41.6% of the net rentable area. For details on this loan, please see the DBRS loan commentary for this deal on the DBRS Viewpoint platform, for which information has been provided below. At issuance, DBRS shadow-rated the 85th Tenth Avenue loan (Prospectus ID#4; 5.1% of the pool balance) and the Potomac Mills loan (Prospectus ID#14; 2.1% of the pool balance) as investment grade. With this review, DBRS confirms that the performance of these loans remains consistent with investment-grade characteristics. Classes X-A, X-B and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. The ratings assigned to Classes C and F materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given the sustainability of loan performance trends not demonstrated. BBCCRE TRUST 2015-GTP: S&P Affirms B (sf) Rating on Class F Notes ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on eight classes of commercial mortgage pass-through certificates from BBCCRE Trust 2015-GTP, a U.S. commercial mortgage-backed securities (CMBS) transaction. For the affirmations, S&P's expectation of credit enhancement was in line with the affirmed rating levels. S&P affirmed its ratings on the class X-A and X-B interest only (IO) certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest rated reference class. Class X-A's notional balance references class A, and class X-B's notional balance references class B and C. This is a stand-alone single borrower transaction backed by a fixed-rate IO mortgage loan secured by 41 properties that are all 100% leased to the Global Services Administration, a U.S. government agency that sub-leases the buildings to 16 different U.S. government agencies. The top five agencies that rent at the properties are:the Federal Bureau of Investigation (22.1% of rents at the properties), Citizenship and Immigration Services (17.5%), the Drug Enforcement Agency (11.0%), the Department of Veterans Affairs (10.6%), and the Food and Drug Administration (6.1%). S&P said, "Our property-level analysis included a re-evaluation of the properties that secure the mortgage loan in the trust and considered the stable servicer-reported net operating income and occupancy for the past three years (2015 through the trailing 12 months ended Sept. 30, 2017). We then derived our sustainable in-place net cash flow (NCF), which we divided by a 7.68% S&P Global Ratings capitalization rate to determine our expected-case value." This yielded an overall S&P Global Ratings loan-to-value (LTV) ratio and debt service coverage (DSC) of 89.5% and 1.84x, respectively, on the trust balance, similar to when the transaction was issued. According to the Feb. 12, 2018, trustee remittance report, the mortgage loan has a trust and whole loan balance of $660.0 million and pays an annual fixed interest rate of 4.59%. The mortgage loan matures in August 2025. There is no subordinate debt and the borrower is prohibited from incurring additional subordinate debt in the future. To date, the trust has not incurred any principal losses. The master servicer, Wells Fargo Bank N.A., reported a DSC of 1.99x on the trust balance for the 12 months ended Sept. 30, 2017, and occupancy was 100.0% according to the Sept. 30, 2017, rent roll. Based on the September 2017 rent roll, all of the tenants with lease expirations in 2017 have renewed their leases. Upcoming lease rollover risk includes 7.9% in 2018 and 15.5% in 2019. Since issuance, rent step-ups have occurred at some of the properties in the portfolio leading to a marginal growth of 1.3% in the effective gross income (EGI) between year-end 2015 and the 12 months ended Sept. 30, 2017. Our current analysis considered the increased EGI, resulting in a lower LTV of 89.5%, compared to issuance LTV of 90.3%. RATINGS LIST BBCCRE Trust 2015-GTP Commercial mortgage pass-through certificates, series 2015-GTP Rating Class Identifier To From A 05490TAA0 AAA (sf) AAA (sf) B 05490TAC6 AA- (sf) AA- (sf) C 05490TAE2 A (sf) A (sf) D 05490TAG7 BBB- (sf) BBB- (sf) E 05490TAJ1 BB- (sf) BB- (sf) F 05490TAL6 B (sf) B (sf) X-A 05490TAN2 AAA (sf) AAA (sf) X-B 05490TAQ5 A (sf) A (sf) BBCMS 2018-TALL: Moody's Assigns (P)B2 Rating to Class F Certs -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of CMBS securities, issued by BBCMS 2018-TALL Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2018-TALL: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. F, Assigned (P)B2 (sf) RATINGS RATIONALE The Certificates are collateralized by a single loan secured by the borrower's fee simple interest in the Willis Tower (formerly known as the Sears Tower), a 3,785,794 square foot, Class A office property located in Chicago, Illinois (the "Property"). The loan is a two-year (with five one-year extension options), floating-rate, interest-only, first lien mortgage loan with an original and outstanding principal balance of $1,325,000,000. The ratings are based on the collateral and the structure of the transaction. More specifically, the trust assets primarily consist of six promissory notes (from Component A to Component F) that each correspond to a class of offered certificates, and which combined have an aggregate principal balance of $1,258,750,000 as of the Cut-off Date. BRE 312 Owner LLC, BRE 312 Broadcast LLC, BRE 312 Conference LLC, BRE 312 Restaurants LLC, BRE 312 Health Club LLC and BRE 312 Skydeck LLC (both individually and collectively, the "Borrower") are each a special purpose, Delaware limited liability company indirectly owned and controlled by the Blackstone Real Estate Partners VII-NQ L.P. and its affiliated investment entities (the "Sponsor"). The Borrower was created solely for the purpose of acquiring, developing, owning, holding, selling, leasing, transferring, exchanging, managing and operating the Property, entering into and performing its obligations under the mortgage loan. The Willis Tower, formerly known as the Sears Tower, is a 110-story, Class A office building, which in addition to the office component has a retail component, Skydeck observatory component and antenna component. The Property is centrally located in the West Loop submarket of Chicago, Illinois. The Property is currently the second tallest building in the United States and features nearly 3.8 million square feet of space occupied by a diversified rent roll with more than 90 unique tenants. As of March 9, 2018, the Property was 85.6% occupied and featured a diverse tenant roster, including the headquarters for United Airlines Inc. (22.4% of NRA), the headquarters for the AM LAW 200 law firm Seyfarth Shaw LLP (5.4% of NRA), and the headquarter for AM LAW 200 law firm Schiff Hardin LLP (4.8% of NRA), among others. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower CMBS methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The first mortgage balance of $1,325,000,000 represents a Moody's LTV of 108.3%. The Moody's First Mortgage Actual DSCR is 2.41X and Moody's First Mortgage Actual Stressed DSCR is 0.80X. Notable strengths of the transaction include the asset's trophy qualities, prime location, accessibility, recent and ongoing capital investment, recent office leasing momentum, and strong sponsorship. Offsetting these strengths are the lack of asset diversification, credit negative legal features, the lack of loan amortization and variable debt service payments which increases term risk. The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. BEAR STEARNS 2007-PWR18: DBRS Hikes Rating on Cl. B Certs to B -------------------------------------------------------------- DBRS Limited upgraded the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2007-PWR18 issued by Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PWR18 as follows: -- Class A-J to BB (sf) from CCC (sf) -- Class AJ-A to BB (sf) from CCC (sf) -- Class B to B (sf) from CCC (sf) In addition, DBRS confirmed the ratings on the following classes: -- Class C at C (sf) -- Class D at C (sf) All trends are Stable, with the exception of Class C and D, which have ratings that do not carry trends. In addition, the interest in arrears designation was removed for Class B, with the January 2018 remittance. The rating upgrades reflect the increased credit support to the bonds as a result of the successful repayment of Classes A-1A, A-4, A-M and AM-A. With those repayments, the Class A-J certificate is now the most senior class outstanding. Over the past year, 116 loans have been repaid from the trust, representing a principal paydown of approximately $1.2 billion, and one loan was liquidated at a loss severity of 74.6% and a loss to the trust of $5.5 million. As of the January 2018 remittance, only 12 loans remain in the trust, with an outstanding balance of $140.8 million. This represents a collateral reduction of 94.4% since issuance as a result of successful loan repayments, scheduled amortization, realized losses and recovered proceeds from loans liquidated from the pool. As of the January 2018 remittance, 12 loans remain in the pool. All loans are reporting YE2016 financials and, based on those figures, the weighted-average (WA) debt-service coverage ratio (DSCR) is 0.88 times (x), compared with the YE2015 DSCR of 1.19x. The pool is concentrated as the largest loan, Prospectus ID#6 – Marriott Houston Westchase, represents 51.3% of the current pool balance. The loan transferred to special servicing in July 2017 due to imminent default as the loan was not expected to refinance at loan maturity in November 2017. The loan is secured by a 600-room full-service hotel located in Houston, Texas, and reported a YE2016 DSCR and debt yield of 0.49x and 4.0%, respectively. Due to the general difficulties in low oil prices and increased supply in the Houston market, the property has reported a DSCR of under 1.0x since YE2015. However, although the T-12 July 2017 occupancy, ADR and RevPAR metrics of 63.3%, $121.93 and $77.13, respectively, have all shown year-over-year declines, the subject continues to perform above its competitive set across all three metrics. The November 2017 appraisal value was reported at $72.0 million, reflective of a 46.7% decline from the issuance value. Although the 2017 value remains relatively close to the total exposure of approximately $73.2 million, DBRS anticipates a loss could be higher than the value suggests, given the market conditions and the amount of capital that would likely be necessary to reposition the asset. There are five loans on the servicer's watch list, representing 29.3% of the pool balance, and six loans in special servicing, representing 70.2% of the pool balance. The loans in special servicing transferred between July 2017 and December 2017 for maturity default. CARLYLE GLOBAL 2014-1: S&P Gives Prelim BB-(sf) Rating on E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R-2, B-R-2, C-R-2, D-R, and E-R replacement notes, as well as to the new class X-R notes, from Carlyle Global Market Strategies CLO 2014-1 Ltd., a collateralized loan obligation (CLO) originally issued on March 25, 2014, that is managed by Carlyle CLO Management LLC. The replacement class A-2-R-2 notes are not rated by S&P Global Ratings. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of March 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 6, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the currently outstanding notes. At that time, we anticipate withdrawing the ratings on the outstanding notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the outstanding notes and withdraw our preliminary ratings on the replacement notes. This will be the transaction's second optional redemption and replacement note issuance. The first occurred on Dec. 9, 2016, where the class A-R, B-R, and C-R notes were issued, and the issuer used the issuance proceeds to pay down the original class A, B, and C notes. The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Change the rated par amount to $622.00 million from $647.50 million. There is no change proposed to the target initial par amount of $700.00 million. The first payment date following the April 6, 2018, refinancing date is expected to be on April 17, 2018. -- Extend the reinvestment period to April 17, 2023, from April 17, 2018. -- Extend the non-call period on all the notes to April 17, 2020, from April 17, 2016 (for the class D and E notes) and Dec. 9, 2017 (for the class A-R, B-R, and C-R notes issued on the first refinancing date, Dec. 9, 2016). -- Extend the weighted average life test to nine years from the second refinancing date, which is approximated to be April 17, 2027, from March 25, 2022. -- Extend the legal final maturity date on the notes to April 17, 2031, from April 17, 2025. -- Issue additional class X-R senior secured floating-rate notes, which are expected to be paid using interest proceeds in equal quarterly installments of $625,000 beginning on the second payment date following the April 6, 2018, second refinancing date. -- Adopt the use of the non-model version of CDO Monitor for this transaction. During the reinvestment period, the non-model version of CDO Monitor may be used to indicate whether changes to the collateral portfolio are generally consistent with the transaction parameters we assumed when initially assigning ratings to the notes. -- Change the required minimum thresholds for the coverage tests. -- Incorporate the recovery rate methodology and updated industry classifications outlined in our August 2016 CLO criteria update. At this time, the collateral manager has not determined whether it or another transaction party will be required to retain an interest in this transaction pursuant to the risk retention rule. If the collateral manager determines that either it or another transaction party is required to retain a risk retention interest in the transaction as of the April 6, 2018, refinancing date, the issuer may issue additional rated notes between our preliminary and final ratings releases for the purpose of complying with the risk retention rule. We do not anticipate that these additional notes, if issued, will have an analytical impact on the rated notes discussed herein. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Notes Following Second Refinancing Replacement Issuances Class Amount Interest (mil. $) rate (%) X-R 2.50 LIBOR + 0.50 A-1-R-2 427.00 LIBOR + 0.97 A-2-R-2 28.00 LIBOR + 1.13 B-R-2 73.50 LIBOR + 1.40 C-R-2 50.50 LIBOR + 1.80 D-R 34.00 LIBOR + 2.60 E-R 34.50 LIBOR + 5.40 Y 3.50 N/A Subordinated notes 74.00 N/A Notes Following First Refinancing Replacement Issuances (i) Class Amount Interest (mil. $) rate (%) X 0.00 LIBOR + 1.00 A-R 448.00 LIBOR + 1.30 B-R 67.00 LIBOR + 1.80 C-R 64.00 LIBOR + 2.75 D 34.00 LIBOR + 3.45 E 34.50 LIBOR + 4.45 Y 3.50 N/A Subordinated notes 74.00 N/A (i)Class X notes were paid off in full on the transactions first payment date, July 17, 2014. Original Notes Class Amount Interest (mil. $) rate (%) X 5.00 LIBOR + 1.00 A 448.00 LIBOR + 1.52 B 67.00 LIBOR + 2.10 C 64.00 LIBOR + 3.00 D 34.00 LIBOR + 3.45 E 34.50 LIBOR + 4.45 Y 3.50 N/A Subordinated notes 74.00 N/A N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Carlyle Global Market Strategies CLO 2014-1 Ltd. Replacement class Rating Amount (mil. $) X-R AAA (sf) 2.50 A-1-R-2 AAA (sf) 427.00 A-2-R-2 NR 28.00 B-R-2 AA (sf) 73.50 C-R-2 A (sf) 50.50 D-R BBB- (sf) 34.00 E-R BB- (sf) 34.50 Y(i) NR 3.50 Subordinated notes(i) NR 74.00 (i)The class Y and the subordinated notes issued on the closing date remain outstanding and are not being refinanced. The stated maturity of the class Y and subordinated notes is expected to be amended to April 17, 2031, on the refinancing date. NR--Not rated. CBA COMMERCIAL 2004-1: Fitch Corrects Jan. 17 Rating Release ------------------------------------------------------------ Fitch Ratings has issued a correction to the ratings release on PJSC Sovcombank published on Jan. 17, 2018. It includes North America and Asia-Pacific Multiborrower CMBS Surveillance Criteria and Structured Finance and Covered Bonds Counterparty Rating Criteria, which were omitted from the original release. The revised release is as follows: Fitch Ratings has affirmed all classes of CBA Commercial Assets, LLC series 2004-1. KEY RATING DRIVERS The affirmations are due to the relatively stable performance of the pool according to the information provided to Fitch. As of the December 2017 distribution date, three loans representing 9.3% of the pool are delinquent, with no loans in special servicing. At Fitch's last rating action, 16.6% of the underlying loans were delinquent, with two loans (3.9%) in special servicing. Concentration: The transaction's balance has been reduced by 91.7% to $8.4 million from $102 million at issuance and $16.7 million at Fitch's last rating action. The transaction is collateralized by 32 small balance commercial loans secured by multifamily, retail, office, industrial, and mixed use properties. Of the remaining loans, 80.7% are collateralized by multifamily properties and 28.7% are collateralized by properties located in California. Small Balance Pool: The loans are smaller than typical CMBS loans with an average loan size of $263,999 and historically have had higher loss severities than CMBS conduit loans. Fitch does not receive operating performance on the loans, as the loans were not subject to typical CMBS reporting requirements. Lack of Detailed Reporting: Per the Dec. 26, 2017 trustee report, the pool has experienced 10.1% in realized losses to date. Due to the lack of financial information reported on the remaining loans, ratings were capped at 'Bsf'. Fitch's analysis is based on historical performance statistics from a representative sample of similar small balance transactions. Fitch assumed a 30% default probability for the remaining performing loans, and a loss severity of 80% for all loans. As a result, Fitch modeled losses of 29.2% on the remaining pool. RATING SENSITIVITIES The Rating Outlooks on classes A-1 through A-3 are Stable due to sufficient credit enhancement and continued paydown. The ratings of classes A-1 through A-3 are capped based on the poor historical performance of small balance loans, the lack of financial information reported on the loans, as well as the small class sizes, which provides limited loss protection to the rated classes. Should delinquencies and/or losses increase, downgrades may be warranted in the future. Fitch has affirmed the following ratings: -- $201.3 thousand class A-1 at 'Bsf'; Outlook Stable; -- $88 thousand class A-2 at 'Bsf'; Outlook Stable; -- $47.5 thousand class A-3 at 'Bsf'; Outlook Stable; -- $2.9 million class M-1 at 'Csf'; RE 10%; -- $3.6 million class M-2 at 'Csf'; RE 0%; -- $1.6 million class M-3 at 'Dsf'; RE 0%. -- $0 class M-5 at 'Dsf'; RE 0%. Classes M-4, M-6, M-7, and M-8 are not rated by Fitch. Fitch had previously withdrawn the rating of the interest-only class I/O. CFCRE TRUST 2018-TAN: DBRS Finalizes BB Rating on Class HRR Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-TAN issued by CFCRE Trust 2018-TAN (the Issuer): -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at A (high) (sf) -- Class X at AA (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (high) (sf) -- Class HRR at BB (sf) All trends are Stable. The Class X balance is notional. The collateral for the transaction consists of the leasehold interest in an upscale oceanfront hotel located on the island of Aruba. The 411-key hotel is situated on a 10.1-acre site on the northern end of the island along Palm Beach, a two-mile strip of beach known for its white sand and turquoise waters where the majority of the upscale hotels on the island are located. The subject is part of a larger Marriott campus that includes Marriott's Aruba Surf Club and Marriott's Aruba Ocean Club, two timeshare projects totaling 1,200 keys (non-collateral) that are located to the south of the subject. The collateral includes nine food and beverage outlets, 34,916 square feet (sf) of meeting space, two outdoor pools, a fitness center and four retail stores. Additionally, included in the collateral is the Stellaris Casino, the largest casino (17,000 sf) on the island, featuring 523 slot machines and 27 gaming tables. The loan is sponsored by a joint venture between DLJ Real Estate Investment Partners (DLJ) and MetaCorp International (MetaCorp). DLJ is a private equity real estate investment firm, and MetaCorp is a real estate company based in Aruba. MetaCorp previously owned and operated the Renaissance Aruba Resort & Casino. After a loan maturity default by the previous owners in October 2012, when total outstanding debt was approximately $230.0 million, Five Mile Capital Partners LLC (Five Mile), DLJ and MetaCorp converted their respective mezzanine debt into a majority equity interest. The property was previously 100.0%-owned by the Caribbean Property Group (CPG), which retained its remaining equity stake (11.6%) when ownership took over the property and refinanced the senior and mezzanine loan of $160.0 million with a $160.0 million mortgage in December 2013. Loan proceeds of $195.0 million, along with $10.0 million of borrower equity, served to refinance existing debt of $160.0 million, facilitate the $38.5 million sponsor buyout of Five Mile and CPG and cover closing costs. Five Mile will retain a $23.5 million preferred equity position at loan close. The property has performed very well over the past several years compared with its competitive set, with a current November 2017 STR exhibiting revenue per available room (RevPAR) penetration of 153.5%. The property has experienced positive revenue growth since the economic downturn, when the property experienced a revenue decline and profit decline of 17.3% and 25.6%, respectively. Additionally, the property experienced a minimal 2.4% decline in 2016 that is attributed to the Zika virus outbreak, which affected tourism not only on the island of Aruba but the Caribbean as a whole, as the disease received significant news and media coverage. The management team is expecting an increase in revenue growth over the next year, as many islands in the Caribbean were demolished or are still dealing with the repercussions of the catastrophic 2017 hurricane season. Tourism and its related services account for the island's largest demand generator, accounting for 50.0% to 60.0% of total gross domestic product, with over 35.0% of total employment in Aruba driven by tourism. The subject has achieved consistent RevPAR growth over the past few years, with the trailing 12 months (T-12) ending November 31, 2017, RevPAR of $331.13, representing a 14.6% increase over the 2013 RevPAR figure of $289.05. Such RevPAR growth is attributable to ongoing renovations at the property in addition to general market conditions. In total, the property has undergone $51.9 million ($126,192 per key) in renovations since 2010, including a complete overhaul of the lobby to comply with Marriott brand standards and to modernize the space. Additionally, the island has a building moratorium on any new resort development, though some hotel construction exceptions have been made over the years. As a result, there is a new Hyatt Place under construction near the airport, though it will not be competitive with the subject, and no new competitive supply is anticipated over the next several years, as the process to obtain government approval is complicated and extensive. The Government of Aruba essentially owns almost all of the land on the island, and land can only be obtained on a long lease. The subject is currently encumbered by a ground lease with the Government of Aruba that has an initial expiration date in 2052; however, the lessor has a statutory obligation to enter into a new lease when the ground lease expires. The DBRS value of $232.5 million represents a substantial 26.1% discount to the as-is appraised value of $315.0 million, resulting in a moderate DBRS loan-to-value of 83.9%. The DBRS cap rate of 11.25% is approximately 200 basis points above the appraiser's cap rate on year one net cash flow (NCF), allowing for significant reversion to the mean in lodging valuation metrics. The subject loan consists of a $135.0 million senior note (Note A) and a $60.0 million subordinate note (Note B), both of which are assets of the trust, with the total exposure to the trust being equivalent to the $195 million whole loan amount. The loan benefits from additional cash equity of $6.5 million, and with a DBRS Term debt service coverage ratio (DSCR) of 2.23 times (x), DBRS considers there to be marginal term default risk, even though hotels typically exhibit higher cash flow volatility compared with other property types. The DBRS NCF is approximately 9.9% below the T-12 ending November 30, 2017, level, resulting in a DBRS Refi DSCR of 1.17x that exhibits moderate refinance risk given the very high applied refinance constant of 11.50%. As a result of the property's strong location, the sponsors' continued investment resulting in consistent average daily rate growth related to the recent renovations, lack of competitive new supply and relatively strong DBRS Debt Yield of 13.4%, DBRS anticipates that the mortgage loan will perform well over the five-year loan term and will have a high likelihood of refinance. Class X is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. CIFC FUNDING 2015-III: Moody's Assigns B1 Rating to Cl. F-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by CIFC Funding 2015-III, Ltd. (the "Issuer"): Moody's rating action is: US$340,000,000 Class A-R Senior Secured Floating Rate Notes due 2029 (the "Class A-R Notes"), Assigned Aaa (sf) US$46,900,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Assigned Aa2 (sf) US$24,900,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Assigned A2 (sf) US$31,950,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned Baa3 (sf) US$16,500,000 Class E-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Assigned Ba3 (sf) US$10,000,000 Class F-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class F-R Notes"), Assigned B1 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. CIFC VS Management LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. Prior to the refinancing closing date, CIFC Asset Management LLC, the former manager, assigned the CMA to CIFC VS Management LLC, the new manager and a wholly-owned subsidiary of CIFC Asset Management LLC. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on March 8, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on July 16, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. 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 August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $500,000,000 Defaulted Par: $0 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2924 Weighted Average Spread (WAS): 3.35% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.9 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 August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the assigned ratings. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2924 to 3363) Rating Impact in Rating Notches Class A-R: -1 Class B-R: -2 Class C-R: -2 Class D-R: -1 Class E-R: 0 Class F-R: 0 Percentage Change in WARF -- increase of 30% (from 2924 to 3801) Rating Impact in Rating Notches Class A-R: -1 Class B-R: -4 Class C-R: -4 Class D-R: -2 Class E-R: -1 Class F-R: -3 CIFC FUNDING 2018-I: Moody's Assigns Ba3 Rating to Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by CIFC Funding 2018-I, Ltd. Moody's rating action is: US$650,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$110,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$55,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$60,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$45,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. CIFC Funding 2018-I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans, first-lien last-out loans and unsecured loans. The portfolio is expected to be approximately 95% ramped as of the closing date. CIFC CLO Management II LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $1,000,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2908 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 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 August 2017. 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2908 to 3344) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2908 to 3780) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 CITIGROUP COMMERCIAL 2015-GC27: DBRS Confirms B on 2 Tranches ------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-GC27 issued by Citigroup Commercial Mortgage Trust 2015-GC27 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class X-B at A (sf) -- Class C at A (low) (sf) -- Class PEZ at A (low) (sf) -- Class X-E at BB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class X-F at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS's expectations since issuance. The collateral consists of 100 fixed-rate loans secured by 116 commercial properties, and as of the January 2018 remittance, there has been a collateral reduction of 1.9% since issuance. Loans representing 97.1% of the current pool balance are reporting YE2016 figures with a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.74 times (x) and 9.9%, respectively. The DBRS WA Term DSCR and WA debt yield at issuance were 1.45x and 8.1%, respectively. The largest 15 loans in the pool collectively represent 50.5% of the transaction balance and reported YE2016 or trailing-12-month financials showing a WA net cash flow (NCF) growth of 21.9% over the DBRS issuance NCF figures, with a WA in-place DSCR and WA debt yield of 1.76x and 9.5%, respectively. As of the January 2018 remittance, one loan, representing 0.5% of the current pool balance, is fully defeased. There are three loans on the servicer's watch list, representing 3.7% of the current pool balance; however, two of the loans, representing 1.1% of the pool, were flagged for minor issues in deferred maintenance. The largest watch list loan, Prospectus ID#6 – Whitman Square, which represents 2.6% of the current pool balance, was placed on the watch list because of the departure of a major collateral tenant, H. H. Gregg. There is one loan in special servicing, Prospectus ID #62 – GK Retail Portfolio, representing 0.5% of the current pool balance. The loan is with the special servicer after an unauthorized ownership transfer was completed. For additional information, please see the DBRS Loan Commentary for this loan in the DBRS Viewpoint platform. Classes X-A, X-B, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. COMM 2003-LNB1: Moody's Affirms C Rating on Class X-1 Certificates ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes in COMM 2003-LNB1 Commercial Mortgage Pass-Through Certificates: Cl. J, Affirmed Ca (sf); previously on Mar 9, 2017 Affirmed Ca (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on Class J was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class J has already experienced a 27% realized loss as a result of previously liquidated loans. The rating on the IO class, Class X-1, was affirmed based on the credit quality of referenced classes. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Moody's ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 4.5% of the original pooled balance, compared to 4.7% at the last review. Moody's provides a current list of base expected losses for conduit and fusion CMBS transactions on moodys.com at http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X-1 were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017". DEAL PERFORMANCE As of the February 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $9.6 million from $846.03 million at securitization. The certificates are collateralized by four mortgage loans. One loan, constituting 14% of the pool, has defeased and is secured by US government securities. There are no loans on the master servicer's watchlist and no loans currently in special servicing. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $39 million (for an average loss severity of 56%). The three remaining non-defeased loans present 86% of the pool. The largest loan is the Shaw's Merrimack Loan ($6.4 million -- 67.0% of the pool), which is secured by a 65,000 square foot (SF) grocery center located in Merrimack, New Hampshire. The property is leased to Shaw's Supermarket with a lease expiration in February 2024. The loan is fully amortizing and has paid down over 53% since securitization. Due to the single tenant exposure, Moody's value incorporated a lit/dark analysis. Moody's LTV and stressed DSCR are 65% and 1.65X, respectively. The second largest loan is the Walgreens Canton Mart Loan ($1.0 million -- 10.4% of the pool), which is secured by a 15,000 SF Walgreens store located in Jackson, Mississippi. The loan is fully amortizing and has paid down over 74% since securitization. Due to the single tenant exposure, Moody's value incorporated a lit/dark analysis. Moody's LTV and stressed DSCR are 27% and 3.77X, respectively. The third largest loan is the Walgreens Lake Harbour Loan ($0.8 million -- 8.5% of the pool), which is secured by a 14,400 SF Walgreens store located in Ridgeland, Mississippi. The loan is fully amortizing and has paid down over 71% since securitization. Due to the single tenant exposure, Moody's value incorporated a lit/dark analysis. Moody's LTV and stressed DSCR are 33% and 3.08X, respectively, compared to 41% and 2.48X at the last review. COMM 2007-FL14: Moody's Affirms Ba3 Rating on Class E Certs ----------------------------------------------------------- Moody's Investors Service has affirmed the ratings on eight classes in COMM 2007-FL14 Commercial Mortgage Pass-Through Certificates, Series 2007-FL14: Cl. E, Affirmed Ba3 (sf); previously on Mar 16, 2017 Affirmed Ba3 (sf) Cl. F, Affirmed Caa1 (sf); previously on Mar 16, 2017 Affirmed Caa1 (sf) Cl. G, Affirmed Caa2 (sf); previously on Mar 16, 2017 Affirmed Caa2 (sf) Cl. H, Affirmed Caa3 (sf); previously on Mar 16, 2017 Affirmed Caa3 (sf) Cl. J, Affirmed Caa3 (sf); previously on Mar 16, 2017 Affirmed Caa3 (sf) Cl. K, Affirmed Caa3 (sf); previously on Mar 16, 2017 Affirmed Caa3 (sf) Cl. X-3-SG, Affirmed Caa3 (sf); previously on Mar 16, 2017 Affirmed Caa3 (sf) Cl. X-5-SG, Affirmed Caa3 (sf); previously on Mar 16, 2017 Affirmed Caa3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss and recovery of principal from the remaining asset in the pool. The ratings on the IO classes were affirmed based on the credit quality of their referenced classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Cl. X-3SG and Cl. X-5SG were "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the February 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $40.9 million from $2.16 billion at securitization. The deal was originally structured to be modified pro-rata, however, based on the remaining collateral the deal now pays senior sequential to the remaining classes. Due to the original structure, classes F, G, H, J, and K, have paid down approximately 79% since securitization. Class K has had an aggregate realized loss of $212,000 and there are currently no interest shortfalls impacting the certificates. The certificates are collateralized by one loan, the New Jersey Office Portfolio loan, which is currently real estate owned (REO). The New Jersey Office Portfolio loan originally consisted of six office properties and one exhibit center located in Franklin Township, New Jersey, totaling 1.15 million square feet (SF). The portfolio is currently secured by three office buildings totaling 679,251 SF. Three office buildings and the exhibit center were sold between 2014 and 2017. All proceeds were used to paydown the debt and there are not any proceeds currently held in reserves. As of the January 2018 rent rolls, the portfolio was 59% leased, relatively unchanged from prior review. The special servicer is currently negotiating with the largest tenant of 500 Atrium Drive about extending its lease, which currently expires in 2024. The servicer is also marketing the remaining collateral for sale. The whole loan amount totals $67.9 million, which includes the Junior Participation balance of $19.1 million. COMM 2013-CCRE8: DBRS Confirms B(high) Rating on Class F Debt ------------------------------------------------------------- DBRS Limited confirmed all classes of COMM 2013-CCRE8 Mortgage Trust, as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SBFL at AAA (sf) -- Class A-SBFX at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at BBB (sf) -- Class E at BB (high) (sf) -- Class X-C at BB (low) (sf) -- Class F at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the pool consisted of 59 fixed-rate loans secured by 94 commercial properties. As of the January 2018 remittance, the pool has had a collateral reduction of 5.4% since issuance due to scheduled loan amortization, with a current outstanding trust balance of $1,310.5 million. As of the January 2018 remittance, five loans, representing 8.1% of the current pool balance, are fully defeased. At issuance, twelve loans, representing 35.6% of the pool balance, were structured with partial-term interest-only (IO) payments; as of the January 2018 remittance, all but one of those loans are now amortizing. Three loans were structured with full-term IO payments, including the largest and sixth largest loan, which reported a weighted-average (WA) YE2016 debt service coverage ratio (DSCR) of 2.51 times (x). There are 49 loans, representing 88.5% of the current pool balance, reporting YE2016 figures and these loans reported a WA DSCR and WA debt yield of 1.90x and 11.5%, respectively. The largest 15 non-defeased loans reported a WA YE2016 DSCR and debt yield of 1.92x and 9.7%, respectively, representing a WA 11.4% improvement in cash flows year over year. As of the January 2018 remittance, there are three loans, representing 1.8% of the pool balance, in special servicing and three loans, representing 2.2% of the pool balance, on the servicer's watch list for occupancy-related issues. For additional information on DBRS's perspective on these loans, please see the loan commentary on the DBRS Viewpoint platform, for which information is listed below. At issuance, DBRS shadow-rated the 375 Park Avenue loan (Prospectus ID#1, 15.9% of the current pool balance) and the Paramount Building loan (Prospectus ID#6, 4.2% of the current pool balance) investment grade. With this review, DBRS confirms that the performance of these loans remains consistent with investment-grade loan characteristics. Classes X-A, X-B and X-C are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. As part of this review, DBRS has provided updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction: -- 375 Park Avenue -- The Paramount Building -- Carlsbad Airport Corporate Center -- 11000 Equity Drive -- Georgetown MHC Portfolio -- DoubleTree Pittsburgh Airport -- Microtel Inn & Suites San Angelo A copy of the Affected Ratings is available at: http://bit.ly/2sqB2RM COMM 2014-UBS6: Fitch Affirms 'BB-sf' Rating on Cl. F Certs ----------------------------------------------------------- Fitch Ratings has affirmed 17 classes of COMM 2014-UBS6 pass-through certificates, which were issued by Deutsche Bank Securities, Inc. KEY RATING DRIVERS Specially Serviced Loans/Fitch Loans of Concern: There are currently four loans (2.9%) with the special servicer. The largest is the Cray Plaza loan (1.2%), which is secured by a 219,313-sf mixed-use property (office/retail/parking garage) located in St. Paul, MN. The loan transferred to special servicing in January 2017 due to imminent default as largest tenant Cray, Inc. (30% of the net rentable area) exercised a contractual termination option and vacated in April 2017. A receiver is in place as the servicer pursues foreclosure, which is expected to be completed by March 2019 after a six-month redemption period. The second largest loan in special servicing is the Scoop East Hampton loan (0.9%). The loan transferred to special servicing in September 2017 for imminent default. The property's sole tenant, fashion retailer ScoopNYC, went out of business and vacated in June 2016. According to the special servicer, the borrower has agreed to provide a consensual receivership with stipulated judgment of foreclosure and a deed in escrow. The other two loans in special servicing include a portfolio of two unflagged hotels in North Dakota's Bakken region (0.7%) and a mixed-use property in Brooklyn, NY (0.2%). A loan modification was agreed upon for the North Dakota portfolio, but the loan is once again in default. A receiver, with authority to sell the properties, is in place. For the mixed-use property in Brooklyn, foreclosure has been initiated. Six loans (13.4%) have been designated as Fitch Loans of Concern, including the four specially serviced loans. The largest Fitch Loan of Concern is also the largest loan in the pool. The Tops & Kroger Portfolio (8.4%) is secured by 11 anchored shopping centers, of which eight are anchored by Tops, which recently filed for Chapter 11 bankruptcy. Stable Performance: The affirmations are the result of mostly stable performance since issuance. With the exception of the specially serviced assets, all the loans in the pool continue to perform, with property-level performance generally in line with issuance expectations. Limited Amortization: The pool has amortized 2.6% since issuance. Loans representing 14.1% of the pool are interest-only for the full term. An additional 55.9% of the pool was structured with partial interest-only periods at issuance. As of the February 2018 remittance, 12 partial interest-only loans representing 19.6% of the pool had not yet begun amortizing. Non-Traditional Properties: The fourth largest loan in the pool (3.7% of the pool by balance) is secured by a portfolio of convenience stores and gas stations. There are three loans (6.6%), including two in the top 10 totaling 6.1%, that are secured by student housing properties. Additionally, two loans totaling 0.7% of the pool are secured by airport parking lots. RATING SENSITIVITIES The Rating Outlook for class E has been revised to Negative from Stable and the Rating Outlook for class F remains Negative due to concerns related to the four loans in special servicing and the two other Fitch Loans of Concern, including the Tops & Kroger Portfolio. The Rating Outlook on class X-D remains Negative as it references class F. Sustained underperformance of the specially serviced loans may warrant a rating downgrade; conversely, the Rating Outlooks may be revised to Stable should asset-level performance revert to levels seen at issuance. Rating Outlooks for classes A-1 through D remain Stable due to the otherwise stable performance of the pool. Rating downgrades are possible with significant performance decline. Rating upgrades, while not likely in the near term, are possible with increased credit enhancement and overall improved pool performance. Fitch has affirmed the rating and revised the Outlook on the following class: -- $12.8 million class E at 'BB+sf'; Outlook to Negative from Stable. Fitch affirms the following classes: -- $37.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $103.0 million class A-2 at 'AAAsf'; Outlook Stable; -- $22.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $97.4 million class A-SB at 'AAAsf'; Outlook Stable; -- $275 million class A-4 at 'AAAsf'; Outlook Stable; -- $337.7 million class A-5 at 'AAAsf'; Outlook Stable; -- $970.3 million interest-only class X-A at 'AAAsf'; Outlook Stable; -- $97.3 million class A-M at 'AAAsf'; Outlook Stable; -- $57.4 million class B at 'AA-sf'; Outlook Stable; -- $220 million class PEZ at 'A-sf'; Outlook Stable; -- $65.4 million class C at 'A-sf'; Outlook Stable; -- $122.8 million interest-only class X-B at 'AA-sf', Outlook Stable; -- $60.6 million interest-only class X-C at 'BBB-sf'; Outlook Stable; -- $33.5 million interest-only class X-D at 'BB-sf'; Outlook Negative; -- $60.6 million class D at 'BBB-sf'; Outlook Stable; -- $20.7 million class F at 'BB-sf'; Outlook Negative. Fitch does not rate the class G, H or X-E certificates. Class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for class A-M, B, and C certificates. CONNECTICUT AVE 2018-C01: DBRS Finalizes BB Ratings on 17 Tranches ------------------------------------------------------------------ DBRS, Inc. finalized the following provisional ratings on the Connecticut Avenue Securities (CAS), Series 2018-C01 notes (the Notes) issued by Fannie Mae: -- $384.2 million Class 1M-1 at BBB (high) (sf) -- $281.7 million Class 1M-2A at BBB (low) (sf) -- $281.7 million Class 1M-2B at BB (sf) -- $290.3 million Class 1M-2C at B (high) (sf) -- $853.7 million Class 1M-2 at B (high) (sf) -- $281.7 million Class 1A-I1 at BBB (low) (sf) -- $281.7 million Class 1E-A1 at BBB (low) (sf) -- $281.7 million Class 1A-I2 at BBB (low) (sf) -- $281.7 million Class 1E-A2 at BBB (low) (sf) -- $281.7 million Class 1A-I3 at BBB (low) (sf) -- $281.7 million Class 1E-A3 at BBB (low) (sf) -- $281.7 million Class 1A-I4 at BBB (low) (sf) -- $281.7 million Class 1E-A4 at BBB (low) (sf) -- $281.7 million Class 1B-I1 at BB (sf) -- $281.7 million Class 1E-B1 at BB (sf) -- $281.7 million Class 1B-I2 at BB (sf) -- $281.7 million Class 1E-B2 at BB (sf) -- $281.7 million Class 1B-I3 at BB (sf) -- $281.7 million Class 1E-B3 at BB (sf) -- $281.7 million Class 1B-I4 at BB (sf) -- $281.7 million Class 1E-B4 at BB (sf) -- $290.3 million Class 1C-I1 at B (high) (sf) -- $290.3 million Class 1E-C1 at B (high) (sf) -- $290.3 million Class 1C-I2 at B (high) (sf) -- $290.3 million Class 1E-C2 at B (high) (sf) -- $290.3 million Class 1C-I3 at B (high) (sf) -- $290.3 million Class 1E-C3 at B (high) (sf) -- $290.3 million Class 1C-I4 at B (high) (sf) -- $290.3 million Class 1E-C4 at B (high) (sf) -- $563.5 million Class 1E-D1 at BB (sf) -- $563.5 million Class 1E-D2 at BB (sf) -- $563.5 million Class 1E-D3 at BB (sf) -- $563.5 million Class 1E-D4 at BB (sf) -- $563.5 million Class 1E-D5 at BB (sf) -- $572.0 million Class 1E-F1 at B (high) (sf) -- $572.0 million Class 1E-F2 at B (high) (sf) -- $572.0 million Class 1E-F3 at B (high) (sf) -- $572.0 million Class 1E-F4 at B (high) (sf) -- $572.0 million Class 1E-F5 at B (high) (sf) -- $563.5 million Class 1-X1 at BB (sf) -- $563.5 million Class 1-X2 at BB (sf) -- $563.5 million Class 1-X3 at BB (sf) -- $563.5 million Class 1-X4 at BB (sf) -- $572.0 million Class 1-Y1 at B (high) (sf) -- $572.0 million Class 1-Y2 at B (high) (sf) -- $572.0 million Class 1-Y3 at B (high) (sf) -- $572.0 million Class 1-Y4 at B (high) (sf) The holders of Class 1M-2 may exchange for proportionate interests in Class 1M-2A, 1M-2B and 1M-2C (the Exchangeable Notes) and vice versa. Holders of the Exchangeable Notes may further exchange for proportionate interests in the Related Combinable or Recombinable Notes (the RCR Notes) and vice versa. Certain classes of the RCR Notes may be further exchanged for other classes of RCR Notes and vice versa. Classes 1M-2, 1A-I1, 1E-A1,1A-I2, 1E-A2, 1A-I3, 1E-A3, 1A-I4, 1E-A4, 1B-I1, 1E-B1, 1B-I2, 1E-B2, 1B-I3, 1E-B3, 1B-I4, 1E-B4, 1C-I1, 1E-C1, 1C-I2, 1E-C2, 1C-I3, 1E-C3, 1C-I4, 1E-C4, 1E-D1, 1E-D2, 1E-D3, 1E-D4, 1E-D5, 1E-F1, 1E-F2, 1E-F3, 1E-F4, 1E-F5, 1-X1, 1-X2, 1-X3, 1-X4, 1-Y1, 1-Y2, 1-Y3 and 1-Y4 are RCR Notes. Classes 1A-I1, 1A-I2, 1A-I3, 1A-I4, 1B-I1, 1B-I2, 1B-I3, 1B-I4, 1C-I1, 1C-I2, 1C-I3, 1C-I4, 1-X1, 1-X2, 1-X3, 1-X4, 1-Y1, 1-Y2, 1-Y3 and 1-Y4 are interest-only notes. The class balances represent notional amounts. The BBB (high) (sf) rating on the Notes reflect the 3.10% of credit