/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180715.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, July 15, 2018, Vol. 22, No. 195 Headlines A10 BRIDGE 2015-A: DBRS Confirms B Rating on Class F-1 Notes ACCREDITED MORTGAGE 2003-2: Moody's Rates Class A-1 Debt 'B1' BATTALION CLO VI: Moody's Affirms Ba3 Rating on Class D Notes BLUEMOUNTAIN CLO 2018-1: S&P Gives Prelim B-(sf) Rating on F Notes COLLEGE AVE 2017-A: DBRS Confirms BB Rating on Class C Debt CPS AUTO 2018-C: DBRS Assigns Prov. BB Rating on Class E Notes CPS AUTO 2018-C: S&P Assigns Prelim B+(sf) Rating on Cl. E Notes ELLINGTON CLO III: Moody's Gives B3(sf) Rating on $11MM Cl. F Debt GPT 2018-GPP: S&P Assigns Prelim B+(sf) Rating on Cl. HRR Certs GS MORTGAGE 2013-GCJ14: DBRS Confirms BB Rating on Class F Certs IVY HILL X: S&P Assigns Prelim. BB-(sf) Rating on Class D-R Notes JAMESTOWN CLO XI: Moody's Assigns B3 Rating on $8MM Class E Notes JP MORGAN 2014-C22: Fitch Affirms BB Rating on $28MM Class E Debt JP MORGAN 2017-3: Moody's Hikes Class B-5 Debt Rating to B1 JP MORGAN 2018-LAQ: Fitch Assigns BB Rating on $107MM Class E Debt JPMBB COMMERCIAL 2015-C31: DBRS Confirms B(low) Rating on F Certs KAYNE CLO I: Moody's Gives Ba3 Rating on Class E Notes MAD MORTGAGE 2017-330M: DBRS Confirms BB Rating on Class E Certs METROPOLITAN MORTGAGE 2000-B: Moody's Hikes M-2 Debt Rating to B1 ML-CFC COMMERCIAL 2006-1: DBRS Confirms BB(high) Rating on B Certs NATIXIS COMMERCIAL 2018-FL1: S&P Rates Four Tranches B(sf) OCTAGON INVESTMENT 37: S&P Assigns BB-(sf) Rating on Class D Notes OCTAGON INVESTMENT 38: S&P Gives Prelim BB-(sf) Rating on D Notes PEAKS CLO 1: S&P Assigns B-(sf) Rating on $2.63MM Class F-R Notes RACE POINT X: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes TICP CLO 2016-1: Moody's Assigns (P)Ba3 on Class E-R Notes TROPIC CDO IV: Fitch Affirms 'BBsf' Rating on Class A-3L Notes UBS COMMERCIAL 2018-C11: Fitch Rates Class F-RR Certs 'B-sf' VERUS SECURITIZATION 2018-2: S&P Gives B+(sf) Rating on B-3 Certs WELLS FARGO 2017-C38: Fitch Affirms 'B-sf' Rating on Class F Certs ZAIS CLO 3: Moody's Assigns Ba3(sf) Rating on Class D-R Notes [*] 2018 DI Conference Discount Tickets Available for Early Birds [*] Moody's Takes Action on $437.3MM RMBS Issued 2005-2007 ********* A10 BRIDGE 2015-A: DBRS Confirms B Rating on Class F-1 Notes ------------------------------------------------------------ DBRS Limited confirmed the following classes of secured Fixed-Rate Notes issued by A10 Bridge Asset Financing 2015-A, LLC: -- Class A-1 at AAA (sf) -- Class B-1 at A (low) (sf) -- Class C-1 at BBB (sf) -- Class D-1 at BBB (low) (sf) -- Class E-1 at BB (sf) -- Class F-1 at B (sf) All trends are Stable. Classes A-1, B-1, C-1 and D-1 represent the offered certificates. Classes E-1 and F-1 are non-offered certificates and have been retained by an affiliate of the issuer along with the Membership Interests. The rating confirmations reflect the performance of the transaction, which remains in line with DBRS's expectations at issuance. The transaction consists of 22 loans secured by 31 transitional commercial real estate assets, including retail, office, multifamily and industrial properties. According to the June 2018 remittance, there has been collateral reduction of 2.7% since issuance, as two loans have repaid, contributing to a principal pay down of $2.9 million. The pool has an aggregate principal balance of $103.3 million as of June 2018. The transaction closed in April 2015 and featured a funding period through April 2016, whereby the issuer had the ability to upsize the pool with additional collateral, subject to certain Eligibility Criteria and Concentration Limits. Following the funding period, the transaction paid sequentially, with 24 loans secured by 33 commercial properties as of July 2017, all originated by A10 Capital, LLC (A10). To date, 18 loans (65.2% of the pool) have remaining unfunded pari passu companion participations totaling $17.0 million. Most of the properties are currently cash-flowing assets in a period of transition with viable plans and loan structure in place to facilitate stabilization and value growth. The pool is concentrated by loan size, as the largest 15 loans represent 87.1% of the pool. The pool is also concentrated by property type, as retail (54.4% of the pool) and office (35.3% of the pool) properties represent 89.7% of the pool balance. Per the YE2017 financials, the pool had a weighted-average debt yield of 7.6%, based on the fully funded whole loan amount (inclusive of the unfunded pari passu companion participations). Most loans have an initial term of three to five years, with extension options available, subject to loan document criteria. Three loans (8.4% of the pool) have initial maturities in Q4 2018. As of the June 2018 remittance, there are no loans in special servicing and no loans on the servicer's watch list. The largest loan in the pool based on the fully funded balance is discussed below. The Rite Aid Portfolio (Prospectus ID#34; 15.7% of the fully funded pool balance) is secured by a ten-property retail portfolio of single tenant Rite Aid Drug Stores. Nine of the properties are in New York, and the remaining property is in Chattanooga, Tennessee. The properties were all built between 1997 and 2003 and were originally leased to Eckard Drug Stores. At contribution, the sponsor had purchased the portfolio assets with a business plan of selling off the individual properties for a premium throughout the loan term. The merger between Walgreens Boots Alliance Inc. (WBA) and Rite Aid Corporation was initially announced in October 2015; the sponsor purchased the subject properties in November 2016 when there was uncertainty regarding the proposed merger, which could potentially have resulted in a higher sales price for the individual assets. However, the merger agreement was ultimately terminated in June 2017, and WBA instead purchased 1,932 Rite Aid stores. The servicer noted that as of February 2018, none of the stores in the portfolio had been affected by the store acquisition plan to be completed by WBA by March 2018. An online search for each of the properties shows that as of July 2018, each location is open and operating as a Rite Aid. The loan is structured with an execution covenant, which requires the borrower to sell a certain number of properties prior to the 18th, 24th and 30th month of the loan term. In the event that the borrower is unable meet the execution timeline, all excess cash flow will be swept into a cash management account to pay down the loan. The 18th month of the loan term passed on June 30, 2018, by which date the borrower was required to have sold two properties. DBRS has reached out to the servicer to confirm if assets have been sold as per the loan requirements. The borrower noted that the Chattanooga location had been under contract for a sales price of $2.6 million ($212 psf) in January 2018, reflecting a 31.3% premium over the $2.0 million acquisition price. However, the sale did not materialize, and the borrower requested a loan modification in Q1 2018 to extend the sell-off of the two assets on month 18 without penalty, which was ultimately denied by A10. As of February 2018, the portfolio was 100.0% occupied with an average rental rate of $31.09 psf compared with $24.09 psf in November 2016. The YE2017 debt service coverage ratio was reported at 1.31 times, and the YE2017 net operating income debt yield was reported at 14.3%, reflecting a 10.3% increase over the DBRS stabilized net cash flow figure. ACCREDITED MORTGAGE 2003-2: Moody's Rates Class A-1 Debt 'B1' ------------------------------------------------------------- Moody's Investors Service has assigned a rating of B1 (sf) to Class A-1 from Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2. The transaction is backed by subprime loans. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2003-2, Asset-Backed Notes, Series 2003-2 Cl. A-1, Assigned B1 (sf); previously on Feb 8, 2018 Withdrawn (sf) RATINGS RATIONALE Moody's rating action corrects the mistaken withdrawal of the rating previously assigned to Class A-1 from Accredited Mortgage Loan Trust 2003-2. The rating on Class A-1 was incorrectly withdrawn on February 8, 2018 because the collateral pool supporting Class A-1 was misinterpreted as a small pool. This error has now been corrected, and the rating action reflects the current outstanding rating of Class A-1. 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 macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.8% in May 2018 from 4.3% in May 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. BATTALION CLO VI: Moody's Affirms Ba3 Rating on Class D Notes ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Battalion CLO VI Ltd.: US$44,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2026 (the "Class A-2-R Notes"), Upgraded to Aaa (sf); previously on April 24, 2017 Assigned Aa1 (sf) US$24,200,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class B-R Notes"), Upgraded to Aa3 (sf); previously on April 24, 2017 Assigned A2 (sf) US$27,200,000 Class C Senior Secured Deferrable Floating Rate Notes due 2026 (the "Class C Notes"), Upgraded to Baa1 (sf); previously on October 16, 2014 Definitive Rating Assigned Baa3 (sf) Moody's also affirmed the ratings on the following notes: US$290,800,000 Class A-1-R Senior Secured Floating Rate Notes due 2026 (the "Class A-1-R Notes"), Affirmed Aaa (sf); previously on April 24, 2017 Assigned Aaa (sf) US$29,250,000 Class D Secured Deferrable Floating Rate Notes due 2026 (the "Class D Notes"), Affirmed Ba3 (sf); previously on October 16, 2014 Definitive Rating Assigned Ba3 (sf) US$3,900,000 Class E Secured Deferrable Floating Rate Notes due 2026 (the "Class E Notes"), Affirmed B3 (sf); previously on October 16, 2014 Definitive Rating Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The Issuer's notes are backed primarily by a portfolio of senior secured, broadly syndicated loans. The transaction's reinvestment period will end in October 2018. Brigade Capital Management, LP manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE The upgrade and affirmation rating actions reflect improvement in the collateral pool's weighted average rating factor (WARF) as well as the benefit of the limited period of time remaining before the end of the deal's reinvestment period in October 2018, when Moody's expects deleveraging to commence. Moody's notes however that the benefit of WARF improvement is tempered by, among others, deterioration of the portfolio weighted average spread (WAS) and weighted average recovery rate (WARR), and par losses due to defaults. 