/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180415.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, April 15, 2018, Vol. 22, No. 104 Headlines ANGEL OAK 2018-1: DBRS Set 'BB' Rating on $16.9MM B-1 Certs BANK 2018-BNK11: Fitch to Assign 'B-sf' Rating to Class F Certs BARINGS CLO 2018-I: Moody's Assigns Ba3 Rating to Class D Notes BEAR STEARNS 2005-PWR8: Moody's Affirms C Ratings on 2 Tranches BENCHMARK MORTGAGE 2018-B3: Fitch Assigns B- Rating to H-RR Notes BLUEMOUNTAIN 2015-4: S&P Assigns Prelim B-(sf) Rating on F-R Notes CARLYLE GLOBAL 2014-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes CIFC FUNDING 2013-III-R: Moody's Assigns B3 Rating to Cl. E Notes CITIGROUP COMMERCIAL 2016-C1: Fitch Affirms B- Rating on F Certs CITIGROUP COMMERCIAL 2016-P3: Fitch Affirms B Rating on F Certs CITIGROUP MORTGAGE 2018-RP2: Moody's Gives (P)B3 to Cl. B-2 Notes COMM 2013-CCRE7: Moody's Affirms Caa1 Rating on Class G Certs COMM 2014-CCRE17: Moody's Affirms Ba2 Rating on Class E Certs COOK PARK: S&P Assigns BB-(sf) Rating on $38MM Class E Notes CREDIT SUISSE 2007-C3: Moody's Affirms C Ratings on 2 Tranches CUMBERLAND PARK: Moody's Assigns (P)B3 Rating to Class F-R Notes FLAGSTAR MORT 2018-2: DBRS Assigns Prov. B Rating on Cl. B-5 Certs FLAGSTAR MORTGAGE 2018-2: Moody's Assigns (P)B3 Rating to B-5 Certs GS MORTGAGE 2014-GC22: DBRS Confirms 'BB' Rating on Class E Certs JAMESTOWN CLO II: S&P Assigns BB-(sf) Rating on Class D-R Notes JP MORGAN 2002-C3: Moody's Affirms C Rating on Class X-1 Certs JP MORGAN 2004-C2: Fitch Affirms CCC Rating on Class M Certs JP MORGAN 2018-2: Fitch Assigns 'Bsf' Rating to Class B-5 Certs JPMCC COMMERCIAL 2014-C20: DBRS Confirms B Rating on Class G Certs LB-UBS COMMERCIAL 2005-C5: Fitch Affirms CCC Rating on Cl. H Certs LIMEROCK CLO III: Moody's Lowers Class E Notes Rating to Caa2 MERRILL LYNCH 2005-MKB2: Moody's Affirms C Rating on Cl. XC Certs MORGAN STANLEY 2015-C22: Fitch Lowers Rating on Cl. F Certs to CCC MSBAM 2013-C11: Fitch Cuts Rating on Class G Notes to 'C' OCTAGON INVESTMENT 36: Moody's Assigns B3 Rating to Cl. F Notes ONDECK ASSET 2018-1: DBRS Assigns 'BB' Rating on Class D Notes SAGUARO ISSUER: Moody's Lowers Ratings on 3 Tranches to Ba2 SDART 2018-2: Fitch to Rate $83.3-Mil. Class E Notes 'BB-sf' SERIES RR 2014-1: DBRS Confirms 'B' Rating on Class E Certs SOUTHERN PACIFIC 1998-2: Moody's Hikes A-1 Debt Rating to Ba1 SPECIALTY UNDERWRITING 2005-BC2: Moody's Hikes M-3 Debt From Ba3 SPYGLASS TRUST-1: Moody's Lowers Rating on US$70MM Notes to Ba2 SPYGLASS TRUST-2: Moody's Lowers Rating on US$30MM Notes to Ba2 TRYON PARK: S&P Assigns Prelim B-(sf) Rating on Class E-R Notes VOYA CLO 2018-1: S&P Assigns BB-(sf) Rating on $26.1MM Cl. D Notes WACHOVIA BANK 2006-C24: S&P Raises Class C Certs Rating to B(sf) [*] Moody's Hikes Ratings on 45 Tranches From 23 RMBS Deals [*] Moody's Takes Action on $11.7MM of RMBS Issued 1998 and 1999 [*] Moody's Takes Action on $235.5MM of Alt-A RMBS Issued in 2004 [*] Moody's Takes Action on $424.3MM of RMBS Issued 2000-2007 [*] Moody's Takes Action on $767.4MM of RMBS Issued 2001-2006 [*] S&P Discontinues Ratings From 46 Classes From 11 CLO Deals [*] S&P Puts 35 Classes From 18 RMBS Deals on Watch Positive [*] S&P Takes Various Actions on 104 Classes From 18 US RMBS Deals [*] S&P Takes Various Actions on 104 Classes From 22 US RMBS Deals [*] S&P Takes Various Actions on 36 Classes From 20 US RMBS Deals ********* ANGEL OAK 2018-1: DBRS Set 'BB' Rating on $16.9MM B-1 Certs ----------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Certificates, Series 2018-1 (the Certificates) issued by Angel Oak Mortgage Trust I, LLC 2018-1 (AOMT 2018-1) or the Trust. -- $211.9 million Class A-1 at AAA (sf) -- $22.2 million Class A-2 at AA (sf) -- $36.3 million Class A-3 at A (sf) -- $16.9 million Class M-1 at BBB (sf) -- $16.9 million Class B-1 at BB (sf) -- $11.7 million Class B-2 at B (sf) The AAA (sf) rating on the Certificates reflect the 35.55% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 28.80%, 17.75%, 12.60%, 7.45% and 3.90% 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 primarily first-lien fixed- and adjustable-rate, non-prime and prime residential mortgages. The Certificates are backed by 905 loans with a total principal balance of $328,775,000 as of the Cut-Off Date (March 1, 2018). Angel Oak Mortgage Solutions LLC (AOMS), Angel Oak Home Loans LLC (AOHL) and Angel Oak Prime Bridge LLC (together, Angel Oak) are the originators for 74.5%, 23.1% and 2.5% of the portfolio, respectively. The mortgages were originated under the following eight programs: (1) Portfolio Select (57.0%) – Made to borrowers with near-prime credit scores who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy credit requirements, (b) they are self-employed and need an alternate income calculation using 12 or 24 months' bank statements to qualify, (c) they may have a credit score that is lower than that required by government-sponsored entity underwriting guidelines or (d) they may have been subject to a bankruptcy or foreclosure 24 or more months prior to origination. (2) Platinum (12.3%) – Made to borrowers that have prime or near-prime credit scores but who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy credit requirements, (b) they are self-employed and need alternative income calculations using 12 or 24 months of bank statements or (c) they may have been subject to a bankruptcy or foreclosure 48 or more months prior to origination. (3) Non-Prime General (9.5%) – Made to borrowers who have not sustained a housing event in the past 24 months, but whose credit reports show multiple 30+- and/or 60+-day delinquencies on any reported debt in the past 12 months. (4) Prime Jumbo (9.4%) – Made to borrowers that have prime credit scores and excellent housing history with no bankruptcy or foreclosure in the 60 months prior to origination. The loans amounts will also allow high balance-conforming loan limits. Interest-only feature is allowed. The income documentation requirements follow Appendix Q. (5) Investor Cash Flow (4.6%) – Made to real estate investors who are experienced in purchasing, renting and managing investment properties with an established five-year credit history and at least 24 months of clean housing payment history, but who are unable to obtain financing through conventional or governmental channels because (a) they fail to satisfy the requirements of such programs or (b) may be over the maximum number of properties allowed. Loans originated under the Investor Cash Flow program are considered business-purpose and are not covered by the Ability-to-Repay (ATR) rules or TRID rule. (6) Non-Prime Foreign National (3.6%) – Made to investment property borrowers who are citizens of foreign countries and who do not reside or work in the United States. Borrowers may use alternative income and credit documentation. Income is typically documented by the employer or accountant, and credit is verified by letters from overseas credit holders. (7) Non-Prime Recent Housing (2.8%) – Made to borrowers who have completed or have had their properties subject to a short sale, deed-in-lieu, notice of default or foreclosure. Borrowers who have filed bankruptcy 12 or more months prior to origination or have experienced severe delinquencies may also be considered for this program. (8) Non-Prime Investment Property (0.2%) – Made to real estate investors who may have financed up to four mortgaged properties with the originators (or 20 mortgaged properties with all lenders). In addition, the pool contains 0.7% second-lien mortgage loans, which were originated either under the Portfolio Select program ( BANK 2018-BNK11: Fitch to Assign 'B-sf' Rating to Class F Certs --------------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2018-BNK11 Commercial Mortgage Pass-Through Certificates, Series 2018-BNK11 and expects to rate the transaction and assign Rating Outlooks as follows: -- $21,300,000 class A-1 'AAAsf'; Outlook Stable; -- $31,500,000 class A-SB 'AAAsf'; Outlook Stable; -- $140,000,000a class A-2 'AAAsf'; Outlook Stable; -- $264,853,000a class A-3 'AAAsf'; Outlook Stable; -- $457,653,000c class X-A 'AAAsf'; Outlook Stable; -- $88,262,000c class X-B 'AA-sf'; Outlook Stable; -- $38,410,000 class A-S 'AAAsf'; Outlook Stable; -- $49,852,000 class B 'AA-sf'; Outlook Stable; -- $30,238,000 class C 'A-sf'; Outlook Stable; -- $34,324,000bc class X-D 'BBB-sf'; Outlook Stable; -- $13,893,000bc class X-E 'BB-sf'; Outlook Stable; -- $34,324,000b class D 'BBB-sf'; Outlook Stable; -- $13,893,000b class E 'BB-sf'; Outlook Stable; -- $8,172,000b class F 'B-sf'; Outlook Stable. The following classes are not expected to be rated: -- $21,248,658b class G; -- $34,410,035bd RR Interest. (a) The initial certificate balances of class A-2 and class A-3 are unknown and expected to be $404,853,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-2 balance range is $100,000,000 to $180,000,000 and the expected class A-3 balance range is $224,853,000 to $304,853,000. Fitch's certificate balances for classes A-2 and A-3 are assumed at the midpoint of the range for each class. (b) Privately placed and pursuant to Rule 144A. (c) Notional amount and interest-only. (d) Vertical 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. The ratings are based on information provided by the issuer as of April 5, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 42 loans secured by 76 commercial properties having an aggregate principal balance of $688,200,694 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association; Bank of America, National Association; Morgan Stanley Mortgage Capital Holdings LLC and National Cooperative Bank, N.A. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.2% of the properties by balance, cash flow analysis of 90.5%, and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool exhibits better leverage metrics than other recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.54x is stronger than the 2017 average of 1.26x and 2016 average of 1.21x. The pool's Fitch LTV of 97.4% is lower than the 2017 and 2016 averages of 101.6% and 105.2%, respectively. Excluding investment-grade credit opinion and multifamily cooperative loans, the pool has a Fitch DSCR and LTV of 1.12x and 114.6%, respectively. Investment-Grade Credit Opinion Loans: Three loans comprising 22.8% of the transaction received an investment grade credit opinion. Twelve Oaks-MI (9.7% of the pool) received a credit opinion of 'BBB-sf*' on a stand-alone basis. Apple Campus 3 (9.1% of the pool) received a credit opinion of 'BBB-sf*' on a stand-alone basis. The Gateway (4.0% of the pool) received a stand-alone credit opinion of 'BBBsf*'. Net of these loans, the pool's Fitch DSCR and LTV are 1.60x and 106.2%, respectively. Highly Concentrated Pool: The pool is significantly more concentrated than recent Fitch-rated multiborrower transactions. The top 10 loans comprise 69.2% of the pool, compared to the 2017 average of 53.1% and the 2016 average of 54.8%. The resulting loan concentration index (LCI) for the pool is 583, which is higher than the average LCI scores of 398 and 422 for recent Fitch-rated multiborrower deals in 2017 and 2016, respectively. For this transaction, the losses estimated by Fitch's deterministic test at 'AAAsf' exceeded the base model loss estimate. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 16.0% 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 BANK 2018-BNK11 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. BARINGS CLO 2018-I: Moody's Assigns Ba3 Rating to Class D Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Barings CLO Ltd. 2018-I (the "Issuer" or "Barings 2018-I"). Moody's rating action is: US$357,500,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$60,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$33,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Assigned A2 (sf) US$33,000,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf) US$22,000,000 Class D Secured Deferrable Mezzanine 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. Barings 2018-I is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 89% ramped as of the closing date. Barings 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 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: 60 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 7.00% 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 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 2825 to 3249) 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 2825 to 3673) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 BEAR STEARNS 2005-PWR8: Moody's Affirms C Ratings on 2 Tranches --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, Commercial Mortgage Pass-Through Certificates Series 2005-PWR8: Cl. F, Affirmed C (sf); previously on Apr 13, 2017 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating of Class F was affirmed because the rating is consistent with Moody's expected plus realized loss. Class F has already experienced a 32% 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 its referenced classes. Moody's rating action reflects a base expected loss of 18.1% of the current pooled balance, compared to 17.1% at Moody's last review. Moody's base expected loss plus realized losses is now 5.2% of the original pooled balance, the same as 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 rating Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, Cl. F was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, Cl. X-1 were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the March 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $13.3 million from $1.77 billion at securitization. The certificates are collateralized by seven mortgage loans. One loan, constituting 2.4% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 3, compared to 4 at Moody's last review. One loan, constituting 5.6% 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. Twenty-eight loans have been liquidated from the pool with a loss, resulting in an aggregate realized loss of $90 million (for an average loss severity of 42.6%). One loan, the Sunnyside Plaza Shopping Center ($4.7 million -- 35.1% of the pool), is currently in special servicing. The loan is secured by a 66,698 square foot (SF) grocery-anchored retail property located in Winchester, Virginia. The property was constructed in 1990 and renovated with the addition of a second building between 2001 and 2002. The loan was transferred to special servicing due to imminent default in October 2012 and became REO in June 2017. As of December 2017, the property was 68% leased, the same as of December 2016. 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 top performing loans represent 54% of the pool balance. The largest loan is the Norwood Shopping Center Loan ($5.8 million -- 43.5% of the pool), which is secured by a grocery-anchored retail center in North Hills, California, a suburb situated approximately 24 miles northwest of the Los Angeles CBD. The property was 100% leased as of September 2017, the same as at last review. Moody's LTV and stressed DSCR are 60% and 1.56X, respectively. The second largest loan is the Waterman Plaza Loan ($748,651 -- 5.6% of the pool), which is secured by a 7,800 SF retail strip center that is shadow anchored by a Bel Air supermarket and is located in Elk Grove, California, a suburb of Sacramento. The property was 100% leased as of December 2017, however, the loan is on the watchlist as a result of the largest tenant being on a month-to-month lease. The loan has amortized over 54% since securitization. Moody's LTV and stressed DSCR are 37% and 2.57X, respectively. The third largest loan is the Dyches & Triple A Buildings Loan ($693,003 -- 5.2% of the pool), which is secured by a 7,395 SF unanchored retail property located in downtown Naples, Florida. The property was 80% leased as of December 2017. The loan has amortized over 20% since securitization and Moody's LTV and stressed DSCR are 29% and 3.66X, respectively. BENCHMARK MORTGAGE 2018-B3: Fitch Assigns B- Rating to H-RR Notes ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks to Benchmark 2018-B3 Mortgage Trust commercial mortgage pass-through certificates, series 2018-B3: -- $25,000,000 class A-1 'AAAsf'; Outlook Stable; -- $162,100,000 class A-2 'AAAsf'; Outlook Stable; -- $66,600,000 class A-3 'AAAsf'; Outlook Stable; -- $150,000,000 class A-4 'AAAsf'; Outlook Stable; -- $315,076,000 class A-5 'AAAsf'; Outlook Stable; -- $46,000,000 class A-AB 'AAAsf'; Outlook Stable; -- $849,448,000a class X-A 'AAAsf'; Outlook Stable; -- $49,164,000a class X-B 'AA-sf'; Outlook Stable; -- $84,672,000 class A-S 'AAAsf'; Outlook Stable; -- $49,164,000 class B 'AA-sf'; Outlook Stable; -- $50,530,000 class C 'A-sf'; Outlook Stable; -- $36,800,000ab class X-D 'BBB-sf'; Outlook Stable; -- $36,800,000b class D 'BBB-sf'; Outlook Stable; -- $21,924,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $12,291,000bc class F-RR 'BB+sf'; Outlook Stable; -- $12,291,000bc class G-RR 'BB-sf'; Outlook Stable; -- $15,022,000bc class H-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $45,067,711bc class NR-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. Since Fitch published its expected ratings on March 20, 2018, class A-4 increased in size to $150,000,000 from $125,000,000 and class A-5 decreased in size to $315,076,000 from $340,076,000. The interest-only class X-B notional was reduced to $49,164,000 from $99,694,000 and the expected 'A-sf' rating was revised to 'AA-sf' based on the final deal structure. The class D and the interest-only class X-D were reduced in size to $36,800,000 from $36,873,000. The class E-RR was increased to $21,924,000 from $21,851,000. The classes above reflect the final ratings and deal structure. The ratings are based on information provided by the issuer as of April 10, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 45 loans secured by 75 commercial properties having an aggregate principal balance of $1,092,537,712 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, National Association, and Citi Real Estate Funding Inc. Fitch received a comprehensive sample of the transaction's collateral, including site inspections on 75.6% of the properties by balance, cash flow analysis of 81.2%, and asset summary reviews of 81.2% of the pool. KEY RATING DRIVERS Higher Fitch Leverage than Recent Transactions: The pool has average leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.19x is lower than the YTD 2018 average of 1.27x and the 2017 average of 1.26x. The pool's Fitch loan to value (LTV) of 107.6% is higher than the YTD 2018 average of 104.0% and the 2017 average of 101.6%. Pool Diversity: The top 10 loans comprise 45.0% of the pool, which is below the 2017 average of 53.1% and 2016 average of 54.8%. The loan concentration index (LCI) score of 327 is better than the 2017 average of 398 and 2016 average of 422. Investment-Grade Credit Opinion Loan: One loan, representing 4.57% of the pool, has an investment-grade credit opinion. Twelve Oaks Mall has an investment-grade credit opinion of 'BBB-sf*' on a stand-alone basis. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 12.2% 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 BMARK 2018-B3 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 'BBB-sf' could result. BLUEMOUNTAIN 2015-4: S&P Assigns Prelim B-(sf) Rating on F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to the class A-1-R, B-R, C-R, D-R, E-R, and F-R replacement notes, as well as to the new class X-R notes, from BlueMountain CLO 2015-4 Ltd., a collateralized loan obligation (CLO) originally issued on Jan. 13, 2016, that is managed by BlueMountain Capital Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The replacement class A-2-R notes are not rated by S&P Global Ratings. 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 April 9, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 10, 2018, refinancing date, the $470.00 million in proceeds from the issuance of the replacement class A-1-R, A-2-R, B-R, C-R, D-R, E-R, and F-R notes are expected to redeem the $470.00 million original class A, B, C, D-1, D-2, E, and F notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement 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 $453.00 million from $470.00 million. There is no change proposed to the aggregate ramp-up par amount of $500.00 million. The first payment date following the May 10, 2018, refinancing date is expected to be on July 20, 2018. -- Extend the reinvestment period to April 20, 2023, from Jan. 20, 2020. -- Extend the non-call period on all the notes to April 20, 2020, from Jan. 20, 2018. -- Extend the weighted average life test to nine years calculated from the May 10, 2018, second refinancing date, from eight years calculated from the transaction's original closing date of Jan. 13, 2016. -- Extend the legal final maturity date on the rated and subordinated notes to April 20, 2030, from Jan. 20, 2027. -- Issue additional class X-R senior secured floating-rate notes, which are expected to be paid using interest proceeds in equal quarterly installments beginning on the July 20, 2018, first payment date. -- 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. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) X-R 3.00 Three-month LIBOR + 0.65 A-1-R 300.00 Three-month LIBOR + 0.95 A-2-R 20.00 Three-month LIBOR + 1.25 B-R 55.00 Three-month LIBOR + 1.50 C-R 35.00 Three-month LIBOR + 1.90 D-R 30.00 Three-month LIBOR + 2.85 E-R 20.00 Three-month LIBOR + 5.65 F-R 10.00 Three-month LIBOR + 8.65 Subordinated notes 36.75 N/A Original Notes Class Amount Interest (mil. $) rate (%) A 310.00 Three-month LIBOR + 1.50 B 67.50 Three-month LIBOR + 2.25 C 35.00 Three-month LIBOR + 3.20 D-1 15.00 Three-month LIBOR + 4.60 D-2 7.50 Three-month LIBOR + 4.05 E 25.00 Three-month LIBOR + 6.50 F 10.00 Three-month LIBOR + 7.75 Subordinated notes 35.75 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 BlueMountain CLO 2015-4 Ltd. Replacement class Rating Amount (mil. $) X-R AAA (sf) 3.00 A-1-R AAA (sf) 300.00 A-2-R NR 20.00 B-R AA (sf) 55.00 C-R A (sf) 35.00 D-R BBB- (sf) 30.00 E-R BB- (sf) 20.00 F-R B- (sf) 10.00 Subordinated notes NR 36.75 NR--Not rated. CARLYLE GLOBAL 2014-1: S&P Assigns BB-(sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its 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. S&P said, "We withdrew our ratings on the class A-R, B-R, C-R, D, and E notes following payment in full on the April 6, 2018, refinancing date. We did not rate the class A-2-R-2 replacement notes." On the April 6, 2018, refinancing date, the proceeds from the class A-1-R-2, A-2-R-2, B-R-2, C-R-2, D-R, and E-R replacement note issuance were used to redeem the currently outstanding class A-R, B-R, C-R, D, and E notes as outlined in the transaction document provisions. Consequently, S&P withdrew its ratings on the currently outstanding notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes are being issued via a 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 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 July 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, 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 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. 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. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels." 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 amended to April 17, 2031, on the refinancing date. NR--Not rated. RATINGS WITHDRAWN Carlyle Global Market Strategies CLO 2014-1 Ltd. Rating Original class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB- (sf) NR--Not rated. CIFC FUNDING 2013-III-R: Moody's Assigns B3 Rating to Cl. E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by CIFC Funding 2013-III-R, Ltd. (the "Issuer" or "CIFC 2013-III-R"). Moody's rating action is: US$4,000,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$256,000,000 Class A-1 Senior Secured Floating Rate Notes Due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$44,800,000 Class A-2 Senior Secured Floating Rate Notes Due 2031 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$21,200,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Assigned A2 (sf) US$26,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf) US$20,400,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Ba3 (sf) US$7,600,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned B3 (sf) The Class X Notes, 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." 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 2013-III-R is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. There will be no assets acquired as of the closing date. However, the manager has identified loans that represent approximately 80% of the portfolio's target par amount and will acquire participations in these loans from CIFC 2013-III the day after the closing date. The manager expects to elevate these loan participations into assignments prior to the deal's effective date. CIFC VS Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, 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): 2920 Weighted Average Spread (WAS): 3.30% 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 2920 to 3358) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -2 Class B Notes: -2 Class C Notes: -1 Class D Notes: -1 Class E Notes: -2 Percentage Change in WARF -- increase of 30% (from 2920 to 3796) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -4 Class B Notes: -4 Class C Notes: -2 Class D Notes: -1 Class E Notes: -4 CITIGROUP COMMERCIAL 2016-C1: Fitch Affirms B- Rating on F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2016-C1 (CGCMT 2016-C1). KEY RATING DRIVERS Stable Performance: The affirmations are based on the stable performance of the underlying collateral. There have been no material changes to the pool since issuance. There have been no specially serviced loans since issuance. Only three loans (4.1% of the pool) are designated as Fitch Loans of Concern (FLOCs). As of the March 2018 distribution, the pool's aggregate principal balance has been reduced by 1.4% to $745 million from $755.7 million at issuance. No loans have defeased. Fitch Loans of Concern: The three loans designated as FLOCs comprise 4.1% of the pool. These include one loan (1.9%) in the top 15 that is secured by a portfolio of three retail properties located in Brooklyn, NY that suffered a decline in occupancy, one loan (1.9%) secured by a hotel located in Cocoa Beach, FL that suffered significant damage during Hurricane Irma in 3Q 2017, and one loan (0.3%) secured by a multifamily property located in Hope Mills, NC that suffered significant damage from Hurricane Matthew in 3Q 2016, and continues to work towards stabilization. Fitch will continue to monitor all of the FLOCs going forward. Pool Concentrations: The largest 10 loans comprise 55.1% of the pool by balance. The pool has a diverse mix of property types, with retail as the largest at 35.0%, followed by hotel at 19.7%, office at 12.5%, and self-storage at 11.0%. There are 27 retail properties, including the largest loan in the transaction (13.3% of the pool). The retail element of the pool consists of a mix of unanchored and anchored shopping centers. There are no regional malls or outlet centers in the pool. Above-Average Amortization: The pool is scheduled to amortize by 13.3% of the initial pool balance prior to maturity. Six loans (16.8%) are full-term interest only and 20 loans (39.9%) are partial interest only. The pool's maturity schedule is as follows: 2021 (1.9% of the pool), 2025 (3.5% of the pool) and 2026 (94.6% of the pool). Pari Passu Loans: Approximately 34.7% of the pool, including five of the top 10 loans, consists of loans with pari passu participation. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. No loans are scheduled to mature until 2021 (1.9% of the pool). Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer Default Rating (IDR) to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017. Fitch relies on the master servicer, Wells Fargo & Company (IDR A+/F1), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. Fitch affirms the following classes: -- $25.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $15.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $185 million class A-3 at 'AAAsf'; Outlook Stable; -- $237.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $55.3 million class A-AB at 'AAAsf'; Outlook Stable; -- $557 million class X-A* at 'AAAsf'; Outlook Stable; -- $35.9 million class X-B* at 'AA-sf'; Outlook Stable; -- $38.7 million class A-S at 'AAAsf'; Outlook Stable; -- $35.9 million class B at 'AA-sf'; Outlook Stable; -- $109.6 million class EC at 'A-sf'; Outlook Stable; -- $35 million class C at 'A-sf'; Outlook Stable; -- $47.2 million class D at 'BBB-sf'; Outlook Stable; -- $24.6 million class E at 'BB-sf'; Outlook Stable; -- $9.4 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 EC certificates, and class EC certificates may be exchanged for the class A-S, B and C certificates. Classes D, E and F are privately placed pursuant to Rule 144A. Fitch does not rate the class G or H certificates. CITIGROUP COMMERCIAL 2016-P3: Fitch Affirms B Rating on F Certs --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Citigroup Commercial Mortgage Trust CGCMT 2016-P3 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: The performance of the pool has been largely stable since issuance with no material changes to the pool's metrics since issuance. As of the March 2018 distribution date, the pool's aggregate principal balance has been reduced by 0.4% to $767.6 million from $771 million at issuance. There have been no specially serviced or delinquent loans since issuance. None of the loans are defeased. Fitch Loan of Concern: The 20th largest loan (1.4%), 725 8th Avenue, is currently on the master servicer's watchlist. The $11 million loan ($2,305 psf) is secured by a 4,773 sf three story retail building located at 725 8th Avenue in New York City. The borrower had signed a new lease with a Wahlburgers franchisee for the entire space in November 2015. The tenant took possession of the space and commenced paying rents concurrent with the loan's origination in March 2016. However, the tenant was given 24 months from the rental commencement date to build out their space and open for business (March 2018). The buildout of the space was never completed and the restaurant never opened for business. Per the master servicer, the tenant has defaulted on the November and December 2016, and the July and August 2017 rental payments and the borrower terminated the lease effective Sept. 12, 2017. At this time, there are no prospective tenants to backfill the space. The lender is currently holding the full balance of the Leasing and Free Rent Reserves. The lender collected a $1.4 million Leasing Reserve and $83K Free Rent Reserve at the time of the loan's closing. The loan is subject to hard cash management with no cash trap in place. At issuance, Fitch performed a dark value analysis to test to probability of recovery in the event Wahlburgers did not take occupancy of the space. Fitch made certain assumptions that the subject would be re-leased with 5% market rent declines, 12 months' downtime between leases, carrying costs for real estate taxes and insurance, and re-tenanting costs ($20 psf new tenant improvements and 5% new leasing commissions) and compared the resulting dark value of approximately $8.1 million ($1,690 psf) to the outstanding loan balance. Fitch was comfortable the dark value covers the implied high investment-grade proceeds for the loan. High Fitch Leverage: At issuance, the transaction had high leverage with a Fitch debt service coverage ratio (DSCR) and LTV of 1.14x and 108.7%, respectively. Excluding the credit opinion 225 Liberty Street loan (5.3% of the pool), the Fitch DSCR and LTV are 1.12x and 111.4%, respectively. The 2015 and YTD 2016 average DSCRs were 1.18x and 1.14x, respectively. The 2015 and YTD 2016 average Fitch LTVs were 109.3% and 108.7%; respectively. High Fitch Leverage: At issuance, the transaction had high leverage with a Fitch DSCR and LTV of 1.14x and 108.7%, respectively. Excluding the credit opinion 225 Liberty Street loan (5.3% of the pool), the Fitch DSCR and LTV are 1.12x and 111.4%, respectively. The 2015 and YTD 2016 average DSCRs were 1.18x and 1.14x, respectively. The 2015 and YTD 2016 average Fitch LTVs were 109.3% and 108.7%; respectively. New York City Concentration: Eight loans (38.1% of the pool) are secured by properties located in the New York MSA, including six of the top 10, Nyack College NYC, 600 Broadway, 79 Madison Avenue, 5 Penn Plaza, and 225 Liberty Street are located in Manhattan. One Court Square is located in Long Island City, Queens. Limited Amortization: The pool is scheduled to amortize by 6.8% of the initial pool balance prior to maturity, significantly worse than the 2015 and YTD 2016 averages of 11.7% and 10%, respectively. Twelve loans (47.6%) are full-term, interest-only, and 13 loans (37.1%) are partial interest-only. The remaining 12 loans (15.3%) are amortizing balloon loans with terms of five to 10 years. High Pool concentration: The top 10 loans represent 61.6% of the pool, which is greater than the 2015 and YTD 2016 averages of 49.3% and 56.2%, respectively. The largest collateral property type concentrations are office at 35.3%, retail (24.7%), and hotel (20.4%). RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Fitch has affirmed the following ratings: -- $10.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $98.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $175 million class A-3 at 'AAAsf'; Outlook Stable; -- $221.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $31.2 million class A-AB at 'AAAsf'; Outlook Stable; -- $576.8 million class X-A* at 'AAAsf'; Outlook Stable; -- $42.4 million class X-B* at 'AA-sf'; Outlook Stable; -- $40.5 million class A-S at 'AAAsf'; Outlook Stable; -- $42.4 million class B at 'AA-sf'; Outlook Stable; -- $121.4 million class EC at 'A-sf'; Outlook Stable. -- $38.5 million class C at 'A-sf'; Outlook Stable; -- $44.3 million class D at 'BBB-sf'; Outlook Stable; -- $44.3 million class X-D* at 'BBB-sf'; Outlook Stable; -- $19.3 million class E at 'BBsf'; Outlook Stable; -- $9.6 million class F at 'Bsf'; Outlook Stable. *Indicates notional amount and interest-only. The class A-S, class B and class C certificates may be exchanged for class EC certificates, and class EC certificates may be exchanged for the class A-S, class B and class C certificates. Fitch does not rate the class G certificates. CITIGROUP MORTGAGE 2018-RP2: Moody's Gives (P)B3 to Cl. B-2 Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to eight classes of notes issued by Citigroup Mortgage Loan Trust 2018-RP2 ("CMLTI 2018-RP2"), which are backed by one pool of primarily re-performing residential mortgage loans. As of the cut-off date of February 28, 2018, the collateral pool is comprised of 1,139 first lien mortgage loans, with a weighted average (WA) updated primary borrower FICO score of 651, a WA current loan-to-value Ratio (LTV) of 94.1% and a total unpaid collateral balance of $344,794,833. Total deal balance is $346,027,026 which includes a pre-existing servcing advance of $1,232,194. Approximately 10.5% of the pool balance is non-interest bearing, which consists of both principal reduction alternative (PRA) and non-PRA deferred principal balance. Fay Servicing, LLC will be the primary servicer and will not advance any principal or interest on the delinquent loans. However, it will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. The complete rating actions are: Issuer: Citigroup Mortgage Loan Trust 2018-RP2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A, Assigned (P)Aaa (sf) Cl. M-1, Assigned (P)Aa2 (sf) Cl. M-2, Assigned (P)A3 (sf) Cl. M-3, Assigned (P)Baa3 (sf) Cl. B-1, Assigned (P)Ba3 (sf) Cl. B-2, Assigned (P)B3 (sf) Cl. B-3, Assigned (P)C (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on CMLTI 2018-RP2's collateral pool average 14.0% in Moody's base case scenario. Moody's loss estimates take into account the historical performance of loans that have similar collateral characteristics as the loans in the pool. Moody's credit opinion is the result of Moody's analysis of a wide array of quantitative and qualitative factors, a review of the third-party review of the pool, servicing framework and the representations and warranties framework. The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in January 2017. Collateral Description CMLTI 2018-RP2's collateral pool is primarily comprised of re-performing mortgage loans. About 85.9% of mortgage loans in the pool have been previously modified. Moody's based Moody's expected losses on Moody's estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. The two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since a loan modification, and the amount of the reduction in the monthly mortgage payment as a result of the modification. The longer a borrower has been current on a re-performing loan, the less likely the borrower is to re-default. Approximately 36.3% of the borrowers have been current on their payments for at least the past 24 months under the MBA method of calculating delinquencies. The sponsor noted that there is no material damage to the properties that were in geographic areas affected by Hurricanes Irma and Harvey and the California mudslides and wildfires. The transaction also contains a representation and warranty that there is no material damage to the properties. Moody's estimated expected losses for the pool using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimate losses on the pool using an approach similar to Moody's surveillance approach whereby Moody's apply assumptions of future delinquencies, default rates, loss severities and prepayments based on observed performance of similar collateral. Moody's project future annual delinquencies for eight years by applying an initial annual default rate and delinquency burnout factors. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's expect an annual delinquency rate of 13.3% on the collateral pool for year one. Moody's then calculated future delinquencies on the pool using Moody's default burnout and voluntary conditional prepayment rate (CPR) assumptions. The delinquency burnout factors reflect Moody's future expectations of the economy and the U.S. housing market. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Moody's loss severity assumptions are based off observed severities on liquidated seasoned loans and reflect the lack of principal and interest advancing on the loans. Moody's also conducted a loan level analysis on CMLTI 2018-RP2's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions, and considered the historical performance of seasoned loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the expected loss for the pool, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. As of the cut-off date, approximately 10.5% of the pool balance is non-interest bearing, which consists of both PRA and non-PRA deferred principal balance. However, the PRA deferred amount of $1,999,572 will be carved out as a separate Class PRA note. For non-PRA forborne amounts, the deferred balance is the full obligation of the borrower and must be paid in full upon (i) sale of property (ii) voluntary payoff or (iii) final scheduled payment date. Upon sale of the property, the servicer therefore could potentially recover some of the deferred amount. For loans that default in future or get modified after the closing date, the servicer may opt for partial or full principal forgiveness to the extent permitted under the servicing agreement. Based on performance and information from servicers, Moody's applied a slightly higher default rate than what Moody's assumed for the overall pool given that these borrowers have experienced past credit events that required loan modification, as opposed to borrowers who have been current and have never been modified. In addition, Moody's assumed approximately 95% severity as the servicer may recover a portion of the deferred balance. Moody's expected loss does not consider the PRA deferred amount. Transaction Structure The securitization has a simple sequential priority of payments structure without any cash flow triggers. The servicer will not advance any principal or interest on delinquent loans. However, the servicer will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches and loss allocation to the subordinate bonds. To the extent excess cashflow is available, it will be used to pay down additional principal of the bonds sequentially, building overcollateralization. Moody's coded CMLTI 2018-RP2's cashflows using SFW®, a cashflow tool developed by Moody's Analytics. To assess the final rating on the notes, Moody's ran 96 different loss and prepayment scenarios through SFW. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. The structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Third Party Review The sponsor engaged third party diligence providers to conduct the following due diligence reviews: (i) a title/lien review to confirm the appropriate lien was recorded and the position of the lien and to review for other outstanding liens and the position of those liens; (ii) a state and federal regulatory compliance review on the loans; (iii) a payment history review for the three year period (to the extent available) to confirm that the payment strings matched the data supplied by or on behalf of the third-party sellers; and (iv) a data comparison review on certain characteristics of the loans. Based on Moody's analysis of the TPR reports, Moody's determined that a portion of the loans with some cited violations are at enhanced risk of having violated TILA through an under-disclosure of the finance charges or other disclosure deficiencies. Although the TPR report indicated that the statute of limitations for borrowers to rescind their loans has already passed, borrowers can still raise these legal claims in defense against foreclosure as a set off or recoupment and win damages that can reduce the amount of the foreclosure proceeds. Such damages can include up to $4,000 in statutory damages, borrowers' legal fees and other actual damages. Moody's increased Moody's base case losses for these loans to account for such damages. The diligence provider also noted 143 lien exceptions such as HOA liens in super lien states, municipal liens, delinquent property taxes and property tax lien. Loans with these findings are not removed from the final pool, however, the seller is obligated to cure the exception or repurchase the loan within 12 months of the closing date. The review also consisted of validating 42 data fields for each loan in the pool which resulted in 556 loans having one or more data variances. It was determined that such data variances were attributable to missing or defective source documentation, non-material variances within acceptable tolerances, allocation between documented and undocumented deferred principal balances, timing and data formatting differences. Moody's did not make any adjustments for these findings. Representations & Warranties (R&W) The R&W framework for this transaction is adequate. The scope of the R&Ws are somewhat weaker compared to prior CMLTI securitizations rated by us owing mainly to items identified in the TPR being excluded from the R&Ws. However, the overall framework is still adequate as there are well-defined breach discovery and enforcement mechanisms and provisions that obligate the R&W provider despite lack of its knowledge (R&W knowledge clawback provisions). The R&W provider is Citigroup Global Markets Realty Corp. Although it itself is unrated, it is affiliated with an investment grade entity, Citigroup Inc., though Citigroup Inc. has no contractual obligation with respect to R&W breaches. There is a good chance that any R&W breaches will be discovered because an independent party is obligated to review for R&W breaches if: (i) a loan was at least 120 days delinquent following a threshold event, which is satisfied if the sum of cumulative realized loss and unpaid principal balance of 120+ days delinquent loans (current trigger amount) within the first three years exceeds 50% of aggregate class B-3, class B-4 and class B-5 balance as of the closing date or the current trigger amount exceeds 75% of aggregate class B-3, class B-4 and class B-5 balance as of the closing date thereafter. (ii) a loan was liquidated at a loss if certain conditions including but not limited to a reviewer waiver from controlling holder or if the review fees and expenses were less than the loss amount. (iii) the servicer has made a determination that it cannot foreclose upon the loan. If the breach reviewer (an independent third party) identifies a R&W breach, the R&W provider will be obligated to either cure the breach, repurchase or substitute the loan, or pay for any loss (or the portion of any loss attributable to the breach) if the loan has been liquidated. The R&W provider will also cover losses incurred due to a servicer's inability to foreclose on the mortgage. If the R&W Provider disputes the findings, there is binding arbitration to resolve the dispute. The loser of the arbitration pays all the expenses. There are a few weaknesses in the enforcement mechanisms. First, the independent reviewer is not identified at closing and, if the indenture trustee has difficulty engaging one on acceptable terms, the controlling holder can direct the trustee not to engage one. Furthermore, the review fees, which the trust pays, are not agreed upon at closing and will be determined in the future. Second, the remedies do not cover damages owing to TILA under-disclosures. Moody's made adjustments to account for such damages in Moody's analysis. Finally, there will be no remedy for an insurance-related R&W if there is an insurance policy rescission. Trustee Indemnification Moody's believe there is a very low likelihood that the rated notes in CMLTI 2018-RP2 will incur any loss from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, majority of the loans are seasoned with demonstrated payment history, reducing the likelihood of a lawsuit on the basis that the loans have underwriting defects. Second, historical performance of loans aggregated by the sponsor to date has been within expectation, with minimal losses on previously issued CMLTI transactions. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction a well-defined breach discovery and enforcement mechanism reduces the likelihood that parties will be sued for inaction. Transaction Parties Fay will be the primary servicer for all loans in the pool. Wells Fargo Bank, N.A. and Deutsche Bank National Trust Company will act as custodians. U.S. Bank National Association will be the trust administrator and Wilmington Savings Fund Society, FSB will be the indenture trustee. Factors that would lead to an upgrade or downgrade of the ratings: Factors that would lead to an upgrade of the ratings Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Factors that would lead to a downgrade of the ratings Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligors defaulting or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. COMM 2013-CCRE7: Moody's Affirms Caa1 Rating on Class G Certs ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of fifteen classes in COMM 2013-CCRE7 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE7: Cl. A-SB, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-3FL, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-3FX, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 7, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 7, 2017 Affirmed A3 (sf) Cl. D, Affirmed Ba2 (sf); previously on Apr 7, 2017 Downgraded to Ba2 (sf) Cl. E, Affirmed B1 (sf); previously on Apr 7, 2017 Downgraded to B1 (sf) Cl. F, Affirmed B2 (sf); previously on Apr 7, 2017 Downgraded to B2 (sf) Cl. G, Affirmed Caa1 (sf); previously on Apr 7, 2017 Downgraded to Caa1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Apr 7, 2017 Affirmed A2 (sf) Cl. PEZ, Affirmed A1 (sf); previously on Apr 7, 2017 Affirmed A1 (sf) RATINGS RATIONALE The ratings on twelve P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two IO classes, Cl. X-A and Cl. X-B, were affirmed based on the credit quality of their referenced classes. The rating on Class PEZ was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 7.1% of the current pooled balance, compared to 6.3% at Moody's last review. Moody's base expected loss plus realized losses is now 5.7% of the original pooled balance, essentially the same as 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 methodologies used in rating COMM 2013-CCRE7 Mortgage Trust, Cl. A-3, Cl. A-3FL, Cl. A-3FX, Cl. A-4, Cl. A-M, Cl. A-SB, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, and Cl. G were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The principal methodology used in rating COMM 2013-CCRE7 Mortgage Trust, Cl. PEZ was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating COMM 2013-CCRE7 Mortgage Trust, Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the March 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $747 million from $936 million at securitization. The certificates are collateralized by 53 mortgage loans ranging in size from less than 1% to 17.4% of the pool, with the top ten loans (excluding defeasance) constituting 59% of the pool. Four loans, constituting 2.3% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 16, compared to 19 at Moody's last review. Seven loans, constituting 9.3% 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. No loans have been liquidated from the pool. The One West Fourth Street Loan ($47.3 million -- 6.3% of the pool), is the only loan currently in special servicing. This loan is secured by a 431,000 square foot (SF) Class A office property located in Winston-Salem, NC approximately 28 miles west of Greensboro. The loan transferred to special servicing in November 2016 due to imminent default when the largest tenant, Wells Fargo (representing 46% NRA) announced it would be vacating at its lease expiration in December 2016. Monthly debt service payments remain current, however, cash flow significantly declined in 2017 due the decreased occupancy. Moody's has also assumed a high default probability for three poorly performing loans, constituting 3.6% of the pool, and has estimated an aggregate loss of $17.5 million (a 24% expected loss on average) from these troubled and special serviced loans. Moody's received full year 2016 operating results for 98% of the pool, and full or partial year 2017 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 95.6%, compared to 96.2% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16.8% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.69X and 1.19X, respectively, compared to 1.68X and 1.17X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 29.4% of the pool balance. The largest loan is the Moffett Towers Phase II Loan ($130.0 million -- 17.4% of the pool), which represents a pari passu portion of a $245 million senior mortgage loan. The senior loan is also encumbered with mezzanine debt of $55 million. The loan is secured by a 676,598 SF office property located in Silicon Valley office market of Sunnyvale, CA. The property consists of three separate LEED Gold certified eight-story office buildings. As of December 2017 the property was 100% leased, unchanged since Moody's last review. The two tenants occupying the properties are Hewlett Packard (58% of NRA) and a subsidiary of Amazon.com, Inc. (42% of NRA). Moody's LTV and stressed DSCR are 107% and 0.94X, respectively, the same as at the last review. The second largest loan is the Lakeland Square Mall Loan ($63.8 million -- 8.5% of the pool), which is secured by a 535,937 SF component of a 883,290 SF regional mall located in Lakeland, Florida approximately 35 miles east of Tampa. At securitization, the property was anchored by Dillard's, J.C. Penney, Macy's, and Sears, with only J.C. Penney contributed as collateral for the loan. However, Macy's elected to close this location in 2017. Sports Authority similarly vacated its space in late 2016 after filing bankruptcy earlier in the year. Junior anchors include Burlington Coat Factory and Cinemark Movie Theaters. As of June 2017, the total mall and inline space were 85% and 86% leased, respectively. Moody's LTV and stressed DSCR are 125% and 0.91X, respectively, compared to 123% and 0.92X at last review. The third largest loan is the North First Commons Loan ($45.4 million -- 6.1% of the pool), which is secured by four adjacent 2-story, Class B office buildings surrounding a landscaped surface parking area in North San Jose, California. At securitization, the property was 100% leased to two tenants; eBay (75% of the NRA) and Amdocs (25% of the NRA). Amdocs did not renew their lease at its expiration in May 2016. The property has been 75% leased since this tenant departure. Moody's LTV and stressed DSCR are 106.5% and 0.97X, respectively. COMM 2014-CCRE17: Moody's Affirms Ba2 Rating on Class E Certs ------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on 14 classes in COMM 2014-CCRE17 Mortgage Trust, Commercial Mortgage Pass-Through Certificates: Cl. A-1, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-5, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Apr 7, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Apr 7, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Apr 7, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Apr 7, 2017 Affirmed Ba2 (sf) Cl. PEZ, Affirmed A1 (sf); previously on Apr 7, 2017 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Apr 7, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed Baa1 (sf); previously on Apr 7, 2017 Affirmed Baa1 (sf) RATINGS RATIONALE The ratings on eleven P&I Classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the exchangeable class PEZ was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. The ratings on two IO Classes, Classes X-A and X-B, were affirmed based on the credit quality of their referenced classes Moody's rating action reflects a base expected loss of 5.1% of the current balance, compared to 5.0% at Moody's last review. Moody's base expected loss plus realized losses is now 4.9% of the original pooled balance, the same as at Moody's 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 methodologies used in rating COMM 2014-CCRE17 Mortgage Trust, Cl. A-1, Cl. A-2, Cl. A-3, Cl. A-4, Cl. A-5, Cl. A-M, Cl. A-SB, Cl. B, Cl. C, Cl. D, and Cl. E were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The principal methodology used in rating COMM 2014-CCRE17 Mortgage Trust, Cl. PEZ was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating COMM 2014-CCRE17 Mortgage Trust, Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the March 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 3.3% to $1.15 billion from $1.19 billion at securitization. The certificates are collateralized by 59 mortgage loans ranging in size from less than 1% to 12.1% of the pool, with the top ten loans constituting 54.5% of the pool. Six loans, constituting 5.6% of the pool, have defeased and are secured by US Government securities. Eleven loans, constituting 13.9% 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. No loans have been liquidated from the pool. There is currently one loan in special servicing. The loan in special servicing is the Kunkel Portfolio Loan ($9.9 million -- 0.9% of the pool), which is secured by four buildings in downtown Evansville, Indiana. The loan was transferred to special servicing in June 2017 and is currently in the foreclosure process. Moody's received full year 2016 operating results for 100% of the pool and full or partial year 2017 operating results for 94% of the pool. Moody's weighted average conduit LTV is 105.1%, compared to 106.8% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 17.4% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.54X and 1.00X, respectively, compared to 1.52X and 0.98X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 32.0% of the pool balance. The largest loan is the Bronx Terminal Market Loan ($140.0 million -- 12.1% of the pool), which represents a pari-passu portion of a $380.0 million mortgage loan. The loan is secured by a borrower's leasehold interest in a 912,333 square foot (SF) anchored retail power center located in Bronx, New York. The center is of Class A quality and anchored by Target, BJs and Home Depot. The property is subject to a ground lease which expires in September 2055. As of September 2017, the property was 99% leased, the same at the last review and securitization, however, the fourth largest tenant, Toys R Us / Babies R Us (8% of the NRA), recently announced its plans to liquidate all of its US stores. The property benefits from strong population demographics, its proximity to mass transit and has frontage along the Major Deegan Expressway. Moody's LTV and stressed DSCR are 107.7% and 0.80X, respectively, the same at the last review. The second largest loan is the 25 Broadway Loan ($130.0 million -- 11.3% of the pool), which represents a pari-passu portion of a 250.0 million mortgage loan. The loan is secured by a 22-story, Class B office building located in the financial district submarket of Manhattan, New York. The largest tenants are Claremont Preparatory School (21% of NRA, lease expiration August 2030). As of September 2017, the property was 90% leased, compared to 96% as of September 2016 and securitization. Performance has improved due to higher revenues and stable expenses. Moody's LTV and stressed DSCR are 104.6% and 0.90X, compared to 118.5% and 0.80X at the last review. The third largest loan is the Cottonwood Mall Loan ($98.6 million -- 8.5% of the pool), which is secured by 410,452 SF portion of a 1.06 million SF super-regional mall located in western Albuquerque, New Mexico. The property is anchored by Dillard's, JC Penney, Sears, Conn's HomePlus and a 16-screen Regal Cinema, with only the Regal Cinema contributed as part of the collateral. The property is one of two regional mall in the area primarily serving the area west of Interstate 25 and the Rio Grande River, including the Rio Grande submarket. The competition, Coronado Mall is located only 12 miles southwest of the property and is considered the dominant mall in the market. As of September 2017, the total mall was 79% leased, compared to 96% in March 2017 and 94% in December 2015. The mall's in-line occupancy was 85% as of September 2017. The total mall's occupancy has declined due Macy's vacating its store at this property. In June 2017, Macy's sold its space to the sponsor Washington Prime Group for $27.1 million ($164 PSF) and the sponsor announced plans for an additional multimillion investment in the retail space. The loan benefits from amortization and Moody's LTV and stressed DSCR are 119.7% and 0.97X, respectively, compared to 121.9% and 0.95X at the last review. COOK PARK: S&P Assigns BB-(sf) Rating on $38MM Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Cook Park CLO Ltd.'s $858 million floating-rate notes. The note issuance is a collateralized loan obligation backed by primarily U.S. dollar-denominated senior secured loans to broadly syndicated corporate borrowers. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' or lower) 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 we expect to be bankruptcy remote. RATINGS ASSIGNED Cook Park CLO Ltd./Cook Park CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 595.00 A-2 NR 60.00 B AA (sf) 90.00 C (deferrable) A (sf) 74.00 D (deferrable) BBB- (sf) 61.00 E (deferrable) BB- (sf) 38.00 Subordinate notes NR 107.00 NR--Not rated. CREDIT SUISSE 2007-C3: Moody's Affirms C Ratings on 2 Tranches -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in Credit Suisse Commercial Mortgage Trust 2007-C3, Commercial Mortgage Pass-Through Certificates, Series 2007-C3.: Cl. A-J, Affirmed Caa2 (sf); previously on Apr 6, 2017 Affirmed Caa2 (sf) Cl. B, Affirmed C (sf); previously on Apr 6, 2017 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Apr 6, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings of three P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Moody's rating action reflects a base expected loss of 59.4% of the current pooled balance, compared to 17.4% at Moody's last review. While the percentage loss figure is significantly higher than at last review, the numerical loss figure is significantly lower than at last review due to the deal paying down 93% since last review. Moody's base expected loss plus realized losses is now 12.9% of the original pooled balance, compared to 14.7% 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. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. 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 loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the March 16, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $55.0 million from $2.68 billion at securitization. The certificates are collateralized by six mortgage loans ranging in size from 2.7% to 46.4% 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 four, compared to 12 at Moody's last review. There are currently no loans 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. Sixty-seven loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $315.9 million (for an average loss severity of 36%). Six loans, constituting 100% of the pool, are currently in special servicing. The largest specially serviced loan is the Quince Diamond Executive Center Loan ($24.1 million -- 46.4% of the pool), which is secured by a 109,000 SF office building located in Gaithersburg, Maryland approximately 20 miles northwest of Washington, DC and 40 miles southwest of Baltimore. The loan was transferred to the special servicer in June 2016 due to the borrower's failure to make scheduled payments and the the loan became REO in August 2017. The property was 69% leased as of January 2018. The second largest specially serviced loan is the Pinecrest Shopping Center Loan ($7.9 million -- 15.3% of the pool), which is secured by a 102,000 SF retail center located in Burlington, Wisconsin, approximately 80 miles northwest of Chicago and 35 miles southwest of Milwaukee. The property is anchored by a Sentry Foods, whose lease extends through April 2024. The property became REO in November 2015. The property was 91% leased as of December 2017. The third largest specially serviced loan is the Kenton Corners ($7.4 million -- 14.3% of the pool), which is secured by a 62,500 SF grocery-anchored retail center located in Cornelius, North Carolina. The grocery anchor was Lowes Food Stores, however, this location was purchased by Harris Teeter in 2012. The loan was transferred to the special servicer in April 2017 due to imminent maturity default. The property was 99% leased as of December 2017. The remaining three specially serviced loans are all secured by retail properties. Moody's estimates an aggregate $30.9 million loss for the specially serviced loans (59% expected loss on average). As of the March 16, 2018 remittance statement cumulative interest shortfalls were $35.9 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. CUMBERLAND PARK: Moody's Assigns (P)B3 Rating to Class F-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned the following provisional ratings to the following notes (the "Refinancing Notes") to be issued by Cumberland Park CLO, Ltd.: US$362,000,000 Class A-R Senior Secured Floating Rate Notes Due 2028 (the "Class A-R Notes"), Assigned (P)Aaa (sf) US$70,750,000 Class B-R Senior Secured Floating Rate Notes Due 2028 (the "Class B-R Notes"), Assigned (P)Aa1 (sf) US$55,500,000 Class C-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$33,500,000 Class D-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$31,750,000 Class E-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class E-R Notes"), Assigned (P)Ba3 (sf) US$10,500,000 Class F-R Secured Deferrable Floating Rate Notes Due 2028 (the "Class F-R Notes"), Assigned (P)B3 (sf) 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. 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. GSO / Blackstone Debt Funds Management LLC (the "Manager") will manage the CLO upon the closing date of the refinancing. It will direct 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 will issue the six classes of Refinancing Notes on April 20, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on August 19, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer will use 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: extensions of the stated maturity and non-call period; changes to the weighted average life (WAL) collateral quality test; and amendment of the Minimum Diversity Score/Maximum Rating/Minimum Spread Matrix and Recovery Rate Modifier Matrix. 