enhancement provided by subordinated Notes in the pool. The BBB (low) (sf), BB (sf) and B (high) (sf) ratings reflect 2.44%, 1.78% and 1.10% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Notes in the transaction represent unsecured general obligations of Fannie Mae. The Notes are subject to the credit and principal payment risk of a certain reference pool (the Reference Pool) of residential mortgages held in various Fannie Mae–guaranteed mortgage-backed securities. The Reference Pool consists of 186,525 fully amortizing first-lien, fixed-rate mortgage loans (greater than 20 years) underwritten to a full documentation standard with original loan-to-value ratios greater than 60% and less than or equal to 80%. Payments to the Notes will be determined by the credit performance of the Reference Pool. Cash flow from the Reference Pool will not be used to make any payment to the Note holders; instead, Fannie Mae will be responsible for making monthly interest payments at the note rate and periodic principal payments on the Notes based on the actual principal payments it collects from the Reference Pool. This transaction is the 16th transaction in the CAS series where note write-downs are based on actual realized losses and not on a predetermined set of loss severities. Furthermore, unlike earlier CAS transactions where a credit event could occur as early as the date on which a mortgage becomes 180 or more days delinquent, for this transaction, a delinquent mortgage would typically need to go through the entire liquidation process for a credit event to occur. Fannie Mae is obligated to retire the Notes by July 2030 by paying an amount equal to the remaining class balance plus accrued and unpaid interest. The Notes also may be redeemed on or after (1) the date on which the Reference Pool pays down to less than 10% of its cut-off date balance or (2) the payment date in January 2028, whichever comes first. If there are unrecovered losses for any of the Notes as of the termination date, then Note holders are entitled to certain projected recovery amounts. DBRS notes the following strengths and challenges for this transaction: STRENGTHS -- Seller (or lender)/servicer approval process and quality control platform. -- Well-diversified reference pool. -- Strong alignment of interest. -- Strong structural protections. -- Extensive performance history. CHALLENGES -- Unsecured obligation of Fannie Mae. -- Representation and warranties framework. -- Limited third-party due diligence. CONNECTICUT AVE 2018-C02: Fitch Assigns Bsf Ratings to 19 Tranches ------------------------------------------------------------------ Fitch Ratings assigns the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities, series 2018-C02: -- $188,817,000 class 2M-1 notes 'BBB-sf'; Outlook Stable; -- $222,384,000 class 2M-2A exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2M-2B exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2M-2C exchangeable notes 'Bsf'; Outlook Stable; -- $667,152,000 class 2M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2A-I1 notional notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2A-I2 notional exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2A-I3 notional exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2A-I4 notional exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2B-I1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2B-I2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2B-I3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2B-I4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2C-I1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2C-I2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2C-I3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2C-I4 notional exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $222,384,000 class 2E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $222,384,000 class 2E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $222,384,000 class 2E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2X-1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2X-2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2X-3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2X-4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $444,768,000 class 2Y-1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2Y-2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2Y-3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $444,768,000 class 2Y-4 notional exchangeable notes 'Bsf'; Outlook Stable. The following classes will not be rated by Fitch: -- $25,308,153,117 class 2A-H reference tranche; -- $9,938,129 class 2M-1H reference tranche; -- $11,705,374 class 2M-AH reference tranche; -- $11,705,374 class 2M-BH reference tranche; -- $11,705,374 class 2M-CH reference tranche; -- $151,053,000 class 2B-1 notes; -- $7,951,103 class 2B-1H reference tranche; -- $132,503,421 class 2B-2H reference tranche. The notes are general senior unsecured obligations of Fannie Mae (AAA/Stable) subject to the credit and principal payment risk of the mortgage loan reference pools of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf' rating for the 2M-1 notes reflects the 3.75% subordination provided by the 0.88% class 2M-2A, the 0.88% class 2M-2B, the 0.88% class 2M-2C, the 0.60% class 2B-1 and its corresponding reference tranche, as well as the 0.50% 2B-2H reference tranche. Connecticut Avenue Securities, series 2018-C02 (CAS 2018-C02) is Fannie Mae's 25th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2018 for each of the government sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single-family mortgages. The CAS 2018-C02 transaction consists of 112,133 loans with loan-to-value (LTV) ratios greater than 80% and less than or equal to 97%. The notes are general senior unsecured obligations of Fannie Mae but are subject to the credit and principal payment risk of a pool of certain residential mortgage loans (reference pool) held in various Fannie Mae-guaranteed MBS. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, Fannie Mae will be responsible for making monthly payments of interest and principal to investors based on the payment priorities set forth in the transaction documents. Given the structure and counterparty dependence on Fannie Mae, Fitch's ratings on the 2M-1 and 2M-2 notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination; or Fannie Mae's Issuer Default Rating (IDR). The notes will be issued as uncapped LIBOR-based floaters and carry a 12.5-year legal final maturity. This will be an actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity (LS) schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification that will include both lost principal and delinquent or reduced interest. Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in Fitch current rating of Fannie Mae. However, if at some point, Fitch views the support as being reduced and receivership likely, Fannie Mae's ratings could be downgraded and the 2M-1,2M-2A,2M-2B, and 2M-2C notes' ratings affected. The 2M-1, 2M-2A, 2M-2B, 2M-2C and 2B-1 notes will be issued as LIBOR-based floaters. In the event that the one-month LIBOR rate falls below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating-rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating-rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high-quality mortgage loans acquired by Fannie Mae in 2Q17, 3Q17 and October 2017. The reference pool will consist of loans with LTV ratios greater than 80% and less than or equal to 97%. Overall, the reference pool's collateral characteristics are similar to recent CAS transactions and reflect the strong credit profile of post-crisis mortgage originations. Clean Pay History for Loans in Disaster Areas (Positive): Fannie Mae will not remove loans in counties designated as natural disaster areas by the Federal Emergency Management Agency (FEMA). However, any loans with a prior delinquency were removed from the reference pool, per the eligibility criteria. Therefore, all loans in the reference pool in the disaster areas have had clean pay histories since the occurrence of the natural disaster events. HomeReady Exposure (Negative): Approximately 12.5% of the reference pool was originated under Fannie Mae's HomeReady program, which targets low- to moderate-income homebuyers or buyers in high-cost or underrepresented communities, and provides flexibility for a borrower's LTV, income, down payment and mortgage insurance coverage requirements. Fitch anticipates higher default risk for HomeReady loans due to measurable attributes (such as FICO, LTV and property value), which is reflected in increased CE. 12.5-Year Hard Maturity (Positive): The notes benefit from a 12.5-year legal final maturity. Thus, any credit or modification events on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year hard maturity in its default analysis and applied a reduction to its lifetime default expectations. Solid Lender Review and Acquisition Processes (Positive): Fitch found that Fannie Mae has a well-established and disciplined process in place for the purchase of loans and views its lender-approval and oversight processes for minimizing counterparty risk and ensuring sound loan quality acquisitions as positive. Loan quality control (QC) review processes are thorough and indicate a tight control environment that limits origination risk. Fitch has determined Fannie Mae to be an above-average aggregator for its 2013 and later product. Fitch accounted for the lower risk by applying a lower default estimate for the reference pool. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will retain credit risk in the transaction by holding the 2A-H senior reference tranche, which has an initial loss protection of 4.50%, as well as the first loss 2B-2H reference tranche, sized at 0.50%. Fannie Mae is also retaining a vertical slice or interest of approximately 5% in each reference tranche (2M-1H, 2M-AH, 2M-BH, 2M-CH, 2B-1H and 2B-2H). Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in Fitch current rating of Fannie Mae. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the 2M-1, 2M-2A, 2M-2B, 2M-2C, and 2M-2 notes' ratings affected. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected sMVD. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 35% would potentially reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. CRESTLINE DENALI XVI: Moody's Assigns Ba3 Rating to Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Crestline Denali CLO XVI, Ltd. Moody's rating action is: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2030 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$48,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$22,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$18,000,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Crestline Denali XVI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of first-lien last-out loans, second lien loans and unsecured loans. The portfolio is approximately 95% ramped as of the closing date. Crestline Denali Capital, L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2911 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2911 to 3348) Rating Impact in Rating Notches Class A Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2911 to 3784) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 DRYDEN 41: Moody's Assigns B3(sf) Rating to Class F-R Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes (the "Refinancing Notes") issued by Dryden 41 Senior Loan Fund: Moody's rating action is: US$357,500,000 Class A-R Senior Secured Floating Rate Notes due 2031 (the "Class A-R Notes"), Assigned Aaa (sf) US$61,900,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned Aa2 (sf) US$28,350,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf) US$35,750,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf) US$25,300,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) US$8,250,000 Class F-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F-R Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. PGIM, Inc. (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on March 14, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on October 29, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of additional subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests and changes to the overcollateralization test levels. 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 August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $550,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2975 Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.1 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 August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2975 to 3421) Rating Impact in Rating Notches Class A-R: -1 Class B-R: -2 Class C-R: -2 Class D-R: -1 Class E-R: 0 Class F-R: 0 Percentage Change in WARF -- increase of 30% (from 2975 to 3868) Rating Impact in Rating Notches Class A-R: -1 Class B-R: -4 Class C-R: -4 Class D-R: -2 Class E-R: -1 Class F-R: -2 DT AUTO 2018-1: S&P Assigns BB(sf) Rating on $57MM Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to DT Auto Owner Trust 2018-1's $480 million asset-backed notes series 2018-1. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 67.0%, 61.7%, 51.5%, 43.1%, and 37.4% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our expected net loss range of 29.00%-30.00% for the class A, B, C, D, and E notes, respectively. Credit enhancement also covers cumulative gross losses of approximately 95.7%, 88.1%, 73.6%, 61.6%, and 53.5%, respectively, assuming a 30% recovery rate. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned ratings. -- S&P said, "Our expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would likely not be lowered, and the class D notes would likely remain within one category of our 'BBB (sf)' rating, all else being equal. The rating on class E would remain within two rating categories of our 'BB (sf)' rating during the first year, though it would ultimately default in the moderate ('BBB') stress scenario with approximately 72% principal repayment. These potential rating movements are consistent with our credit stability criteria." -- The collateral characteristics of the subprime pool being securitized, including a high percentage (approximately 77%) of obligors with higher payment frequencies (more than once a month), which S&P expects will result in a somewhat faster paydown on the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. RATINGS ASSIGNED DT Auto Owner Trust 2018-1 Class Rating Type Interest Amount rate (%) (mil. $) A AAA (sf) Senior 2.59 210.00 B AA (sf) Subordinate 3.04 57.00 C A (sf) Subordinate 3.47 87.00 D BBB (sf) Subordinate 3.81 69.00 E BB (sf) Subordinate 5.42 57.00 DT AUTO OWNER: DBRS Reviews 39 Ratings From 10 ABS Transactions --------------------------------------------------------------- DBRS, Inc., in mid-February 2018, reviewed 39 ratings from ten DT Auto Owner Trust U.S. structured finance asset-backed securities transactions. Of the 38 outstanding publicly rated classes reviewed, 17 were confirmed, 19 were upgraded and three classes were discontinued as a result of full repayment. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. A list of the Affected Ratings is available at: http://bit.ly/2tVASCN ECP CLO 2013-5: S&P Lowers Class D Notes Rating to B+(sf) --------------------------------------------------------- S&P Global Ratings raised its ratings on the class A-2 and B notes from ECP CLO 2013-5 Ltd. S&P said, "We also removed these ratings from CreditWatch, where we placed them with positive implications in January 2018. We affirmed our ratings on the class A-1 and C notes from the same transaction. At the same time, we lowered our ratings on the class D and E notes." The rating actions follow S&P's review of the transaction's performance using data from the February 2018 trustee report. The upgrades reflect the transaction's $190 million in paydowns to the class A-1 notes since our January 2016 rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios to all classes, except class D, since the December 2015 trustee report, which we used for our previous rating actions: -- The class A O/C ratio improved to 171.04% from 132.03%. -- The class B O/C ratio improved to 136.03% from 120.56%. -- The class C O/C ratio improved to 119.10% from 113.71%. -- The class D O/C ratio decreased to 106.21% from 107.73%. S&P said, "The portfolio's credit quality has deteriorated since our last rating actions. Collateral obligations with ratings in the 'CCC' category have increased, with $34.07 million reported as of the February 2018 trustee report, compared with $20.19 million reported as of the December 2015 trustee report. Over the same period, the par amount of defaulted collateral has increased to $9.86 million from $1.91 million. Additionally, the weighted average spread and the recovery rates have both declined since our prior review." The results of the cash flow analysis indicated a higher rating on the class B, C, and D notes. By the time the class A-1 and A-2 notes pay down, the credit enhancement currently available to support these notes may decline if the residual portfolio becomes concentrated with weaker credits. S&P assigned its ratings on these classes to maintain ratings cushion while the transaction continues to amortize. The cash flow results for the class E notes indicated a lower rating for this class. The O/C coverage tests are still passing and thus this class is not currently deferring on interest and is not at imminent risk of default. S&P lowered its rating on class E to 'CCC+ (sf)' to reflect the portfolio's deterioration since its prior review and the transaction's dependence on favorable economic conditions to continue to perform. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATINGS RAISED AND REMOVED FROM CREDITWATCH POSITIVE ECP CLO 2013-5 Ltd. Rating Class To From A-2 AAA (sf) AA (sf)/Watch Pos B AA (sf) A (sf)/Watch Pos RATINGS AFFIRMED ECP CLO 2013-5 Ltd. Class Rating A-1 AAA (sf) C BBB (sf) RATINGS LOWERED ECP CLO 2013-5 Ltd. Rating Class To From D B+ (sf) BB (sf) E CCC+ (sf) B- (sf) EXETER AUTOMOBILE 2018-1: DBRS Finalizes (P)BB Rating on E Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Series 2018-1 notes issued by Exeter Automobile Receivables Trust 2018-1 (the Issuer): -- $261,640,000 Class A Notes rated AAA (sf) -- $86,240,000 Class B Notes rated AA (sf) -- $81,020,000 Class C Notes rated A (sf) -- $92,060,000 Class D Notes rated BBB (sf) -- $29,040,000 Class E Notes rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. The transaction benefits from credit enhancement in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Exeter Finance LLC's (Exeter) capabilities with regard to originations, underwriting, servicing and ownership by The Blackstone Group L.P.; Navigation Capital Partners, Inc.; and Goldman Sachs Vintage Fund. -- DBRS has performed an operational review of Exeter and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- Exeter's senior management team has considerable experience and a successful track record within the auto finance industry. -- The credit quality of the collateral and performance of Exeter's auto loan portfolio. -- A third-party entity that is unaffiliated with Exeter purchased a pool of automobile loan contracts from Exeter and is subsequently selling certain of those contracts to EFCAR LLC, the depositor, to be included as collateral in the transaction. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with Exeter, that the trust has a valid first-priority security interest in the assets and the consistency with the DBRS methodology 'Legal Criteria for U.S. Structured Finance.' FREMF 2017-K63: Fitch Affirms 'BB+sf' Rating on Class C Certs ------------------------------------------------------------- Fitch Ratings has affirmed eight classes of FREMF 2017-K63 multifamily mortgage pass-through certificates and five classes of Freddie Mac structured pass-through certificates series K-063. KEY RATING DRIVERS Stable Performance: The affirmations are based on the overall stable performance of the underlying collateral with no material changes to pool metrics since issuance. There are no delinquent or specially serviced loans. As of the February 2018 distribution date, the pool's aggregate balance has been reduced by 0.1% to $1.518 billion from $1.520 billion at issuance. One loan (7.3% of pool) is on the servicer's watchlist due to deferred maintenance and is not considered a Fitch Loan of Concern. Higher Leverage: The pool's Fitch stressed debt service coverage and loan-to-value ratios at issuance were 0.96x and 121.7%, respectively, which represents higher leverage than the Fitch-rated Freddie Mac 10-year 2016 averages of 1.04x and 117.3%. Pool and Loan Concentrations: The top 10 loans represent 39.2% of the pool, which is slightly higher than the Fitch-rated Freddie Mac 10-year 2016 average of 37.3%. The largest loan in the pool, Enclave at Adobe Creek, represents 7.3% of the pool, while the second largest loan, Sherwood Apartments, represents 4% of the pool. Amortization: The pool is scheduled to amortize by 11.2% of the initial pool balance prior to maturity, which is better than the Fitch-rated Freddie Mac 10-year 2016 average of 10.6%. Three loans (3.8%) are full-term interest-only and 37 loans (88.1%) are partial interest-only. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to overall stable pool performance and expected continued paydown. Future upgrades may occur with improved pool performance and additional paydown or defeasance. Downgrades, although not likely in the near term, may be possible should overall performance decline significantly. Fitch has affirmed the following ratings: FREMF 2017-K63 Multifamily Mortgage Pass-Through Certificates: -- $158.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $1.06 billion class A-2 at 'AAAsf'; Outlook Stable; -- $83.6 million class A-M at 'Asf'; Outlook Stable; -- $1.2 billion class X1* at 'AAAsf'; Outlook Stable; -- $83.6 million class XAM* at 'Asf'; Outlook Stable; -- $1.2 billion class X-2A* at 'AAAsf'; Outlook Stable; -- $60.8 million class B at 'BBBsf'; Outlook Stable; -- $38 million class C at 'BB+sf'; Outlook Stable. *Notional amount and interest-only. Fitch does not rate the class D, X-2B and X3 certificates. GALAXY LTD XX: Moody's Assigns Ba3 Rating to Class E-R Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes (the "Refinancing Notes") issued by Galaxy XX CLO, Ltd.: Moody's rating action is: US$6,000,000 Class X Senior Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$361,600,000 Class A-R Senior Floating Rate Notes due 2031 (the "Class A-R Notes"), Assigned Aaa (sf) US$62,200,000 Class B-R Senior Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned Aa2 (sf) US$27,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf) US$18,900,000 Class D-1-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D-1-R Notes"), Assigned Baa3 (sf) US$18,900,000 Class D-2-R Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D-2-R Notes"), Assigned Baa3 (sf) US$31,200,000 Class E-R Deferrable Junior Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. PineBridge Investments LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on March 14, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on June 25, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. 