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 Life (WAL): The notes' ratings are sensitive to the WAL assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Post-Reinvestment Period trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the Manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 8) 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. Here is a summary of the impact of different default probabilities (expressed in terms of WARF) on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to lower expected loss): Moody's Assumed WARF - 20% (2273) Class A-1-R: 0 Class A-2-R: 0 Class B-R: +2 Class C: +2 Class D: +2 Class E: +3 Moody's Assumed WARF + 20% (3409) Class A-1-R: 0 Class A-2-R: -1 Class B-R: -2 Class C: -3 Class D: -1 Class E: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, and weighted average spread, 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 $435,513,691, defaulted par of $5,122,312, a weighted average default probability of 20.16% (implying a WARF of 2841), a weighted average recovery rate upon default of 47.92%, a diversity score of 61 and a weighted average spread of 3.33% (before accounting for LIBOR floors). BLUEMOUNTAIN CLO 2018-1: S&P Gives Prelim B-(sf) Rating on F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to BlueMountain CLO 2018-1 Ltd.'s $422.50 million floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of July 10, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED BlueMountain CLO 2018-1 Ltd. Class Rating Balance (mil. $) X AAA (sf) 5.00 A-1 AAA (sf) 280.50 A-2 NR 15.00 B AA (sf) 54.00 C (deferrable) A (sf) 27.50 D (deferrable) BBB- (sf) 28.00 E (deferrable) BB- (sf) 18.00 F (deferrable) B- (sf) 9.50 Subordinated notes NR 37.60 NR--Not rated. COLLEGE AVE 2017-A: DBRS Confirms BB Rating on Class C Debt ----------------------------------------------------------- DBRS, Inc. confirmed the ratings of College Ave Student Loans 2017-A, LLC, a U.S. asset-backed transaction. Performance for the securities is such that credit enhancement levels are sufficient to cover DBRS's loss expectations at their current respective levels. The ratings are based on DBRS's review of the following analytical considerations: -- Amendments made to the transaction. -- Transaction capital structure, ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. The Affected Ratings are: Debt Rated Action Rating ---------- ------ ------ Class A Confirmed A(sf) Class A-2 Confirmed A(sf) Class B Confirmed BBB(sf) Class C Confirmed BB(sf) CPS AUTO 2018-C: DBRS Assigns Prov. BB Rating on Class E Notes -------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Notes to be issued by CPS Auto Receivables Trust 2018-C (CPS 2018-C): -- $113,458,000 Class A Notes rated AAA (sf) -- $32,863,000 Class B Notes rated AA (sf) -- $34,541,000 Class C Notes rated A (sf) -- $27,105,000 Class D Notes rated BBB (sf) -- $22,308,000 Class E Notes rated BB (sf) The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement will be in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumption under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- The capabilities of Consumer Portfolio Services, Inc. (CPS) with regard to originations, underwriting and servicing. -- DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, having managed the company through multiple economic cycles. -- The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. -- The May 29, 2014, settlement of the Federal Trade Commission (FTC) inquiry relating to allegedly unfair trade practices. -- CPS paid imposed penalties and restitution payments to consumers. -- CPS has made considerable improvements to the collections process, including management changes, upgraded systems and software as well as implementation of new policies and procedures focused on maintaining compliance. -- CPS will be subject to ongoing monitoring of certain processes by the FTC. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. The CPS 2018-C transaction represents the 30th securitization completed by CPS since 2010 and will offer both senior and subordinate rated securities. The receivables securitized in CPS 2018-C will be subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, vans and minivans. The rating on the Class A Notes reflects the 53.70% of initial hard credit enhancement provided by the subordinated notes in the pool (48.70%), the Reserve Account (1.00%) and overcollateralization (4.00%). The ratings on the Class B, Class C, Class D and Class E Notes reflect 40.00%, 25.60%, 14.30% and 5.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. CPS AUTO 2018-C: S&P Assigns Prelim B+(sf) Rating on Cl. E Notes ---------------------------------------------------------------- S&P Global Ratings today assigned its preliminary ratings to CPS Auto Receivables Trust 2018-C's $230.275 million asset-backed notes. The note issuance is an asset-backed securities (ABS) transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 5, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 56.15%, 48.17%, 37.63%, 29.62%, and 22.21% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.20x, 2.70x, 2.10x, 1.60x, and 1.17x our 17.00-18.00% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement, including excess spread, for classes A, B, C, D, and E covers breakeven cumulative gross losses of approximately 91%, 78%, 63%, 49%, and 37%, respectively. -- S&P's expectation that, under a moderate stress scenario of 1.60x--its expected net loss level--all else equal, the preliminary ratings on the class A through C notes would remain within one rating category while they are outstanding, and the preliminary rating on the class D notes would not decline by more than two rating categories within its life. The preliminary rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 32%-55% of its principal. These rating migrations are consistent with our credit stability criteria. -- The preliminary rated notes' underlying credit enhancement in the form of subordination, overcollateralization (O/C), a reserve account, and excess spread for the class A through E notes. -- The timely interest and principal payments made to the preliminary rated notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned preliminary ratings. -- The transaction's payment and credit enhancement structure, which includes a non-curable performance trigger. PRELIMINARY RATINGS ASSIGNED CPS Auto Receivables Trust 2018-C Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 113.458 B AA (sf) Subordinate Fixed 32.863 C A (sf) Subordinate Fixed 34.541 D BBB (sf) Subordinate Fixed 27.105 E B+ (sf) Subordinate Fixed 22.308 (i)The actual coupons of these tranches will be determined on the pricing date. ELLINGTON CLO III: Moody's Gives B3(sf) Rating on $11MM Cl. F Debt ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to seven classes of notes issued by Ellington CLO III, Ltd. Moody's rating action is as follows: US$160,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned Aaa (sf) US$44,000,000 Class A-2 Senior Secured Fixed Rate Notes due 2030 (the "Class A-2 Notes"), Assigned Aaa (sf) US$28,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Assigned Aa2 (sf) US$28,500,000 Class C Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned A2 (sf) US$35,500,000 Class D Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Assigned Baa3 (sf) US$40,000,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Assigned Ba3 (sf) US$11,000,000 Class F Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Assigned B3 (sf) 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. Ellington CLO III is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 82.5% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 17.5% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is nearly 96% ramped as of the closing date. Ellington CLO Management LLC 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 four year reinvestment period. Thereafter, the Manager may not reinvest in new assets and all principal proceeds, including sale proceeds, will be used to amortize the notes in accordance with the priority of payments. 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: 35 Weighted Average Rating Factor (WARF): 4536 Weighted Average Spread (WAS): 5.65% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 42.5% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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, 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. Here 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 4536 to 5216) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Class F Notes: -1 Percentage Change in WARF -- increase of 30% (from 4536 to 5897) Rating Impact in Rating Notches Class A-1 Notes: -2 Class A-2 Notes: -2 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -3 GPT 2018-GPP: S&P Assigns Prelim B+(sf) Rating on Cl. HRR Certs --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GPT 2018-GPP Mortgage Trust's $270.0 million commercial mortgage pass-through certificates. The issuance is a commercial mortgage-backed securities transaction backed by one two-year, floating-rate commercial mortgage loan totaling $270.0 million, with five, one-year extension options, secured by first-mortgage liens on the fee interests in 69 office, mixed-use, and industrial properties. The preliminary ratings are based on information as of July 9, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsors' and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED GPT 2018-GPP Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 136,482,000 X-CP BBB- (sf) 51,801,000(ii) X-EXT BBB- (sf) 51,801,000(ii) B AA- (sf) 31,019,000 C A- (sf) 23,264,000 D BBB- (sf) 28,537,000 E BB- (sf) 37,183,000 HRR B+ (sf) 13,515,000 (i)The rating on each class of securities is preliminary and subject to change at any time. The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional balance of the class X-CP and X-EXT certificates will equal the aggregated outstanding balance of the class C and D certificates. GS MORTGAGE 2013-GCJ14: DBRS Confirms BB Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ14 (the Certificates) issued by GS Mortgage Securities Trust 2013-GCJ14 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class X-C at B (high) (sf) -- Class G at B (sf) Class PEZ is exchangeable with Classes A-S, B and C and vice versa. All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has experienced a collateral reduction of 12.5% since issuance, with 77 of the original 84 loans remaining in the pool as of the June 2018 remittance report. The majority of the remaining loans in the pool were structured with ten-year terms and will mature in 2023. Five loans, including one loan in the top 15, are fully defeased, representing 7.0% of the pool. Loans representing 90.2% of the pool reported YE2017 financials, with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.73 times (x) and 11.4%, respectively. The largest 15 loans reported either partial-year or YE2017 financials, with a WA DSCR and WA debt yield of 1.80x and 11.4%, respectively, representing a WA cash flow improvement of 10.1% over the DBRS net cash flow figures derived at issuance. As of the June 2018 remittance, there are 17 loans, representing 22.1% of the pool (including two in the Top 15), that are on the servicer's watch list and no loans in special servicing. Six of the loans, representing 13.6% of the pool, are being monitored for deferred maintenance. The remaining 11 loans are being monitored for declining performance and occupancy-related issues. Cobblestone Court (Prospectus ID#14; 1.8% of the pool) is a community retail center located in Victor, New York and is the second-largest loan on the watch list. The loan is being monitored due to the property's largest tenant, Kmart, vacating the property ahead of its September 2019 lease expiration. Kmart, which represents 45.1% of the collateral's net rentable area and 27.1% of base rental income, will continue to pay rent through the remainder of its lease term. Although the Kmart vacancy will likely take an extended period of time to backfill, the property's tenant mix of national retailers and restaurants, as well as recent signings such as T.J. Maxx and Tuesday Morning, speak to the desirability of the property and the location. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. Indiana Mall (Prospectus ID#20; 1.3% of the pool) is a regional mall in Indiana, Pennsylvania. The loan is currently being monitored for declining performance and low occupancy. At issuance, the property was anchored by Sears, Kmart, JCPenney and Bon-Ton. With the exception of JCPenney, the other three anchor tenants have vacated or are in the process of vacating due to financial challenges experienced in 2017. In the analysis for this loan, DBRS assumed a stressed cash flow scenario to increase the probability of default for this review. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. Classes X-A 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 applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. IVY HILL X: S&P Assigns Prelim. BB-(sf) Rating on Class D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R, A-1a-R, A-2-R, B-R, C-R, and D-R replacement notes from Ivy Hill Middle Market Credit Fund X Ltd./Ivy Hill Middle Market Credit Fund X LLC, a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Ivy Hill Asset Management L.P., a wholly owned portfolio company of Ares Capital Corp. 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 July 6, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 18, 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, which, in addition to outlining the terms of the replacement notes, will also: -- Issue the replacement notes at a lower weighted average cost of debt than the original notes. -- Issue the replacement notes at floating spreads, replacing the current fixed- and floating-rate notes. -- Extend the reinvestment period by two years and the stated maturity by three years. -- Add class X-R notes to the capital structure in connection with the refinancing. 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 Ivy Hill Middle Market Credit Fund X Ltd. Replacement class Rating Amount (mil. $) X-R AAA (sf) 2.00 A-1a-R AAA (sf) 221.40 A-1b-R NR 14.00 A-2-R AA (sf) 28.30 B-R (deferrable) A (sf) 33.30 C-R (deferrable) BBB- (sf) 13.90 D-R (deferrable) BB- (sf) 25.00 Subordinated notes NR 54.06 NR--Not rated. JAMESTOWN CLO XI: Moody's Assigns B3 Rating on $8MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Jamestown CLO XI Ltd. Moody's rating action is as follows: US$260,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$44,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$19,500,000 Class B Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$23,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$21,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) US$8,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned B3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." 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. Jamestown CLO XI is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 87% ramped as of the closing date. Investcorp Credit Management US LLC 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: 80 Weighted Average Rating Factor (WARF): 2826 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.5% 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, 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. Here 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 2826 to 3250) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -1 Class D Notes: 0 Class E Notes: 0 Percentage Change in WARF -- increase of 30% (from 2826 to 3674) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -2 Class D Notes: -1 Class E Notes: -3 JP MORGAN 2014-C22: Fitch Affirms BB Rating on $28MM Class E Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust Commercial Mortgage Pass-Through Certificates Series 2014-C22 (JPMBB 2014-C22). KEY RATING DRIVERS Increased Loss Expectations: While the majority of the pool continues to exhibit stable performance, Fitch Ratings' loss expectations have increased due to the deteriorating performance of the four Fitch Loans of Concern (FLOCs, 13.8% of the pool), including one specially serviced loan (3.2%). The Negative Rating Outlooks on classes D and E and the interest-only class X-C primarily reflect concerns over these loans. The largest FLOC, Las Catalinas Mall (6.9%), is secured by a 355,385-sf collateral portion of a 494,071-sf regional mall in Caguas, Puerto Rico that suffered damage from Hurricane Maria in September 2017. Further, property cash flow declined by approximately 21% between YE 2016 and YE 2017. The second largest FLOC, the specially serviced 10333 Richmond (3.2%), is secured by a 218,680-sf office building in Houston, TX that has experienced declining occupancy since issuance. The third FLOC, Crawford Place/Second Needham/Newton Corporate Center (1.8%), is secured by a portfolio of three office buildings in the Boston, MA area that have also experienced occupancy declines. The fourth FLOC, Charlottesville Fashion place (1.7%), is secured by a 360,249-sf collateral portion of a 576,749-sf regional mall in Charlottesville, VA that has suffered declining anchor and in-line sales since issuance. Fitch applied an additional stress scenario on the Las Catalinas Mall and Charlottesville Fashion Place loans. The Rating Outlooks reflect this scenario. Improved Credit Enhancement: The rating affirmations reflect the improved credit enhancement to the classes, which help to offset Fitch's increased loss expectations. One loan (0.3% of the pool at issuance) has paid off since issuance. As of the June 2018 distribution date, the pool's aggregate principal balance had been reduced by 3.6% to $1.08 billion from $1.12 billion at issuance. The pool is scheduled to amortize by a total of 14.9% prior to maturity. Further, 1.1% of the pool is defeased. Six loans (13.2%), including the second largest loan, are fully interest-only, while 13 loans (37.4%) remain in partial interest-only periods. High Office Concentration: Office properties comprise 38.0% of the pool, including five of the top 10 loans. Other property type concentrations include retail (20.8%), mixed-use (15.2%) and hotel (9.7%). Low Mortgage Coupons: The pool's weighted average coupon (WAC) is 4.58%, which is lower than the average for transactions of a similar vintage. Maturity Schedule: There are limited scheduled loan maturities until 2024 (92.6%). RATING SENSITIVITIES The Negative Outlooks assigned to classes D and E and the interest-only class X-C primarily reflect the potential for outsized losses on the two regional malls in the portfolio. Fitch ran an additional stress scenario on the two loans whereby a 25% loss was assumed on Las Catalinas Mall and a 50% loss was assumed on Charlottesville Fashion Square. A higher 50% loss scenario on Las Catalinas Mall could result in additional Negative Outlooks through class A-S. The Outlooks on classes A-1 through C and EC remain Stable due to the relatively stable performance of the majority of the pool and expected continued amortization. Rating upgrades to classes B and below may occur with improved pool performance and additional paydown or defeasance. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following classes and revised Outlooks as indicated: --$6.9 million class A-1 at 'AAAsf'; Outlook Stable; --$29.2 million class A-2 at 'AAAsf'; Outlook Stable; --$175.0 million class A-3A1 at 'AAAsf'; Outlook Stable; --$75.0 million class A-3A2 at 'AAAsf'; Outlook Stable; --$355.4 million class A-4 at 'AAAsf'; Outlook Stable; --$102.6 million class A-SB at 'AAAsf'; Outlook Stable; --$78.4 million class A-S at 'AAAsf'; Outlook Stable; --$58.8 million class B at 'AA-sf'; Outlook Stable; --$47.6 million class C at 'A-sf'; Outlook Stable; --$184.9 million class EC at 'A-sf'; Outlook Stable; --$822.4 million class X-A* at 'AAAsf'; Outlook Stable; --$28.0 million class X-C* at 'BB-sf'; Outlook Negative; --$61.6 million class D at 'BBB-sf'; Outlook to Negative from Stable; --$28.0 million class E at 'BB-sf'; Outlook Negative. * Notional amount and interest only. Fitch does not rate the class F, G, NR and UHP certificates or the interest-only class X-D and X-E certificates. 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. JP MORGAN 2017-3: Moody's Hikes Class B-5 Debt Rating to B1 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of fifteen tranches from two transactions, backed by prime jumbo RMBS loans. The transactions are backed by first-lien, fully amortizing, fixed-rate prime quality residential mortgage loans with strong credit characteristics, issued by J.P. Morgan Mortgage Trust. J.P. Morgan Mortgage Trust 2015-3 (JPMMT 2015-3) is a securitization of mostly 30 year, fixed-rate, fully amortizing prime residential mortgage loans. The collateral pool consists of loans with strong credit characteristics underwritten pursuant to the underwriting guidelines of multiple originators and acquired by J.P. Morgan Mortgage Acquisition Corp. (JP Morgan). Most of the loans are serviced First Republic Bank, Dovenmuehle Mortgage (subservicing for Primary Capital Mortgage), RPM Mortgage, J.P. Morgan Chase Bank, Homestreet Bank, and Everbank . No other single servicer was responsible for 5% or more of the aggregate pool balance at closing. Wells Fargo Bank, N.A. is the master servicer. J.P. Morgan Mortgage Trust 2017-3 (JPMMT 2017-3) is a two-pool Y-structure securitization of non-agency prime jumbo (77.1% of the aggregate pool at closing) and agency eligible high balance conforming (22.9% of the aggregate pool at closing) residential fixed-rate mortgages. This transaction includes conforming fixed-rate mortgage loans originated by JPMorgan Chase Bank, N. A. (Chase) and underwritten to the government sponsored enterprises (GSE) guidelines in addition to prime jumbo non-conforming mortgages purchased by JPMMAC from various originators and aggregators, including loans acquired either directly or indirectly from TH TRS Corp. (Two Harbors). These loans were acquired by JPMMAC either directly from Two Harbors or indirectly through MAXEX, LLC, which operates a mortgage loan exchange for the purchase and sale of mortgage loans. Chase is the servicer on most of the conforming loans, while Shellpoint Mortgage Servicing and Everbank are the servicers on most of the prime jumbo loans. The remaining loans are serviced by 5 other servicers, each of which constituted less than 3.0% of the total pool at closing. Wells Fargo Bank, N.A. is the master servicer. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2015-3 Cl. A-19, Upgraded to Aaa (sf); previously on May 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on May 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-X-1, Upgraded to Aaa (sf); previously on Jun 9, 2017 Downgraded to Aa1 (sf) Cl. A-X-2, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. A-X-10, Upgraded to Aaa (sf); previously on May 29, 2015 Definitive Rating Assigned Aa1 (sf) Cl. B-3, Upgraded to Aa3 (sf); previously on Sep 28, 2017 Upgraded to A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Sep 28, 2017 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2017-3 Cl. 1-A-13, Upgraded to Aa1 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. 1-A-14, Upgraded to Aa1 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. 1-AX-8, Upgraded to Aa1 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Aug 30, 2017 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Aug 30, 2017 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in credit enhancement available to the bonds and a decrease in Moody's's projected pool losses (see link below). The actions reflect the recent strong performance of the underlying pools. As of May 2018, both deals had no serious delinquencies (loans 60 days or more delinquent). Further, high voluntary prepayment rates since issuance have contributed to fast pay downs and large increases in percentage credit enhancement levels for the upgraded bonds. As of May 2018, the 3-month average prepayment rates for the underlying pools averaged approximately 4.6% for JPMMT 2015-3 and 8.1% for JPMMT 2017-3 with the pool factors at 60.5% and 86.8%, respectively. The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility as fewer loans remain in pool ("tail risk"). The transactions provide for a credit enhancement floor to the senior bonds which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Its updated loss expectations on the pools incorporate, amongst other factors, its assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third party reviews received at the time of issuance, and the strength of the transaction's originators and servicers. The principal methodology used in rating J.P. Morgan Mortgage Trust 2015-3 Cl. A-19, Cl. A-20, Cl. B-3, and Cl. B-4 and J.P. Morgan Mortgage Trust 2017-3 Cl. 1-A-13, Cl. 1-A-14, Cl. B-1, Cl. B-2, Cl. B-3, Cl. B-4, and Cl. B-5 was "Moody's Approach to Rating US Prime RMBS" published in February 2015. The methodologies used in rating J.P. Morgan Mortgage Trust 2015-3 Cl. A-X-1, Cl. A-X-2, and Cl. A-X-10 and J.P. Morgan Mortgage Trust 2017-3 Cl. 1-AX-8 were "Moody's Approach to Rating US Prime RMBS" published in February 2015, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performances 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. JP MORGAN 2018-LAQ: Fitch Assigns BB Rating on $107MM Class E Debt ------------------------------------------------------------------ Fitch Ratings has assigned the following final ratings and Rating Outlooks to J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ Commercial Mortgage Pass-Through Certificates, Series 2018-LAQ: -- $486,000,000 class A 'AAAsf'; Outlook Stable; -- $331,600,000a class X-CP 'BBB-sf'; Outlook Stable; -- $414,500,000a class X-EXT 'BBB-sf'; Outlook Stable; -- $127,000,000 class B 'AA-sf'; Outlook Stable; -- $86,000,000 class C 'A-sf'; Outlook Stable; -- $130,000,000 class D 'BBB-sf'; Outlook Stable; -- $107,000,000 class E 'BBsf'; Outlook Stable; -- $99,000,000b class HRR 'BB-sf'; Outlook Stable. (a) Notional amount and interest-only. (b) Horizontal credit risk retention interest. The final ratings are based on information provided by the issuer as of July 6, 2018. The following changes have occurred since Fitch published its expected ratings on June 25, 2018: the certificate balance of class E has been reduced to $107.0 million (from $111.0 million) and the balance of class HRR has increased to $99.0 million (from $95.0 million). There are no other changes since Fitch published its expected ratings. The classes above reflect the final ratings and deal structure. The JPMCC 2018-LAQ Commercial Mortgage Pass-Through Certificates represent the beneficial interest in a trust that holds a $1.0 billion, two-year, floating-rate, interest-only mortgage loan with five, one-year extension options. The loan is secured by the borrower's fee interest in 295 properties, fee and leasehold interest in four properties, leasehold interest in eight properties and cash flow pledges from seven properties composing the La Quinta Portfolio, a 40,184-room hotel portfolio with 314 locations across 41 states. Mortgage loan proceeds were used to refinance approximately $1.0 billion of existing debt, fund upfront reserves of $15.2 million and pay closing costs. The certificates will follow a sequential-pay structure. KEY RATING DRIVERS Geographic Diversity: The portfolio benefits from strong geographic diversity across 138 distinct metropolitan areas in 41 states. Texas has the largest state concentration with a total of 9,335 guestrooms (23.2% of total guestrooms) across 69 properties, accounting for approximately 22.5% of the portfolio's net cash flow (NCF) for the trailing-12-month (TTM) period ended March 2018. The largest metropolitan concentration is within the San Antonio, TX metropolitan area, which contains 10 properties and 1,770 keys (4.4% of total guestrooms and 5.0% of TTM NCF). Experienced Management: The portfolio is entirely managed by an affiliate of Wyndham Hotels & Resorts, Inc. (Wyndham) under long-term management agreements. Wyndham is a leading provider of hotel management services and the world's largest hotel franchising company with a portfolio of 20 brands and nearly 9,000 franchised hotels located in 80 different countries; including the acquisition of La Quinta's franchising and hotel management businesses on May 31, 2018. Single-Borrower Hotel Concentration: The transaction is secured by 314 owned hotel properties under the La Quinta and Baymont brands. Hotel performance is considered to be more volatile due to the operating nature. RATING SENSITIVITIES For this transaction, Fitch's NCF is 13% below the TTM ended March 2018 net cash flow. Included in Fitch's presale report are numerous Rating Sensitivities that describe the potential impact given further NCF declines below Fitch's NCF. Fitch evaluated the sensitivity of the 'AAAsf' rated class and found that a 30% decline would result in a downgrade to 'Asf'. Fitch performed a break-even analysis to determine the amount of value deterioration the pool could withstand prior to $1 of loss on the 'AAAsf' rated class. The break-even value decline was performed using both the appraisal values at issuance and the Fitch-stressed value. Based on the as-is cumulative appraised value of $2.4 billion, break-even value represents a decline of 80.0% for the 'AAAsf' class. Similarly, Fitch estimated the 'AAAsf' break-even value decline using the Fitch adjusted property value of $1.3 billion, which is a function of the Fitch NCF and a stressed capitalization rate, in relation to the class balance. The break-even value decline relative to the 'AAAsf' balance is 62.7%, which corresponds to an equivalent decline to Fitch NCF, as the Fitch capitalization rate is held constant. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and recomputation of certain characteristics with respect to the mortgage loan and related mortgaged properties in the data file. Fitch considered this information in its analysis, and the findings did not have an impact on the analysis. JPMBB COMMERCIAL 2015-C31: DBRS Confirms B(low) Rating on F Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2015-C31 issued by JPMBB Commercial Mortgage Trust 2015-C31 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 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 X-C at A (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS's expectations since issuance. As of the June 2018 remittance, there has been a collateral reduction of 2.8% as a result of scheduled amortization. Loans representing 68.3% of the current pool balance show a YE2017 analysis in the servicer's reporting. Those loans reported a weighted-average (WA) debt service coverage ratio (DSCR) and WA debt yield of 1.40 times (x) and 8.9%, respectively. The WA DBRS Term DSCR and WA DBRS Debt Yield for those same loans at issuance was 1.34x and 8.2%, respectively. Two loans, representing 3.6% of the current pool balance, are fully defeased, including one loan in the top 15, Prospectus ID#14 – Klotz Multifamily Portfolio, representing 2.9% of the current pool balance. The largest 15 loans in the pool represent 65.9% of the current pool balance. All of these loans, excluding the defeased loan, reported year-end 2017 cash flows, with a WA net cash flow growth of 9.5% over the DBRS issuance figures and a WA YE2017 DSCR and WA in-place debt yield of 1.35x and 8.6%, respectively. As of the June 2018 remittance, there were four loans on the servicer's watch list, representing 4.7% of the current pool balance. The largest watch listed loan, Prospectus ID#13 – 1500 Champa Street (2.8% of the current pool balance), is being monitored for rollover risk, as the third-largest tenant, GSA Administration (13.8% of the net rentable area) has a lease scheduled to expire in August 2018, at which time a cash flow sweep would be triggered; however, the servicer confirmed that the tenant will be renewing its lease, and as such, DBRS expects the loan will be removed from the watch list in the near term. The loan reported a YE2017 DSCR of 1.40x compared with the YE2016 DSCR of 1.38x and DBRS Term DSCR at issuance of 1.13x. The remaining loans are being monitored for a variety of issues, including Hurricane Harvey damage and a bankrupt single tenant in Babies "R" Us. Where merited, DBRS applied a stressed cash flow scenario to inflate the probability of default for this review. 