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: $597,531,420 Defaulted Par: $2,776,032 Diversity Score: 73 Weighted Average Rating Factor (WARF): 3289 (corresponding to a weighted average default probability of 28.05%) Weighted Average Spread (WAS): 3.39% Weighted Average Recovery Rate (WARR): 48.47% Weighted Average Life (WAL): 6.33 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 3289 to 3782) Rating Impact in Rating Notches Class A-R: 0 Class B-R: -1 Class C-R: -2 Class D-R: -1 Class E-R: -1 Class F-R: -3 Percentage Change in WARF -- increase of 30% (from 3289 to 4276) Rating Impact in Rating Notches Class A-R: 0 Class B-R: -2 Class C-R: -3 Class D-R: -2 Class E-R: -2 Class F-R: -5 FLAGSTAR MORT 2018-2: DBRS Assigns Prov. B Rating on Cl. B-5 Certs ------------------------------------------------------------------ DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2018-2 (the Certificates) issued by Flagstar Mortgage Trust 2018-2 (the Trust): -- $660.1 million Class A-1 at AAA (sf) -- $660.1 million Class A-2 at AAA (sf) -- $598.5 million Class A-3 at AAA (sf) -- $598.5 million Class A-4 at AAA (sf) -- $478.8 million Class A-5 at AAA (sf) -- $478.8 million Class A-6 at AAA (sf) -- $119.7 million Class A-7 at AAA (sf) -- $119.7 million Class A-8 at AAA (sf) -- $89.4 million Class A-9 at AAA (sf) -- $89.4 million Class A-10 at AAA (sf) -- $30.3 million Class A-11 at AAA (sf) -- $30.3 million Class A-12 at AAA (sf) -- $61.6 million Class A-13 at AAA (sf) -- $61.6 million Class A-14 at AAA (sf) -- $660.1 million Class A-X-1 at AAA (sf) -- $660.1 million Class A-X-2 at AAA (sf) -- $598.5 million Class A-X-3 at AAA (sf) -- $478.8 million Class A-X-4 at AAA (sf) -- $119.7 million Class A-X-5 at AAA (sf) -- $89.4 million Class A-X-6 at AAA (sf) -- $30.3 million Class A-X-7 at AAA (sf) -- $61.6 million Class A-X-8 at AAA (sf) -- $660.1 million Class A-X-9 at AAA (sf) -- $10.6 million Class B-1 at AA (sf) -- $12.3 million Class B-2 at A (sf) -- $8.8 million Class B-3 at BBB (sf) -- $5.3 million Class B-4 at BB (sf) -- $3.2 million Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8 and A-X-9 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-11, A-13, A-X-2, A-X-3, A-X-5 and A-X-9 are exchangeable certificates. These classes can be exchanged for a combination of initial exchangeable certificates as specified in the offering documents. Classes A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11 and A-12 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-13 and A-14) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 6.25% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.75%, 3.00%, 1.75%, 1.00% and 0.55% 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 first-lien, fixed-rate, prime residential mortgages. The Certificates are backed by 1,097 loans with a total principal balance of $704,069,156 as of the Cut-off Date (April 1, 2018). Flagstar Bank, FSB (Flagstar) is the originator and servicer of the mortgage loans and the sponsor of the transaction. Wells Fargo Bank, N.A. will act as the Master Servicer, Securities Administrator, Certificate Registrar and Custodian. Wilmington Trust, National Association will serve as Trustee. IngletBlair, LLC will act as the Representation and Warranty (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Unique to this transaction, the servicing fee payable to the Servicer comprises three separate components: the base servicing fee, the aggregate delinquent servicing fee and the aggregate incentive servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. The base servicing fee will reduce the net weighted-average coupon (WAC) payable to certificate holders as part of the aggregate expense calculation. However, the delinquent and incentive servicing fees will not be included in the reduction of Net WAC and will thus reduce available funds entitled to the certificate holders (except for the Class B-6-C Net WAC). To capture the impact of such potential fees, DBRS ran additional cash flow stresses based on its 60+-day delinquency and default curves, as detailed in the Cash Flow Analysis section of the related report. The ratings reflect transactional strengths that include high-quality underlying assets and well-qualified borrowers. This transaction exhibits certain challenges such as limited third-party due diligence as well as a R&W framework that contains materiality factors, an unrated R&W provider, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses, DBRS reduced the originator score in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. Notes: All figures are in U.S. dollars unless otherwise noted. FLAGSTAR MORTGAGE 2018-2: Moody's Assigns (P)B3 Rating to B-5 Certs ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to 19 classes of residential mortgage-backed securities (RMBS) issued by Flagstar Mortgage Trust 2018-2 ("FSMT 2018-2"). The ratings range from (P)Aaa (sf) to (P)B3 (sf). The certificates are backed by a single pool of fixed rate non-agency jumbo mortgages (57.2% of the aggregate pool) and agency eligible high balance conforming residential fixed rate mortgages (42.8% of the aggregate pool), originated by Flagstar Bank, FSB, with an aggregate stated principal balance of $704,069,156. Flagstar Bank, FSB ("Flagstar") is the servicer of the pool, Wells Fargo Bank, N.A. ("Well Fargo") is the master servicer and Wilmington Trust, National Association will serve as the trustee. Servicing compensation in this transaction is based on a fee-for-service incentive structure similar to the Flagstar Mortgage Trust 2018-1 transaction. The fee-for-service incentive structure includes an initial monthly base servicing fee of $20.50 for all performing loans and increases according to certain delinquent and incentive fee schedules. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Moreover, the transaction does not have a servicing fee cap. The complete rating actions are: Issuer: Flagstar Mortgage Trust 2018-2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aa2 (sf) Cl. A-14, Assigned (P)Aa2 (sf) Cl. B-1, Assigned (P)A1 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) RATINGS RATIONALE Summary credit analysis Moody's calculated losses on the pool using Moody's US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Moody's final loss estimates also incorporate adjustments for originator assessments, third-party review (TPR) scope and results, and the financial strength of representation & warranty (R&W) provider. Moody's expected loss for this pool in a base case scenario is 0.50% and reaches 6.20% at a stress level consistent with Moody's Aaa (sf) scenario. Collateral description The FSMT 2018-2 transaction is a securitization of 1,097 first lien residential mortgage loans with an unpaid principal balance of $704,069,156. This transaction has approximately three months seasoned loans and strong borrower characteristics. The non-zero weighted-average primary-borrower original FICO score is 767 and the weighted-average original combined loan-to-value ratio (CLTV) is 65.6%. More than 42.4% of the borrowers have more than 24 months' liquid reserves. There are however a relatively high percentage of self-employed borrowers (33.6% by loan balance) in the aggregate pool. Flagstar Bank, FSB originated and will service the loans in the transaction. Moody's consider Flagstar an adequate originator and servicer of prime jumbo and conforming mortgages and Moody's loss estimates did not include an adjustment for origination or servicing arrangement quality. Third-party review and representation & warranties The credit, property valuation, and data integrity portion of the third party review (TPR) was conducted on a random sample of loans of 222 loans (20% by loan count) by an independent TPR firm. Compared to the Flagstar 2018-1 transaction, the sample size of the TPR review is significantly reduced. The sample size has been reduced from 100% for compliance review and collateral desktop analyses (CDAs). In the areas of credit, valuation and data integrity, the TPR previously covered 332 loans (44% by loan count). With sampling, there is a risk that loans with grade C or grade D issues remain in the pool and that data integrity issues were not corrected prior to securitization for all of the loans in the pool. Moreover, vulnerabilities of the R&W framework, such as the weaker financial strength of the R&W provider, may be amplified due to the limited TPR sample. Moody's made an adjustment to loss levels to account for this risk. Flagstar Bank, FSB as the originator, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's have identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. Similar to JPMMT transactions, the transaction contains a "prescriptive" R&W framework. The originator makes comprehensive loan-level R&Ws and an independent reviewer will perform detailed reviews to determine whether any R&Ws were breached when loans become 120 days delinquent, the property is liquidated at a loss above a certain threshold, or the loan is 30 to 119 days delinquent and is modified by the servicer. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. However, Moody's made an adjustment to Moody's loss levels to incorporate the weaker financial strength of the R&W provider, which is amplified due to the smaller sample size used in the due diligence review. Moody's also considered in Moody's analysis the materiality tests that may absolve the R&W provider from being required to repurchase the loan. For example, data integrity exceptions within a 10% threshold will not require Flagstar to repurchase a loan, even if such exception causes the loan to fail to comply with the sponsor's underwriting guidelines. Servicing arrangement Moody's consider the overall servicing arrangement for this pool to be adequate. Servicing compensation for loans in this transaction is based on a fee-for-service incentive structure. The fee-for-service incentive structure includes an initial monthly base fee of $20.5 for all performing loans and increases according to certain delinquent and incentive fee schedules. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The fee-for-service compensation is reasonable and adequate for this transaction. It also better aligns the servicer's costs with the deal's performance and structure. The Class B-6-C (NR) is first in line to absorb any increase in servicing costs above the base servicing costs. Delinquency and incentive fees will be deducted from the Class B-6-C interest payment amount first and could result in interest shortfall to the certificates depending on the magnitude of the delinquency and incentive fees. Trustee and master servicer The transaction trustee is Wilmington Trust, National Association. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, Wells Fargo, as master servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, Wells Fargo is obligated to make servicing advances if the servicer is unable to do so. Tail risk & subordination floor This deal has a shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 0.75% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 6.25% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 0.55% of the original pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Based on an analysis of scenarios where the largest five to 10 loans in the pool default late in the life of the transaction, Moody's viewed the 0.75% senior floor as credit neutral. Moody's viewed the 0.55% subordination floor as credit neutral in Moody's rating analysis. Transaction structure The securitization has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bond for a specified period of time, and increasing amounts of prepayments to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. The senior support NAS certificates (Class A-14) will only receive their pro-rata share of scheduled principal payments allocated to the senior bonds for five years, whereas all prepayments allocated to the senior bonds will be paid to the super senior certificates, leading to a faster buildup of super senior credit enhancement. After year five, the senior support NAS bond will receive an increasing share of prepayments in accordance with the shifting percentage schedule. On or prior to the accretion termination date (the earlier of (1) the distribution date on which Class A-10 has been reduced to zero and (2) the distribution date where the aggregate balance of subordinate certificates has been reduced to zero), the accretion-directed certificate (Class A-10) will be entitled to receive as monthly principal distribution the accrued interest that would otherwise be distributable to the accrual certificate (Class A-12). All certificates (except Class B-6-C) in this transaction are subject to a net WAC cap. Class B-6-C will accrue interest at the net WAC minus the aggregate delinquent servicing and aggregate incentive servicing fee. For any distribution date, the net WAC will be the greater of (1) zero and (2) the weighted average net mortgage rates minus the capped trust expense rate. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Exposure to extraordinary expenses Certain extraordinary trust expenses (such as fees paid to the reviewer, servicing transfer costs) in the FSMT 2018-2 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $300,000 per year) are deducted from the net WAC. Moody's believe there is a very low likelihood that the rated certificates in FSMT 2018-2 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer (Inglet Blair, LLC), named at closing must review loans for breaches of representations and warranties when certain clear defined triggers have been breached, which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed the results of a compliance, credit, valuation and data integrity review covering a sample of the mortgage loans by an independent third party (Clayton Services LLC). Moody's did not make an adjustment for extraordinary expenses because most of the trust expenses will reduce the net WAC as opposed to the available funds. The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published in February 2015. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. GS MORTGAGE 2014-GC22: DBRS Confirms 'BB' Rating on Class E Certs ----------------------------------------------------------------- DBRS Limited confirmed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2014-GC22 issued by GS Mortgage Securities Trust 2014-GC22 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 (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (low) (sf) -- Class X-C at BB (high) (sf) -- Class E at BB (sf) -- Class X-D at B (high) (sf) -- Class F at B (sf) All trends are Stable. The Class A-S, Class B and Class C certificates may be exchanged for the Class PEZ certificates (and vice versa). The rating confirmations reflect the overall stable performance of the pool since issuance. The collateral consists of 59 fixed-rate loans secured by 113 multifamily properties with all loans remaining in the pool. As at the March 2018 remittance, there has been a collateral reduction of 2.7% as a result of scheduled loan amortization, with an aggregate outstanding principal balance of $935.4 million. The pool is reporting a weighted-average (WA) debt service coverage ratio (DSCR) of 1.88 times (x) and a WA debt yield of 10.5%, based on the most recent reporting available. These figures compare with the WA DBRS Term DSCR and DBRS Debt Yield figures derived at issuance of 1.52x and 8.6%, respectively. The top 15 loans reported a WA YE2017 or annualized 2017 DSCR of 1.94x, reflecting a WA net cash flow (NCF) growth of 23.0% over the DBRS issuance figures and WA NCF growth of 3.5% year-over-year. As at the March 2018 remittance, there are 14 loans (27.8% of the pool) on the servicer's watch list; these loans have been flagged for a variety of issues, including performance declines, upcoming tenant rollover risk, vacancy increases or deferred maintenance concerns. For additional information on the pivotal watch list loans, please see the DBRS Loan Commentary on the DBRS Viewpoint platform, for which information is provided below. Classes X-A, X-B, X-C and 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. Notes: All figures are in U.S dollars unless otherwise noted. JAMESTOWN CLO II: S&P Assigns BB-(sf) Rating on Class D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Jamestown CLO II Ltd., a collateralized loan obligation (CLO) originally issued in February 2013 that is managed by Investcorp Credit Management U.S. LLC. The replacement notes were issued via a proposed supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the April 10, 2018, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes. As such, S&P withdrew its ratings on the original notes and assigned ratings to the replacement notes. The replacement notes were issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, also specified that: -- The replacement class A-1-R, B-R, C-R, and D-R notes were issued at a lower spread than the original notes. -- The class A-2A floating-rate notes and A-2B fixed-rate notes were replaced by the class A-2-R floating-rate notes. -- The non-call period was reinstated, ending April 2019. -- The reinvestment period was reinstated (ending April 2020), and the transaction was recapitalized to the target par amount. -- The stated maturity was extended to April 2030. -- The transaction removed the weighted average spread and weighted average coupon collateral quality tests. 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." RATINGS ASSIGNED Jamestown CLO II Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 222.70 A-2-R AA (sf) 41.80 B-R (deferrable) A (sf) 21.00 C-R (deferrable) BBB- (sf) 20.30 D-R (deferrable) BB- (sf) 13.10 Subordinated notes NR 50.10 NR--Not rated. JP MORGAN 2002-C3: Moody's Affirms C Rating on Class X-1 Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2002-C3: Cl. G, Affirmed Ca (sf); previously on Apr 6, 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 G was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Class G has already experienced a 38% realized loss as result of previously liquidated loans. The rating on the IO class (Class X-1) was affirmed based on the credit quality of the 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 9.1% of the original pooled balance, the same as 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 rating J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C3, Cl. G was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating J.P. Morgan Chase Commercial Mortgage Securities Corp., Series 2002-C3, Cl. X-1 were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS " published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the March 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $6.2 million from $745 million at securitization. The certificates are collateralized by five mortgage loans ranging in size from 11% to 30% of the pool. Two loans, constituting 32% of the pool, have defeased and are secured by US government securities. Eleven loans have been liquidated from the pool, resulting in an aggregate realized loss of $68 million (for an average loss severity of 69%). Moody's received full year 2016 and full or partial year 2017 operating results for 100% of the pool (excluding specially serviced and defeased loans). The three non-defeased loans represent 68% of the pool balance. The largest loan is the Conroe Shopping Center Loan ($1.8 million -- 29.3% of the pool), which is secured by a 51,000 square foot (SF) retail center located in Conroe, Texas (approximately 41 miles north of downtown Houston). The property was 96% leased as of September 2017, the same as of December 2016. Performance has been stable for the past three years. The loan is fully amortizing, has paid down 63% since securitization and matures in December 2022. Moody's LTV and stressed DSCR are 28% and 3.70X, respectively. The second largest loan is the Shoal Creek Apartments, Phase II Loan ($1.7 million -- 26.9% of the pool), which is secured by an 87-unit multifamily complex located in Athens, Georgia, near the University of Georgia campus. The property was 100% leased as of June 2017 and has been close to 100% leased since 2014. The loan is fully amortizing, has paid down 62% since securitization and matures in November 2022. Moody's LTV and stressed DSCR are 35% and 2.77X, respectively. The third largest loan is the Golden State-Northridge Loan ($712,702 -- 11.5% of the pool), which is secured by a self-storage facility in Northridge, California. The property was 99% leased as of June 2017, compared to 98% leased as of September 2016. The loan is fully amortizing, has paid down 68% since securitization and matures in October 2022. Moody's LTV and stressed DSCR are 13% and greater than 4.00X, respectively. JP MORGAN 2004-C2: Fitch Affirms CCC Rating on Class M Certs ------------------------------------------------------------ Fitch Ratings has affirmed seven classes of J.P. Morgan Chase Commercial Mortgage Securities Corp. commercial mortgage pass-through certificates, series 2004-C2. KEY RATING DRIVERS The affirmations reflect sufficient credit enhancement to the classes relative to expected losses. As of the March 2018 remittance report, the pool's aggregate principal balance has been reduced by 97.2% to $30 million from $1.06 billion at issuance. Realized losses to date total 1.2% of the original pool balance. Interest shortfalls are currently affecting class P and the non-rated class. Defeasance/Fully Amortizing Loans: Two loans (7.4% of current pool) are defeased, both of which are fully amortizing. An additional six loans (26%) are also fully amortizing and include four loans secured by single-tenant Walgreens properties (13.4%); one loan secured by a retail center (9.2%) located in Las Vegas, NV, of which Walgreens comprises 24.7% of the net rentable area and 75.7% of the total base rent; and one loan secured by a 60 unit multifamily property (3.4%) located in Forest Lake, MN. Fitch Loans of Concern: Fitch has designated two loans (58.3% of current pool) as Fitch Loans of Concern, including the largest loan in the pool (51.8%) and one specially serviced loan (6.5%). Employers Reinsurance Corporation II, the largest remaining loan in the pool, is secured by a 155,925 sf single-tenant suburban office property located in Kansas City, MO approximately 15 miles south of the central business district. The loan has an anticipated repayment date (ARD) of May 2019. The property is fully-leased to credit worthy tenant Swiss Re Management (US) Corp. through April 2019; however, Swiss Re vacated the property in October 2006 following a consolidation of its Kansas City-area staff in Overland Park, KS. Per servicer reporting, Burns & McDonnell Engineering Company, Inc. is currently subleasing approximately 59.6% of the NRA through March 2019. However, Burns & McDonnell recently built a 310,000 sf expansion building in 2016 on its 37-acre global headquarters campus, which is located 0.8 miles southeast of the subject, and is expected to vacate the subject property upon lease expiration. The loan is expected to amortize by an additional $450,000 through lease maturity. Fitch conducted a dark value analysis on the property to estimate the recovery amount should the property be vacant at the loan maturity date. Fitch's assigned ratings reflect the required recovery amount from this loan necessary to pay off the classes; class K is reliant on a recovery of only $26 psf while class L is reliant on a recovery of $42 psf. The specially-serviced loan, Hillside MHP Portfolio (6.5% of current pool), is secured by a portfolio of 122 manufactured homes spanning three complexes in Mount Morris, Nunda, and Silver Springs, NY. The loan transferred to special servicing in April 2014 for maturity default. A receiver was appointed in August 2016 and a Motion for Summary Judgment (MSJ) was filed in October 2016. The foreclosure and note sale procedures will occur following the court's ruling on the MSJ, which remains pending. As of January 2018, the portfolio occupancy was 64.8%, compared to 60% at year-end 2015 and 56.3% at year-end 2014. The servicer reported portfolio NOI DSCR was 0.83x at year-end 2017, compared to 0.67x at year-end 2015 and 1.43x at year-end 2014. Loan Maturities: The loan maturity/ARD schedule consists of 14.8% of the pool in 2018, 51.8% in 2019, 2.6% in 2020, 1.8% in 2022 and 28.9% in 2024. Concentrated Pool with Adverse Selection: The pool is highly concentrated with only 11 of the original 134 loans remaining. The majority of the outstanding loans are secured by properties located in secondary/tertiary markets and/or leased to a single tenant. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality, and performance, then ranked them by the perceived likelihood of repayment. The ratings reflect this sensitivity analysis. RATING SENSITIVITIES The Negative Outlooks on classes K and L reflect concerns surrounding the Employers Reinsurance Corporation II loan. Downgrades to these classes are possible should the loan transfer to special servicing and/or the property becomes vacant. The Stable Outlooks on classes H and J reflect their substantial credit enhancement and dependence on fully defeased loans and/or fully amortizing loans that are lowly-leveraged and secured by stable-performing properties. 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 affirmed the following ratings: -- $4.8 million class H at 'AAAsf'; Outlook Stable; -- $6.5 million class J at 'Asf'; Outlook Stable; -- $5.2 million class K at 'BBsf'; Outlook to Negative from Stable; -- $2.6 million class L at 'Bsf'; Outlook to Negative from Stable. -- $3.9 million class M at 'CCCsf'; RE 100%; -- $2.6 million class N at 'Csf'; RE 80%; -- $2.6 million class P at 'Csf'; RE 0%. Classes A-1, A-2, A-3, A-4, A-1-A, B, C, D, E, F, G, RP-1, RP-2, RP-3, RP-4, and the RP-5 certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the rating on the interest-only class X certificates. JP MORGAN 2018-2: Fitch Assigns 'Bsf' Rating to Class B-5 Certs --------------------------------------------------------------- Fitch Ratings has assigned ratings to J.P. Morgan Mortgage Trust 2018-2 (JPMMT 2018-2) as follows: -- $298,664,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $298,664,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $282,202,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $282,202,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $225,762,000 class A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $225,762,000 class A-6 certificates 'AAAsf'; Outlook Stable -- $56,440,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $56,440,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $41,643,000 class A-9 exchangeable certificates 'AAAsf'; Outlook Stable; -- $41,643,000 class A-10 certificates 'AAAsf'; Outlook Stable; -- $14,797,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $14,797,000 class A-12 certificates 'AAAsf'; Outlook Stable; -- $16,462,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $16,462,000 class A-14 certificates 'AAAsf'; Outlook Stable; -- $298,664,000 class A-15 exchangeable certificates 'AAAsf'; Outlook Stable; -- $298,664,000 class A-X-1 notional certificates 'AAAsf'; Outlook Stable; -- $298,664,000 class A-X-2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $282,202,000 class A-X-3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $225,762,000 class A-X-4 notional certificates 'AAAsf'; Outlook Stable; -- $56,440,000 class A-X-5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $41,643,000 class A-X-6 notional certificates 'AAAsf'; Outlook Stable; -- $14,797,000 class A-X-7 notional certificates 'AAAsf'; Outlook Stable; -- $16,462,000 class A-X-8 notional certificates 'AAAsf'; Outlook Stable; -- $6,115,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $3,606,000 class B-2 certificates 'Asf'; Outlook Stable; -- $2,665,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $941,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $627,000 class B-5 certificates 'Bsf'; Outlook Stable; Fitch will not be rating the following classes: -- $940,990 class B-6 certificates; -- Class A-R certificates; KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The collateral pool consists of high quality, 30-year fully amortizing conforming fixed-rate loans to borrowers with strong credit profiles and low leverage. The pool has a weighted average (WA) FICO score of 774 and an original combined loan-to-value (CLTV) ratio of 69.7%. The collateral attributes of the pool are stronger than the conforming loans typically seen in JPMMT transactions due to fewer loans with lower FICO and higher LTV tails and more loans with liquid reserves. Originator Credit (Positive): 100% of the pool consists of loans originated by JPMorgan Chase, which Fitch has assessed as 'Above Average'. The strong origination practices and procedures as well as controls and oversight that JPMorgan Chase has in place, resulted in a reduction of 39bps to the 'AAAsf' loss. Servicer Credit (Positive): 100% of the pool consists of loans serviced by JPMorgan Chase, which Fitch rates as RPS1-. Servicer quality has an impact on the performance of the loans and Fitch gives a servicer credit to highly rated servicers (rating of 1- or higher) as highly rated servicers are expected to have higher recoveries due to their servicing practices and capabilities. This resulted in a reduction of 43bps to the 'AAAsf' loss. Tier 3 Representation and Warranty Framework (Negative): Fitch believes the value of the rep and warranty framework is diluted by the presence of qualifying and conditional language in conjunction with sunset provisions, which reduces lender breach liability. While Fitch believes the high credit-quality pool and clean diligence results mitigate these risks, Fitch considered the weaker framework in Fitch analysis. The weaker R&W framework resulted in an addition of 16bps to the 'AAAsf' loss. Strong Due Diligence Results (Positive): Loan-level due diligence was performed on 100% of the loans. All the reviewed loans received a third-party 'A' or 'B' grade, indicating strong underwriting practices and sound quality control procedures. Geographic Concentration (Negative): The pool's primary concentration is in California, representing approximately 41% of the pool, with the New York, Los Angeles and San Francisco metropolitan statistical areas (MSAs) representing approximately 28%, 17% and 11% of the pool, respectively. The geographic concentration in the pool, increased the 'AAAsf' loss by 43bps. Channel (Positive): Approximately 100% of the loans were originated through a retail channel. The issuer confirmed that all of the JPMorgan Chase loans that were identified as "Correspondent" in the tape were originated by the correspondent's retail channel. Fitch treated all of these loans as being originated through a retail channel (this impacted approximately 232 loans). Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 0.75% of the original balance will be maintained for the senior certificates. Repurchase of Loans Affected by Natural Disasters (Positive): JPMorgan Chase has ordered property inspections for the properties located in the areas affected by natural disasters. All the property inspections have come back showing that the properties have not sustained damage. JPMorgan Chase will repurchase or drop the loan if there is damage over $1,000 to the home. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. 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 may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. 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 5.6%. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. JPMCC COMMERCIAL 2014-C20: DBRS Confirms B Rating on Class G Certs ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-C20 issued by JPMCC Commercial Mortgage Securities Trust 2014-C20 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3A1 at AAA (sf) -- Class A-3A2 at AAA (sf) -- Class A-4A1 at AAA (sf) -- Class A-4A2 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 X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (high) (sf) -- Class X-C at B (high) (sf) -- Class G at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance, when the collateral consisted of 37 fixed-rate loans secured by 54 commercial properties. As at the March 2018 remittance, there has been a collateral reduction of 2.0% since issuance because of scheduled loan amortization and the prepayment of one loan, with 36 of the original loans remaining in the pool. Two loans, representing 2.6% of the current pool balance, are fully defeased. Loans representing 45.1% of the current pool balance are reporting YE2017 figures, while loans representing 50.7% of the pool are reporting partial-year 2017 financials. Based on the most recent year-end financials available, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.68 times (x) and 9.8%, respectively. The WA DBRS Term DSCR and WA DBRS Debt Yield at issuance were 1.47x and 8.4%, respectively. The largest 15 loans in the pool represent 73.6% of the current pool balance and, based on the most recent year-end financials, those loans reported a WA DSCR of 1.69x, representing a WA net cash flow (NCF) growth of 12.1% over the DBRS issuance NCF figures. At issuance, DBRS shadow-rated the largest loan, The Outlets at Orange (10.6% of the current pool balance), investment grade. With this review, DBRS has confirmed that the loan's performance remains consistent with investment-grade characteristics. For additional information, please see the DBRS Loan Commentary for this loan in the DBRS Viewpoint platform. As at the March 2018 remittance, there are seven loans on the servicer's watch list, representing 14.3% of the current pool balance; however, four of these loans, representing 7.1% of the current pool balance, were flagged for non-credit issues related to deferred maintenance. The remaining loans are being monitored for occupancy-related cash flow declines or upcoming rollover; DBRS assumed a stressed scenario for these loans to increase the probability of default in the analysis for this review. Classes X-A, X-B and X-C 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. Notes: All figures are in U.S dollars unless otherwise noted. LB-UBS COMMERCIAL 2005-C5: Fitch Affirms CCC Rating on Cl. H Certs ------------------------------------------------------------------ Fitch Ratings has upgraded one class and affirmed seven classes of LB-UBS Commercial Mortgage Trust (LBUBS) commercial mortgage pass-through certificates series 2005-C5. KEY RATING DRIVERS High Credit Enhancement/Better Than Expected Recoveries: The upgrade reflects the increasing credit enhancement relative to the remaining pool balance as a result of amortization, loan payoffs at maturity, and better than expected recoveries on recently disposed assets. Although credit enhancement is high to the senior class, the rating was capped due to lower collateral quality of the remaining assets. There are 10 assets remaining in the pool; Fitch has identified four Fitch Loans of Concern (42%), one (13.6%) of which is specially serviced. Retail Concentration: 100% of the pool is secured by retail properties the majority of which are located in tertiary markets. The largest is an 83,215 sf retail center located in Plano, TX, built in 1999. The largest tenants are ReMax (5.4%), exp. June 30, 2019; Lasik Plus (4.8%), exp. Nov. 30, 2023; Polo Nails (4.8%), exp. Sept. 30, 2023. The property is 91.5% occupied as of Sept. 30, 2017 rent roll. The master servicer was recently notified the tenant, Fratelli's (2%), vacated their space prior to their July 31, 2018 lease expiration. There is approximately an additional 4% upcoming rollover in 2018; 12% in 2019; 11% in 2021; and 16.6% in 2022. Pool/Maturity Concentration: Only 10 the original 117 loans remain. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality, and performance, then ranked them by the perceived likelihood of repayment. This includes performing amortizing loans. The ratings reflect this sensitivity analysis. All of the remaining non-specially serviced loans mature in 2020. Loans of Concern/Specially Serviced: The specially serviced asset is The Centre at Lake in the Hills a 99,451 sf shopping center built in 1997 and located at Lake in the Hills, IL. The property was 18% occupied as of the December 2017 rent roll. The property is currently under contract with expected closing scheduled in April 2018, and significant losses are expected. The property is anchored by a dark Dominick's Food Store which paid rent thru lease expiration in May 2017. The remaining Fitch loans of concern (28.6%) are on the master servicer's watchlist for declines in occupancy. RATING SENSITIVITIES The Stable Outlook on classes F and G reflects sufficient credit enhancement to the classes relative to expected losses. Upgrades are not expected. Downgrades to the distressed classes will occur as losses are realized. Fitch has upgraded the following class: -- $8.7 million class F to 'BBBsf' from 'BBsf'; Outlook Stable. Fitch has also affirmed and revised Recovery Estimates on the following classes: -- $26.4 million class G at 'Bsf'; Outlook Stable; -- $23.4 million class H at 'CCCsf'; RE 100% from 75%; -- $14.7 million class J at 'CCsf'; RE 80 from 0%; -- $20.5 million class K at 'Csf'; RE 0%; -- $4.5 million class L at 'Dsf'; RE 0%; -- $0 million class M at 'Dsf'; RE 0%; -- $0 million class N at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-J, B, C, D, and E certificates have paid in full. Fitch does not rate the class P, Q, S and T certificates. Fitch previously withdrew the ratings on the interest-only class X-CL and X-CP certificates. LIMEROCK CLO III: Moody's Lowers Class E Notes Rating to Caa2 ------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following notes issued by Limerock CLO III, Ltd.: US$12,500,000 Class E Deferrable Junior Secured Floating Rate Notes due October 20, 2026, Downgraded to Caa2 (sf); previously on February 23, 2017 Affirmed B3 (sf) Moody's also affirmed the ratings on the following notes: US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes due October 20, 2026, Affirmed Aaa (sf); previously on February 13, 2017 Assigned Aaa (sf) US$55,500,000 Class A-2-R Senior Secured Floating Rate Notes due October 20, 2026, Affirmed Aa1 (sf); previously on February 13, 2017 Assigned Aa1 (sf) US$25,000,000 Class B-R Deferrable Mezzanine Secured Floating Rate Notes due October 20, 2026, Affirmed A1 (sf); previously on February 13, 2017 Assigned A1 (sf) US$33,000,000 Class C Deferrable Mezzanine Secured Floating Rate Notes due October 20, 2026, Affirmed Baa2 (sf); previously on February 23, 2017 Upgraded to Baa2 (sf) US$31,500,000 Class D Deferrable Junior Secured Floating Rate Notes due October 20, 2026, Affirmed Ba3 (sf); previously on February 23, 2017 Affirmed Ba3 (sf) Limerock CLO III, Ltd., issued in November 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period will end in October 2018. RATINGS RATIONALE The rating downgrade on the Class E notes is primarily due to a decrease in the weighted average spread (WAS) of the underlying loan portfolio and deterioration of the notes' overcollateralization (OC) ratio since April 2017. Based on the trustee's March 2018 report, the WAS is currently reported at 3.18%, versus the April 2017 level of 3.38%, and is failing its trigger level of 3.40%. The interest reinvestment test ratio, in effect the Class E OC ratio, is currently reported at 103.09%, versus the April 2017 level of 103.79%, primarily reflecting portfolio par loss due to an increase in defaulted assets. Based on Moody's calculation, the total collateral par balance, including principal proceeds and current defaults carried at market value, is $487.9 million, which is $12.1 million less than the $500.0 million initial par amount targeted during the deal's ramp-up. The rating affirmations on the remaining rated notes reflect the benefit of the shorter period of time remaining before the end of the deal's reinvestment period, which offsets the decrease in WAS and the deterioration of the OC ratios for these notes. The rating actions also reflect the correction of a prior error. In previous rating actions, the administrative expenses and management fees were not modeled correctly, resulting in an underestimation of the fees payable. This error has now been corrected, and rating actions reflect this change. 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) 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. 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% (2212) Class A-1-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% (3318) Class A-1-R: 0 Class A-2-R: -1 Class B-R: -2 Class C: -2 Class D: -1 Class E: -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 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 $484.5 million, defaulted par of $5.4 million, a weighted average default probability of 21.55% (implying a WARF of 2765), a weighted average recovery rate upon default of 49.39%, a diversity score of 85 and a weighted average spread of 3.17%. 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. MERRILL LYNCH 2005-MKB2: Moody's Affirms C Rating on Cl. XC Certs ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on one class and affirmed the ratings on four classes of Merrill Lynch Mortgage Trust 2005-MKB2, Commercial Mortgage Pass-Through Certificates, Series 2005-MKB2: Cl. D, Affirmed Aaa (sf); previously on Apr 21, 2017 Upgraded to Aaa (sf) Cl. E, Affirmed Aaa (sf); previously on Apr 21, 2017 Upgraded to Aaa (sf) Cl. F, Affirmed Aa3 (sf); previously on Apr 21, 2017 Upgraded to Aa3 (sf) Cl. G, Upgraded to Ca (sf); previously on Apr 21, 2017 Affirmed C (sf) Cl. XC, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The ratings on Cl. D and Cl. E were affirmed because they are fully covered by defeasance. The rating on Cl. F was affirmed due to the class being fully covered by defeasance, however, the class was previously impacted by interest shortfalls for nearly four years between March 2013 through December 2016. The rating on Cl. G was upgraded based on the expected recovery of principal and the class's cumulative realized loss. Class G has experienced a 50% realized loss as the result of previously liquidated loans. The rating on the interest-only (IO) class, Cl. XC, was affirmed based on the credit quality of its referenced classes. Moody's does not anticipate any future losses as the only remaining collateral is a fully defeased loan. Moody's base expected loss plus realized losses is now 5.75% of the original pooled balance, compared to 5.74% 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 total outstanding loan balance is now defeased, meaning that the initial assets have been replaced by US Government Securities. The ratings on the Certificates may be sensitive to any change in the rating of the Government of the United States, or a change in interest shortfalls or realized losses on the Certificates. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating Merrill Lynch Mortgage Trust 2005-MKB2, Cl.D, Cl.E, Cl.F, and Cl.G was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Merrill Lynch Mortgage Trust 2005-MKB2, Cl. XC were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. PERFORMANCE As of the March 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $52.5 million from $1.14 billion at securitization. The certificates are collateralized by one remaining mortgage that has defeased and is secured by US government securities. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $65 million (for an average loss severity of 40%). MORGAN STANLEY 2015-C22: Fitch Lowers Rating on Cl. F Certs to CCC ------------------------------------------------------------------ Fitch Ratings has affirmed 13 classes and downgraded one class of Morgan Stanley Bank of America Merrill Lynch Trust (MSBAM) 2015-C22 commercial mortgage pass-through certificates. KEY RATING DRIVERS Increased Loss Expectations: The downgrade reflects increased loss expectations due to performance declines on the Fitch Loans of Concern (FLOCs) and the lack of progress in re-tenanting and resolving the vacant REO retail asset. Fitch modeled losses of 6.7% of the remaining pool balance; expected losses on the original pool balance total 6.5%. This is an increase from the previous rating action in April 2017, when loss expectations of the remaining pool balance were 5.30% and original pool balance were 5.2%. Fitch Loans of Concern: Eight loans (18.7% of pool) have been identified as FLOCs, four of which are in the top 15. Three in the top 15 are hotel properties that have suffered significant cash flow declines; one is a retail property in Philadelphia, PA with a concentrated rollover in 2019 of its top two tenants. The largest contributor to Fitch's modeled loss is the Hilton Houston Westchase (4.13%), which is secured by a 297-key hotel in Houston, TX. The decline in performance is attributed to the drop in oil prices, which had an impact on the market, as well as oversupply concerns. The loan matures in March 2020. As of year-end (YE) 2017, property-level net cash flow (NCF) has dropped 48% compared to the issuer's underwritten levels. The YE2017 servicer-reported NCF DSCR was 0.95x at 66% occupancy, compared to 1.05x at YE2016 with 77% and 1.77x at YE2015 with 80%. According to the December 2017 Smith Travel Research (STR) report, the property registered an occupancy, ADR, and RevPAR of 66%, $135 and $89 respectively, compared with the competitive set at 62%, $116, and $72. The penetration levels for occupancy, ADR, and RevPAR are 106%, 116%, and 123%, respectively. The Houston market also has a large amount new supply with 36 hotels under construction including 4,329 rooms and 105 hotels with 10,866 rooms in the planning phase. The Hilton Garden Inn West 54th Street (6.95%), which is secured by a 401-key select-service hotel located between Broadway and 8th Avenue in Midtown Manhattan, New York, NY, was flagged as a FLOC due to a NCF decline of 25% since issuance. Per servicer reporting, the YE2017 NCF DSCR declined to 1.98x compared to 2.00x at YE2016, 2.73x at YE2015, and 2.64x at issuance. The decline is mainly due to a drop in room revenues, as reported by STR, in which RevPAR decreased from $235 in September 2015 to $220 in December 2017 and ADR dropped from $244 to $225 during the same time period. According to the December 2017 STR report, the property had TTM occupancy, ADR, and RevPAR rates of 102.6%, 106.0%, and 108.8%, respectively. NCF has declined significantly since issuance but occupancy increased to 97.5% in December 2017 compared to 94.6% at issuance. Specially Serviced Asset: Pathmark-Linden is a 59,250-sf single-tenant retail building built in 1994 and located in Linden, NJ. The asset transferred to special servicing for payment default in November 2015 and became REO in May 2017. Pathmark vacated the property shortly after its parent company filed for bankruptcy in July 2015, and the property has since been vacant. The property has been on the market since August 2017 and recently was under contract but the buyer decided not to move forward with the purchase. Another offer has recently been submitted and is currently being reviewed. High Hotel and Retail Exposure: Approximately 23% of the pool by balance, including three of the top five loans (16.9%), consists of hotel properties. Approximately 32.7% of the pool by balance, including four of the top 12 loans (14.2%), consists of retail properties. However, there is no exposure to anchor retailers JC Penney, Sears, or Macy's. RATING SENSITIVITIES The Rating Outlook on class E was revised to Negative from Stable to reflect the higher modeled losses on the Fitch Loans of Concern and the specially serviced asset. Continued underperformance of the FLOCs may warrant a rating downgrade; conversely, the Outlook may be revised to Stable if the property performance reverts to levels seen at issuance. 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 downgraded the following class: -- $13.8 million class F to 'CCCsf' from 'B-sf'; RE65%. Fitch has affirmed the following ratings and revised Outlooks as indicated: -- $27.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $66.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $84.7 million class A-SB at 'AAAsf'; Outlook Stable; -- $250 million class A-3 at 'AAAsf'; Outlook Stable; -- $318.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $60.9** million class A-S at 'AAAsf'; Outlook Stable; -- $63.7** million class B at 'AA-sf'; Outlook Stable; -- $51.2** million class C at 'A-sf'; Outlook Stable; -- $62.3 million class D at 'BBB-sf'; Outlook Stable; -- $26.3 million class E at 'BB-sf'; Outlook to Negative from Stable; -- $175.8** million class PST at 'A-sf'; Outlook Stable; -- $820* million class X-A at 'AAAsf'; Outlook Stable; -- $63.7* million class X-B at 'AA-sf'; Outlook Stable. *Notional and interest-only. **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 classes G and H certificates. MSBAM 2013-C11: Fitch Cuts Rating on Class G Notes to 'C' --------------------------------------------------------- Fitch Ratings has downgraded three classes and affirmed 10 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2013-C11 (MSBAM 2013-C11). KEY RATING DRIVERS Higher Loss Expectations/Potential for Outsized Losses: The downgrades to classes E, F and G, and Negative Outlooks assigned to classes B through E, reflect elevated loss expectations. Fitch has identified six Loans of Concern (29.4% of the pool) including the specially serviced Matrix Corporate Center loan (8.1% of the pool), which has seen further performance deterioration over the past year. As of the March 2018 distribution, the pool's aggregate principal balance has been reduced by 13.4% to $741.9 million from $856.3 million at issuance. There are no realized losses to date. Two loans (1.9%) are currently defeased. Interest shortfalls are currently affecting the non-rated class J. Matrix Corporate Center: The one million square foot distinctively designed office property has seen a significant deterioration in performance since issuance. The loan's original sponsor, who was also involved with the hands-on management of the property, unexpectedly passed away in December 2015. Property occupancy has since declined to its current level of about 12.2% compared to 72% at issuance. The loan transferred to special servicing in February 2016 for imminent default. The servicer noted that it is currently contemplating offers for the sale of the property. Fitch anticipates a substantial loss upon resolution of the loan given the significant deterioration in performance since issuance. Fitch Loans of Concern: The largest FLOC, The Mall at Tuttle Crossing (12.4%), is secured by a 379,138 SF portion of a 1.1 million SF regional mall located in Dublin, OH, which has suffered declining inline sales since issuance. In June 2017, Macy's vacated a non-collateral 225,000 SF space housing its furniture, home goods, kids and men's departments while retaining a 223,000 SF non-collateral space at the property. The second largest FLOC is the Matrix Corporate Center (8.1%). The third largest FLOC, Southdale Center (7.0%), is secured by a 662,834 SF portion of a 1.1 million SF regional mall located in Edina, MN, which lost a non-collateral JC Penney and collateral Gordman's (6.7% of NRA) in mid-2017. The remaining FLOCs include one loan (1.1%) secured by a retail property fully leased to bankrupt Toys "R" Us, one loan (0.6%) secured by a Texas multifamily property that suffered heavy damage from Hurricane Harvey; and one loan (0.2%) secured by a dark Walgreens. Retail Concentration and Regional Mall Exposure: Retail loans represent 36.2% of the current pool. The majority of the retail exposure is from three of the top five loans, which are secured by regional malls located in Clearwater, FL (13.5%), Dublin, OH (12.4%) and Edina (7.0%). Two of the three regional mall loans in the top five are considered FLOCs due to the loss of anchor tenants within the past year and declining inline sales. One loan is sponsored by Westfield Group (13.5%) and two are sponsored by Simon Property Group, LP (19.4%). In addition, two of the regional malls (25.9%) have exposure to Sears as a non-collateral tenant, and all three have exposure to Macy's as a non-collateral tenant. Hotel Concentration: Approximately 20.6% of the pool by balance, including four loans in the top 15 (14.8%), consists of hotel properties. Above-Average Amortization: The pool is scheduled to amortize 15.4% prior to maturity. The pool has paid down 13.4% since issuance and 4.3% since Fitch's last rating action. There are no full interest-only loans. Only one loan, the Westfield Countryside (13.5%), is still in its partial-interest-only period, compared with nine loans (46.5%) at issuance. Approximately 89.8% of the pool consists of 10-year loans and 10.2% of the pool consists of five-year loans. RATING SENSITIVITIES The Negative Outlooks reflect the possibility of further downgrades. Fitch's analysis included an additional stress on The Mall at Tuttle Crossing loan to reflect the potential for higher losses. Upgrades to the junior classes B through G are unlikely in the near term, but may occur if recoveries are greater than anticipated, or with improved pool performance and additional class paydown or defeasance. Approximately 10.2% of the pool is scheduled to mature in 2018 while the remaining 89.8% matures in 2023. Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017. Fitch relies on the master servicer, Wells Fargo & Company (Fitch Issuer Default Rating of 'A+'/'F1'), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. Fitch downgrades the following ratings: -- $9.6 million class E to 'BBsf' from 'BBB-sf'; Outlook Negative; -- $8.6 million class F to 'CCCsf' from 'BB+sf'; RE: 100%; -- $20.3 million class G to 'Csf' from 'Bsf'; RE: 0%. Fitch affirms the following classes and revises Outlooks as indicated: -- $80.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $73.0 million class A-AB at 'AAAsf'; Outlook Stable; -- $125.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $206.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $485.0 million class X-A* at 'AAAsf'; Outlook Stable; -- $49.2 million class A-S at 'AAAsf'; Outlook Stable; -- $61.0 million class B at 'AA-sf'; Outlook to Negative from Stable; -- $144.5 million class PST at 'A-sf'; Outlook to Negative from Stable; -- $34.3 million class C at 'A-sf'; Outlook to Negative from Stable; -- $38.5 million class D at 'BBB-sf'; Outlook Negative. *Notional amount and interest only. The class A-1 certificates have paid in full. Fitch does not rate the class H, J, or X-B certificates. The class A-S, B, and C certificates may be exchanged for class PST certificates, and the class PST certificates may be exchanged for the class A-S, B, and C certificates. OCTAGON INVESTMENT 36: Moody's Assigns B3 Rating to Cl. F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to eight classes of notes issued by Octagon Investment Partners 36, Ltd. Moody's rating action is: US$2,000,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$297,500,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$37,500,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aaa (sf) US$31,250,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa1 (sf) US$43,750,000 Class C Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$30,000,000 Class D Secured Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$20,000,000 Class E Secured Deferrable Junior Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) US$10,000,000 Class F Secured Deferrable Junior Floating Rate Notes due 2031 (the "Class F Notes"), Assigned B3 (sf) The Class X Notes, the Class A-1 Notes, the 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." 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. Octagon 36 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first-lien senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of second-lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Octagon Credit Investors, 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 and credit improved assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes and one class of combination notes not rated by Moody's. 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: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2795 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.5% 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 2795 to 3214) Rating Impact in Rating Notches Class X Notes: 0 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 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2795 to 3634) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -2 ONDECK ASSET 2018-1: DBRS Assigns 'BB' Rating on Class D Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by OnDeck Asset Securitization Trust II LLC (the Issuer): -- $177,500,000 Series 2018-1 Asset-Backed Notes, Class A rated AA (sf) -- $15,500,000 Series 2018-1 Asset-Backed Notes, Class B rated A (sf) -- $20,000,000 Series 2018-1 Asset-Backed Notes, Class C rated BBB (sf) -- $12,000,000 Series 2018-1 Asset-Backed Notes, Class D rated BB (high) (sf) The provisional 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 parties' capabilities with regard to origination, underwriting and servicing. -- Credit quality of the collateral pool and the historical performance of On Deck Capital, Inc.'s small business loan portfolio. -- The transaction incorporates both collateral performances triggers and servicer financial covenants that will be expected to protect the note holders in a stressed environment. -- The structure and presence of legal opinions, which address the true sale of the assets to the Issuer, the non- consolidation of the Issuer with On Deck Capital, Inc. and the trustee's valid first-priority security interest in the collateral assets. Notes: All figures are in U.S. dollars unless otherwise noted. SAGUARO ISSUER: Moody's Lowers Ratings on 3 Tranches to Ba2 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following units issued by Saguaro Issuer Trust: US$11,000,000 aggregate face amount of Principal Units, Series K, Upgraded to Baa3; previously on February 1, 2018 Ba2 Placed Under Review for Possible Upgrade US$34,000,000 aggregate face amount of Principal Units, Series L, Upgraded to Baa3; previously on February 1, 2018 Ba2 Placed Under Review for Possible Upgrade Moody's also downgraded the ratings on the following units: US$15,000,000 aggregate face amount of Principal Units, Series A, Downgraded to Ba2; previously on March 5, 2018 Ba1 Placed Under Review for Possible Downgrade US$10,000,000 aggregate face amount of Principal Units, Series B, Downgraded to Ba2; previously on March 5, 2018 Ba1 Placed Under Review for Possible Downgrade US$13,000,000 aggregate face amount of Principal Units, Series C, Downgraded to Ba2; previously on March 5, 2018 Ba1 Placed Under Review for Possible Downgrade RATINGS RATIONALE The upgrade rating actions on the Series K and L Units are a result of a rating change on National Westminster Bank PLC's Junior Subordinate rating, which was upgraded to Baa3(hyb) from Ba2(hyb) on review for upgrade on April 4, 2018. The downgrade rating actions on the Series A, B and C Units are a result of a rating change on Barclays Bank PLC's Junior Subordinate rating, which was downgraded to Ba2(hyb) from Ba1(hyb) on review for downgrade on April 4, 2018. The transaction is a structured note whose ratings are based on the ratings of the underlying securities and the legal structure of the transaction. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in June 2015. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The ratings of the principal units will be sensitive to any change in the Junior Subordinate ratings of National Westminster Bank PLC and Barclays Bank PLC, respectively. SDART 2018-2: Fitch to Rate $83.3-Mil. Class E Notes 'BB-sf' ------------------------------------------------------------ Fitch Ratings expects to assign the following ratings to the notes issued by Santander Drive Auto Receivables Trust (SDART) 2018-2: -- $210,000,000 class A-1 'F1+sf'; -- $250,000,000 class A-2-A/A-2-B 'AAAsf'; Outlook Stable; -- $126,630,000 class A-3 'AAAsf'; Outlook Stable; -- $166,600,000 class B 'AA-sf'; Outlook Stable; -- $151,730,000 class C 'A-sf'; Outlook Stable; -- $106,500,000 class D 'BBBsf'; Outlook Stable; -- $83,300,000 class E 'BB-sf'; Outlook Stable. KEY RATING DRIVERS Stable Credit Quality: 2018-2 is backed by collateral relatively consistent with recent pools, with a non-zero weighted average (WA) FICO score of 610 and internal WA loss forecast score (LFS) of 555. Obligors with no FICO scores are down from peak levels but total 12.5%. High Extended-Term Concentration: The concentration of 75-month loans is at 12.5%, up from recent transactions. 61+ month loans total 93.2% of the pool, which is toward the higher end of the range for the platform. Consistent with prior Fitch-rated transactions, an additional stress was applied to 75-month loans in deriving the loss proxy as performance for these contracts has been volatile. Stable Portfolio/Securitization Performance: Recent managed portfolio annual vintage losses are tracking higher. Loss frequency has been driven higher by looser underwriting, while severity has also increased due to weaker used vehicle values and early-stage defaults on extended-term collateral. In response, SC has pulled back on originations and tightened underwriting slightly, which has led to improved performance in the 2016-2017 vintages relative to 2014-2015. ABS performance remains within Fitch expectations to date. Sufficient Credit Enhancement: Initial hard credit enhancement (CE) totals 51.70%, 37.70%, 24.95%, 16.00% and 9.00% for classes A, B, C, D and E, respectively. Hard CE is up from 2018-1 for the class A notes but unchanged for the junior notes. Excess spread is expected to be 8.91% per annum. CE is sufficient to cover the loss multiples and ratings under Fitch's 16.60% cumulative net loss (CNL) proxy for 2018-2. Stable Corporate Health: SC's recent financial results have been weaker due to higher losses on the managed portfolio. However, the company has been profitable since 2007, and Fitch currently rates Santander, SC's majority owner, 'A-'/'F2'/Stable. Consistent Origination/Underwriting/Servicing: SC demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch deems SC capable to service this transaction. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SC would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to 2018-2 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. This analysis exhibited a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, and potentially distressed ratings or defaults for the class E bonds. The notes could experience downgrades of three or more rating categories, potentially leading to distressed ratings (below Bsf) or possibly default, under Fitch's severe (2x base case loss) scenario. SERIES RR 2014-1: DBRS Confirms 'B' Rating on Class E Certs ----------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series RR issued by Series RR 2014-1 Trust: -- Class A at A (sf) -- Class B at BBB (sf) -- Class AB at BBB (sf) -- Class C at BBB (low) (sf) -- Class AC at BBB (low) (sf) -- Class D at BB (sf) -- Class E at B (sf) All trends are Stable. This transaction is a resecuritization collateralized by the beneficial interest in one commercial mortgage-backed pass-through certificate from the FREMF 2014-K38 Mortgage Trust, Series 2014-K38 (FREMF 2014-K38) transaction (rated by DBRS). The ratings are dependent on the performance of the underlying transaction. The rating confirmations reflect the stable overall performance of the underlying transaction. As of the March 2018 remittance for the FREMF 2014-K38 transaction, the pool has experienced a collateral reduction of 3.8% since issuance and benefits from defeasance collateral totaling 3.6% of the current pool balance. Please refer to the DBRS press release for the FREMF 2014-K38 transaction published on April 5, 2018, for more information on the DBRS ratings for that transaction. Notes: All figures are in U.S. dollars unless otherwise noted. SOUTHERN PACIFIC 1998-2: Moody's Hikes A-1 Debt Rating to Ba1 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of three bonds from Southern Pacific Secured Assets Corp. 1998-2. Complete list of rating actions is: Issuer: Southern Pacific Secured Assets Corp 1998-2 A-1, Upgraded to Ba1 (sf); previously on Jan 23, 2018 Ba3 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Upgraded Ba1 (sf); previously on Jan 23, 2018 Ba3 (sf) Previous Rating Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018) A-7, Upgraded to B2 (sf); previously on Jan 23, 2018 Caa1 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Upgraded B2 (sf); previously on Jan 23, 2018 Caa2 (sf) Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018) A-8, Upgraded to B1 (sf); previously on Jan 23, 2018 Caa1 (sf) Placed Under Review for Possible Upgrade Underlying Rating: Upgraded B1 (sf); previously on Jan 23, 2018 Caa1 (sf) Previous Rating Placed Under Review for Possible Upgrade Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018) RATINGS RATIONALE The action resolves the review of three bonds from Southern Pacific Secured Assets Corp. 1998-2, which were among those placed on review on January 23, 2018 due to errors in prior ratings analysis of the transaction and an update in the approach used to analyze the transaction structure. In Moody's prior analysis of this transaction, Moody's mistakenly considered the cash flow structure of each group of bonds to be independent within its respective collateral group and therefore did not reflect the cross-collateralization between the collateral groups backing these bonds. These errors have now been corrected, and rating actions reflect the corrected transaction structure. Additionally, in Moody's prior analysis for this transaction, Moody's used a static approach in which Moody's compared the total credit enhancement for a bond, including excess spread, subordination, overcollateralization, and other external support, if any, to Moody's expected losses on the mortgage pool(s) supporting that bond. Moody's have updated Moody's approach to include a cash flow analysis, wherein Moody's run several different loss levels, loss timing, and prepayment scenarios using Moody's scripted cash flow waterfalls to estimate the losses to the different bonds under these scenarios, as described in more detail in the "US RMBS Surveillance Methodology" published in January 2017. The rating actions reflect this cash flow analysis. Rating actions on these bonds further reflect the uncertainty of future cash flows as currently, the monthly collections on the collateral are being used by the trustee to fund an indemnity reserve account to meet its current and future expenses for litigation costs and potential judgments resulting from claims against the trustee. The actions reflect the recent performance of the underlying pools and Moody's updated expected losses on the 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 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 the 2018 year. 