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 August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $564,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2856 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 5.10% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.1 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 August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2856 to 3284) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -2 Class D-1-R Notes: -1 Class D-2-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (from 2856 to 3713) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -4 Class C-R Notes: -4 Class D-1-R Notes: -2 Class D-2-R Notes: -2 Class E-R Notes: -1 GE COMMERCIAL 2005-C1: DBRS Lowers Cl. E Certs Rating to 'C' ------------------------------------------------------------ DBRS Limited downgraded the ratings on two classes of the Commercial Mortgage Pass-Through Certificates, Series 2005-C1 issued by GE Commercial Mortgage Corporation, Series 2005-C1, as follows: -- Class D to CCC (sf) from A (low) (sf) -- Class E to C (sf) from CCC (sf) In addition, DBRS confirmed the ratings on the following classes: -- Class F at C (sf) -- Class G at C (sf) None of the ratings carry trends. Classes E, F and G also have the Interest in Arrears designation. The rating downgrades to Class D and Class E reflect the increase in expected losses to the trust for the Lakeside Mall loan (Prospectus ID#1 – 89.3% of the current pool balance), that is currently in special servicing. The pari passu loan transferred to the special servicer in May 2016, for imminent maturity default. The sponsor, GGP Inc., has since surrendered title and the subject property became real estate owned in August 2017. Cash flows have been sustained well below issuance levels since 2010, and the property continues to experience downward-trending tenant sales with elevated competition in the market. As a result, the property value has declined significantly since issuance. The first appraisal obtained by the special servicer, dated July 2016, valued the property at $107.5 million. However, less than one year later, a February 2017 valuation estimated the property's as-is value at $82.4 million and a subsequent August 2017 appraisal estimated the property's value at $43.9 million. This compares with the whole loan exposure for this loan as at the January 2018 remittance of approximately $135.0 million. The trust piece represents approximately 49.7% of the whole loan balance, with the other piece held in the COMM 2005-LP5 trust not rated by DBRS. As at the January 2018 remittance, the transaction experienced a collateral reduction of 95.6% with two of the original 127 loans outstanding and a current trust balance of $73.1 million. The Versatile Warehouse loan represents the remaining 10.7% of the pool balance and is scheduled to mature in February 2020. This loan has exhibited stable performance year over year, reporting a year-end (YE) 2016 debt service coverage ratio of 2.02 times (x) compared with 1.55x at YE2015. GMAC COMMERCIAL 2004-C3: Fitch Affirms Bsf Rating on Class D Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of GMAC Commercial Mortgage Securities, Inc., series 2004-C3 commercial mortgage pass-through certificates. KEY RATING DRIVERS Deal Concentration: The deal is highly concentrated with only four loans remaining. The largest loan represents 76.5% of the current pool balance and is secured by an office property with over 50% of the NRA scheduled to roll prior to maturity. The majority of leases in place are local or federal government tenants. Fitch conducted a market analysis with respect to the largest loan in the pool, including an analysis of rent and sales comparisons, to determine a realistic recovery scenario. Collateral Quality: While the largest loan is secured by an asset that is mainly leased to government tenants, the overall quality of the remaining collateral securitizing the bonds is considered to be below investment grade. Extended Maturity Profile: The most senior class receives approximately $167,000 in scheduled principal each month. The largest loan is scheduled to mature in 2019; however, 19.5% of the outstanding collateral debt is fully amortizing and not scheduled to mature until 2024 at the earliest. RATING SENSITIVITIES The Outlooks for classes B, C and D remain Stable. Although class C is likely to become the first pay piece in the next 15 months, there is concern that this class could experience interest shortfall if the largest loan transfers to special servicing. While Fitch does not view losses to class E as probable, losses are considered possible given minimal credit support and the concentrated lease expirations at the property securing the largest loan. This class may be downgraded should loss projections change or realized losses occur. Alternatively, this class and others may be upgraded should the largest loan in the pool successfully refinance. Fitch has affirmed the following ratings: -- $2.5 million class B at 'AAAsf'; Outlook Stable; -- $14.1 million class C at 'Asf'; Outlook Stable; -- $20.3 million class D at 'Bsf'; Outlook Stable; -- $12.5 million class E at 'CCCsf'; RE 100%; -- $4.8 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1, A-1A, A-2, A-3, A-4, A-AB, A-5 and A-J certificates have been paid in full. Fitch does not rate the class P certificate. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. GS MORTGAGE 2013-G1: DBRS Confirms BB Rating on Class DM Certs -------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2013-G1 issued by GS Mortgage Securities Trust 2013-G1 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (low) (sf) -- Class DM at BB (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. The collateral consists of three fixed-rate loans secured by two outlet malls (Great Lakes Crossing Outlets and Katy Mills) and one regional mall (Deptford Mall). The three properties are located in established suburban markets outside of Detroit, Michigan; Houston, Texas; and Philadelphia, Pennsylvania, respectively. As at the January 2018 remittance, all loans are reporting year-to-date figures for 2017, with a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 3.00 times (x) and 14.6%, respectively, which is relatively in line with the YE2016 WA DSCR and WA debt yield of 2.98x and 14.6%, respectively. The three loans report an aggregate outstanding principal balance of $528.3 million as at the January 2018 remittance, representing a collateral reduction of 7.1% from issuance as a result of scheduled loan amortization on the Great Lakes Crossing Outlets and Deptford Mall loans, as the Katy Mills loan is interest-only (IO) for the entire term. At issuance, DBRS shadow-rated all three loans as investment grade. With this review, DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Overall, the collateralized properties are well established in their respective markets and have satisfactory in-line sales performance, high-quality sponsorship and low-leverage financing. Class X-A is an IO certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. GS MORTGAGE 2015-GC28: DBRS Confirms BB Rating on Class X-C Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-GC28 issued by GS Mortgage Securities Trust 2015-GC28 as follows: --Class A-1 at AAA (sf) --Class A-2 at AAA (sf) --Class A-3 at AAA (sf) --Class A-4 at AAA (sf) --Class A-5 at AAA (sf) --Class A-AB at AAA (sf) --Class A-S at AAA (sf) --Class X-A at AAA (sf) --Class X-B at AA (high) (sf) --Class B at AA (sf) --Class C at A (low) (sf) --Class PEZ at A (low) (sf) --Class D at BBB (low) (sf) --Class X-C at BB (sf) --Class E at BB (low) (sf) --Class X-D at B (sf) --Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has been generally stable since issuance. As of the January 2018 remittance, all of the original 74 loans secured by 112 commercial properties remain in the pool, with an aggregate principal balance of approximately $894.4 million, representing a collateral reduction of 2.0% since issuance due to scheduled loan amortization. One loan, The View at Lake Highlands (Prospectus ID#29, 1.2% of the pool), has been fully defeased. To date, 66 loans, representing 89.2% of the pool, have reported partial-year 2017 financials, while 71 loans, representing 95.9% of the pool have reported YE2016 financials. Based on the most recent year-end financials available, the pool had a weighted-average (WA) debt service coverage ratio (DSCR) and a WA debt yield of 1.90 times (x) and 10.2%, respectively, compared to the DBRS Term DSCR and DBRS Debt Yield figures derived at issuance of 1.68x and 8.9%, respectively. Based on the same financials, the top 15 loans (51.0% of the pool) had a WA DSCR of 2.08x, compared to the WA DBRS Term DSCR figure of 1.68x, representing an 11.6% net cash flow growth over the DBRS issuance figures. As of the January 2018 remittance, there are no loans in special servicing and seven loans, representing 8.8% of the pool, on the servicer's watch list. Of the seven loans on the servicer's watch list, two loans (4.0% of the pool) were flagged for major casualty and deferred maintenance issues, four loans (4.2% of the pool) were flagged for delinquency and/or declining cash flow performance and one loan (0.6% of the pool) was flagged for upcoming tenant rollover. Kingwood Lakes Apartments (Prospectus ID#13) was placed on the servicer's watch list in April 2016 for deferred maintenance issues and continues to remain on the watch list due to damages suffered from a May 2017 fire and, later, from Hurricane Harvey in August 2017. There is one loan that DBRS believes should be on the servicer's watch list in Prospectus ID#2, Discovery Corporate Center (5.6% of the pool), as the servicer previously approved a loan modification in 2016 that paved the way for the property's current physical occupancy rate of approximately 30% as of November 2017. DBRS has asked the servicer if the loan will be placed on the watch list in the near term and has provided detailed commentary on this loan in the DBRS Viewpoint platform, for which information is provided below. Classes X-A, X-B, X-C, X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. GS MORTGAGE 2018-GS9: Fitch to Rate Class F-RR Certs 'B-sf' ----------------------------------------------------------- Fitch Ratings has issued a presale report on GS Mortgage Securities Trust 2018-GS9 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $14,060,000 class A-1 'AAAsf'; Outlook Stable; -- $24,558,000 class A-2 'AAAsf'; Outlook Stable; -- $120,000,000 class A-3 'AAAsf'; Outlook Stable; -- $411,127,000 class A-4 'AAAsf'; Outlook Stable; -- $29,946,000 class A-AB 'AAAsf'; Outlook Stable; -- $665,014,000a class X-A 'AAAsf'; Outlook Stable; -- $40,694,000a class X-B 'AA-sf'; Outlook Stable; -- $65,323,000 class A-S 'AAAsf'; Outlook Stable; -- $40,694,000 class B 'AA-sf'; Outlook Stable; -- $56,756,000 class C 'A-sf'; Outlook Stable; -- $41,765,000b class D 'BBB-sf'; Outlook Stable; -- $41,765,000ab class X-D 'BBB-sf'; Outlook Stable; -- $16,063,000bc class E 'BB-sf'; Outlook Stable; -- $9,638,000bc class F-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $26,772,038bc class G-RR; -- $30,428,580bd VRR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit-risk retention interest. (d) Vertical credit-risk retention interest. The expected ratings are based on information provided by the issuer as of March 7, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 228 commercial properties having an aggregate principal balance of $887,130,618 as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.5% of the properties by balance, cash flow analysis of 90.5%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool has slightly lower leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.27x is in line with the 2017 average of 1.26x and the YTD 2018 average of 1.27x. The pool's Fitch LTV of 97.9% is below the 2017 and YTD 2018 averages of 101.6% and 105.2%, respectively. Excluding credit opinion loans, the pool has a Fitch DSCR and LTV of 1.22x and 107.5%, respectively, compared with the normalized 2017 Fitch averages of 1.21x and 107.2%. Investment-Grade Credit Opinion Loans: Four loans received investment-grade credit opinions, including Apple Campus 3 (7.7% of pool by balance), Twelve Oaks Mall (7.5%), Worldwide Plaza (3.9%) and Starwood Lodging Hotel Portfolio (2.8%). The pool's credit opinion loan concentration of 21.9% is higher than the 2017 and YTD 2018 averages of 11.7% and 9.8%, respectively, for Fitch-rated multiborrower transactions. International Asset: One property, Esperanza (2.8% of the pool), is located in Mexico. The performance of this asset is exposed to macroeconomic and event risks associated with the sovereign. Fitch Ratings is addressing the country risk by limiting the highest achievable rating for this asset to a maximum of 'A', reflecting a three-notch uplift from Mexico's Local-Currency Issuer Default Rating (IDR), which is consistent with Fitch's "Structured Finance and Covered Bonds Country Risk Rating Criteria," dated September 2017. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 15.7% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the GSMS 2018-GS9 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. HALCYON LOAN 2014-2: Moody's Lowers Class E Notes Rating to Caa1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Halcyon Loan Advisors Funding 2014-2 Ltd.: US$82,500,000 Class A-2-R Senior Secured Floating Rate Notes Due April 2025, Upgraded to Aaa (sf); previously on April 28, 2017 Assigned Aa1 (sf) Moody's also downgrades the rating on the following notes: US$5,500,000 Class E Senior Secured Deferrable Floating Rate Notes Due April 2025, Downgraded to Caa1 (sf); previously on April 28, 2014 Definitive Rating Assigned B2 (sf) Moody's also affirmed the ratings on the following notes: US$220,000,000 Class A-1A-R Senior Secured Floating Rate Notes Due April 2025, Affirmed Aaa (sf); previously on April 28, 2017 Assigned Aaa (sf) US$110,000,000 Class A-1B-R Senior Secured Floating Rate Notes Due April 2025, Affirmed Aaa (sf); previously on April 28, 2017 Assigned Aaa (sf) US$38,500,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due April 2025, Affirmed A2 (sf); previously on April 28, 2017 Assigned A2 (sf) US$33,000,000 Class C Senior Secured Deferrable Floating Rate Notes Due April 2025, Affirmed Baa3 (sf); previously on April 28, 2014 Definitive Rating Assigned Baa3 (sf) US$27,500,000 Class D Senior Secured Deferrable Floating Rate Notes Due April 2025, Affirmed Ba3 (sf); previously on April 28, 2014 Definitive Rating Assigned Ba3 (sf) Halcyon Loan Advisors Funding 2014-2 Ltd., issued in April 2014 and refinanced in April 2017, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in April 2018. RATINGS RATIONALE The upgrade and affirmation rating actions reflect the benefit of the limited period of time remaining before the end of the deal's reinvestment period in April 2018, and the expectation that deleveraging will commence shortly. The downgrade rating action on the Class E notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including expected recoveries on current defaults, is $533 million which is $17 million less than the $550 million initial par amount targeted during the deal's ramp-up. Furthermore, the weighted average spread (WAS) of the underlying portfolio has been decreasing and based on the February 2018 trustee report, the current level is 3.87% which is failing the covenant of 3.90%. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 8) Exposure to assets with low credit quality and weak liquidity: The historical default rate of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Below is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2177) Class A-1A-R: 0 Class A-1B-R: 0 Class A-2-R: 0 Class B-R: +3 Class C: +3 Class D: +1 Class E: +3 Moody's Adjusted WARF + 20% (3265) Class A-1A-R: 0 Class A-1B-R: 0 Class A-2-R: -1 Class B-R: -2 Class C: -1 Class D: -1 Class E: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $526.3 million, defaulted par of $13.8 million, a weighted average default probability of 19.18% (implying a WARF of 2721), a weighted average recovery rate upon default of 47.85%, a diversity score of 70 and a weighted average spread of 3.88% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. HERTZ VEHICLE 2018-1: DBRS Finalizes (P)BB Rating on Cl. D Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the medium-term notes issued by Hertz Vehicle Financing II LP as follows: -- Series 2018-1, Class A Notes at AAA (sf) -- Series 2018-1, Class B Notes at A (sf) -- Series 2018-1, Class C Notes at BBB (sf) -- Series 2018-1, Class D Notes at BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement in the transaction is dynamic depending on the composition of the vehicles in the fleet and certain market value tests. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- The transaction parties' capabilities to effectively manage rental car operations and dispose of the fleet to the extent necessary. -- Collateral credit quality and residual value performance. -- The legal structure and its consistency with the DBRS "Legal Criteria for U.S. Structured Finance" methodology, the presence of legal opinions (to be provided) that address the treatment of the operating lease as a true lease, the non- consolidation of the special-purpose vehicles with The Hertz Corporation (rated BB (low) with a Negative trend by DBRS) and its affiliates and that the trust has a valid first- priority security interest in the assets. HPS LOAN 7-2015: S&P Assigns B(sf) Rating on Class F-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1R, B-R, C-R, D-R, E-R, and F-R replacement notes and the new class X-R notes from HPS Loan Management 7-2015 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by HPS Investment Partners CLO (US) LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of March 15, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the March 29, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. The replacement notes are being issued via a proposed supplemental indenture. Based on the provisions in the amended and restated indenture, the following changes will be made, among others: -- The replacement class A-1R, B-R, C-R, D-R, E-R, and F-R notes are expected to be issued at a lower spreads than the original notes. -- New class X-R and A-2R notes are being added. -- The replacement class A-1R, B-R, C-R, D-R, E-R, and F-R notes are expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity and weighted average life test date will be extended one year. -- 94.94% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 96.32% of the identified underlying collateral obligations have recovery ratings issued by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED HPS Loan Management 7-2015 Ltd./HPS Loan Management 7-2015 LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 2.00 A-1R AAA (sf) 281.00 A-2R NR 15.00 B-R AA (sf) 49.50 C-R A (sf) 36.60 D-R BBB- (sf) 25.50 E-R BB- (sf) 16.20 F-R B (sf) 11.60 Subordinated notes NR 42.45 NR--Not rated. ICG US 2014-2: Moody's Assigns B3 Rating to Class F-RR Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes (the "Refinancing Notes") issued by ICG US CLO 2014-2, Ltd.: Moody's rating action is: US$4,000,000 Class X-RR Senior Term Notes due 2031 (the "Class X-RR Notes"), Assigned Aaa (sf) US$256,000,000 Class A-RR Senior Term Notes due 2031 (the "Class A-RR Notes"), Assigned Aaa (sf) US$44,000,000 Class B-RR Senior Term Notes due 2031 (the "Class B-RR Notes"), Assigned Aa2 (sf) US$21,200,000 Class C-RR Deferrable Mezzanine Term Notes due 2031 (the "Class C-RR Notes"), Assigned A2 (sf) US$26,800,000 Class D-RR Deferrable Mezzanine Term Notes due 2031 (the "Class D-RR Notes"), Assigned Baa3 (sf) US$20,000,000 Class E-RR Deferrable Junior Term Notes due 2031 (the "Class E-RR Notes"), Assigned Ba3 (sf) US$8,000,000 Class F-RR Deferrable Junior Term Notes due 2031 (the "Class F-RR Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. ICG Debt Advisors LLC -- Manager Series (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on March 8, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Notes") previously issued on August 27, 2014 (the "Original Closing Date") and April 17, 2017 (the "First Refinancing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Notes. In addition to the issuance of the Refinancing Notes a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. 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 August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Defaulted Par: $0 Diversity Score: 60 Weighted Average Rating Factor (WARF): 3004 Weighted Average Spread (WAS): 3.60% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 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 August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Refinancing Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Refinancing Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 3004 to 3455) Rating Impact in Rating Notches Class X-RR: 0 Class A-RR: -1 Class B-RR: -2 Class C-RR: -2 Class D-RR: -1 Class E-RR: 0 Class F-RR: 0 Percentage Change in WARF -- increase of 30% (from 3004 to 3905) Rating Impact in Rating Notches Class X-RR: 0 Class A-RR: -1 Class B-RR: -4 Class C-RR: -4 Class D-RR: -2 Class E-RR: -1 Class F-RR: -2 IMSCI 2015-6: DBRS Confirms BB Rating on Class F Certificates ------------------------------------------------------------- DBRS Limited confirmed the ratings of the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-6 issued by Institutional Mortgage Securities Canada Inc., Series 2015-6 (the Trust): -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. DBRS does not rate the first loss piece, Class H. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the collateral consisted of 47 fixed-rate loans secured by 64 commercial properties. As of the January 2018 remittance, all loans remained in the pool with an aggregate principal balance of $300.6 million, representing a collateral reduction of 7.6% since issuance, as a result of scheduled loan amortization. To date, 37 loans (79.0% of the pool) reported YE2016 net cash flow (NCF) figures, while 46 loans (98.8% of the pool) reported YE2015 NCF figures. According to most recent year-end figures, the transaction had a weighted-average (WA) debt-service coverage ratio (DSCR) and WA debt yield of 1.48x times (x) and 10.7%, respectively, compared with the DBRS Term figures of 1.44x and 9.4%, respectively. The transaction is concentrated by loan borrower as 37 loans (65.1% of the pool) have related borrowers to one or more loans within the pool. The most significant concentration of related borrowers is associated with Econo-Malls Management Corporation, which is the borrower for 11 loans (14.8% of the pool) within the pool. Transaction-wide, 18 loans (47.9% of the pool) have either full or partial recourse to their respective borrowers. As of the January 2018 remittance, there are four loans (3.2% of the pool) on the servicer watch list. All four loans were placed on the watch list as a result of performance-related reasons. However, one loan, Hilton Garden Inn Dorval (Prospectus ID#11, 3.4% of the pool) recently underwent a $6.0 million property improvement plan ended in late 2016, and a 2016 performance is anticipated to be in line with issuance expectations. Based on the most recent financials, the three remaining watch listed loans (10.6% of the pool) had a WA DSCR of 0.81x, compared with 0.99x at YE2015 and the DBRS Term figure of 1.38x. At issuance, DBRS assigned an investment-grade shadow rating to three loans, South Hill Shopping Centre (Prospectus ID#2, 6.6% of the pool), U-Haul SAC 3 Portfolio (Prospectus IDs#33, 35, 36, 37, 41, 43, 44, 45, 46 and 47; 5.7% of the pool) and Markham Town Square (Prospectus ID#8, 3.5% of the pool). DBRS confirmed that the performance of these loans remains consistent with investment-grade loan characteristics. Class X is an interest-only (IO) certificate that references multiple rated tranches. The rating assigned to Class X materially deviates from the lower rating implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviation for Class X is warranted, as consideration was given for actual loan, transaction and sector performance where a rating based on the lowest-rated notional class may not reflect the observed risk. INTOWN HOTEL 2018-STAY: DBRS Finalizes 'B' Rating on Cl. G Certs ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-STAY issued by InTown Hotel Portfolio Trust 2018-STAY (the Issuer): -- Class A at AAA (sf) -- Class X-CP at AA (low) (sf) -- Class X-FP at AA (low) (sf) -- Class X-NCP at AA (low) (sf) -- Class B at AAA (sf) -- Class C at AA (high) (sf) -- Class D at A (high) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (sf) All trends are Stable. The Class X-CP, Class X-FP and Class X-NCP balances are notional. The $471.0 million mortgage loan is secured by the fee interest in a portfolio of 85 economy, extended-stay hotels, totaling 10,764 keys, located in 18 different states across the United States. All of the hotels in the portfolio operate under the InTown Suites flag. The brand is owned by the loan sponsor, Starwood Capital Group Global LP (Starwood), which has substantial experience in the hotel sector and maintains considerable financial wherewithal. Starwood acquired the collateral assets in 2013 when it purchased the InTown Suites platform for $770.0 million from Kimco Realty Corporation, and in 2015 when it acquired the remaining 50 extended-stay properties from Mount Kellett Capital Management. Today, Starwood owns all 189 InTown Suites. The assets are entirely operated by affiliates of the loan sponsor, and as such, they do not incur management or franchise fees. Although there is a licensing agreement in place, it does not stipulate a separate fee. Since acquiring the portfolio in 2013 and 2015, Starwood has invested roughly $75.0 million ($7,010 per key) in capital expenditures across the collateral portfolio; of that, $42.5 million ($3,435 per key) was spent in 2015 and 2016 across 42 properties. The remaining assets have only received light updates as needed. As the full effect of the renovations at the 42 properties is realized, Starwood will determine if the remaining 43 should receive the same, partial or none of the same upgrades. The portfolio has an average age of 20 years, and many of the properties inspected by DBRS were generally dated, with some exhibiting deferred maintenance, resulting in low curb appeal. Such results can be attributed to the lack of investment across the portfolio as well as the consistently high occupancies at which the properties have operated. Since the hotels are not subject to formal franchise agreements, there will not be any required property improvement plans during the loan term. The loan is structured with ongoing furniture, fixtures and equipment reserves that will be collected at 5.0% of gross revenue on a monthly basis and are available for planned maintenance throughout the term. The collateral portfolio reports an average occupancy rate of 84.1% dating back to 2007, dropping to 78.7% in 2009, which was the trough of the Great Recession; however, the collateral represents one of the lowest price points in each respective market, offering value to its blue-collar guests and local demographic. While such high occupancy is likely unsustainable, many guests stay on-site for several months, as evidenced by the average length of stay across the portfolio of 92 days; this provides some additional stability compared with traditional limited- and full-service hotels. Although somewhat concentrated in the southeast region, the portfolio is geographically diverse and relatively granular, as the 85 hotel assets are located across 18 states. Texas has the highest concentration by allocated loan balance and number of hotels at 30.3% and 27, respectively. The next-largest state concentration is Florida, with eight hotels, which represents 12.7% of the total loan amount by allocated balance. No single hotel represents greater than 2.1% of the allocated loan balance. The loan sponsor, Starwood, has considerable experience in the hotel sector and is the sole owner of the InTown Suites brand as of 2015. The properties are wholly operated by sponsor affiliates, which allows for increased economic efficiencies, given the firm's vertical integration. The portfolio is concentrated by property type, as all properties are extended-stay hotels. Hotels have the highest cash flow volatility of all property types because of the relatively short lease/length of stay compared with commercial properties, as well as higher operating leverage. These dynamics can lead to rapidly deteriorating cash flow in a declining market and, with nationwide revenue per available room (RevPAR) in its eighth consecutive year of growth, relatively easy RevPAR gains appear to be gone. The portfolio also has a long historical background of high occupancy, with a ten-year average of 83.7% and a ten-year average RevPAR of $26.78. The portfolio consists solely of extended-stay hotels, which have a much more stable cash flow profile than traditional hotels. By virtue of offering limited housekeeping services and limited to essentially non-existent food and beverage outlets, keeping common areas small and not offering more than just basic amenities, the expense ratios of this product type are relatively low. As of the trailing 12 months to October 2017, the portfolio's net cash flow (NCF) margin was 54.8%. NCF margins for extended-stay hotels generally compare very favorably with traditional hotel properties, as high cash flow margins result in lower cash flow volatility, allowing the subject portfolio to withstand greater revenue declines than traditional lodging assets. A copy of the Affected Ratings is available at: http://bit.ly/2EAez9Q KKR CLO 13: Moody's Assigns B2 Rating to Class F-R Notes -------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes (the "Refinancing Notes") issued by KKR CLO 13 Ltd. (the "Issuer"): US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$47,000,000 Class B-1-R Senior Secured Floating Rate Notes due 2028 (the "Class B-1-R Notes"), Assigned Aa2 (sf) US$20,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$24,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$21,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned Ba3 (sf) US$7,000,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class F-R Notes"), Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. KKR Financial Advisors II, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on March 12, 2018 (the "Refinancing Date") in connection with the refinancing of certain classes of notes (the "Refinanced Original Notes") previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described below, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Below is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (from 3249 to 2599) Class A-1-R Notes: 0 Class B-1-R Notes: 1 Class C-R Notes: 4 Class D-R Notes: 2 Class E-R Notes: 1 Class F-R Notes: 2 Moody's Assumed WARF + 20% (from 3249 to 3899) Class A-1-R Notes: 0 Class B-1-R Notes: -3 Class C-R Notes: -2 Class D-R Notes: -2 Class E-R Notes: -1 Class F-R Notes: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $400,000,000 Defaulted par: $0 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3249 (corresponding to a weighted average default probability of 28.25% Weighted Average Spread (WAS): 3.48% Weighted Average Recovery Rate (WARR): 49.9% Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. MADISON PARK XXX: S&P Assigns Prelim B-(sf) Rating on Cl. F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XXX Ltd./Madison Park Funding XXX LLC's $190.90 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of March 9, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Madison Park Funding XXX Ltd./Madison Park Funding XXX LLC Class Rating Amount (mil. $) A NR 492.45 B AA (sf) 69.80 C (deferrable) A (sf) 44.70 D (deferrable) BBB- (sf) 45.90 E (deferrable) BB- (sf) 24.50 F (deferrable) B- (sf) 6.00 Subordinated notes NR 60.67 NR--Not rated. MARATHON CLO XI: Moody's Assigns Ba3 Rating to Class D Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Marathon CLO XI Ltd. Moody's rating action is: US$357,500,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$60,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$30,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$35,800,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$22,000,000 Class D Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Marathon CLO XI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 100% ramped as of the closing date. Marathon Asset Management, L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued 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 August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2900 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 5.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 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 August 2017. 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2900 to 3335) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2900 to 3770) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -4 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 MASTR ADJUSTABLE 2003-6: Moody's Cuts Ratings on 2 Tranches to B1 ----------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of two tranches from one transaction, backed by Alt-A RMBS loans, issued by MASTR Adjustable Rate Mortgages Trust 2003-6. Complete rating actions are: Issuer: MASTR Adjustable Rate Mortgages Trust 2003-6 Cl. 5-A-X, Downgraded to B1 (sf); previously on May 2, 2012 Downgraded to Ba1 (sf) Cl. 5-A-1, Downgraded to B1 (sf); previously on May 2, 2012 Downgraded to Ba1 (sf) RATINGS RATIONALE The ratings downgrade is due to the nonpayment of interest. As of January 2018 remittance report, Class Cl. 5-A-1 and Cl. 5-A-X have an outstanding interest shortfall of $48,060 and $2,212 respectively. The principal methodology used in rating MASTR Adjustable Rate Mortgages Trust 2003-6 Cl. 5-A-1 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating MASTR Adjustable Rate Mortgages Trust 2003-6 Cl. 5-A-X were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in February 2018 from 4.7% in February 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for 2018. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. 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. MCF CLO VI: S&P Assigns BB-(sf) Rating on $7.934MM Class E-U Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-U, B-U, C-U, D-U, and E-U upsize notes from MCF CLO VI LLC, a collateralized loan obligation (CLO) originally issued in 2017 that is managed by Madison Capital Funding LLC. At the same time, S&P affirmed its ratings on the class A-O, B-O, C-O, D-O, and E-O notes, as well as the combination notes. The upsize notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the upsize notes, will also: -- Change the name of the existing notes from class A, B, C, D, and E to A-O, B-O, C-O, D-O, and E-O. -- Increase the amount outstanding on the subordinate notes to $52.609 million from $40.770 million. -- Increase the amount outstanding on the combination notes to $149.255 million from $116.485 million. Along with the original composition, the class B-U, C-U, D-U, E-U, and half of the upsized subordinate notes will comprise the combination notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED MCF CLO VI LLC Class Rating Amount (mil. $) A-U AAA (sf) 61.890 B-U AA (sf) 8.888 C-U A (sf) 8.395 D-U BBB- (sf) 6.419 E-U BB- (sf) 7.934 RATINGS AFFIRMED MCF CLO VI LLC Class Rating Amount (mil. $) A-O AAA (sf) 188.000 B-O AA (sf) 27.000 C-O A (sf) 25.500 D-O BBB- (sf) 19.500 E-O BB- (sf) 24.100 Combination notes BBB-p (sf) 149.255 OTHER NOTES Class Rating Amount (mil. $) Subordinated notes NR 52.609 NR--Not rated. MORGAN STANLEY 2015-C23: Fitch Affirms B-sf Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) commercial mortgage pass-through certificates series 2015-C23. KEY RATING DRIVERS Overall Stable Performance: The affirmations are the result of overall stable pool performance, which reflects no material changes to pool metrics since issuance. As of the February 2018 distribution date, the pool's aggregate principal balance was reduced by 1.8% to $1.05 billion from $1.07 billion at issuance. All loans are current with no specially serviced loans since issuance. There are no defeased loans. No interest shortfalls are affecting any of the classes currently. Fitch Loans of Concern: Three loans (3.6% of the pool) have been designated Fitch Loans of Concern (FLOCs) due to recent property performance declines. The two largest FLOCs (3.1%) are secured by multifamily properties located in Midland, TX. Due to job losses in the nearby energy sector, the properties have suffered significant cash flow declines. While maintaining high occupancies of over 97%, the properties, which were built in 1981 and 1982, have offered both concessions and substantially lower rents in an effort to remain competitive. Further, operating expenses have also increased, driven by higher utilities, repairs and maintenance, and administrative costs. The remaining FLOC (0.5%) is secured by a 70,000 sf retail center located in Howell, MI, which has had occupancy issues. Fitch will continue to monitor these loans. Pool Concentrations: Multifamily (including mobile home parks) is the highest property type concentration at 26%, followed by retail at 25.2% and hotel at 16.3%. The highest state concentration is New York at 18.4% of the pool, including properties in four of the top 10 loans in the pool. High Hotel Exposure: Approximately 16.3% of the pool by balance, including three of the top 15 loans (11.1%), consists of loans secured by hotel properties. The three hotel properties in the top 15 are located in large markets, with two located in Midtown Manhattan (Hilton Garden Inn W. 54th Street and Fairfield Chelsea Inn) and the other located in downtown Atlanta, GA (Georgian Terrace). For hotel properties across the pool, Fitch applied an additional stress to, generally, the most recently reported full year NOI's to reflect the peaked performance outlook of the sector. Largest Loans in the Pool: The largest loan in the pool is a pari passu A-note secured by TKG 3 Retail Portfolio (7.6%), a portfolio of six retail centers (five anchored, one shadow anchored) totaling 1.4 million sf and spread across six tertiary markets in six different states. The two oldest properties (built in 1966 and 1973) were most recently renovated between 2013 and 2015. The remaining four properties were constructed between 1999 and 2006. Large tenants include Walmart (14.4% of NRA, through February 2020), Lowe's (9.2% of NRA, through November 2027) and BJ's Wholesale Club (8.1% of NRA, through January 2019). As of YTD September 2017, the servicer reported occupancy and NOI DSCR were 96.3% and 2.07x, respectively, for this interest only loan. The second largest loan in the pool is a pari passu A-note secured by 32 Old Slip Fee (6.3%), the leased fee interest in a parcel of land in the Financial East District of Downtown Manhattan. The lease has an initial term of 99 years and encompasses the entire block bound by Old Slip, South Street, Gouverneur Lane, and Front Street. The lease expires in April 2114 with two additional extension options of 25 years each. The site is improved by a 1.1 million sf, 36-story office building that was built in 1987 and subsequently renovated for $69 million in 2012 after Superstorm Sandy. As of YTD September 2017, the servicer reported NOI DSCR was 1.28x. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable due to the stable performance of the majority of the pool and continued expected amortization. Rating upgrades to classes B and below may occur with improved pool performance and additional paydown or defeasance. Downgrades, although not likely in the near term, may be possible should overall performance decline significantly. Fitch has affirmed the following ratings: -- $27.0 million class A-1 at 'AAAsf'; Outlook Stable; -- $122.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $67.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $230.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $285.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $732.0 million class X-A* at 'AAAsf'; Outlook Stable; -- $75.1 million class A-S at 'AAAsf'; Outlook Stable; -- $75.1 million class X-B* at 'AAAsf'; Outlook Stable; -- $60.3 million class B at 'AA-sf'; Outlook Stable; -- $182.4 million class PST at 'A-sf'; Outlook Stable; -- $46.9 million class C at 'A-sf'; Outlook Stable; -- $56.3 million class D at 'BBB-sf'; Outlook Stable; -- $24.1 million class E at 'BB-sf'; Outlook Stable; -- $10.7 million class F at 'B-sf'; Outlook Stable. *Notional amount and interest only. The class A-S, B and C certificates may be exchanged for class PST certificates, and class PST certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the class G, H, X-FG and X-H certificates. MSBAM TRUST 2014-C15: DBRS Confirms B(low) Rating on Class H Certs ------------------------------------------------------------------ DBRS Limited confirmed Commercial Mortgage Pass-Through Certificates, Series 2014-C15, issued by Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 (MSBAM Trust) as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PST at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at BB (low) (sf) -- Class X-C at B (sf) -- Class H at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance when the collateral consisted of 48 fixed-rate loans secured by 76 commercial properties. As of the January 2018 remittance, 47 loans remain in the pool with an aggregate principal balance of $1.03 billion, representing a collateral reduction of 4.3% since issuance as a result of the repayment of one loan and scheduled loan amortization. One loan, Campus Court (Prospectus ID#23, 1.0% of the original pool), was liquidated from the pool with no loss with the November 2017 remittance. There are currently five loans (11.9% of the pool) with remaining interest-only (IO) periods, ranging from 12 to 26 months, while four loans (23.0% of the pool) were structured with full IO terms. Four loans (9.0% of the pool) are secured by collateral that was fully defeased. To date, 45 loans (73.5% of the pool) reported partial-year 2017 financials, while 43 loans (96.0% of the pool) reported YE2016 financials. Based on the most recent year-end financial reporting, the transaction had a weighted-average (WA) debt service coverage ratio (DSCR) and WA Debt Yield of 2.15 times (x) and 13.3%, respectively, compared with the WA DBRS Term DSCR and WA DBRS Debt Yield of 1.75x and 10.4%, respectively. The pool is concentrated by property type, as 14 loans representing 27.0% of the pool, are secured by retail properties, five loans (22.5% of the pool) are secured by hotel properties, four loans (19.3% of the pool) are secured by office properties and 11 loans (16.4% of the pool) are secured by multifamily properties. By loan size, the pool is also concentrated, as the Top 15 loans represent 77.0% of the pool. Excluding defeasance, the Top 15 loans (based on most recent financials) reported a WA DSCR of 2.29x, compared with the WA DBRS Term DSCR of 1.90x, representing net cash flow growth of 23.1% over the DBRS figures. As of the January 2018 remittance, there are five loans (3.2% of the pool) on the servicer's watch list. Two loans (1.7% of the pool) were placed on the servicer's watch list with the January 2018 remittance and, to date, have no comments available. Based on the most recent financials, these two loans had a WA DSCR of 1.70x, compared with the WA DBRS Term DSCR of 1.16x. Of the remaining three loans on the watch list, two loans (0.9% of the pool) were flagged because of performance-related reasons, while one loan (0.5% of the pool) was flagged because of deferred maintenance. At issuance, DBRS assigned an investment-grade shadow rating on both the Arundel Mills & Marketplace (Prospectus ID#1, 14.2% of the pool) and the JW Marriott and Fairfield Inn & Suites (Prospectus ID#7, 4.7% of the pool) loans. DBRS confirms with this review that the performance of both loans remains consistent with investment-grade loan characteristics. Classes X-A, X-B and X-C are IO certificates that reference a single rated tranche or multiple rated tranches. The IO ratings mirror the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. The ratings assigned to Classes F, G and H materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given the sustainability of loan performance trends not demonstrated. MSC MORTGAGE 2012-C4: DBRS Confirms BB Rating on Class F Certs -------------------------------------------------------------- DBRS, Inc. confirmed all classes of MSC Mortgage Securities Trust, 2012-C4, as follows: -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class X-B at B (high) (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has performed as expected since issuance, when the pool consisted of 38 fixed-rate loans secured by 77 commercial properties. As of the January 2018 remittance, there has been a collateral reduction of 30.9% because of scheduled loan amortization and the successful repayment of eight loans since issuance. There are no loans with partial-term interest-only payments remaining, and all loans are now amortizing. There are 29 loans, representing 98.9% of the pool balance, reporting year-end (YE) 2016 net cash flow figures; these loans reported a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.72 times (x) and 12.9%, respectively compared with 1.67x and 12.5%, respectively, at YE2015. The top 15 loans are performing similarly and reported a WA YE2016 DSCR and WA debt yield of 1.69x and 12.6%, respectively. This represents a WA improvement over the DBRS cash flow figures of 16.2% for the loans in the top 15. The pool is concentrated with retail properties, which represent approximately 50% of the pool balance and include the two largest loans in the pool that are secured by regional malls. These two loans are sponsored by reputable regional mall operators, General Growth Partners (GGP) and Pennsylvania Real Estate Investment Trust (PREIT), and continue to report stable in-line occupancy rates of approximately 90.0%, with limited scheduled lease expirations in the upcoming 12 months. For additional information on DBRS's perspective on these loans, please see the loan commentary on the DBRS Viewpoint platform, for which information is listed below. As of the January 2018 remittance, there are four loans, representing 11.3% of the pool, on the servicer's watch list. The Independence Place - Fort Campbell loan (Prospectus ID#18; 1.9% of the issuance pool balance), which was previously with the special servicer, left the pool in February 2017. The resolution resulted in a ~$8.5 million loss; however, this was contained in the unrated Class H certificate. At issuance, DBRS shadow-rated the ELS Portfolio loan (Prospectus ID#5; 7.8% of the current pool balance) investment grade. With this review, DBRS confirms that the performance of that loan remains consistent with investment-grade loan characteristics. Classes X-A and X-B are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. NATIXIS 2018-TECH: DBRS Finalizes Prov. B(high) Rating on G Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-TECH issued by Natixis Commercial Mortgage Securities Trust 2018-TECH (the Issuer): -- Class A at AAA (sf) -- Class X-CP at AA (high) (sf) -- Class X-EXT at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class X-F at BB (low) (sf) -- Class G at B (high) (sf) All trends are Stable. The Class X-CP, Class X-EXT and Class X-F balances are notional. The