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 applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, and placed under review, confirmed or discontinued by DBRS. KAYNE CLO I: Moody's Gives Ba3 Rating on Class E Notes ------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Kayne CLO I, Ltd. Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$37,900,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$22,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) U.S.$27,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) U.S.$24,100,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Kayne CLO 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 first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is at least 70% ramped as of the closing date. Kayne Anderson Capital Advisors, L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. This is the Manager's first CLO. 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): 2977 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.00 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. Here 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 2977 to 3424) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2977 to 3870) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 MAD MORTGAGE 2017-330M: DBRS Confirms BB Rating on Class E Certs ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2017-330M (the Certificates) issued by MAD Mortgage Trust 2017-330M: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) All trends are Stable. The rating confirmations reflect the stable performance of the transaction. The loan is interest only over its seven-year term and is collateralized by the fee and leasehold interests in an 849,372 square foot (sf) Class-A LEED Gold office property in Midtown Manhattan, New York City. The subject property is located one block west of Grand Central Terminal and two blocks east of Bryant Park on the corner of Madison Avenue and 42nd Street. The 39-story building was originally constructed in 1965 and has a progressive, tiered floor design with the largest floor plates (approximately 42,000 sf) on floors two through 12, various setbacks on floors 13 through 21 and the smallest floor plates (approximately 9,700 sf) on floors 22 through 39, making it a great fit for smaller boutique firms. In 2014, the sponsor funded a $121.0 million renovation and reposition, which included a completely new exterior glass facade and reconfiguration/modernization of the lobby, which ultimately won the 2012-2013 Pinnacle Award for best redevelopment in Manhattan. This subject was also awarded an Energy Star label in 2008, 2013, 2015 and 2017 for its operating efficiency. Post-renovation, the sponsor executed over 600,000 sf of new and renewal leases. According to the April 2018 rent roll, the property is 95.1% occupied at an average gross rental rate of $78.14 per sf (psf) compared with the issuance occupancy rate of 95.3% and base rent of $76.05 psf. The DBRS base rent at issuance was $71.81 psf. Rents are further delineated with the ground floor retail portion leased for an average rental rate of $291.46 psf and the office portion leased for an average rental rate of $73.36 psf. The three largest tenants, representing 51.2% of the net rentable area (NRA), are Guggenheim Partners (28.2% of the NRA; lease expiration of March 2028); HSBC Bank USA, N.A. (13.3% of the NRA; lease expiration of April 2020); and Jones Lang LaSalle, Inc. (9.8% of the NRA; lease expiration of November 2021). The subject property serves as Guggenheim Partners headquarters. There are no tenants with expiring leases in 2018 and six tenants with expiring leases in 2019, representing 4.1% of NRA. The fourth-largest tenant, Point72 (8.7% of the NRA), has announced plans to consolidate its offices into the new 55 Hudson Yards development and will likely vacate the subject at its lease expirations in 2020 and 2021. No new leases have been executed since issuance. According to the Q1 2018 CoStar Office Report, the Grand Central submarket reported a vacancy rate of 8.3%, an availability rate of 10.0% and average gross rent of $67.00 psf across 24 Class A office properties. The five-year average vacancy rate, availability rate and average gross rent total 10.9%, 13.7% and $65.06 psf, respectively. Trailing three-month March 2018 financials show the property generated a 2.16 times (x) debt service coverage ratio (DSCR), which is a 5.4% decrease from the DBRS Term DSCR of 2.25x. The slight decrease is due to $6.3 million of rent abatements provided to four tenants. A Free Rent reserve was established with the lender at closing and $1.44 million was disbursed to the borrower as of Q1 2018. The rent abatements will fully expire in 2020 and were taken into consideration by DBRS at issuance. Per the June 2018 remittance, the tenant reserve balance is $2.12 million, with $364,900 disbursed since origination. METROPOLITAN MORTGAGE 2000-B: Moody's Hikes M-2 Debt Rating to B1 ----------------------------------------------------------------- Moody's Investors Service has upgraded the rating of Class M-2 from Metropolitan Mortgage Funding, Inc., Series 2000-B. Complete rating actions are as follows: Issuer: Metropolitan Mortgage Funding, Inc., Series 2000-B Cl. M-2, Upgraded to B1 (sf); previously on Mar 21, 2011 Downgraded to B3 (sf) RATINGS RATIONALE The action reflects the recent performance of the underlying pools, Moody's updated loss expectations on the pools and an update in the approach used in analyzing the transaction structures. The rating upgrade is primarily due to the total credit enhancement available to the bond. Cl. M-2 has $7,708 of interest shortfall that occured in June 2018. This interest shortfall is not expected to be recouped as the interest shortfall reimbursement for the bond is subordinated. In its prior analysis of 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 its expected losses on the mortgage pool(s) supporting that bond. Moody's has updated its approach to include a cash flow analysis, wherein Moody's runs several different loss levels, loss timing, and prepayment scenarios using its scripted cash flow waterfalls to estimate the losses to the different bonds under these scenarios. 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 macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.0% in June 2018 from 4.3% in June 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. ML-CFC COMMERCIAL 2006-1: DBRS Confirms BB(high) Rating on B Certs ------------------------------------------------------------------ DBRS Limited confirmed the rating of the remaining class of Commercial Mortgage Pass-Through Certificates, Series 2006-1 (the Certificates) issued by ML-CFC Commercial Mortgage Trust, Series 2006-1 (the Trust) as follows: -- Class B at BB (high) (sf) The trend is Stable. The transaction has experienced collateral reduction of 99.0% since issuance, with five of the original 152 loans remaining in the pool as of the June 2018 remittance. As of the June 2018 remittance report, the Class B Certificates had an outstanding principal balance of just $1.4 million, with loan repayments and liquidations paying down the original Class B balance of $50.9 million. The Class C Certificates had an outstanding balance of $20.8 million and a total realized loss of $572,669 as of the June 2018 remittance, with credit enhancement for the Class B Certificates of 93.6%. Despite the significant credit support for the Class B Certificates, the challenges and unknowns surrounding the performance of the remaining loans and the repayment status of the largest loan, which is expected to pay off in July 2018, support the current rating at BB (high) (sf). There are five loans remaining in the pool, four of which are currently scheduled to mature between 2019 and 2026. The largest loan in the pool, Pueblo Crossing (Prospectus ID#12), transferred to Special Servicing due to maturity default as the loan was scheduled to mature in February 2018 (extended from the original maturity in February 2016). The loan is secured by a 91,400 square foot (sf) shopping center consisting of 13 retail units located in Pueblo, Colorado, which has an outstanding balance of $9.9 million, representing 44.5% of the transaction balance. Although the loan is reporting a YE2017 debt service coverage ratio (DSCR) of 0.86 times (x), with a DBRS Refi DSCR of 0.68x, the servicer noted that the loan is expected to pay off in full, as the property is under contract for sale with a scheduled closing date of July 10, 2018. The principal recovered from loan disposition is expected to fully pay down the remaining balance on the Class B Certificates. DBRS will continue to monitor the repayment status of the loan. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. As of the June 2018 remittance report, the remaining four loans in the pool are on the servicer's watch list, two of which are being monitored for performance-related reasons. The second-largest loan was previously modified with a maturity date extension, while the third-largest loan has consistently performed below issuance levels. The remaining two loans have been flagged as the borrower has failed to submit financial statements for the underlying collateral. The rating assigned to Class B materially deviates from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given uncertain loan-level event risk. NATIXIS COMMERCIAL 2018-FL1: S&P Rates Four Tranches B(sf) ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Natixis Commercial Mortgage Securities Trust 2018-FL1's $370.2 million commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by five floating-rate commercial mortgage loans secured by the fee and leasehold interests, or both, in 42 properties across 20 states, with an aggregate principal balance of $370.2 (of which $292.9 million will be pooled). The ratings reflect the credit support provided by the transaction structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. RATINGS ASSIGNED Natixis Commercial Mortgage Securities Trust 2018-FL1 Class Rating(i) Amount (mil. $) A(ii) AAA (sf) 174,270,000 X-CP(ii) BBB- (sf) 292,932,099(iii) X-EXT(ii) BBB- (sf) 292,932,099(iii) X-F(ii) BBB- (sf) 292,932,099(iii) B(ii) AA- (sf) 45,070,000 C(ii) A- (sf) 33,730,000 D(ii) BBB- (sf) 39,862,099 MCR1(ii)(iv) BB- (sf) 13,470,000 MCR2(ii)(iv) B- (sf) 10,810,000 X-FMC(ii)(iv) B- (sf) 