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. SPECIALTY UNDERWRITING 2005-BC2: Moody's Hikes M-3 Debt From Ba3 ---------------------------------------------------------------- Moody's Investors Service has upgraded the rating of Specialty Underwriting and Residential Finance Trust, Series 2005-BC2 Class M-3. Complete list of rating actions is: Issuer: Specialty Underwriting and Residential Finance Trust, Series 2005-BC2 Cl. M-3, Upgraded to Baa3 (sf); previously on May 5, 2017 Upgraded to Ba3 (sf) RATINGS RATIONALE The upgrade is primarily due to the total credit enhancement available to the bond. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the rating: 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 March 2018 from 4.5% in March 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. 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. SPYGLASS TRUST-1: Moody's Lowers Rating on US$70MM Notes to Ba2 --------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following units issued by Spyglass Trust-1: US$70,000,000 Face Amount of Principal Units Due January 28, 2019, Downgraded to Ba2; previously on March 5, 2018 Ba1 Placed Under Review for Possible Downgrade RATINGS RATIONALE The rating action is a result of a rating change on Barclays Bank PLC's Junior Subordinate rating ("Underlying Securities"), which was downgraded to Ba2(hyb) from Ba1(hyb) on review for downgrade on April 4, 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 rating of the principal units will be sensitive to any change in the Junior Subordinate rating of Barclays Bank PLC. SPYGLASS TRUST-2: Moody's Lowers Rating on US$30MM Notes to Ba2 --------------------------------------------------------------- Moody's Investors Service has downgraded the rating on the following units issued by Spyglass Trust-2: US$30,000,000 Face Amount of Principal Units Due March 1, 2019, Downgraded to Ba2; previously on March 5, 2018 Ba1 Placed Under Review for Possible Downgrade RATINGS RATIONALE The rating action is a result of a rating change on Barclays Bank PLC's Junior Subordinate rating ("Underlying Securities"), which was downgraded to Ba2(hyb) from Ba1(hyb) on review for downgrade on April 4, 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 rating of the principal units will be sensitive to any change in the Junior Subordinate rating of Barclays Bank PLC. TRYON PARK: S&P Assigns Prelim B-(sf) Rating on Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1S-R, A2-R, B-R, C-R, D-R, and E-R replacement notes and the new class X-R and A-1J-R notes from Tryon Park CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2013 that is managed by GSO/Blackstone Debt Funds Management 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 April 6, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the April 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on 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-1S-R, A2-R, and B-R notes are expected to be issued at lower spreads than the original notes, the replacement class D-R and E-R notes are expected to be issued at lower spreads than the original notes, and the replacement class C-R notes are expected to be issued at the same spread as the original notes. -- New class X-R and A-1JR notes are being added. -- The replacement class A-1S-R, A2-R, B-R, C-R, D-R, and E-R notes are expected to be issued at a floating spread, replacing the current floating spread. -- The stated maturity and reinvestment period are being extended by approximately four years. -- 91.25% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 95.48% 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 (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." PRELIMINARY RATINGS ASSIGNED Tryon Park CLO Ltd. Replacement class Rating Amount (mil. $) X-R AAA (sf) 5.00 A-1S-R AAA (sf) 261.90 A-1J-R NR 16.90 A2-R AA (sf) 42.20 B-R A (sf) 29.60 C-R BBB- (sf) 21.10 D-R BB- (sf) 16.90 E-R B- (sf) 8.40 Subordinated notes NR 66.50 NR--Not rated. VOYA CLO 2018-1: S&P Assigns BB-(sf) Rating on $26.1MM Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Voya CLO 2018-1 Ltd.'s $596.20 million floating-rate notes. The note issuance is collateralized loan obligation (CLO) 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. PRELIMINARY RATING ASSIGNED Voya CLO 2018-1 Ltd./Voya CLO 2018-1 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 404.00 A-2 AA (sf) 67.30 B (deferrable) A (sf) 58.80 C (deferrable) BBB- (sf) 40.00 D (deferrable) BB- (sf) 26.10 Subordinated notes NR 65.00 NR--Not rated. WACHOVIA BANK 2006-C24: S&P Raises Class C Certs Rating to B(sf) ---------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust Series 2006-C24, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on class B from the same transaction. For the affirmations and upgrades, S&P's expectation of credit enhancement was in line with the affirmed and raised rating levels. The upgrades reflect the collateral's current and future performance and available liquidity support. While available credit enhancement levels may suggest further positive rating movement on classes B and C, S&P's analysis also considered the certificates' susceptibility to reduced liquidity support from Union Square, a specially serviced asset ($6.2 million, 10.3%) and the potential maturity default risk for the Bank of America – Pasadena, CA loan. S&P said, "Class D was previously lowered to 'D (sf)' due to accumulated interest shortfalls that we expected to remain outstanding for a prolonged period of time. We raised our rating on this class from 'D (sf)' because the interest shortfalls, which were primarily due to certain specially serviced assets that have been resolved and we do not believe, at this time, a further default is virtually certain." TRANSACTION SUMMARY As of the March 16, 2018, trustee remittance report, the collateral pool balance was $59.5 million, which is 3.0% of the pool balance at issuance. The pool currently includes three loans and one real estate-owned (REO) asset, down from 119 loans at issuance. One of these assets ($6.2 million, 10.3%) is with the special servicer, while the remaining three ($53.6 million, 89.7%) are on the master servicer's watchlist. S&P calculated a 0.92x S&P Global Ratings weighted average debt service coverage (DSC) and 135.4% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.78% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the one specially serviced asset. To date, the transaction has experienced $186.6 million in principal losses, or 9.3% of the original pool trust balance. S&P expects losses to reach approximately 9.5% 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 one specially serviced asset. The Bank of America – Pasadena, CA loan ($47.8 million, 79.9%) is secured by a 345,945-sq.-ft. office property located in Pasadena, Calif., that is 100% leased to Bank of America until September 2019. The loan, which passed its anticipated repayment date in September 2015, is scheduled to mature just three months after the tenant's lease expiration, in December 2019. The reported DSC was 0.57x as of Dec. 31, 2017. CREDIT CONSIDERATIONS As of the March 16, 2018, trustee remittance report, the Union Square REO asset ($6.2 million, 10.34%) was with the special servicer, LNR Partners LLC. The asset has a total reported exposure of $7.2 million and is a 74,753-sq.-ft. retail property located in Monroe, N.C. The asset was transferred to the special servicer on Jan. 20, 2016, due to imminent maturity default and became REO on Jan. 12, 2018. The property is not currently listed for sale. The reported DSC and occupancy as of December 2016 were 0.47x and 25.70%, respectively. S&P expects a moderate loss upon this asset's eventual resolution. RATINGS LIST Wachovia Bank Commercial Mortgage Trust Commercial mortgage pass-through certificates series 2006-C24 Rating Class Identifier To From B 92976BFV9 BB+ (sf) BB+ (sf) C 92976BFW7 B (sf) CCC (sf) D 92976BFX5 CCC (sf) D (sf) [*] Moody's Hikes Ratings on 45 Tranches From 23 RMBS Deals ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 45 tranches issued by 23 RMBS transactions issued by various issuers. Complete list of rating actions is: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-HE6 Cl. I-A-2, Upgraded to B1 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf) Cl. I-A-3, Upgraded to B2 (sf); previously on Dec 2, 2013 Upgraded to Caa3 (sf) Cl. II-A-2, Upgraded to B1 (sf); previously on May 21, 2010 Downgraded to Caa2 (sf) Cl. II-A-3, Upgraded to B2 (sf); previously on Dec 2, 2013 Upgraded to Caa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF7 Cl. I-A, Upgraded to A1 (sf); previously on May 5, 2017 Upgraded to Baa3 (sf) Issuer: Long Beach Mortgage Loan Trust 2004-5 Cl. A-1, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa2 (sf) Issuer: Meritage Mortgage Loan Trust 2003-1 Cl. M-2, Upgraded to Ba1 (sf); previously on Oct 28, 2015 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Oct 28, 2015 Upgraded to B3 (sf) Cl. M-4, Upgraded to B3 (sf); previously on Oct 28, 2015 Upgraded to Caa2 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE7 Cl. M-2, Upgraded to B1 (sf); previously on May 5, 2017 Upgraded to B3 (sf) Issuer: New Century Home Equity Loan Trust, Series 2003-3 CL. M-2, Upgraded to Caa1 (sf); previously on May 4, 2012 Downgraded to Caa3 (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-4 Cl. M-2, Upgraded to Ba1 (sf); previously on Mar 22, 2016 Upgraded to B1 (sf) Cl. M-3, Upgraded to Ba3 (sf); previously on May 5, 2017 Upgraded to B3 (sf) Issuer: New Century Home Equity Loan Trust, Series 2005-C Cl. A-1, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa2 (sf) Cl. A-2c, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to A1 (sf) Cl. A-2d, Upgraded to Aa1 (sf); previously on May 5, 2017 Upgraded to A3 (sf) Issuer: Nomura Home Equity Loan Trust 2006-WF1 Cl. M-1, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on May 5, 2017 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to B2 (sf); previously on May 5, 2017 Upgraded to Caa2 (sf) Issuer: Option One Mortgage Loan Trust 2006-1 Cl. I-A-1, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa3 (sf) Cl. II-A-3, Upgraded to Aa1 (sf); previously on May 5, 2017 Upgraded to A1 (sf) Cl. II-A-4, Upgraded to A1 (sf); previously on May 5, 2017 Upgraded to A3 (sf) Issuer: Option One Mortgage Loan Trust 2007-FXD1 Cl. III-A-4, Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 13, 2010 Downgraded to C (sf) Financial Guarantor: Ambac Assurance Corp. (Segregated Account) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW3 Cl. M-3, Upgraded to B2 (sf); previously on May 5, 2017 Upgraded to Caa1 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WHQ1 Cl. M-6, Upgraded to B3 (sf); previously on May 5, 2017 Upgraded to Caa2 (sf) Issuer: RAMP Series 2003-RS5 Trust A-I-5, Upgraded to B1 (sf); previously on Mar 30, 2011 Downgraded to B3 (sf) A-I-6, Upgraded to B1 (sf); previously on Mar 30, 2011 Downgraded to B2 (sf) A-II-B, Upgraded to A3 (sf); previously on May 5, 2017 Upgraded to Ba1 (sf) Issuer: RASC Series 2003-KS7 Trust Cl. A-I-5, Upgraded to Aa3 (sf); previously on May 5, 2017 Upgraded to A2 (sf) Cl. A-I-6, Upgraded to Aa2 (sf); previously on May 5, 2017 Upgraded to A1 (sf) Issuer: RASC Series 2004-KS3 Trust Cl. M-II-1, Upgraded to Baa3 (sf); previously on May 5, 2017 Upgraded to Ba1 (sf) Issuer: Saxon Asset Securities Trust 2003-3 Cl. AF-5, Upgraded to Aaa (sf); previously on Mar 10, 2011 Downgraded to Aa1 (sf) Cl. AF-6, Upgraded to Aaa (sf); previously on Mar 10, 2011 Downgraded to Aa1 (sf) Issuer: Securitized Asset Backed Receivables LLC Trust 2006-FR1 Cl. A-2C, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa2 (sf) Issuer: Soundview Home Loan Trust 2006-2 Cl. M-3, Upgraded to Caa2 (sf); previously on Jan 23, 2015 Upgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2005-5 Cl. M3, Upgraded to Aa1 (sf); previously on May 5, 2017 Upgraded to A2 (sf) Cl. M4, Upgraded to Ba2 (sf); previously on May 5, 2017 Upgraded to B1 (sf) Issuer: Structured Asset Securities Corporation Series 2005-AR1 Cl. M2, Upgraded to B1 (sf); previously on May 5, 2017 Upgraded to Caa1 (sf) Issuer: Terwin Mortgage Trust 2006-1 Cl. I-A-3, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Aa1 (sf) Cl. I-M-1, Upgraded to Baa1 (sf); previously on May 5, 2017 Upgraded to Ba1 (sf) Cl. I-M-2, Upgraded to Ca (sf); previously on Oct 1, 2010 Downgraded to C (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMABS Series 2006-HE1 Trust Cl. I-A, Upgraded to Aa3 (sf); previously on May 5, 2017 Upgraded to A3 (sf) Cl. II-A-3, Upgraded to Aaa (sf); previously on May 5, 2017 Upgraded to Baa1 (sf) Cl. II-A-4, Upgraded to A1 (sf); previously on May 5, 2017 Upgraded to Baa3 (sf) Cl. M-1, Upgraded to Caa3 (sf); previously on May 5, 2017 Upgraded to Ca (sf) RATINGS RATIONALE The upgrades are primarily due to the increase in total credit enhancement available to the bonds. Additionally, WaMu Mortgage Pass-Through Certificates, WMABS Series 2006-HE1 Trust Class II-A-3 is expected to pay off in the near term. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the 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 March 2018 from 4.5% in March 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. 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 Takes Action on $11.7MM of RMBS Issued 1998 and 1999 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of five bonds from AMRESCO Residential Mortgage Loan Trust 1998-2, and downgraded the ratings of Classes A-1F and A-2F and confirmed the rating of Class A-1A from Delta Funding Home Equity Loan Trust 1999-3. Complete list of rating actions is: Issuer: AMRESCO Residential Mortgage Loan Trust 1998-2 A-5, Upgraded to A2 (sf); previously on Jan 23, 2018 Ba3 (sf) Placed Under Review for Possible Upgrade A-6, Upgraded to A2 (sf); previously on Jan 23, 2018 Ba2 (sf) Placed Under Review for Possible Upgrade M-1A, Upgraded to Baa1 (sf); previously on Jan 23, 2018 Caa2 (sf) Placed Under Review for Possible Upgrade M-1F, Upgraded to B1 (sf); previously on Jan 23, 2018 Caa3 (sf) Placed Under Review for Possible Upgrade M-2F, Upgraded to B1 (sf); previously on Jan 23, 2018 C (sf) Placed Under Review for Possible Upgrade Issuer: Delta Funding Home Equity Loan Trust 1999-3 Cl. A-1F, Downgraded to Ba3 (sf); previously on Jan 23, 2018 Ba1 (sf) Placed Under Review Direction Uncertain Underlying Rating: Downgraded to Ba3 (sf); previously on Jan 23, 2018 Ba1 (sf) Placed Under Review Direction Uncertain Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018.) Cl. A-2F, Downgraded to Ba3 (sf); previously on Jan 23, 2018 Ba1 (sf) Placed Under Review Direction Uncertain Underlying Rating: Downgraded to Ba3 (sf); previously on Jan 23, 2018 Ba1 (sf) Placed Under Review Direction Uncertain Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018.) Cl. A-1A, Confirmed at Ba2 (sf); previously on Jan 23, 2018 Ba2 (sf) Placed Under Review Direction Uncertain Underlying Rating: Confirmed at Ba2 (sf); previously on Jan 23, 2018 Ba2 (sf) Placed Under Review Direction Uncertain Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018.) RATINGS RATIONALE The actions resolve the review of eight bonds which were among those placed on review on January 23, 2018 due to errors in prior ratings analysis of certain transactions and an update to the approach used to analyze the transaction structures. The rating downgrades on Delta Funding Home Equity Loan Trust 1999-3 Classes A-1F and A-2F are due to the priority of principal payments to Class A-1A over Class A-1F and Class A-2F in certain cases. The actions also reflect the recent performance of the underlying pools and Moody's updated expected losses on the pools. In prior ratings analysis, Moody's did not appropriately reflect the cross-collateralization between the collateral groups backing these bonds. In AMRESCO Residential Mortgage Loan Trust 1998-2, the bonds benefit from cross-collateralization of the excess cash flow across collateral groups. In Delta Funding Home Equity Loan Trust 1999-3, collections from both collateral groups are combined and principal payments for variable rate senior bonds have priority in certain cases over fixed rate senior bonds. Moody's prior analysis mistakenly considered the cash flow structure of each group of bonds to be independent within its respective collateral group. These errors have now been corrected, and rating actions reflect the corrected transaction structures. In Moody's prior analysis of these transactions, Moody's used a static approach in which Moody's compared the total credit enhancement for a bond, including excess spread, subordination, overcollateralization, and other external support, if any, to Moody's expected losses on the mortgage pool(s) supporting that bond. Moody's have updated Moody's approach to include a cash flow analysis, wherein Moody's run several different loss levels, loss timing, and prepayment scenarios using Moody's scripted cash flow waterfalls to estimate the losses to the different bonds under these scenarios, as described in more detail in the "US RMBS Surveillance Methodology" published in January 2017. The rating actions reflect this cash flow analysis. 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 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 the 2018 year. 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. [*] Moody's Takes Action on $235.5MM of Alt-A RMBS Issued in 2004 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 24 tranches from eight transactions, backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are: Issuer: CHL Mortgage Pass-Through Trust 2004-HYB9 Cl. 1-A-1, Upgraded to A3 (sf); previously on Oct 5, 2016 Upgraded to Baa1 (sf) Cl. 2-A-1, Upgraded to Ba3 (sf); previously on Oct 5, 2016 Upgraded to B1 (sf) Cl. 2-A-2, Upgraded to B3 (sf); previously on Oct 5, 2016 Upgraded to Caa1 (sf) Issuer: CSFB Adjustable Rate Mortgage Trust 2004-4 Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Sep 25, 2015 Upgraded to Ba1 (sf) Cl. 2-A-1, Upgraded to Baa1 (sf); previously on Sep 25, 2015 Upgraded to Ba1 (sf) Cl. 3-A-1, Upgraded to Baa1 (sf); previously on Sep 25, 2015 Upgraded to Ba2 (sf) Cl. 4-A-1, Upgraded to Baa1 (sf); previously on Sep 25, 2015 Upgraded to Ba2 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-24CB Cl. 2-A-1, Upgraded to Ba2 (sf); previously on Oct 27, 2016 Upgraded to B1 (sf) Issuer: GSAA Home Equity Trust 2004-4 Cl. A-1, Upgraded to Aaa (sf); previously on Sep 4, 2016 Upgraded to Aa1 (sf) Cl. A-2B, Upgraded to Aaa (sf); previously on Sep 4, 2016 Upgraded to Aa1 (sf) Cl. M-2, Upgraded to Ba3 (sf); previously on Sep 4, 2016 Upgraded to B3 (sf) Cl. M-3, Upgraded to Caa3 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: HarborView Mortgage Loan Trust 2004-5 Cl. 1-A, Upgraded to Ba2 (sf); previously on Mar 22, 2011 Downgraded to Ba3 (sf) Cl. 2-A-6, Upgraded to Ba2 (sf); previously on Mar 22, 2011 Downgraded to Ba3 (sf) Cl. 3-A, Upgraded to Ba2 (sf); previously on Jun 29, 2012 Downgraded to B1 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2004-3 Cl. 1-A-5, Upgraded to Aaa (sf); previously on Jul 20, 2012 Downgraded to Aa1 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Jul 20, 2012 Downgraded to Caa1 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-10 Cl. 1-A1, Upgraded to Ba1 (sf); previously on Nov 3, 2016 Upgraded to Ba3 (sf) Cl. 1-A2, Upgraded to Ba1 (sf); previously on Mar 10, 2011 Downgraded to Ba3 (sf) Cl. 2A, Upgraded to Ba1 (sf); previously on Mar 10, 2011 Downgraded to Ba3 (sf) Cl. 3-A1, Upgraded to Ba1 (sf); previously on Mar 10, 2011 Downgraded to Ba3 (sf) Cl. 3-A2, Upgraded to Ba1 (sf); previously on Jul 6, 2012 Downgraded to Ba3 (sf) Cl. 4-A, Upgraded to Ba1 (sf); previously on Mar 10, 2011 Downgraded to Ba3 (sf) Issuer: Structured Adjustable Rate Mortgage Loan Trust 2004-9XS Cl. A, Upgraded to Aa3 (sf); previously on Oct 28, 2015 Upgraded to A2 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. 