subject loan is secured by a 626,233 sf complex comprising seven Class B office and research and development (R&D) buildings located in Santa Clara, California, just outside an area known as the Golden Triangle. Built between 1970 and 1998, the collateral is situated within the Scott Boulevard Corridor submarket, which is part of the greater South Bay/San Jose, California, market. The seven buildings that serve as loan collateral are spread across a 37.6-acre parcel of land and range in size from 46,338 sf to 200,000 sf. The site is improved with expansive landscaped areas and surface/garage parking for up to 1,880 vehicles. The property is currently 100.0% occupied and has been since 2009. Tenancy at the property is concentrated between two tenants: NVIDIA Corporation (NVIDIA), the largest tenant that leases 60.7% of the total net rentable area (NRA) and contributes 57.7% of the total DBRS Base Rent, and Huawei Technologies Co., Ltd. (Huawei), which occupies 39.3% of the total NRA and contributes 42.3% of the total DBRS Base Rent. NVIDIA has had a presence at the property — specifically, the 2880 Scott Boulevard building — since 1997, while Huawei has been in occupancy since 2009. Both tenants have shown strong commitment to the subject by having collectively invested approximately $14.0 million ($22.36 psf) into their respective build-outs. Furthermore, NVIDIA is in the process of converting the 99,800 sf of office space at the 2770-2800 Scott Boulevard property into additional lab space at a cost of $150 psf, or nearly $15.0 million. In addition to conventional office space, the collateral houses critical R&D facilities for both NVIDIA and Huawei, which utilize these specialized labs for research, design and implementation purposes across several sectors of both companies' product lines. The collateral ultimately serves a mission-critical role for both tenants. The loan is sponsored by Preylock Real Estate Holdings, LLC, a Los Angeles–based real estate investment and development firm that has acquired 1.0 million sf of commercial space since its inception, primarily in major West Coast submarkets. The company was founded by two of the guarantors for the loan, Brett Lipman and Farshid Shokouhi, who have substantial real estate experience in land acquisitions, asset management and development. The third guarantor for the loan, Ivan Reitman, is a well-known Hollywood producer and director who has been involved with many popular films, including Ghostbusters (1984). The guarantors have a combined net worth and liquidity of $225.3 million and $23.5 million, respectively, and no credit history of foreclosures, defaults or bankruptcies. Cushman & Wakefield has determined the as-is value of the property to be $261.2 million ($417 psf) based on a direct capitalization method utilizing a 6.0% overall cap rate. The DBRS value is substantially lower at $166.5 million ($266 psf) and was calculated by applying an 8.0% cap rate to the DBRS NCF, resulting in a DBRS LTV of 90.1%. While the DBRS LTV on the $150.0 million mortgage loan is relatively high, the leverage is reflected in the below-investment-grade last-dollar rating of B (high). The cumulative investment-grade-rated proceeds of $123.5 million reflect a more modest 74.2% DBRS LTV and represent just 51.4% of the purchase price. Further, the investment-grade exposure psf of $197 is considered very favorable compared with the five-year average sales price of $372 psf for properties in the surrounding area, according to Real Capital Analytics. The average sales price for the past 12 months is far higher at $553 psf and reflects the extremely high investor interest in the market, though these prices may ultimately be unsustainable. The property benefits from a favorable location in Santa Clara, which is part of Silicon Valley, the premier market for high-technology companies. The subject has favorable access and visibility, as it is located at the junction of Central Expressway and San Tomas Expressway, two highly trafficked thoroughfares that facilitate access to several demand generators in the local area. The collateral was in good physical condition and aesthetically appealing at the time of the DBRS site inspection. Although the improvements were built between 1970 and 1998, no significant deferred maintenance was noted at the site. It was evident that the facilities are well maintained because of the fact they house mission-critical R&D space for both NVIDIA and Huawei. The property has a concentrated tenant roster, with NVIDIA and Huawei leasing 100.0% of the total NRA. Of the seven buildings that serve as loan collateral, three are fully occupied by NVIDIA and the remaining four are leased to Huawei. Essentially, the subject property operates as a single-tenant office and R&D complex. Both tenants have been in occupancy for many years. NVIDIA has had a presence at the property since 1997, while Huawei has been at the site since 2009. Over the years, the tenants have renewed their leases and expanded their spaces on several occasions, demonstrating the subject's desirability and strong historical performance. More importantly, NVIDIA and Huawei appear to be growing their businesses and are financially sound, as indicated by recent performance results. NVIDIA's three leases at the property expire in 2020, 2021 and 2023 with a WA of 4.7 years remaining. The three leases expire well within the seven-year fully extended loan term. Additionally, the company recently built new 500,000 sf headquarters across the street from the collateral, increasing the risk of the tenant consolidating at another location upon lease expiry. Headquartered in Santa Clara, NVIDIA's need for additional office space has been increasing over the past few years as the company's various businesses have experienced substantial growth. The company currently employs nearly 5,000 employees in Santa Clara and plans to grow its payroll to 13,000 employees over the next five to seven years. Reportedly, NVIDIA is currently hiring 120 new engineers per month. NVIDIA is in the process of converting certain office space to additional labs at the property, including the $15.0 million reconfiguration of the 2770-2800 Scott Boulevard building. It is expected that the collateral's importance to NVIDIA's R&D efforts will continue to grow over time, while more corporate and administrative functions will be transitioned into the new headquarters across the street. Recently, NVIDIA entered into a direct lease with the landlord for 200,000 sf at the 2880 Scott Boulevard building, which the tenant had been subleasing from Renesas Electronics Corporation since 2013. Although R&D areas were off limits during the property tour, DBRS noted that most labs had specialized equipment and layouts that could potentially be difficult to re-tenant and may require considerable capital investment to reconfigure for alternate uses. The collateral serves a very unique market that is home to numerous technology companies that rely on specialized R&D spaces to conduct and grow their various business lines. If NVIDIA or Huawei vacate or reduce the size of their spaces, the sponsor could potentially find other similar tenants to occupy the buildings without necessarily having to convert every suite back to conventional office space. Classes X-CP, X-EXT and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. NCLST: Fitch Maintains Rating Watch Neg. on 17 Tranches of 12 Deals ------------------------------------------------------------------- Fitch Ratings maintains the Rating Watch Negative (RWN) on 16 tranches of 12 National Collegiate Student Loan Trusts (NCSLTs). The trusts were initially placed on RWN on Sept. 22, 2017 following the announcement by the Consumer Financial Protection Bureau (CFPB) of action taken against these NCSLTs on Sept. 18, 2017. There has been no significant update to the judgment. The CFPB proposed consent judgment, if confirmed, requires NCSLTs to pay a settlement amount of at least $19.1 million, depending on the results of an independent audit on the NCSLTs' portfolios. Additionally, on Dec. 17, 2017, the owners of the beneficial interests filed a motion for payment of legal fees and expenses in excess of $2.5 million. Legal proceedings are still pending; however, payment of such fees will also be allocated to each trust. KEY RATING DRIVERS CFPB Proposed Judgment On Sept. 14, 2017, the CFPB filed an action against the NCSLTs for illegal student loan debt collection. According to the CFPB, consumers were sued for private student loan debt that the companies could not prove was owed or which were too old to sue over. On Sept. 18, 2017, a proposed consent judgment was filed with the court to settle all matters in the dispute. Among other things, the proposed judgment requires an independent audit of all student loans in the NCSLTs' portfolios. Collections on any student loans identified by the audit to lack proper documentation or for which the statute of limitations has expired on the debt collection would have to cease. If the proposed judgment is confirmed, it may result, pending the outcome of a portfolio audit, in the NCSLTs making an aggregate payment of at least $19.1 million. The proposed consent judgment specifies that the payment is due within 10 days of the effective date of the judgment. Should this result in a lump-sum one-time cost being charged to the trust as a senior cost it may impair the ability of some of the trusts, depending on the number of trusts affected, to pay senior interest in a timely fashion, resulting in an event of default for the notes. If instead the payment is in some way distributed over time, for example by being advanced through an agent, by a reserving mechanism or other means, it will reduce the cash available to repay noteholders and thereby reduce the available protection. In addition, the outcome of the independent loan audit and the possible effect on the enforceability of underlying loan contracts is at this stage uncertain. As a result of all these factors, all the NCSLT trusts' notes with a non-distressed rating were placed on RWN. Fitch expects to resolve the Watch when additional clarity, including amount and allocation of payments among trusts, is available on this senior liability requested by the CFPB to the NCSLT trusts. RATING SENSITIVITIES Allocation of the settlement payment to one or a few NCSLTs trusts in a short period of time may result in multi-category downgrades on the affected trusts. Allocation of the payment across all trusts over a longer horizon may result in smaller downgrades or no rating actions. Fitch maintains RWN on the following: National Collegiate Student Loan Trust 2003-1: -- Class A-7 'BBsf'. National Collegiate Student Loan Trust 2004-1: -- Class A-3 'BBsf'. National Collegiate Student Loan Trust 2004-2/NCF Grantor Trust 2004-2: -- Class A-5-1 'BBsf'; -- Class A-5-2 'BBsf'. National Collegiate Student Loan Trust 2005-1/NCF Grantor Trust 2005-1: -- Class A-5-1 'BBsf'; -- Class A-5-2 'BBsf'. National Collegiate Student Loan Trust 2005-2/NCF Grantor Trust 2005-2 -- Class A-4 'BBBsf'. National Collegiate Student Loan Trust 2005-3/NCF Grantor Trust 2005-3: -- Class A-5-1 'Bsf'; -Class A-5-2 'Bsf'. National Collegiate Student Loan Trust 2006-1: -- Class A-4 'BBBsf'. National Collegiate Student Loan Trust 2006-2: -- Class A-3 'BBBsf'. National Collegiate Student Loan Trust 2006-3: -- Class A-4 'BBBsf'. National Collegiate Student Loan Trust 2006-4: -- Class A-3 'BBBsf'. National Collegiate Student Loan Trust 2007-1: -- Class A-3 'BBBsf'. National Collegiate Student Loan Trust 2007-2: -- Class A-2 'BBBsf'; ' -- Class A-3 'BBBsf'. NEW RESIDENTIAL 2018-1: DBRS Finalizes (P)B Ratings on 10 Tranches ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Notes, Series 2018-1 issued by New Residential Mortgage Loan Trust 2018-1 (NRMLT or the Trust): -- $527.7 million Class A-1 at AAA (sf) -- $527.7 million Class A-IO at AAA (sf) -- $527.7 million Class A-1A at AAA (sf) -- $527.7 million Class A-1B at AAA (sf) -- $527.7 million Class A-1C at AAA (sf) -- $527.7 million Class A1-IOA at AAA (sf) -- $527.7 million Class A1-IOB at AAA (sf) -- $527.7 million Class A1-IOC at AAA (sf) -- $561.7 million Class A-2 at AA (sf) -- $527.7 million Class A at AAA (sf) -- $34.0 million Class B-1 at AA (sf) -- $34.0 million Class B1-IO at AA (sf) -- $34.0 million Class B-1A at AA (sf) -- $34.0 million Class B-1B at AA (sf) -- $34.0 million Class B-1C at AA (sf) -- $34.0 million Class B-1D at AA (sf) -- $34.0 million Class B1-IOA at AA (sf) -- $34.0 million Class B1-IOB at AA (sf) -- $34.0 million Class B1-IOC at AA (sf) -- $28.0 million Class B-2 at A (sf) -- $28.0 million Class B2-IO at A (sf) -- $28.0 million Class B-2A at A (sf) -- $28.0 million Class B-2B at A (sf) -- $28.0 million Class B-2C at A (sf) -- $28.0 million Class B-2D at A (sf) -- $28.0 million Class B2-IOA at A (sf) -- $28.0 million Class B2-IOB at A (sf) -- $28.0 million Class B2-IOC at A (sf) -- $27.0 million Class B-3 at BBB (high) (sf) -- $27.0 million Class B3-IO at BBB (high) (sf) -- $27.0 million Class B-3A at BBB (high) (sf) -- $27.0 million Class B-3B at BBB (high) (sf) -- $27.0 million Class B-3C at BBB (high) (sf) -- $27.0 million Class B-3D at BBB (high) (sf) -- $27.0 million Class B3-IOA at BBB (high) (sf) -- $27.0 million Class B3-IOB at BBB (high) (sf) -- $27.0 million Class B3-IOC at BBB (high) (sf) -- $19.3 million Class B-4 at BB (high) (sf) -- $19.3 million Class B-4A at BB (high) (sf) -- $19.3 million Class B-4B at BB (high) (sf) -- $19.3 million Class B-4C at BB (high) (sf) -- $19.3 million Class B4-IOA at BB (high) (sf) -- $19.3 million Class B4-IOB at BB (high) (sf) -- $19.3 million Class B4-IOC at BB (high) (sf) -- $19.3 million Class B-5 at B (sf) -- $19.3 million Class B-5A at B (sf) -- $19.3 million Class B-5B at B (sf) -- $19.3 million Class B-5C at B (sf) -- $19.3 million Class B-5D at B (sf) -- $19.3 million Class B5-IOA at B (sf) -- $19.3 million Class B5-IOB at B (sf) -- $19.3 million Class B5-IOC at B (sf) -- $19.3 million Class B5-IOD at B (sf) -- $38.5 million Class B-7 at B (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC and B5-IOD are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA, B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 24.70% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (high) (sf), BB (high) (sf) and B (sf) ratings reflect 19.85%, 15.85%, 12.00%, 9.25% and 6.50% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 7,871 loans with a total principal balance of $700,853,695 as of the Cut-Off Date (January 1, 2018). As of the Statistical Calculation Date (December 1, 2017), the portfolio contains 8,110 loans with a total principal balance of $725,654,377. All of the following statistics regarding the mortgage loans in this press release are based on the Statistical Calculation Date. The loans are significantly seasoned with a weighted average age of 174 months. As of the Statistical Calculation Date, 89.4% of the pool is current, 9.4% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 1.2% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 61.6% and 70.7% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 41.7% modified loans. The modifications happened more than two years ago for 75.6% of the modified loans. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor IX LLC (NRZ), acquired the loans prior to the Closing Date in connection with the termination of various securitization trusts. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2018-1 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Statistical Calculation Date, 43.5% of the pool is serviced by Specialized Loan Servicing LLC (SLS), 34.9% by Ocwen Loan Servicing, LLC (Ocwen), 17.6% by Nationstar Mortgage LLC (Nationstar), 2.7% by Wells Fargo Bank (Wells Fargo) and 1.4% by PNC Mortgage (PNC). Nationstar will also act as the Master Servicer and the Special Servicer. The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any REO property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date. Unlike other seasoned re-performing loan securitizations, the Servicers in this transaction will advance principal and interest on delinquent mortgages to the extent such advances are deemed recoverable. The transaction employs a senior-subordinate, shifting interest cash flow structure that is enhanced from a pre-crisis structure. As of the Statistical Calculation Date, approximately 3.0%, 9.2% and 1.6% of the properties securing the loans in the pool are located in zip codes identified by the Federal Emergency Management Agency (FEMA) as having been affected by Hurricane Harvey, Hurricane Irma or the California Wildfires, respectively. The seller will provide a representation and warranty that, to its knowledge, properties have no damage/condemnation that materially adversely affects the value of the property and is expected to repurchase loans that breach this representation. DBRS ran additional scenario analyses to stress the FEMA loans and test that the rated bonds can withstand further property value declines. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historical NRMLT securitizations have exhibited fast voluntary prepayment rates and satisfactory deal performance. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien, payment history and data integrity. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. PALMER SQUARE 2018-1: S&P Assigns Prelim BB-(sf) Rating on D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2018-1 Ltd./Palmer Square CLO 2018-1 LLC's $460.0 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of March 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Palmer Square CLO 2018-1 Ltd./Palmer Square CLO 2018-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 315.00 A-2 AA (sf) 65.00 B (deferrable) A (sf) 30.00 C (deferrable) BBB- (sf) 25.00 D (deferrable) BB- (sf) 25.00 Subordinated notes NR 49.90 NR--Not rated. PARALLEL LTD 2018-1: Moody's Assigns Ba3 Rating to Class D Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Parallel 2018-1 Ltd. Moody's rating action is: US$260,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$42,200,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$22,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Assigned A2 (sf) US$27,800,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf) US$16,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Parallel 2018-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, unsecured loans and first-lien last out loans. The portfolio is approximately 80% ramped as of the closing date. DoubleLine Capital LP (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. 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. Together with the set of modeling assumptions above, Moody's conducted an additional sensitivity analysis, which was a component in determining the ratings assigned to the Rated Notes. This sensitivity analysis includes increased default probability relative to the base case. Below is a summary of the impact of an increase in default probability (expressed in terms of WARF level) on the Rated Notes (shown in terms of the number of notch difference versus the current model output, whereby a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (from 2850 to 3278) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -4 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 PREFERREDPLUS TRUST: Moody's Cuts Ser. CZN-1 Certs. Rating to Caa1 ------------------------------------------------------------------ Moody's Investors Service announced that it has downgraded the rating of the following certificates issued by PREFERREDPLUS Trust Series CZN-1: US$34,500,000 PREFERREDPLUS Trust Series CZN-1 Certificates, Downgraded to Caa1; previously on November 6, 2017 Downgraded to B3 RATINGS RATIONALE The rating action is a result of the change in the rating of 7.05% Debentures due October 01, 2046 issued by Frontier Communications Corporation ("Underlying Securities") which was downgraded to Caa1 on March 7, 2018. The transaction is a structured note whose ratings are based on the rating of the Underlying Securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in this rating was "Moody's Approach to Rating Repackaged Securities" published in June 2015. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The ratings will be sensitive to any change in the rating of the 7.05% Debentures due October 01, 2046 issued by Frontier Communications Corporation. SAPPHIRE AVIATION I: Fitch to Rate Series C Notes 'BBsf' -------------------------------------------------------- Fitch Ratings expects to assign the following ratings and Outlooks to the notes concurrently issued from Sapphire Aviation Finance I Limited and Sapphire Aviation Finance I (US) LLC, together Sapphire Aviation Finance I (Sapphire I): -- $633,000,000 series A asset-backed notes 'Asf'; Outlook Stable; -- $97,000,000 series B asset-backed notes 'BBBsf'; Outlook Stable; -- $38,380,000 series C asset-backed notes 'BBsf'; Outlook Stable. Avolon will supply a small portion of the equity while the majority will be provided by third-party equity, which will maintain positions on the issuers' boards and will be involved in certain decisions regarding the aircraft. Fitch views this negatively since Avolon will have limited vested interest outside of servicing revenue. Additionally, the equity directors may make decisions that could prove detrimental to noteholders. However, Avolon is still retaining a small equity portion and has demonstrated its ability to efficiently service pools for third parties in the past, most recently for Avolon Capital Partners (ACP), a joint venture formed by Avolon and Wells Fargo, and Emerald Aviation Finance Limited (EAFL), Avolon's first ABS transaction. Therefore, Fitch expects Avolon to adequately service Sapphire I. Avolon's fleet grew substantially subsequent to the acquisition of CIT Group Inc.'s aircraft leasing business, including CIT Aerospace International (CITAI) in April 2017. The owned-fleet age increased along with this growth above Avolon's typical target of five years. In Fitch's opinion, Sapphire I is another strategy Avolon is utilizing to efficiently manage aging and is consistent with other recent sales to third parties. Fitch does not believe the pool represents any negative asset selection, and views the pool as liquid Tier 1 and 2 assets. The aircraft are consistent with recent Fitch-rated mid-life aircraft ABS. Aircraft will be transferred to either issuer during the purchase period, ending 270 days from closing. However, 15% of the total number of aircraft may be transferred from 270 days to 360 days from closing. Fitch views this negatively since the period is longer than most prior aircraft ABS. Initial cash flows may be lower in the first year if certain aircraft are not novated in a timely fashion. However, if any aircraft or replacements are not transferred, the applicable debt amount will be prepaid to noteholders from the acquisition account, offsetting this risk. On Feb. 22, 2018, Avolon announced a $250 million dividend to Bohai and amended its guarantee structure to eliminate potential subordination among its debut-issuing entities. A new covenant was also announced limiting future dividends and shareholder payments within certain thresholds to mitigate risks associated with Bohai or HNA, specifically their ability to extract Avolon's capital for their own liquidity needs. Avolon's assets are formally segregated from Bohai and HNA, both viewed by Fitch as highly speculative credits. Despite risks with its parent, Fitch views Avolon's near-term liquidity as solid and does not believe ongoing Bohai/HNA concerns will affect Sapphire I. KEY RATING DRIVERS Strong Asset Quality: The pool is largely liquid, mid-life A320s and B737s with a 12-year WA age. However, A330s and B767s, prone to higher downtime and costs in remarketing events, comprise 38.5% of the pool. In addition, 43% of the aircraft will come off-lease between 2018 to 2020, although several have agreements or letters of intent (LOIs) executed for new leases or extensions. Weak Lessee Credit: Most of the initial pool's 30 airlines are either unrated or speculative-grade credits, typical of aircraft ABS. Fitch assumed unrated lessees would perform consistent with either a 'B' or 'CCC' Issuer Default Rating (IDR) to reflect default risk in the pool. Ratings were further stressed during future recessions and once aircraft reach Tier 3 classification. Technological Risk Exists: A320s and B737s face replacement from the A320neo and B737 MAX aircraft, both delivered in the past two years. Airbus will also introduce the A330neo later this year to replace current generation A330s. Replacement and competition from other variants are expected to pressure values over the next decade. Large operator bases and long replacement lead-time should insulate the aircraft from these risks. Adequate Structural Support: The amortization schedules, triggers and cash sweeps, in addition to LTVs, are all consistent with recent mid-life aircraft ABS. All series pay in full, when applying stressed cash flows commensurate with the ratings, prior to legal final maturity. Solid Servicer: Fitch considers Avolon a strong servicer, evidenced by its historical managed fleet and ABS performance. Fitch believes the company is in a solid financial position, despite ongoing liquidity concerns with its sole indirect shareholder, Bohai Capital Holdings Co., Ltd. (Bohai) and Bohai's majority owner, HNA Group Co., Ltd. (HNA), both unrated (NR) by Fitch. RATING SENSITIVITIES Due to the correlation between global economic conditions and the airline industry, the ratings may be impacted by global macro-economic or geopolitical factors over the remaining term of the transaction. Therefore, Fitch evaluated various sensitivity scenarios, which could affect future cash flows from the pool and recommended ratings for the notes. Increased competition, largely from newly established Asia-Pacific (APAC) lessors has contributed to declining lease rates in the aircraft leasing market. Additionally, certain variants have been more prone to value declines and lease rates due to oversupply issues. Fitch performed a sensitivity analysis assuming 15% and 25% decreases to Fitch's lease rate factor (LRF) curve for narrow and widebody aircraft, respectively, to observe the effect of declining lease rates on the pool. Lease rates in this scenario are well below market rates. The notes show slight sensitivity to this scenario and would potentially experience downgrades of one to three rating notches. Additionally, the SriLankan A330 accounts for a significant portion of the pool's contracted cash flow. SriLankan is in the process restructuring due to heavy debt burdens and weak operating performance. Additionally, the A330 is the youngest aircraft by a significant margin and will be the only aircraft remaining in the pool from 2031 to 2035 based on Fitch's useful life assumptions. In consideration of these risks, Fitch assumed an immediate default of SriLankan with extended repossession downtime, particularly considering Sri Lanka is a non-Cape Town country. Finally, Fitch considered a shorter 15-year useful life assumption with a 25% residual assumption. The notes show limited sensitivity to this scenario and are able to pay in full in scenarios commensurate with the expected ratings. Lastly, Fitch created a scenario to address risks associated with incoming replacement technology from Airbus and Boeing. In this scenario, Fitch utilized the lower of the mean and median (LMM) of appraised market values to determine each aircraft's value. Fitch additionally utilized a 25% residual assumption rather than the base level of 50% to stress end-of-life proceeds for each asset in the pool. Lease rates drop fairly significantly under this scenario and aircraft are essentially sold for scrap at the end of their useful lives. This sensitivity scenario is the most stressful to the structure and would result in multiple level downgrades to the notes. However, Fitch considers this scenario unlikely due to the large operator base of existing fleets and long lead-time for full replacement, particularly for current generation A320s and B737s. Fitch does not expect a significant effect from the neo or MAX variants until well into the next decade. SLM STUDENT 2008-9: Fitch Affirms 'Bsf' Ratings on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed the following ratings: SLM Student Loan Trust 2007-7 (SLM 2007-7) -- Class A-4 at 'Bsf'; Outlook Stable; -- Class B at 'Bsf'; Outlook Stable. SLM Student Loan Trust 2008-7 (SLM 2008-7) -- Class A-3 at 'AAAsf'; Outlook Stable; -- Class A-4 at 'Bsf'; Outlook Stable; -- Class B at 'Bsf'; Outlook Stable. SLM Student Loan Trust 2008-9 (SLM 2008-9) -- Class A at 'Bsf'; Outlook Stable; -- Class B at 'Bsf'; Outlook Stable. For SLM 2008-7, the class A-3 notes pass all credit and maturity stresses, and the rating is based on the model-implied rating. The SLM 2008-9 class A note and the SLM 2007-7 and SLM 2008-7 class A-4 notes miss their legal final maturity date under both Fitch's base cases. This technical default would result in interest payments being diverted away from class B notes, causing them to default as well. In affirming at 'Bsf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, and the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance for SLM 2007-7: Fitch assumes a default rate of 24.75% and a 74.25% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 4.5%, and a constant prepayment rate of 11.5% is used as the sustainable rate in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are 8.7%, 16.3%, and 19.7%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.03%, based on information provided by the sponsor. Collateral Performance for SLM 2008-7: Fitch assumes a default rate of 22.25% and a 66.75% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 4.0%, and a constant prepayment rate of 11.5% is used as the sustainable rate in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are 8.5%, 16.0%, and 20.4%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.06%, based on information provided by the sponsor. Collateral Performance for SLM 2008-9: Fitch assumes a default rate of 24.25% and a 72.75% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 4.3%, and a constant prepayment rate of 11.5% is used as the sustainable rate in cash flow modelling. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are 9.0%, 16.5%, and 20.3%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.06%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. For SLM 2007-7, approximately 7% of the student loans are indexed to T-Bill, and 93% are indexed to one-month LIBOR. For SLM 2008-7, approximately 6% of the student loans are indexed to T-Bill, and 94% are indexed to one-month LIBOR. For SLM 2008-9, approximately 3% of the student loans are indexed to T-Bill, and 97% are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and for the Class A notes, subordination. As of December 2017, total and senior parity ratios for SLM 2007-7 (including the reserve) are 100.42% (0.42% CE) and 115.43% (13.37% CE) respectively. Liquidity support is provided by a reserve sized at 0.25% of the pool balance, currently equal to the floor of $1,951,617. Cash is currently being released as total parity is at release level of 100%. For SLM 2008-7, total and senior parity ratios (including the reserve) are 101.34% (1.32% CE) and 112.55% (11.15% CE) respectively. Liquidity support is provided by the reserve, currently equal to the floor of $1,544,879. Cash is currently being released as total parity is at release level of 101.01%. For SLM 2008-9, total and senior parity ratios (including the reserve) are 104.49% (4.30% CE) and 115.57% (13.47% CE) respectively. Liquidity support is provided by the reserve, currently equal to the floor of $4,175,980. Cash is currently being released for this trust as total parity is at release level of 104.17%. Maturity Risk: Fitch's SLABS cash flow model indicates that the notes are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- CPR increase 100%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'. SLM STUDENT 2012-6: Fitch Affirms 'Bsf' Ratings on 2 Tranches ------------------------------------------------------------- Fitch Ratings has affirmed the ratings for SLM Student Loan Trust 2012-3 (SLM 2012-3) and SLM Student Loan Trust 2012-6 (SLM 2012-6) and revised the Outlook for the SLM 2012-3 Class B notes to Negative from Stable. SLM 2012-3 The Class A notes pass Fitch's 'AAAsf' credit and maturity stresses with sufficient hard credit enhancement (CE). The Negative Outlook for SLM 2012-3 Class B notes reflects Fitch's concerns on elevated defaults that are higher than Fitch's expectation and the recent parity dip below 101%, the transaction's release level and Fitch's 'AAsf' parity threshold. The concerns are partially offset by Fitch's expectation that trust's parity will build up when the pool factor reaches 40% within approximately one year and the reserve account is excluded from parity calculation. SLM 2012-3 The class A-3 notes are projected to miss their legal final maturity date under Fitch's base cases. This technical default would result in interest payments being diverted away from class B notes, causing them to default as well. In affirming at 'Bsf' rather than 'CCCsf' or below, Fitch has considered qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor, and the revolving credit agreement in place for the benefit of the noteholders, and the eventual full payment of principal in modelling. The trust has entered into a revolving credit agreement with Navient by which it may borrow funds at maturity in order to pay off the notes. Because Navient has the option but not the obligation to lend to the trust, Fitch cannot give full quantitative credit to this agreement. However, the agreement does provide qualitative comfort that Navient is committed to limiting investors' exposure to maturity risk. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance for SLM 2012-3: Fitch assumes a base case default rate of 27.0% and an 81.0% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 5.0% and a sustainable constant prepayment rate (voluntary and involuntary) of 12.0% based on data provided by the issuer. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The trailing-12-months (TTM) levels of deferment, forbearance and income-based repayment (prior to adjustment) are 9.2%, 16.8% and 18.5%, which are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.05%. Collateral Performance for SLM 2012-6: Fitch assumes a base case default rate of 19.8% and a 59.3% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 3.8% and a sustainable constant prepayment rate (voluntary and involuntary) of 13% based on data provided by the issuer. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) are 9.3%, 14.7% and 21.4%, which are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be 0.09%. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of January 2018, 96.6% and 99.7% of the FFELP loans in SLM 2012-3 and 2012-6 trust respectively have Special Allowance Payments (SAP) indexed to one-month LIBOR, with the remaining indexed to 91-day T-bill rate. All notes are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure for SLM 2012-3: CE is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. As of January 2018, the effective senior and total parity ratios (including reserve account) are 108.2% (7.6% CE) and 100.9% (0.9% CE), respectively. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance with a floor of $1,249,353, currently equal to $1,413,479. The transaction will release cash as long as the specified OC amount of 1% (including reserve until pool factor is below 40%, with a floor of $1.3 million) is maintained. Payment Structure for SLM 2012-6: CE is provided by OC, excess spread and for the class A notes, subordination. As of January 2018, the effective senior and total parity ratios (including reserve account) are 108.5% (7.9% CE) and 100.9% (0.9% CE), respectively. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance with a floor of $1,247,589, currently equal to $1,346,893. The transaction will release cash as long as the specified OC amount of 1% (including reserve until pool factor is below 40%, with a floor of $1.3 million) is maintained. Maturity Risk: Fitch's SLABS cash flow model indicates that the notes in SLM 2012-3 trust are paid in full on or prior to the legal final maturity dates under the commensurate rating scenario. The class A-3 notes in SLM 2012-6 trust do not pay off before their maturity date in all of Fitch's modelling scenarios, including the base cases. If the breach of the class A-3 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions and Pennsylvania Higher Education Assistance Agency. Fitch believes both entities to be acceptable servicers, due to its extensive track record as the servicer of FFELP loans. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results below should only be considered as one potential model-implied outcome, as the transaction is exposed to multiple risk factors that are all dynamic variables. Additionally, the results do not take into account any rating cap considerations. SLM 2012-3: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'AAAsf'; class B 'BBBsf'; -- Default increase 50%: class A 'AAAsf'; class B 'BBBsf'; -- Basis Spread increase 0.25%: class A 'AAAsf'; class B 'BBBsf'; -- Basis Spread increase 0.5%: class A 'AAAsf'; class B 'BBsf'. Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'AAAsf'; class B 'BBsf'; -- CPR increase 100%: class A 'AAAsf'; class B 'AAAsf'; -- IBR Usage decrease 50%: class A 'AAAsf'; class B 'AAsf'; -- IBR Usage increase 100%: class A 'AAAsf'; class B 'AAAsf'. SLM 2012-6: Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- CPR increase 100%: class A 'BBBsf'; class B 'BBBsf'; -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'. Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has taken the following rating actions: SLM 2012-3 -- Class A notes affirmed at 'AAAsf'; Outlook Stable; -- Class B notes affirmed at 'AAsf'; Outlook revised to Negative from Stable. SLM 2012-6 -- Class A-3 notes affirmed at 'Bsf'; Outlook Stable; -- Class B notes affirmed at 'Bsf'; Outlook Stable. UBS COMMERCIAL 2018-C9: Fitch to Rate Class F-RR Certificates B-sf ------------------------------------------------------------------ Fitch Ratings has issued a presale report on UBS Commercial Mortgage Trust 2018-C9 commercial mortgage pass-through certificates, series 2018-C9. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $17,267,000 class A-1 'AAAsf'; Outlook Stable; -- $37,271,000 class A-2 'AAAsf'; Outlook Stable; -- $37,671,000 class A-SB 'AAAsf'; Outlook Stable; -- $125,000,000d class A-3 'AAAsf'; Outlook Stable; -- $370,724,000d class A-4 'AAAsf'; Outlook Stable; -- $587,933,000b class X-A 'AAAsf'; Outlook Stable; -- $138,584,000b class X-B 'A-sf'; Outlook Stable; -- $56,693,000 class A-S 'AAAsf'; Outlook Stable; -- $41,995,000 class B 'AA-sf'; Outlook Stable; -- $39,896,000 class C 'A-sf'; Outlook Stable; -- $26,251,000ab class X-D 'BBB-sf'; Outlook Stable; -- $26,251,000a class D 'BBB-sf'; Outlook Stable; -- $18,894,000ac class D-RR 'BBB-sf'; Outlook Stable; -- $20,997,000ac class E-RR 'BB-sf'; Outlook Stable; -- $10,499,000ac class F-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $36,746,550ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. (d) The initial certificate balances of class A-3 and class A-4 are unknown and expected to be $495,724,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $75,000,000 to $175,000,000, and the expected class A-4 balance range is $320,724,000 to $420,724,000. The expected ratings are based on information provided by the issuer as of Feb. 12, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 43 loans secured by 112 commercial properties having an aggregate principal balance of $839,904,551 as of the cut-off date. The loans were contributed to the trust by: UBS AG, Ladder Capital Finance LLC, Societe Generale, and Cantor Commercial Real Estate Lending, L.P. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 75.1% of the properties by balance, cash flow analysis of 91.3% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions: The pool's leverage is higher than that of recent comparable Fitch-rated multiborrower transactions. The pool's Fitch DSCR is 1.14x, lower than the 2017 average of 1.26x. The pool's Fitch LTV is 107.4%, which is higher than the 2017 average of 101.6%. Similarly, excluding credit opinion loans, the pool's normalized Fitch DSCR and LTV are 1.13x and 108.6%, respectively, compared with the 2017 averages of 1.21x and 107.2%. Diverse Pool: The pool is slightly more diverse than recent Fitch-rated transactions. The top 10 loans make up 50.2% of the pool, less than the 2017 average of 53.1%. The pool's average loan size of $19.5 million is lower than the average of $20.2 million for 2017. The concentration results in an LCI of 377, less than the 2017 average of 398. Limited Amortization: Based on the scheduled balance at maturity, the pool is scheduled to pay down by 6.9%, which is below the 2017 and 2016 averages of 7.9% and 10.4%, respectively. Fifteen loans representing 48.3% of the pool are full-term, interest-only loans, a level greater than the 2017 and 2016 averages of 46.1% and 33.3%, respectively. Additionally, 15 loans, representing 27.6% of the pool, are partial-term, interest-only loans. High Single-Tenant Exposure: Ten loans, representing 27.5% of the pool, are designated full or partial single-tenant properties by Fitch, including six of the top 15 loans. Forty-one of the pool's 112 properties, representing 21.1% of the pool, are designated as single tenant properties by Fitch. The pool's single tenant concentration is above the 2017 and 2016 averages of 19.3% and15.7%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 9.9% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the UBS 2018-C9 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. UNITED AUTO 2018-1: DBRS Finalizes 'B' Rating on Cl. F Notes ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of notes issued by United Auto Credit Securitization Trust 2018-1 (UACST 2018-1): -- $78,840,000 Class A Notes rated AAA (sf) -- $21,470,000 Class B Notes rated AA (sf) -- $21,470,000 Class C Notes rated A (sf) -- $24,740,000 Class D Notes rated BBB (sf) -- $19,140,000 Class E Notes rated BB (sf) -- $6,070,000 Class F Notes rated B (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve account and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- United Auto Credit Corporation's (UACC) capabilities with regard to originations, underwriting and servicing, and the existence of an experienced and capable backup servicer. -- DBRS has performed an operational risk review of UACC and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The UACC senior management team has considerable experience and a successful track record within the auto finance industry. -- UACC successfully consolidated its business into a centralized servicing platform and has consolidated originations into two regional buying centers. UACC retained experienced managers and staff at the servicing center and buying centers. -- UACC continues to evaluate and fine-tune its underwriting standards as necessary. UACC has a risk management system allowing centralized oversight of all underwriting and substantial technology systems, which provide daily metrics on all originations, servicing and collections of loans. -- The credit quality of the collateral and performance of UACC's auto loan portfolio. -- UACC originates collateral that generally has shorter terms, higher down payments, lower book values and higher borrower income requirements than some other subprime auto loan originators. -- UACST 2018-1 provides for Class F Notes with an assigned rating of B (sf). While the DBRS "Rating U.S. Retail Auto Loan Securitizations" methodology does not set forth a range of multiples for this asset class at the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS stress analysis for a B (sf) rating is 1.00 to 1.25. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non- consolidation of the special-purpose vehicle with UACC and that the trust has a valid first-priority security interest in the assets and consistency with the DBRS "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. WELLS FARGO 2015-C27: DBRS Confirms B Rating on Cl. X-F Certs ------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C27, issued by Wells Fargo Commercial Mortgage Trust 2015-C27: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class X-B at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The rating actions reflect the overall stable performance of the transaction since issuance, when the collateral consisted of 95 loans secured by 124 commercial and multifamily properties. According to the January 2018 remittance, 89 loans remain in the pool with an aggregate balance of $1.0 billion, representing a collateral reduction of 4.4% since issuance due to an unscheduled loan repayment and scheduled loan amortization. One loan, Central Self Storage – Harvey, (Prospectus ID #91, 0.2% of the pool) has been fully defeased. To date, approximately 93.2% of the pool has reported YE2016 financials. Based on the most recent year-end financials available, the pool had a weighted-average (WA) debt service coverage ratio (DSCR) of 1.80 times (x) and a WA debt yield of 10.8%, compared to the WA DBRS Term DSCR and WA DBRS Debt Yield derived at issuance of 1.51x and 8.7%, respectively. Based on the same financials, the Top 15 loans (48.6% of the pool), reported a WA DSCR of 1.84x, compared to the DBRS Term DSCR derived at issuance of 1.50x, reflecting a WA net cash flow growth of 27.0% since issuance for those loans. According to the January 2018 remittance, there is one loan in special servicing and ten loans on the servicer's watch list, representing 0.3% and 13.5% of the pool, respectively. The Peoria Multifamily Portfolio loan (Prospectus ID #78) was transferred to special servicing in February 2017, and according to the servicer, the collateral is expected to be foreclosed. Of the ten loans on the servicer's watch list, six loans (10.9% of the pool) were flagged for major casualty and life safety issues and four loans (2.6% of the pool) were flagged for delinquency and/or declining cash flow performance. Classes X-A, X-B, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. As part of this review, DBRS has provided updated analysis and in-depth commentary in the DBRS Viewpoint platform for the following loans in the transaction: Prospectus ID #1 – Westfield Palm Desert Prospectus ID #2 – WP Carey Self Storage Portfolio Prospectus ID #3 – 312 Elm Prospectus ID #22 – Plaza Mayor Shopping Center Prospectus ID #53 – Country Club Apartments Prospectus ID #78 – Peoria Multifamily Portfolio A copy of the Affected Ratings is available at: http://bit.ly/2nVxvX2 WFRBS COMMERCIAL 2013-C14: Fitch Affirms B Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 18 classes of WFRBS Commercial Mortgage Trust Pass-Through Certificates Series 2013-C14. KEY RATING DRIVERS Overall Stable Performance: The affirmations are based on the relatively stable performance of the majority of the pool. As of the February 2018 remittance report, the pool's aggregate principal balance was reduced 13.4% to $1.39 billion from $1.47 billion at issuance. Realized losses to date amount to $125,268. Three loans (1.1%) were defeased. Fitch Loans of Concern: Six loans/assets (16.7% of current pool) are considered Fitch loans of concern (FLOCs), including two loans in the top 15 (14.7%) and one specially serviced REO asset (0.7%). The third largest loan is secured by the Plant San Jose retail property in San Jose, CA (8.8%), which will lose its second largest tenant, Toys R Us; the retailer recently filed for bankruptcy and announced the closing of this location in April 2018. The sixth largest loan is secured by the Cheeca Lodge & Spa hotel property (5.8%) in Islamorada, FL, which sustained major damage from Hurricane Irma. The specially serviced BSG Texas Hotel Portfolio asset (0.7%) has been REO since February 2017 and consists of two hotels in Big Spring and Graham, TX. The other three non-specially serviced FLOCs outside the top 15 were flagged for declining occupancy. Major Hurricane Damage: The Cheeca Lodge & Spa hotel property (5.8% of current pool) suffered extensive major damage as a result of Hurricane Irma. The independent, luxury hotel consists of 214 rooms in 32 buildings and is located in Islamorada, a village in the Florida Keys. The property suffered widespread damage to the grounds, main lobby and guestrooms, and is currently fully closed for repairs and renovation. The hotel is expected to re-open on March 30, 2018, with the new pool and tiki bar expected to open in May 2018. Prior to the hurricane damage, the property exhibited stable performance, with an occupancy of 78.2% as of September 2017; the servicer-reported YE16 NOI debt service coverage ratio (DSCR) for the loan was 2.15x. Fitch has applied an additional sensitivity analysis on the loan due to the extent of the damage and because the property is currently closed. Retail Concentration: Twenty loans (36.2% of current pool) are secured by retail properties, including two loans in the top 15 backed by regional malls (12.9%). The White Marsh Mall located in Baltimore, MD has exposure to Macy's, JC Penney and Sears. The Cumberland Mall in Atlanta, GA has exposure to Macy's. Other pool concentrations include office properties (28%) and manufactured housing communities (17.1%). RATING SENSITIVITIES The Stable Rating Outlooks for classes A-1 though E reflect the relatively stable performance of the pool, increased credit enhancement and expected continued paydown. The Negative Rating Outlook for class F reflects the high concentration of retail properties with exposure to retailers Macy's, JC Penney, Sears and Toys R Us and a potential downgrade if there are delays in the renovations or re-opening of the Cheeca Lodge & Spa property or should performance of the FLOCs deteriorate significantly. Fitch has affirmed the following classes and revised Outlooks as indicated: -- $48.