24,280,000(iii) WAN1(ii)(iv) BB- (sf) 11,690,000 WAN2(ii)(iv) B- (sf) 10,428,065 X-FWB(ii)(iv) B- (sf) 22,118,065(iii) NHP1(ii)(iv) BB- (sf) 16,690,000 NHP2(ii)(iv) B (sf) 8,830,000 X-FNH(ii)(iv) B (sf) 25,520,000(iii) ORP1(ii)(iv) BB- (sf) 1,640,000 ORP2(ii)(iv) B- (sf) 580,000 ORP3(ii)(iv) NR 3,085,696 X-FOP(ii)(iv) NR 5,305,696(iii) V-P(i)(v) BBB- (sf) 0 V-XF(i)(v) BBB- (sf) 0(iii) V-NHP(i)(v) B (sf) 0 V-FNH(i)(v) B (sf) 0(iii) V-MCR(i)(v) B- (sf) 0 V-FMC(i)(v) B- (sf) 0(iii) V-WAN(i)(v) B- (sf) 0 V-FWB(i)(v) B- (sf) 0(iii) V-ORP(i)(v) NR 0 V-FOP(i)(v) NR 0(iii) (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Exchangeable class. The following certificates are exchangeable: class A, X-CP, X-EXT, B, C, and D can be exchanged with class V-P, class X-F can be exchanged with class V-XF, class NHP1 and NHP2 to class V-NHP, class X-FNH to class V-FNH, class MCR1 and MCR2 to V-MCR, class X-FMC to class V-FMC, class WAN1 and WAN2 to class V-WAN, class X-FWB to class V-FWB, class ORP1, ORP2, and ORP3 to class V-ORP, and class X-FOP to class V-FOP. (iii) Notional balance. The notional balance of the class X-CP, X-EXT, and X-F certificates will be reduced by the aggregate amount of principal distributions and realized losses allocated to the class A, B, C, and D certificates. (iv) Non-pooled loan-specific certificates. The class MCR1, MCR2, and X-FMC are tied to the Mission Critical Portfolio loan, the class WAN1, WAN2, and X-FWB are tied to the Wanamaker Building loan, class NHP1, NHP2, and X-FNH are tied to the National Select Service Hotel Portfolio loan, and class ORP1, ORP2, ORP3, and X-FOP are tied to the Olathe Retail Portfolio loan. (v) Non-offered exchangeable certificates. NR -- Not rated. OCTAGON INVESTMENT 37: S&P Assigns BB-(sf) Rating on Class D Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Octagon Investment Partners 37 Ltd./Octagon Investment Partners 37 LLC's $513.65 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Octagon Investment Partners 37 Ltd./Octagon Investment Partners 37 LLC Class Rating Amount (mil. $) A-1a AAA (sf) 348.00 A-1b NR 36.00 A-2 AA (sf) 73.00 B (deferrable) A (sf) 33.00 C (deferrable) BBB- (sf) 37.75 D (deferrable) BB- (sf) 21.90 Subordinated notes NR 61.25 NR--Not rated. OCTAGON INVESTMENT 38: S&P Gives Prelim BB-(sf) Rating on D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Octagon Investment Partners 38 Ltd./Octagon Investment Partners 38 LLC's $647.625 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of July 9, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Octagon Investment Partners 38 Ltd./Octagon Investment Partners 38 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 440.63 A-2 NR 39.38 A-3A AA (sf) 52.50 A-3B AA (sf) 37.50 B (deferrable) A (sf) 45.00 C (deferrable) BBB- (sf) 45.00 D (deferrable) BB- (sf) 27.00 Subordinated notes (deferrable) NR 78.70 NR--Not rated. PEAKS CLO 1: S&P Assigns B-(sf) Rating on $2.63MM Class F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X, A-1-R, A-2-R, A-3-R, B-R, C-R, D-R, E-R, and F-R replacement notes from Peaks CLO 1 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by ArrowMark Colorado Holdings LLC. S&P withdrew its ratings on the original class A, B, C, D, E, and F notes following payment in full on the July 5, 2018, refinancing date. On the July 5, 2018, refinancing date, the proceeds from the class X, A-1-R, A-2-R, A-3-R, B-R, C-R, D-R, E-R, and F-R replacement note issuances were used to redeem the original class A, B, C, D, E, and F notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes were issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, also: -- Extended the maturity date to July 2030. -- Extended the reinvestment period to July 2022. 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. "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 Peaks CLO 1 Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 1.50 A-1-R AAA (sf) 16.00 A-2-R AAA (sf) 52.22 A-3-R AAA (sf) 5.00 B-R AA (sf) 26.53 C-R A (sf) 8.70 D-R BBB-(sf) 9.69 E-R BB-(sf) 5.30 F-R B-(sf) 2.63 Subordinated notes NR 29.15 RATINGS WITHDRAWN Peaks CLO 1 Ltd. Rating Original 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) NR--Not rated. RACE POINT X: S&P Assigns Prelim B-(sf) Rating on Cl. F-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Race Point X CLO Ltd./Race Point X CLO Corp.'s $352.00 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. This is a proposed refinancing of the Race Point X CLO Ltd. transaction that closed in May 2016, which S&P did not rate. The preliminary ratings are based on information as of July 5, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool; -- 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; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Race Point X CLO Ltd./Race Point X CLO Corp. Class Rating Amount (mil. $) A-1-R AAA (sf) 235.00 A-2-R NR 22.00 B-R AA (sf) 48.00 C-R A (sf) 23.00 D-R BBB- (sf) 24.00 E-R BB- (sf) 15.00 F-R B- (sf) 7.00 Subordinated notes NR 31.35 NR--Not rated. TICP CLO 2016-1: Moody's Assigns (P)Ba3 on Class E-R Notes ---------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to six classes of CLO refinancing notes to be issued by TICP CLO V 2016-1, Ltd.: Moody's rating action is as follows: US$1,620,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned (P)Aaa (sf) US$252,300,000 Class A-1-R Senior Secured Floating Rate Notes due 2031 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf) US$38,200,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned (P)Aa2 (sf) US$20,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$25,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$24,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned (P)Ba3 (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 notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. TICP CLO V 2016-1 Management, LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer intends to issue the Refinancing Notes on July 17, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on July 7, 2016 (the "Original Closing Date"). On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of one other class of secured notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the Issuer also issued one class of subordinated notes, which subordinated notes are not subject to the refinancing on the Refinancing Date and will remain outstanding. In addition to the issuance of the Refinancing Notes, and one other class of secured notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In particular, Moody's treated assets with a Moody's Default Probability Rating of "Ca" or "C" as defaulted obligations. In addition, Moody's took into account differences between the trustee's reported diversity score, and Moody's own diversity score calculations. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $399,845,995 Defaulted par: $1,522,070 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2920 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 6.50% 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 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, 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. Here 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 2920 to 3358) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (from 2920 to 3796) Rating Impact in Rating Notches Class X Notes: 0 Class A-1-R Notes: -1 Class B-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -3 TROPIC CDO IV: Fitch Affirms 'BBsf' Rating on Class A-3L Notes -------------------------------------------------------------- Fitch Ratings has maintained the Rating Watch Negative on Tropic CDO IV Ltd./Corp.'s (Tropic IV) class A-1L and A-2L notes and affirmed the ratings on four classes of notes. The Negative Watch on the class A-1L and A-2L notes reflects the possibility of interest shortfall due to the uncertainty in timing and outcome of an interpleader filed by the trustee in January 2018. KEY RATING DRIVERS On Jan. 12, 2018, the trustee filed an interpleader complaint with the U.S. District Court to determine the course of action because of conflicting demands by the two parties. For more information please see Fitch's commentary titled "Fitch Places Two Classes of Tropic CDO IV Ltd./Corp. on Rating Watch Negative; Affirms Others," dated Jan. 29, 2018. Per the transaction's governing documents, swap termination payments are paid pari passu with the interest due on the class A-1L and A-2L notes as part of the interest waterfall. Interest due to classes A-1L and A-2L was paid in full on the recent payment periods in October 2017, January 2018, and April 2018. All remaining proceeds have been held in escrow starting from the January 2018 payment date. As a result, the class A-3L, A-4, A-4L, and B-1L notes have been deferring interest payments. However, given that these notes are allowed to defer, their ratings remain appropriate at their current levels. Outside of the interpleader complaint, performance has remained stable since last review. There has been one new cure and no new redemptions, deferrals, or defaults since Fitch's last rating action in January 2018. The note balances for A-1L and A-2L remained unchanged, reflecting no principal paydowns since last review, while A-3L, A-4, A-4L, B-1L notes have accumulated deferred interest, ranging from 0.7% to 1.2% of their respective balances at last review. However, all classes are still passing their current rating levels based on the analytical framework described in Fitch's "U.S. Trust Preferred CDOs Surveillance Rating Criteria," dated March 9, 2018. VARIATIONS FROM CRITERIA The transaction documents do not have requirements for the issuer account bank that conform to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria". However, the risk is mitigated by the current rating of Wells Fargo Bank, N.A. (AA-/F1+/Outlook Stable) and the high performing CE level available to the notes. Fitch has determined there is no measurable rating impact and will continue to monitor the bank ratings and may take rating action as needed. RATING SENSITIVITIES Changes in the rating drivers described, could lead to rating changes in the TruPS CDO notes. To address potential risks of adverse selection and increased portfolio concentration Fitch applied a sensitivity scenario, as described in the criteria. Fitch expects to remove the rating watch upon resolution of the pending litigation or when the amount held in escrow is considered sufficient to pay the swap termination payment in full, which would prevent A-1L and A-2L notes from defaulting on their interest payments if the court rules in favor of BNYM. Fitch believes that either event may occur subsequent to six months in the future. DUE DILIGENCE