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 February 2018 from 4.7% in February 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. 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 Takes Action on $424.3MM of RMBS Issued 2000-2007 ------------------------------------------------------------- Moody's Investors Service has upgraded ratings of 14 tranches and downgraded 5 tranches from 8 US residential mortgage backed transactions (RMBS), backed by subprime loans, issued by multiple issuers. Complete rating actions are: Issuer: AFC Mtg Loan AB Notes 2000-1 Cl. 2A, Upgraded to Caa3 (sf); previously on Apr 4, 2013 Affirmed Ca (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Apr 4, 2013 Affirmed Ca (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Issuer: AFC Mtg Loan AB Notes 2000-4 Cl. 1A, Currently Rated Caa1 (sf); previously on May 20, 2016 Downgraded to Caa1 (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018) Cl. 2A, Currently Rated Caa1 (sf); previously on May 20, 2016 Downgraded to Caa1 (sf) Underlying Rating: Upgraded to Caa3 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Financial Guarantor: MBIA Insurance Corporation (Affirmed at Caa1, Outlook Developing on Jan 17, 2018) Issuer: Amortizing Residential Collateral Trust, Series 2002-BC6 Cl. A1, Upgraded to Aa3 (sf); previously on Aug 16, 2016 Upgraded to A3 (sf) Cl. A2, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded to Ba1 (sf) Cl. A4, Upgraded to A3 (sf); previously on Aug 16, 2016 Upgraded to Ba1 (sf) Cl. M1, Upgraded to Ba3 (sf); previously on Oct 1, 2015 Upgraded to B3 (sf) Cl. M2, Upgraded to Caa2 (sf); previously on Oct 1, 2015 Upgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB3 Cl. A-1, Downgraded to Ca (sf); previously on Apr 12, 2010 Downgraded to Caa3 (sf) Cl. A-2, Downgraded to Ca (sf); previously on Apr 12, 2010 Confirmed at Caa3 (sf) Cl. A-3, Downgraded to Ca (sf); previously on Apr 12, 2010 Confirmed at Caa3 (sf) Cl. A-4, Downgraded to Ca (sf); previously on Apr 12, 2010 Confirmed at Caa3 (sf) Cl. A-5, Downgraded to Ca (sf); previously on Apr 12, 2010 Confirmed at Caa3 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-18 Cl. 1-A, Upgraded to B2 (sf); previously on Oct 19, 2016 Upgraded to Caa1 (sf) Cl. 2-A-2, Upgraded to Caa1 (sf); previously on Oct 19, 2016 Confirmed at Caa2 (sf) Issuer: CWABS Asset-Backed Certificates Trust 2007-11 Cl. 1-A-1, Upgraded to B1 (sf); previously on Nov 22, 2016 Upgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2003-FF4 Cl. M-1, Upgraded to B2 (sf); previously on Mar 15, 2011 Downgraded to Caa1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2004-WMC3 Cl. M-3, Upgraded to B3 (sf); previously on Mar 5, 2013 Affirmed Ca (sf) Cl. M-4, Upgraded to Caa3 (sf); previously on Mar 5, 2013 Affirmed C (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to improvement of the total credit enhancement available to the bonds. The rating downgrades are due to the increase in expected losses on those bonds. 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 March 2018 from 4.5% in March 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. 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 Takes Action on $767.4MM of RMBS Issued 2001-2006 ------------------------------------------------------------- Moody's Investors Service has upgraded ratings of 50 tranches from 21 US residential mortgage backed transactions (RMBS), backed by Subprime loans, issued by multiple issuers. Complete rating actions are: Issuer: Aames Mortgage Trust 2001-3 Cl. A-1, Upgraded to Aaa (sf); previously on May 31, 2012 Downgraded to A1 (sf) Issuer: Accredited Mortgage Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3 Cl. 1A6, Upgraded to A1 (sf); previously on May 11, 2012 Downgraded to A3 (sf) Cl. 1A5, Upgraded to A3 (sf); previously on May 11, 2012 Downgraded to Baa1 (sf) Cl. 2M4, Upgraded to B2 (sf); previously on Jan 13, 2017 Upgraded to Caa1 (sf) Cl. 2M5, Upgraded to Caa1 (sf); previously on Feb 20, 2015 Upgraded to Caa3 (sf) Issuer: Argent Securities Inc., Series 2004-W2 Cl. M-5, Upgraded to Ca (sf); previously on Mar 18, 2011 Downgraded to C (sf) Issuer: Argent Securities Inc., Series 2004-W8 Cl. M-2, Upgraded to Ba2 (sf); previously on Aug 18, 2016 Upgraded to B1 (sf) Cl. M-1, Upgraded to Ba2 (sf); previously on Apr 13, 2012 Confirmed at B1 (sf) Issuer: Asset Backed Sec Corp Home Equity Loan Tr 2004-HE8 Cl. M2, Upgraded to B1 (sf); previously on Aug 18, 2016 Upgraded to B3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE10 Cl. M-4, Upgraded to Ca (sf); previously on Mar 11, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on Dec 7, 2015 Upgraded to B1 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Dec 7, 2015 Upgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2006-EC2 Cl. M-2, Upgraded to B1 (sf); previously on Jun 8, 2017 Upgraded to B3 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2002-2 Cl. A-1, Upgraded to Aa1 (sf); previously on Sep 22, 2015 Upgraded to A1 (sf) Cl. A-2, Upgraded to Aa3 (sf); previously on Sep 22, 2015 Upgraded to A3 (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Jun 8, 2017 Upgraded to Ba3 (sf) Cl. B, Upgraded to B1 (sf); previously on Jun 8, 2017 Upgraded to Caa3 (sf) Issuer: Centex Home Equity Loan Trust 2003-B Cl. AF-4, Upgraded to Aa2 (sf); previously on Jul 23, 2013 Confirmed at A1 (sf) Cl. AF-6, Upgraded to Aa1 (sf); previously on Jul 23, 2013 Confirmed at Aa3 (sf) Issuer: Centex Home Equity Loan Trust 2004-A Cl. M-3, Upgraded to Caa1 (sf); previously on Jul 23, 2013 Downgraded to Caa3 (sf) Cl. M-2, Upgraded to Ba2 (sf); previously on Jul 23, 2013 Confirmed at B2 (sf) Cl. M-1, Upgraded to Baa3 (sf); previously on Jul 23, 2013 Confirmed at Ba1 (sf) Issuer: Credit Suisse First Boston Mortgage Securities Corp. Series 2002-1 Cl. M-1, Upgraded to Aa3 (sf); previously on Jun 4, 2017 Upgraded to A3 (sf) Cl. M-2, Upgraded to Ba1 (sf); previously on Jun 4, 2017 Upgraded to B3 (sf) Cl. B-1, Upgraded to Caa2 (sf); previously on Jun 4, 2017 Upgraded to Ca (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2004-8 Cl. M-3, Upgraded to Baa3 (sf); previously on Jun 4, 2017 Upgraded to B2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Jun 4, 2017 Upgraded to Ba1 (sf) Cl. M-5, Upgraded to Caa1 (sf); previously on Jun 4, 2017 Upgraded to Ca (sf) Cl. M-4, Upgraded to Ba2 (sf); previously on Jun 4, 2017 Upgraded to Caa1 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-2 Cl. M-5, Upgraded to Aaa (sf); previously on Jun 4, 2017 Upgraded to A1 (sf) Cl. M-6, Upgraded to Baa3 (sf); previously on Jun 4, 2017 Upgraded to B1 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-3 Cl. M-4, Upgraded to Aaa (sf); previously on Jun 4, 2017 Upgraded to Aa2 (sf) Cl. M-5, Upgraded to Baa3 (sf); previously on Sep 4, 2015 Upgraded to B1 (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-5 Cl. M-2, Upgraded to Aaa (sf); previously on Jun 4, 2017 Upgraded to Aa1 (sf) Cl. M-3, Upgraded to A1 (sf); previously on Jun 4, 2017 Upgraded to Baa2 (sf) Cl. M-4, Upgraded to B2 (sf); previously on Sep 4, 2015 Upgraded to Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2004-13 Cl. MF-3, Upgraded to Caa1 (sf); previously on Mar 6, 2013 Affirmed C (sf) Cl. AF-6, Upgraded to Aaa (sf); previously on Aug 22, 2016 Upgraded to A3 (sf) Cl. AF-5A, Upgraded to Aaa (sf); previously on Jun 15, 2017 Upgraded to Baa1 (sf) Cl. AF-5B, Upgraded to Aaa (sf); previously on Jun 15, 2017 Upgraded to Baa1 (sf) Underlying Rating: Upgraded to Aaa (sf); previously on Jun 15, 2017 Upgraded to Baa1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: First Franklin Mortgage Loan Trust 2006-FF12 Cl. A4, Upgraded to Aa3 (sf); previously on Jun 14, 2017 Upgraded to A3 (sf) Cl. A5, Upgraded to Caa1 (sf); previously on Sep 30, 2015 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF15 Cl. A2, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa2 (sf) Cl. A1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Cl. A5, Upgraded to Baa1 (sf); previously on Jun 14, 2017 Upgraded to Ba1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF17 Cl. A1, Upgraded to Caa1 (sf); previously on Apr 6, 2010 Downgraded to Caa3 (sf) Issuer: Morgan Stanley Dean Witter Capital I Inc. Trust 2002-AM3 Cl. B-2, Upgraded to B3 (sf); previously on Jan 13, 2015 Upgraded to Ca (sf) Issuer: Structured Asset Investment Loan Trust 2004-4 Cl. M6, Upgraded to Caa1 (sf); previously on Mar 4, 2011 Downgraded to C (sf) Cl. M2, Upgraded to Ba1 (sf); previously on Aug 18, 2016 Upgraded to Ba3 (sf) Cl. M4, Upgraded to B1 (sf); previously on Aug 18, 2016 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to either an improvement in total credit enhancement available to the bonds and/or an improvement in the underlying pool performance. 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 February 2018 from 4.7% in February 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. 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 Discontinues Ratings From 46 Classes From 11 CLO Deals -------------------------------------------------------------- S&P Global Ratings discontinued its ratings on 43 classes from eight cash flow (CF) collateralized loan obligation (CLO) transactions and three classes from three CF collateralized debt obligations (CDO) backed by commercial mortgage-backed securities (CMBS). The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Apidos CLO XII (CF CLO): optional redemption in February 2018. -- Brookside Mill CLO Ltd. (CF CLO): optional redemption in February 2018. -- Catamaran CLO 2012-1 Ltd. (CF CLO): optional redemption in March 2018. -- Lime Street CLO Ltd. (CF CLO): last rated tranches paid down. -- Mach One 2004-1 LLC (CF CDO of CMBS): senior-most tranche(s) paid down, other rated tranches still outstanding. -- MP CLO V Ltd. (CF CLO): optional redemption in December 2017. -- Nomura CRE CDO 2007-2 Ltd. (CF CDO of CMBS): senior-most tranche(s) paid down, other rated tranches still outstanding. -- North End CLO Ltd. (CF CLO): optional redemption in March 2018. -- Palmer Square CLO 2013-1 Ltd. (CF CLO): optional redemption in February 2018. -- Palmer Square Loan Funding 2016-3 Ltd. (CF CLO): optional redemption in March 2018. -- RAIT Preferred Funding II Ltd. (CF CDO of CMBS): senior-most tranche(s) paid down, other rated tranches still outstanding. RATINGS DISCONTINUED Apidos CLO XII Rating Class To From A NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) Brookside Mill CLO Ltd. Rating Class To From A-1 NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C-1 NR A (sf) C-2 NR A (sf) D NR BBB (sf) E NR BB (sf) Catamaran CLO 2012-1 Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) Lime Street CLO Ltd. Rating Class To From B NR AAA (sf) C NR AA+ (sf) D NR BBB+ (sf) E NR B+ (sf) Mach One 2004-1 LLC Rating Class To From J NR A+ (sf) MP CLO V Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) Nomura CRE CDO 2007-2 Ltd. Rating Class To From B NR CCC- (sf) North End CLO Ltd. Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB (sf) F NR B (sf) Palmer Square CLO 2013-1 Ltd. Rating Class To From A-1-R NR AAA (sf) A-2-R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) E NR B (sf) Palmer Square Loan Funding 2016-3 Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AA (sf)/Watch Pos B NR A (sf)/Watch Pos C NR BBB (sf)/Watch Pos D NR BB (sf)/Watch Pos RAIT Preferred Funding II Ltd. Rating Class To From C NR CCC+ (sf) NR--Not Rated. [*] S&P Puts 35 Classes From 18 RMBS Deals on Watch Positive ------------------------------------------------------------ S&P Global Ratings placed its ratings on 35 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions on CreditWatch with positive implications. The 18 transactions include nine subprime, two prime, and seven negative amortization deals, all issued between 2000 and 2006. In August 2016, a settlement was reached regarding the alleged breach of certain representations and warranties in the governing agreements of 127 Washington Mutual Mortgage Securities Corp. (WAMU)/JPMorgan Chase & Co. legacy RMBS trusts. The settlement called for WAMU/JPMorgan Chase & Co. and some of its direct and indirect subsidiaries to pay out an estimated $645 million to $695 million to the trustees of the related RMBS trusts. Per a judicial notice filed on Feb. 14, 2018, the court-approved allocation experts reported settlement funds that totaled approximately $666 million. All of the settlement funds were distributed to the trustees in the February and March 2018 distribution periods. The CreditWatch positive placements therefore reflect a potential increase in credit support available to these classes due to these payments. Based on the agreement, the payments were allocated either as subsequent recoveries or unscheduled principal payments, based on the transaction documents. S&P said, "Over the next few weeks, we will review the payment information and remittance report data for these transactions to determine the degree of additional credit support available to, and any resulting upgrades on, these transactions. We expect most the upgrades to be within one rating category; however, some ratings may be raised more than that." RATINGS PLACED ON CREDITWATCH POSITIVE Long Beach Mortgage Loan Trust 2000-1 Rating Class CUSIP To From AF-3 542514AC8 A (sf)/Watch Pos A (sf) AF-4 542514AD6 A+ (sf)/ Watch Pos A+ (sf) AV-1 542514AH7 AA- (sf)/Watch Pos AA- (sf) M-1 542514AM6 CCC (sf)/Watch Pos CCC (sf) Long Beach Mortgage Loan Trust 2002-5 Rating Class CUSIP To From M-2 542514DC5 CCC (sf)/Watch Pos CCC (sf) Long Beach Mortgage Loan Trust 2004-5 Rating Class CUSIP To From A-6 542514HC1 BB- (sf)/Watch Pos BB- (sf) M-1 542514HD9 B- (sf)/Watch Pos B- (sf) Long Beach Mortgage Loan Trust 2005-2 Rating Class CUSIP To From M-5 542514KV5 B- (sf)/Watch Pos B- (sf) Long Beach Mortgage Loan Trust 2005-3 Rating Class CUSIP To From II-A3 542514NW0 CCC (sf)/Watch Pos CCC (sf) Long Beach Mortgage Loan Trust 2005-WL1 Rating Class CUSIP To From I/II-M3 542514LK8 BBB+ (sf)/Watch Pos BBB+ (sf) Long Beach Mortgage Loan Trust 2005-WL3 Rating Class CUSIP To From M-1 542514PR9 B- (sf)/Watch Pos B- (sf) Long Beach Mortgage Loan Trust 2006-WL1 Rating Class CUSIP To From I-A1 542514QP2 B- (sf)/Watch Pos B- (sf) I-A3 542514QR8 B- (sf)/Watch Pos B- (sf) II-A3 542514QU1 B- (sf)/Watch Pos B- (sf) II-A4 542514QV9 B- (sf)/Watch Pos B- (sf) WaMu Mortgage Pass Through Certificates Series 2005-AR13 Trust Rating Class CUSIP To From A-1B2 92922F4R6 BB- (sf)/Watch Pos BB- (sf) A-1B3 92922F4S4 BB- (sf)/Watch Pos BB- (sf) A-1C3 92922F4V7 CCC (sf)/Watch Pos CCC (sf) A-1C4 92922F4W5 CCC (sf)/Watch Pos CCC (sf) WaMu Mortgage Pass-Through Certificates Series 2003-AR3 Trust Rating Class CUSIP To From B-1 929227G83 B- (sf)/ Watch Pos B- (sf) WaMu Mortgage Pass-Through Certificates Series 2004-AR12 Trust Rating Class CUSIP To From A-1 92922FZE1 BB- (sf)/Watch Pos BB- (sf) A-5 92922FZK7 BB- (sf)/Watch Pos BB- (sf) WaMu Mortgage Pass-Through Certificates Series 2004-AR13 Trust Rating Class CUSIP To From A-2A 92922FB72 A+ (sf)/Watch Pos A+ (sf) WaMu Mortgage Pass-Through Certificates Series 2004-AR6 Trust Rating Class CUSIP To From A 92922FSL3 A+ (sf)/Watch Pos A+ (sf) WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust Rating Class CUSIP To From A-1B2 92922F2J6 BB- (sf)/Watch Pos BB- (sf) A-1B3 92922F2K3 BB- (sf)/Watch Pos BB- (sf) A-1C3 92922F2N7 CCC (sf)/Watch Pos CCC (sf) A-1C4 92922F2P2 CCC (sf)/Watch Pos CCC (sf) WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust Rating Class CUSIP To From 1-A-1A 92922FH84 BB+ (sf)/Watch Pos BB+ (sf) WaMu Mortgage Pass-Through Certificates Series 2005-AR8 Trust Rating Class CUSIP To From 2-A-1A 92922FR75 A (sf)/Watch Pos A (sf) 2-A-1B2 92922FR91 A- (sf)/Watch Pos A- (sf) 2-A-1B3 92922FS25 A- (sf)/Watch Pos A- (sf) 2-A-1C2 92922FS41 BBB+ (sf)/Watch Pos BBB+ (sf) 2-A-1C3 92922FS58 BBB+ (sf)/Watch Pos BBB+ (sf) WaMu Mortgage Pass-Through Certificates Series 2006-AR4 Trust Rating Class CUSIP To From 1A-1A 93934FPN6 BB+ (sf)/ Watch Pos BB+ (sf) [*] S&P Takes Various Actions on 104 Classes From 18 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 104 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. All of these transactions are backed by prime jumbo and subprime collateral. The review yielded 12 upgrades, 13 downgrades, 77 affirmations, and two discontinuances. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows." These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Loan modification criteria; -- Tail risk; and -- Available subordination and/or overcollateralization. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. All of the classes whose ratings were raised have the benefit of increased credit support. Most of these classes have benefitted from the failure of performance triggers and/or reduced subordinate class principal distribution amounts, which have built credit support for these classes as a percent of their respective deal balance. Ultimately, S&P believes these classes have credit support that is sufficient to withstand projected losses at higher rating levels. S&P said, "We lowered our rating on class IA-5 from Chase Funding Trust Series 2003-5 to 'B- (sf)' from 'BB (sf)' to reflect the application of our loan modification criteria. Based on our loan modification criteria, we apply a maximum potential rating (MPR) to those classes of securities that are affected by reduced interest payments over time due to loan modifications and/or other credit-related events. The interest rates on the loans due to the large amount of loan modifications reduce the interest to the securities themselves. As a result, the consideration of the securities' interest rate adjustments under our loan modification criteria may not properly capture the actual interest rate adjustments that may be occurring on the underlying loans." A list of Affected Ratings can be viewed at: https://bit.ly/2qfYmhE [*] S&P Takes Various Actions on 104 Classes From 22 US RMBS Deals ------------------------------------------------------------------ S&P Global Ratings completed its review of 104 classes from 22 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2007. All of these transactions are backed by mixed collateral, including prime, Alternative-A, and negative amortization. The review yielded 55 upgrades, 11 downgrades, 36 affirmations, and two withdrawals. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance and delinquency trends; -- Erosion of or increases in credit support; -- Historical missed interest payments; and -- Available subordination and/or overcollateralization. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. S&P raised its ratings by five or more notches on 22 ratings from six transactions, each due to an increase in credit support or decrease in delinquencies. Sixteen of the 22 upgrades are related to an increase in credit support that can be attributed to the subject classes having senior positions in their respective distribution waterfalls, with failing cumulative loss triggers benefiting these classes with excess proceeds and/or limiting the excess proceeds from reducing more subordinate class balances. As a result, the upgrades on these classes reflect the classes' ability to withstand a higher level of projected losses than previously anticipated. The remaining six classes with a large upgrade are attributed to a decrease in delinquencies. The collateral supporting these classes saw a significant improvement since the prior review, and as a result, S&P projected losses have decreased for these classes. "We lowered our rating on five classes from three transactions due to the application of our loan modification criteria. Based on our loan modification criteria, we apply a maximum potential rating (MPR) to those classes of securities that are affected by reduced interest payments over time due to loan modifications and/or other credit-related events." A list of Affected Ratings can be viewed at: https://bit.ly/2qlBc93 [*] S&P Takes Various Actions on 36 Classes From 20 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 36 classes from 20 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2007. All of these transactions are backed by RMBS second-lien high loan to value (LTV), RMBS closed-end second-lien, or RMBS home equity line of credit (HELOC) collateral. The review yielded 31 upgrades, one downgrade, three affirmations, and one discontinuance. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; -- Priority of principal payments; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections." The 31 raised ratings reflect an increase in credit support, which is attributed to failing triggers locking out or limiting subordinate classes' principal allocation, significant excess interest availability, and/or increasing overcollateralization. As a result, the upgrades on these classes reflect the classes' ability to withstand a higher level of projected losses than previously anticipated. S&P discontinued its rating on class II M-2 from Irwin Home Equity Loan Trust 2002-1, which was paid in full during the remittance period on March 2018. Generally, ratings are limited on second-lien transactions at the liquidity cap of 'A+ (sf)' due to the higher likelihood of interest shortfalls resulting from the lack of servicer advancing at higher rating categories. S&P's criteria "U.S. Second-Lien (Including HELOC, Closed-End, And HCLTV) RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," published March 12, 2013, provides situations where S&P can rate above the liquidity cap. A list of Affected Ratings can be viewed at: https://bit.ly/2qh0NzL ********* 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. 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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. 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