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $55.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $160.0 million class A-4 at 'AAAsf'; Outlook Stable; -- $437.7 million class A-5 at 'AAAsf'; Outlook Stable; -- $55.0 million class A-3FL at 'AAAsf'; Outlook Stable; -- $0.0 million class A-3FX at 'AAAsf'; Outlook Stable; -- $95.0 million class A-4FL at 'AAAsf'; Outlook Stable; -- $0.0 million class A-4FX at 'AAAsf'; Outlook Stable; -- $116.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $1,137.1 million class X-A at 'AAAsf'; Outlook Stable; -- $108.4 million class A-S at 'AAAsf'; Outlook Stable; -- $102.9 million class X-B at 'AA-sf'; Outlook Stable; -- $102.9 million class B at 'AA-sf'; Outlook Stable; -- $53.3 million class C at 'A-sf'; Outlook Stable; -- $264.5 million class PEX at 'A-sf'; Outlook Stable; -- $77.2 million class D at 'BBB-sf'; Outlook Stable; -- $25.7 million class E at 'BBsf'; Outlook Stable; -- $16.5 million class F at 'Bsf'; Outlook to Negative from Stable. The class A-1 certificates have paid in full. Fitch does not rate the class G and the interest-only class X-C certificates. [*] DBRS Reviews 209 Classes From 22 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc., in February 2018, reviewed 209 classes from 22 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 209 classes reviewed, DBRS confirmed 161 ratings, upgraded 39 ratings, downgraded four ratings and discontinued five ratings. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The rating upgrades reflect positive performance trends and increases in credit support that are sufficient to withstand stresses at their new rating levels. The rating downgrades reflect the continued erosion of credit support for those transactions as well as negative trends in delinquency and projected loss activity. The discontinued ratings are the result of full repayment of principal to bondholders. The rating actions are the result of DBRS's application of "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published on April 4, 2017. The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of prime, Alt-A and subprime collateral. The ratings assigned to the following securities differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect the structural features and historical performance that constrain the quantitative model output. -- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class AF-5 -- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-1 -- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MV-5 -- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-4 -- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-6 -- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass- Through Certificates, Series 2005-4, Class M-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 1-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-5 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-1 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-7 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-2 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-3 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-4 -- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class III-B-3 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage Pass-Through Certificates, Series 2005-WMC2, Class M-3 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage Pass-Through Certificates, Series 2005-WMC2, Class M-4 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage Pass-Through Certificates, Series 2005-WMC3, Class M-5 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class M-4 -- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class M-5 -- Morgan Stanley Home Equity Loan Trust 2005-1, Mortgage Pass- Through Certificates, Series 2005-1, Class M-4 -- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-2 -- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-3 -- New Century Home Equity Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-4 -- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-3 -- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-4 -- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4 -- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-3 -- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-4 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-4 -- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-WF1, Class M-1 -- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-4 -- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-5 -- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-6 -- RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D, Real Estate Synthetic Investment Securities, Series 2003-D, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B1 Risk Band -- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B2 Risk Band -- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk Band -- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk Band [*] DBRS Reviews 235 Classes From 23 U.S. RMBS Transactions ----------------------------------------------------------- DBRS, Inc., in February 2018, reviewed 235 classes from 23 U.S. residential mortgage-backed security (RMBS) transactions. Of the 235 classes reviewed, DBRS confirmed 194 ratings, upgraded 31 ratings, downgraded eight ratings and discontinued two ratings. The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The rating downgrades reflect the transactions' continued erosion of credit support as well as negative trends in delinquency and projected loss activity. The discontinued ratings are the result of full repayment of principal to bondholders. The rating actions are a result of DBRS's application of "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published on April 4, 2017. The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of subprime, Alt-A and scratch and dent collateral. The ratings assigned to the following securities differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case the ratings of the subject notes reflect the structural features and historical performance that constrain the quantitative model output. -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M2 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M2 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3 -- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4 -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2D -- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2C -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-1 -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-2 -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-3 -- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-4 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-2 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-3 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-4 -- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-5 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-2 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-3 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4 -- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-5 -- ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M-4 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-2 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-3 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-4 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-5 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-6 -- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset- Backed Pass-Through Certificates, Series 2004-R7, Class M-7 -- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset- Backed Pass-Through Certificates, Series 2004-R8, Class M-1 -- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset- Backed Pass-Through Certificates, Series 2004-R8, Class M-2 -- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset- Backed Pass-Through Certificates, Series 2004-R9, Class M-3 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-1 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-2 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-3 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-4 -- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset- Backed Pass-Through Certificates, Series 2004-R11, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-1 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-2 -- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-4 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass- Through Certificates, Series 2004-W11, Class M-2 -- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass- Through Certificates, Series 2004-W11, Class M-3 -- Citigroup Mortgage Loan Trust Inc., 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M-2 -- Citigroup Mortgage Loan Trust Inc., 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M-3 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset- Backed Pass-Through Certificates, Series 2005-WF1, Class A-4 -- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset- Backed Pass-Through Certificates, Series 2005-WF1, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-5 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-2 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-3 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-1 -- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class 1-A-1 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class 2-A-4 -- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-1 A copy of the Affected Ratings is available at: http://bit.ly/2H7doNv [*] Moody's Takes Action on $182MM of RMBS Issued 2003-2007 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 22 tranches and downgraded the ratings of 10 tranches from nine transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: Banc of America Mortgage 2004-K Trust Cl. 3-A-1, Upgraded to Baa1 (sf); previously on Jun 2, 2016 Upgraded to Baa3 (sf) Cl. 3-A-3, Upgraded to Ba1 (sf); previously on Jun 2, 2016 Upgraded to Ba2 (sf) Cl. 3-A-2, Upgraded to Baa1 (sf); previously on Jun 2, 2016 Upgraded to Baa3 (sf) Cl. 4-A-1, Upgraded to Baa1 (sf); previously on Jun 2, 2016 Upgraded to Ba1 (sf) Issuer: Bear Stearns ARM Trust 2004-9 Cl. I-1-A-1, Upgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to Ba3 (sf) Cl. I-2-A-1, Upgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to Ba2 (sf) Cl. I-2-A-3, Upgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to Ba3 (sf) Cl. I-2-A-2, Upgraded to Ba1 (sf); previously on Aug 11, 2015 Confirmed at B1 (sf) Cl. I-3-A-1, Upgraded to Baa3 (sf); previously on May 18, 2012 Downgraded to Ba3 (sf) Issuer: Chase Mortgage Finance Trust Series 2007-A1 Cl. 1-A1, Downgraded to Ba1 (sf); previously on Jul 6, 2015 Downgraded to Baa3 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR30 Cl. C-B-1, Upgraded to Ba1 (sf); previously on Dec 11, 2015 Upgraded to B1 (sf) Issuer: Merrill Lynch Mortgage Investors Trust MLCC 2006-2 Cl. IV-A, Upgraded to Baa1 (sf); previously on Jun 2, 2016 Upgraded to Ba1 (sf) Issuer: Thornburg Mortgage Securities Trust 2007-4 Cl. 1A-1, Upgraded to Baa2 (sf); previously on Jun 2, 2016 Upgraded to Ba1 (sf) Cl. 2A-1, Upgraded to Baa3 (sf); previously on Jun 2, 2016 Upgraded to Ba2 (sf) Cl. 3A-1, Upgraded to Baa1 (sf); previously on Jun 2, 2016 Upgraded to Baa2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2003-H Trust Cl. A-1, Downgraded to Ba1 (sf); previously on Aug 30, 2013 Downgraded to Baa1 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2004-K Trust Cl. I-A-3, Downgraded to B1 (sf); previously on Aug 30, 2013 Downgraded to Ba3 (sf) Cl. II-A-2, Downgraded to B2 (sf); previously on Aug 30, 2013 Downgraded to Ba2 (sf) Cl. II-A-1, Downgraded to Ba2 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (sf) Cl. II-A-3, Downgraded to Ba1 (sf); previously on Aug 30, 2013 Downgraded to Baa1 (sf) Cl. II-A-6, Downgraded to Ba2 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (sf) Cl. II-A-8, Downgraded to Ba1 (sf); previously on Aug 30, 2013 Downgraded to Baa1 (sf) Cl. II-A-11, Downgraded to Ba2 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (sf) Cl. II-A-12, Downgraded to Ba2 (sf); previously on Aug 30, 2013 Downgraded to Baa2 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-18 Trust Cl. II-A-1, Upgraded to B2 (sf); previously on Jul 1, 2016 Confirmed at B3 (sf) Cl. II-A-2, Upgraded to Caa2 (sf); previously on Jul 1, 2016 Confirmed at Ca (sf) Cl. II-A-5, Upgraded to B1 (sf); previously on Jul 1, 2016 Confirmed at Caa1 (sf) Cl. II-A-7, Upgraded to B1 (sf); previously on Jul 1, 2016 Confirmed at Caa1 (sf) Cl. II-A-8, Upgraded to B2 (sf); previously on Jul 1, 2016 Confirmed at Caa1 (sf) Cl. II-A-10, Upgraded to B2 (sf); previously on Jul 1, 2016 Confirmed at Caa1 (sf) Cl. II-A-11, Upgraded to B3 (sf); previously on Jul 1, 2016 Confirmed at Caa1 (sf) Cl. II-A-PO, Upgraded to B3 (sf); previously on Jul 1, 2016 Confirmed at Caa1 (sf) RATINGS RATIONALE The rating upgrades from CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR30, Bear Stearns ARM Trust 2004-9, Banc of America Mortgage 2004-K Trust, Wells Fargo Mortgage Backed Securities 2005-18 Trust and Merrill Lynch Mortgage Investors Trust MLCC 2006-2 are primarily due to an increase in the credit enhancement available to the bonds. The rating upgrades from Thornburg Mortgage Securities Trust 2007-4 are due to updated loss projections on the collateral relative to the total credit enhancement available to the bonds. The rating downgrades from Wells Fargo Mortgage Backed Securities 2003-H Trust are due to the decrease in credit enhancement available to the bonds, while the rating downgrades from Wells Fargo Mortgage Backed Securities 2004-K Trust and Chase Mortgage Finance Trust Series 2007-A1 are due to the deterioration of collateral performance and the total credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in January 2018 from 4.8% in January 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for 2018. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. 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. [*] Moody's Upgrades $170MM Securities Backed by Housing Collateral ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of thirty five tranches from twenty transactions, issued by multiple issuers from 1995 to 2006. The collateral backing these transactions consists primarily of manufactured housing units. Complete rating actions are: Issuer: Associates Manufactured Housing 1996-1 B-1, Upgraded to Aaa (sf); previously on Mar 22, 2017 Upgraded to A1 (sf) Issuer: Associates Manufactured Housing 1997-1 B-1, Upgraded to Aa1 (sf); previously on Mar 22, 2017 Upgraded to A2 (sf) Issuer: Bombardier Capital Mortgage Securitization Corp 1999-A A-4, Upgraded to Baa1 (sf); previously on Aug 7, 2015 Upgraded to Ba2 (sf) A-5, Upgraded to Baa1 (sf); previously on Aug 7, 2015 Upgraded to Ba2 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1 Cl. M-1, Upgraded to Aaa (sf); previously on Mar 22, 2017 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Mar 22, 2017 Upgraded to Ba2 (sf) Issuer: CIT Group Securitization Corp II MH 1995-1 Cl. A-5, Upgraded to Ba2 (sf); previously on Mar 22, 2017 Upgraded to Ba3 (sf) Issuer: Conseco Finance Securitization Corp. Series 2001-4 Class A-4, Upgraded to Aaa (sf); previously on Mar 22, 2017 Upgraded to A1 (sf) Issuer: CSFB ABS Trust Manufactured Housing Pass-Through Certificates 2001-MH29 Cl. B-1, Upgraded to Ca (sf); previously on Dec 14, 2010 Downgraded to C (sf) Cl. M-2, Upgraded to Aa3 (sf); previously on Jun 10, 2016 Upgraded to Baa3 (sf) Issuer: Green Tree Financial Corporation MH 1995-06 B-1, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to A1 (sf) Issuer: Green Tree Financial Corporation MH 1995-07 B-1, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to A1 (sf) Issuer: Green Tree Financial Corporation MH 1995-08 B-1, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Upgraded to Baa1 (sf) Issuer: Green Tree Financial Corporation MH 1995-09 B-1, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to A1 (sf) Issuer: Green Tree Financial Corporation MH 1996-01 B-1, Upgraded to A3 (sf); previously on Mar 31, 2017 Upgraded to Ba3 (sf) Issuer: IndyMac MH Contract 1997-1 Cl. A-2, Upgraded to Baa1 (sf); previously on Jul 24, 2015 Upgraded to Ba2 (sf) Cl. A-3, Upgraded to Baa1 (sf); previously on Jul 24, 2015 Upgraded to Ba2 (sf) Cl. A-4, Upgraded to Baa1 (sf); previously on Jul 24, 2015 Upgraded to Ba2 (sf) Cl. A-5, Upgraded to Baa1 (sf); previously on Jul 24, 2015 Upgraded to Ba2 (sf) Cl. A-6, Upgraded to Baa1 (sf); previously on Jul 24, 2015 Upgraded to Ba2 (sf) Issuer: MERIT Securities Corp Series 12 1-M1, Upgraded to Ba2 (sf); previously on Jun 10, 2016 Upgraded to B1 (sf) Issuer: Oakwood Mortgage Investors, Inc., Series 1999-A A-2, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to Aa1 (sf) A-3, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to Aa1 (sf) A-4, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to Aa1 (sf) A-5, Upgraded to Aaa (sf); previously on Mar 31, 2017 Upgraded to Aa1 (sf) M-1, Upgraded to Caa3 (sf); previously on Sep 23, 2009 Confirmed at Ca (sf) Issuer: OMI Trust 2001-B Cl. A-3, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Upgraded to Baa1 (sf) Cl. A-4, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Upgraded to Baa1 (sf) Issuer: OMI Trust 2002-A Cl. A-3, Upgraded to A3 (sf); previously on Mar 31, 2017 Upgraded to Ba2 (sf) Cl. A-4, Upgraded to A3 (sf); previously on Mar 31, 2017 Upgraded to Ba2 (sf) Issuer: OMI Trust 2002-B Cl. A-3, Upgraded to Baa1 (sf); previously on Mar 31, 2017 Upgraded to Ba3 (sf) Cl. A-4, Upgraded to Baa1 (sf); previously on Mar 31, 2017 Upgraded to Ba3 (sf) Issuer: Origen Manufactured Housing Contract Senior/Subordinate Asset-Backed Certificates, Series 2001-A Cl. A-6, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Upgraded to A2 (sf) Cl. A-7, Upgraded to Aa2 (sf); previously on Mar 31, 2017 Upgraded to A2 (sf) Issuer: Origen Manufactured Housing Contract Senior/Subordinate Asset-Backed Certificates, Series 2002-A Cl. M-1, Upgraded to Aaa (sf); previously on May 15, 2016 Upgraded to A1 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in the credit enhancement available to the bonds. The rating of Class A-5 from CIT Group Securitization Corp II MH 1995-1 has been upgraded to Ba2 (sf) based on a corporate guarantee provided by CIT Group, Inc., whose long-term senior unsecured debt is rated Ba2. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on these pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.1% in January 2018 from 4.8% in January 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for 2018. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. 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. [*] S&P Cuts Ratings on 45 Classes From 40 US RMBS Deals to D(sf) ----------------------------------------------------------------- S&P Global Ratings lowered its ratings on 45 classes of mortgage pass-through certificates from 40 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2008 to 'D (sf)'. The transactions in this review are backed by a mix of fixed- and adjustable-rate mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. The downgrades reflect S&P's assessment of the principal write-downs' impact on the affected classes during recent remittance periods. All of the classes in this review were rated either 'CCC (sf)' or 'CC (sf)' before the March 14, 2018's rating actions. Principal-Only Ratings This review included one rating on a principal-only (PO) class, which is categorized as a PO strip class. Class A-P from RFMSI Series 2005-S7 Trust is a PO strip class that receives principal primarily from discount loans within the related transaction. When a discount loan takes a loss, the PO strip class is allocated a loan-specific percentage of that loss. However, because this PO class is a senior class in the waterfall, it is reimbursed from cash flows that would otherwise be paid to the most junior classes. Further, S&P does not expect any future reimbursements from the transaction's cash flow because the balances of the subordinate classes have been reduced to zero. Therefore, this PO strip class has incurred a loss on its principal obligation without the likelihood of future reimbursement. S&P is therefore lowering the rating on this class to 'D (sf)'. The 45 defaulted classes consist of the following: -- 18 from prime jumbo transactions (40.00%); -- 14 from Alternative-A transactions (31.11%); -- Six from subprime transactions (13.33%); -- Four from negative amortization transactions (8.89%); -- One from a re-performing transaction; -- One from Federal Housing Administration/Veterans Affairs transaction; and -- One from a document deficient transaction. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). A list of Affected Ratings can be viewed at: http://bit.ly/2pg4GUX ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***