USAGE Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Fitch has taken the following rating actions: -- $49,323,252 class A-1L notes 'AAsf' Rating Watch Negative maintained; -- $40,000,000 class A-2L notes 'Asf' Rating Watch Negative maintained; -- $38,203,942 class A-3L notes affirmed at 'BBsf'; Outlook Stable; -- $41,023295 class A-4 notes affirmed at 'Csf'; -- $30,016,728 class A-4L notes affirmed at 'Csf'; -- $27,554,382 class B-1L notes affirmed at 'Csf'. UBS COMMERCIAL 2018-C11: Fitch Rates Class F-RR Certs 'B-sf' ------------------------------------------------------------ Fitch Ratings has assigned the following final ratings and Rating Outlooks to UBS Commercial Mortgage Trust 2018-C11 commercial mortgage pass-through certificates, series 2018-C11: -- $26,419,000 class A-1 'AAAsf'; Outlook Stable; -- $75,257,000 class A-2 'AAAsf'; Outlook Stable; -- $30,948,000 class A-SB 'AAAsf'; Outlook Stable; -- $57,478,000d class A-3 'AAAsf'; Outlook Stable; -- $162,000,000d class A-4 'AAAsf'; Outlook Stable; -- $210,569,000d class A-5 'AAAsf'; Outlook Stable; -- $562,671,000b class X-A 'AAAsf'; Outlook Stable; -- $146,696,000b class X-B 'AA-sf'; Outlook Stable; -- $78,372,000 class A-S 'AAAsf'; Outlook Stable; -- $35,167,000 class B 'AA-sf'; Outlook Stable; -- $33,157,000 class C 'A-sf'; Outlook Stable; -- $35,758,000ab class X-D 'BBB-sf'; Outlook Stable; -- $35,758,000a class D 'BBB-sf'; Outlook Stable; -- $18,500,000ac class E-RR 'BB-sf'; Outlook Stable; -- $10,047,000ac class F-RR 'B-sf'; Outlook Stable. The following class is not rated: -- $30,144,085ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest (2.81%) and vertical risk retention representing (2.22%) 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 horizontal risk retention is represented by the E-RR, F-RR and NR-RR classes. The ratings are based on information provided by the issuer as of July 9, 2018. Since Fitch published its expected ratings on June 18, 2018, class A-4 increased in size to $162.0 million from $143.5 million and class A-5 decreased in size to $210.6 million from $229.1 million. Additionally, the rating on class X-B, which previously was assigned an expected rating of 'A-sf', is now assigned a final rating of 'AA-sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on the IO payments, consistent with Appendix 4 of Fitch's Global Structured Finance Rating Criteria dated May 15, 2018. The classes reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 48 loans secured by 91 commercial properties having an aggregate principal balance of $803,816,085 as of the cut-off date. The loans were contributed to the trust by: UBS AG, Argentic Real Estate Finance, Natixis Real Estate Capital LLC, Societe Generale, KeyBank National Association and Cantor Commercial Real Estate Lending, L.P. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 72.9% of the properties by balance, cash flow analysis of 80.0% and asset summary reviews on 97.5% of the pool. KEY RATING DRIVERS Fitch Debt Service Coverage (DSCR) is Lower Than Recent Transactions: The pool's Fitch DSCR is 1.21x relative to the 2017 and 2018 YTD averages of 1.26x and 1.25x, respectively. However, the pool's LTV of 102.0% is comparable with the 2017 and 2018 YTD averages of 101.6% and 103.8%. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.20x and 104.7%, respectively. Diverse Pool: The pool is more diverse than recent Fitch-rated transactions. The top-10 loans make up 44.2% of the pool, less than the 2017 average of 53.1% and the 2018 YTD average of 51.2%. The pool's average loan size of $16.7 million is lower than the average of $20.0 million for 2017 and $19.0 million for YTD 2018. The concentration results in an LCI of 314, less than the 2017 average of 398 and the YTD 2018 average of 379. Investment-Grade Credit Opinion Loan: One loan, representing 6.2% of the transaction, is credit assessed. The largest loan, 20 Times Square has a stand-alone credit opinion of 'Asf', with a Fitch DSCR and Fitch LTV of 1.44x and 60.9%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 21.6% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the UBS 2018-C11 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. VERUS SECURITIZATION 2018-2: S&P Gives B+(sf) Rating on B-3 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2018-2's $489.565 million mortgage pass-through certificates. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of July 10, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator, Invictus Capital Partners. PRELIMINARY RATINGS ASSIGNED Verus Securitization Trust 2018-2 Class Rating(i) Type Interest Amount rate(ii) (mil. $) A-1 AAA (sf) Senior Fixed 326,295,000 A-2 AA (sf) Senior Fixed 36,227,000 A-3 A (sf) Senior Fixed 62,665,000 B-1 BBB- (sf) Subordinate Fixed 29,863,000 B-2 BB- (sf) Subordinate Fixed 19,338,000 B-3 B+ (sf) Subordinate Fixed 4,406,000 B-4 NR Subordinate Fixed 10,770,921 A-IO-S NR Excess servicing (v) Notional(iii) Monthly excess XS NR cash flow (vi) Notional(iv) P NR Prepayment premium (vii) 100 R NR Residual N/A N/A (i) The collateral and structural information in this report reflect the term sheet dated July 9, 2018; the preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Interest can be deferred on the classes. Coupons are subject to the pool's net WAC rate. (iii)Notional amount equals the loans' stated principal balance. (iv)Notional amount equals the aggregate balance of the class A-1, A-2, A-3, B-1, B-2, B-3, B-4, and P certificates. (v)Excess servicing strip plus the excess prepayment strip minus compensating interest. (vi)Certain excess amounts per the pooling and servicing agreement. (vii)Prepayment premiums during the related prepayment period. WAC--Weighted average coupon. N/A--Not applicable. NR--Not rated. WELLS FARGO 2017-C38: Fitch Affirms 'B-sf' Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings affirms 15 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2017-C38 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance remains stable and Fitch's loss expectations remain unchanged since issuance. There are no delinquent or specially serviced loans. Four loans (2.5% of current pool) are on the servicer's watchlist; these have been designated as Fitch Loans of Concern due to Toys "R" Us/Babies "R" Us exposure, significant upcoming lease roll and/or declining net operating income. Minimal Change to Credit Enhancement: As of the June 2018 distribution date, the pool's aggregate balance has been reduced by 0.5% to $1.149 billion, from $1.155 billion at issuance. Credit enhancement levels remain unchanged. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down 7.1% prior to maturity, which is lower than the average for transactions of the similar vintage. Eighteen loans (56.8% of current pool), including nine of the top 10 loans, are full-term interest-only. Twelve loans (13.4%) are partial interest-only. The remainder of the pool consists of 46 balloon loans representing 29.8% of the pool. One of the interest-only loans (3.5%) has an ARD instead of a balloon at maturity. Pool Concentrations: Loans backed by office properties represent 39.6% of the pool, including eight loans (32.9%) in the top 15. Four (21.1%) are secured by office properties located in New York City. Loans backed by retail properties represent 25.4% of the pool, including three loans (12%) in the top 15. Regional mall exposure consists of the Del Amo Fashion Center (5.2%) in Torrance, CA, which has exposure to Macy's and Sears as non-collateral anchors and JCPenney, Nordstrom and Dick's Sporting Goods as collateral anchors. Loans backed by hotel properties represent 17% of the pool, including two loans (7%) in the top 15. Loans secured by office and retail properties have an average probability of default in Fitch's multiborrower model, while loans secured by hotel properties have the highest probability of default, all else equal. Lower Leverage than Recent Transactions: The pool's leverage statistics are better than those of similar vintage Fitch-rated multiborrower transactions. The pool's Fitch loan-to-value (LTV) of 96.4% is lower than both the YE 2017 and 2016 averages of 101.6% and 105.2%, respectively. The lower weighted average (WA) Fitch LTV is due in part to four credit opinion loans in the pool. When excluding these credit opinion loans, the WA Fitch LTV increases to 106.7%. Investment-Grade Credit Opinion Loans: At issuance, four loans (23.9% of current pool), including the three largest loans in the pool, received investment-grade credit opinions. The General Motors Building (10%) has an investment-grade credit opinion of 'AAAsf' on a stand-alone basis. Del Amo Fashion Center (5.2%) has an investment-grade credit opinion of 'BBBsf' on a stand-alone basis. 245 Park Avenue (4.8%) and 225 & 233 Park Avenue South (3.9%) each have investment-grade credit opinions of 'BBB-sf' on a stand-alone basis. Low Mortgage Coupons: The WA mortgage coupon for this pool of loans is 4.4%, well below historical averages. Fitch accounted for increased refinance risk in a higher interest rate environment by analyzing sensitivity to increased interest rates in conjunction with its stressed refinance rates, which were 9.1% on a WA basis. RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio level metrics. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following classes: -- $27.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $42.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $8.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $36.1 million class A-SB at 'AAAsf'; Outlook Stable; -- $300.0 million class A-4 at 'AAAsf'; Outlook Stable; -- $366.3 million class A-5 at 'AAAsf'; Outlook Stable; -- $119.4 million class A-S at 'AAAsf'; Outlook Stable; -- $50.6 million class B at 'AA-sf'; Outlook Stable; -- $44.9 million class C at 'A-sf'; Outlook Stable; -- $49.2 million class D at 'BBB-sf'; Outlook Stable; -- $22.5 million class E at 'BB-sf'; Outlook Stable; -- $11.2 million class F at 'B-sf'; Outlook Stable; -- $781.4 million class X-A* at 'AAAsf'; Outlook Stable; -- $214.9 million class X-B* at 'A-sf'; Outlook Stable; -- $49.2 million class X-D* at 'BBB-sf'; Outlook Stable. ZAIS CLO 3: Moody's Assigns Ba3(sf) Rating on Class D-R Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by ZAIS CLO 3, Limited: Moody's rating action is as follows: US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2031 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$65,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2031 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$30,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned A2 (sf) US$30,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned Baa3 (sf) US$20,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. ZAIS Leveraged Loan Manager 3, LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 6, 2018 (the "Refinancing Date") in connection with the refinancing of all classes of the secured notes (the "Refinanced Original Notes") previously issued on May 13, 2015 (the "Original Closing Date"). On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes along with the proceeds from the issuance of additional subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extensions of the reinvestment period, the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.80% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.75% 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 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, 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. Here 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 2850 to 3278) Rating Impact in Rating Notches Class A-1-R Notes: 0 Class A-2-R Notes: -2 Class B-R Notes: -2 Class C-R Notes: -1 Class D-R Notes: 0 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A-1-R Notes: -1 Class A-2-R Notes: -3 Class B-R Notes: -4 Class C-R Notes: -2 Class D-R Notes: -1 [*] 2018 DI Conference Discount Tickets Available for Early Birds ----------------------------------------------------------------- Early registration discount tickets are currently available for Beard Group's 2018 Distressed Investing (DI) Conference to be held Monday, Nov. 26, 2018. The day-long program, marking the event's 25th year, will be held at The Harmonie Club, 4 East 60th Street, New York, NY 10022. To register for the one-day conference visit: https://www.distressedinvestingconference.com/ Conway MacKenzie, Foley & Lardner, Longford Capital and Development Specialist Inc. (DSI) will again be partnering with Beard Group as it marks the conference's Silver Anniversary. This milestone denotes the event as the oldest, influential DI conference in the U.S. Debtwire will again be a media sponsor of the conference. For a quarter of a century, the DI Conference's focus has been on "Maximizing Profits in the Distressed Debt Market." The event also serves as a forum for leaders in corporate restructuring, lending and debt and equity investments to gather and discuss the latest topics and trends in the distressed investing industry, as well as exchange ideas about high-profile chapter 11 bankruptcy proceedings and out-of-court restructurings. These are distinguished professionals who place their resources and reputations at risk to produce stellar results by preserving jobs, rebuilding broken businesses, and efficiently redeploying underutilized assets in the marketplace. The conference will also feature the: * Luncheon presentation of the Harvey K Miller Award to Edward I. Altman, Professor of Finance, Emeritus, New York University's Stern School of Business. (The award will be presented by last year's winner billionaire Marc Lasry, Altman's former student.) * Evening awards dinner recognizing the 12 Outstanding Restructuring Lawyers To learn how you can be a sponsor and participate in shaping the day-long program, contact: Bernard Tolliver at bernard@beardgroup.com or Tel: (240) 629-3300 x-149 To learn about media sponsorship opportunities to bring your outlet into the view of leaders in corporate restructuring, lending and debt and equity investments, and to expand your network of news sources, contact: Jeff Baxt at jeff@beardgroup.com or (240) 629-3300, ext 150 [*] Moody's Takes Action on $437.3MM RMBS Issued 2005-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 42 tranches and downgraded the ratings of 17 tranches from 13 transactions issued by various issuers. Complete rating actions are as follows: Issuer: Bear Stearns ARM Trust 2006-1 Cl. A-3, Upgraded to B1 (sf); previously on Jul 29, 2013 Upgraded to Caa1 (sf) Issuer: Bear Stearns ARM Trust 2007-2 Cl. I-A-1, Upgraded to Caa1 (sf); previously on Feb 24, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2005-HE1 Cl. M-3, Upgraded to Caa1 (sf); previously on May 21, 2010 Downgraded to C (sf) Issuer: Chase Mortgage Finance Trust Series 2006-S2 Cl. 1-A3, Downgraded to Caa3 (sf); previously on Jan 30, 2014 Downgraded to Caa2 (sf) Cl. 1-A4, Downgraded to Caa3 (sf); previously on Jan 30, 2014 Downgraded to Caa2 (sf) Cl. 1-A5, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A6, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A7, Downgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Caa2 (sf) Cl. 1-A8, Downgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Caa2 (sf) Cl. 1-A9, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A12, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A13, Downgraded to Caa3 (sf); previously on May 26, 2010 Downgraded to Caa2 (sf) Cl. 1-A14, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A16, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A17, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-A19, Downgraded to Caa3 (sf); previously on Apr 18, 2013 Downgraded to Caa2 (sf) Cl. 1-AX, Downgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Issuer: Chase Mortgage Finance Trust Series 2007-A1 Cl. 1-A1, Downgraded to Ba3 (sf); previously on Mar 9, 2018 Downgraded to Ba1 (sf) Cl. 9-A1, Downgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to Ba3 (sf) Issuer: Chase Mortgage Finance Trust, Series 2005-S2 Cl. A-15, Upgraded to Baa3 (sf); previously on Jan 11, 2016 Upgraded to B2 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2007-A2 Cl. 1-2-A3, Upgraded to A3 (sf); previously on Apr 29, 2016 Upgraded to Ba3 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2007-S1 Cl. A-1, Upgraded to B1 (sf); previously on Mar 21, 2016 Upgraded to Caa1 (sf) Cl. A-2, Upgraded to Ca (sf); previously on Sep 17, 2010 Downgraded to C (sf) Issuer: J.P. Morgan Mortgage Trust 2005-A2 Cl. 1-A-1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa2 (sf) Cl. 1-A-2, Upgraded to Baa2 (sf); previously on Oct 31, 2017 Upgraded to Ba1 (sf) Cl. 2-A-1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa2 (sf) Cl. 2-A-2, Upgraded to Baa2 (sf); previously on Oct 31, 2017 Upgraded to Ba1 (sf) Cl. 3-A-2, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa2 (sf) Cl. 3-A-3, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa2 (sf) Cl. 3-A-4, Upgraded to Baa2 (sf); previously on Oct 31, 2017 Upgraded to Ba1 (sf) Cl. 4-A-1, Upgraded to Baa1 (sf); previously on Oct 31, 2017 Upgraded to Baa2 (sf) Cl. 5-A-2, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa3 (sf) Cl. 5-A-3, Upgraded to Baa2 (sf); previously on Oct 31, 2017 Upgraded to Ba1 (sf) Cl. 6-A-1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa2 (sf) Cl. 6-A-2, Upgraded to Baa2 (sf); previously on Oct 31, 2017 Upgraded to Ba1 (sf) Cl. 7CB1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa2 (sf) Cl. 7CB2, Upgraded to Baa2 (sf); previously on Oct 31, 2017 Upgraded to Ba1 (sf) Cl. 8-A-1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa3 (sf) Cl. 9-A-1, Upgraded to Baa1 (sf); previously on Aug 5, 2015 Upgraded to Baa3 (sf) Issuer: J.P. Morgan Mortgage Trust 2005-A4 Cl. 1-A-1, Upgraded to A3 (sf); previously on May 5, 2014 Upgraded to Baa3 (sf) Cl. 2-A-1, Upgraded to A3 (sf); previously on May 5, 2014 Upgraded to Baa3 (sf) Cl. 3-A-1, Upgraded to A3 (sf); previously on May 5, 2014 Upgraded to Baa3 (sf) Cl. 3-A-4, Upgraded to A3 (sf); previously on May 5, 2014 Upgraded to Baa3 (sf) Cl. 4-A-2, Upgraded to A3 (sf); previously on May 5, 2014 Upgraded to Baa3 (sf) Cl. B-1, Upgraded to Caa2 (sf); previously on Apr 6, 2010 Downgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Trust 2006-A2 Cl. 5-A-1, Downgraded to Baa3 (sf); previously on Aug 5, 2015 Confirmed at Baa1 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-S1 Cl. 1-A-1, Upgraded to B1 (sf); previously on Feb 16, 2016 Downgraded to Caa1 (sf) Cl. 1-A-2, Upgraded to B1 (sf); previously on Sep 19, 2012 Downgraded to Caa1 (sf) Cl. 2-A-1, Upgraded to Ba2 (sf); previously on Sep 19, 2012 Confirmed at B2 (sf) Cl. 2-A-3, Upgraded to Ba2 (sf); previously on Sep 19, 2012 Confirmed at B2 (sf) Cl. 2-A-5, Upgraded to Ba2 (sf); previously on Jun 4, 2015 Upgraded to B1 (sf) Cl. 2-A-6, Upgraded to Ba2 (sf); previously on Sep 19, 2012 Downgraded to B2 (sf) Cl. 2-A-8, Upgraded to Ba3 (sf); previously on Feb 16, 2016 Downgraded to Caa1 (sf) Cl. 2-A-9, Upgraded to B1 (sf); previously on Sep 19, 2012 Downgraded to Caa1 (sf) Cl. 3-A-1, Upgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 3-A-2, Upgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Cl. 3-A-6, Upgraded to Ba2 (sf); previously on Sep 19, 2012 Downgraded to B3 (sf) Cl. 3-A-8, Upgraded to Ba2 (sf); previously on Apr 12, 2010 Downgraded to B2 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2005-AR2 Cl. II-A-1, Upgraded to Baa3 (sf); previously on Nov 10, 2017 Upgraded to B3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The rating upgrades are primarily due to the increase in credit enhancement to the bonds as a result of payments distributed to the transactions in May 2018 pursuant to a settlement between J.P.Morgan and certain RMBS investors. The rating downgrades are primarily due to the built up of undercollateralization due to structural features of the deals. The principal methodology used in rating Bear Stearns ARM Trust 2006-1 Cl. A-3; Bear Stearns ARM Trust 2007-2 Cl. I-A-1; Bear Stearns Asset Backed Securities I Trust 2005-HE1 Cl. M-3; Chase Mortgage Finance Trust Series 2006-S2 Cl. 1-A17, Cl. 1-A3, Cl. 1-A4, Cl. 1-A19, Cl. 1-A5, Cl. 1-A6, Cl. 1-A7, Cl. 1-A8, Cl. 1-A9, Cl. 1-A12, Cl. 1-A13, Cl. 1-A14, and Cl. 1-A16; Chase Mortgage Finance Trust Series 2007-A1 Cl. 1-A1 and Cl. 9-A1; Chase Mortgage Finance Trust, Series 2005-S2 Cl. A-15; J.P. Morgan Alternative Loan Trust 2007-A2 Cl. 1-2-A3; J.P. Morgan Alternative Loan Trust 2007-S1 Cl. A-2 and Cl. A-1; J.P. Morgan Mortgage Trust 2005-A2 Cl. 1-A-1, Cl. 2-A-1, Cl. 3-A-2, Cl. 3-A-3, Cl. 4-A-1, Cl. 5-A-2, Cl. 6-A-1, Cl. 7CB1, Cl. 8-A-1, Cl. 9-A-1, Cl. 1-A-2, Cl. 2-A-2, Cl. 3-A-4, Cl. 5-A-3, Cl. 6-A-2, and Cl. 7CB2; J.P. Morgan Mortgage Trust 2005-A4 Cl. 1-A-1, Cl. 2-A-1, Cl. 3-A-1, Cl. 3-A-4, Cl. 4-A-2, and Cl. B-1; J.P. Morgan Mortgage Trust 2006-A2 Cl. 5-A-1; J.P. Morgan Mortgage Trust 2006-S1 Cl. 3-A-1, Cl. 3-A-2, Cl. 3-A-6, Cl. 3-A-8, Cl. 1-A-1, Cl. 1-A-2, Cl. 2-A-1, Cl. 2-A-3, Cl. 2-A-5, Cl. 2-A-6, Cl. 2-A-8, and Cl. 2-A-9; and Structured Asset Mortgage Investments II Trust 2005-AR2 Cl. II-A-1 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Chase Mortgage Finance Trust Series 2006-S2 Cl. 1-AX were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.0% in June 2018 from 4.3% in June 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. 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