/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180722.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 22, 2018, Vol. 22, No. 202 Headlines ALM LTD XVII: Moody's Assigns B3 Rating on Class E-R Notes APIDOS CLO XX: Moody's Assigns B3 Rating on Class E-R Notes APIDOS CLO XXI: Moody's Assigns B3 Rating on Class E-R Notes ARES CLO XXXVR: Moody's Assigns Ba3 Rating on Class E Notes ASHFORD HOSPITALITY 2018-KEYS: Moody's Rates Class F Debt 'B3' ATRIUM XIV: S&P Assigns Prelim BB-(sf) Rating on $29MM Cl. E Notes BAIN CAPITAL 2018-2: S&P Assigns B-(sf) Rating on Class F Notes BAMLL 2015-HAUL: Fitch Affirms BB Rating on Class E Debt BANK 2017-BNK6: Fitch Affirms B- Rating on Class F Certs BANK 2018-BNK13: Fitch to Rate $10MM Class F Certs 'B-sf' BARINGS CLO 2016-I: Moody's Gives (P)Ba3 Rating on Class E-R Notes BATTALION CLO IX: Moody's Gives Ba3 Rating on Class E-R Notes BATTALION CLO VII: Moody's Assigns B3 Rating on $4MM Cl. E-RR Notes BBCMS MORTGAGE 2017-DELC: Moody's Affirms B3 Rating on Class F Debt BBCMS MORTGAGE 2018-CHRS: S&P Gives Prelim BB Rating on Cl. E Notes BEAR STEARNS 2003-TOP10: Fitch Cuts Class M Notes Rating to 'CCCsf' BEAR STEARNS 2007-PWR17: Fitch Hikes $44MM Class C Certs to 'CCCsf' BENCHMARK 2018-B4: DBRS Finalizes B(high) Rating on Cl. G-RR Certs BENCHMARK 2018-B4: Fitch Gives 'B-sf' Rating on Class G-RR Certs BHMS 2018-ATLS: DBRS Assigns Prov. BB Rating on Cl. E Certs BLUEMOUNTAIN CLO 2015-2: S&P Assigns BB-(sf) Rating on E-R Notes BNPP IP 2014-1: S&P Lowers Class E Notes Rating to CCC+ CBAM LTD 2018-7: Moody's Assigns Ba3 Rating on Class E Notes CD MORTGAGE 2016-CD1: Fitch Affirms B- Rating on Class X-E Certs CEDAR FUNDING V: S&P Assigns BB-(sf) Rating on Class E-R Notes CHASE MORTGAGE 2005-S3: Moody's Cuts Class A-X Debt Rating to Caa2 CITIGROUP COMMERCIAL 2012-GC8: Fitch Affirms Bsf Rating on F Certs CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms B- Rating on F Certs COMM 2012-CR3: Moody's Affirms B2 Rating on Class G Certs CPS AUTO 2018-C: S&P Assigns B+(sf) Rating on Class E Notes CROWN POINT 5: S&P Assigns B-(sf) Rating on $8MM Class F Notes CS FIRST BOSTON 1998-C2: Moody's Cuts Class AX Certs Rating to 'C' CSAIL 2015-C3: Fitch Affirms B- Rating on Class F Certs CSFB MORTGAGE 2004-C3: Fitch Affirms C Rating on Class E Debt CSMC TRUST 2017-MOON: Fitch Affirms BB- Rating on Class E Certs CVP CASCADE CLO-2: S&P Lowers Class D Notes Rating to BB-(sf) DRIVE AUTO 2018-3: S&P Assigns Prelim BB(sf) Rating on E Notes DRYDEN 38: Moody's Assigns (P)Ba3 Rating on Class E-R Notes DRYDEN 42: S&P Assigns B- Rating on $7MM Class F-R Notes EXETER AUTO 2018-3: S&P Assigns Prelim B(sf) Rating on Cl. F Notes FIGUEROA CLO 2014-1: Moody's Gives Ba3 Rating on Class E-R Notes FIGUEROA CLO 2014-1: S&P Assigns B-(sf) Rating on Class F-R Notes FORTRESS CREDIT VI: S&P Assigns Prelim. BB- Rating on E Notes GALAXY CLO XXII: S&P Assigns BB- Rating on $20MM Class E-R Notes GALAXY CLO XXII: S&P Gives (P)BB- Rating on $28MM Cl. E-R Debt GALAXY CLO XXVIII: S&P Assigns Prelim. B Rating on Class F Notes GALAXY XXVIII: S&P Assigns B-(sf) Rating on $7.70MM Class F Notes GE COMMERCIAL 2004-C2: Moody's Affirms C Rating on 2 Tranches GMAC COMMERCIAL 1997-C1: Moody's Affirms C Rating on Class X Debt GS MORTGAGE 2018-GS10: Fitch to Rate Class G-RR Certs 'B-sf' GS MORTGAGE 2018-GS10: S&P Gives (P)B- Rating on WLS-D Certs HALCYON LOAN 2012-2: S&P Lowers Class E Notes Rating to B(sf) HALCYON LOAN 2014-1: Moody's Cuts Class F Notes Rating to Caa1 HONOR AUTOMOBILE 2016-1: S&P Cuts Class C Notes Rating to 'CCC+' IVY HILL X: S&P Assigns BB-(sf) Rating on $25MM Class D-R Notes JP MORGAN 2006-CIBC16: Moody's Affirms Caa2 Rating on Cl. A-J Certs JP MORGAN 2013-C16: Fitch Affirms BB Rating on Class E Certs JP MORGAN 2013-LC11: S&P Lowers Rating on Class F Debt to B-(sf) JP MORGAN 2017-MAUI: DBRS Confirms BB Rating on Class E Certs KVK CLO 2014-3: S&P Affirms B-(sf) Rating on Class F Notes LB COMMERCIAL 1998-C4: Moody's Affirms C Ratings on 2 Tranches LCM LTD 27: S&P Assigns Prelim BB- Rating on $16MM Class E Notes MARINER CLO 6: S&P Assigns BB-(sf) Rating on Class E Notes MARLIN RECEIVABLES 2018-1: Fitch to Rate $4.3MM Cl. E Notes 'BBsf' MARLIN RECEIVABLES 2018-1: S&P Gives (P)BB Rating on Class E Debt MERRILL LYNCH 2008-C1: S&P Cuts Class J Certs Rating to 'D(sf)' MIDOCEAN CREDIT IX: S&P Gives Prelim B-(sf) Rating on Cl. F Notes MJX VENTURE II: Moody's Gives Ba1 Rating on Series I Class E Notes MONROE CAPITAL 2016-1: Moody's Rates $15MM Class E-R Notes (P)Ba1 MORGAN STANLEY 2007-IQ14: Moody's Affirms Ca Rating on 2 Tranches MORGAN STANLEY 2013-C12: Moody's Affirms B1 Rating on Class F Certs MORGAN STANLEY 2013-C7: Moody's Affirms B2 Rating on Class G Certs MORGAN STANLEY 2013-C8: S&P Affirms B Rating on Class G Notes MORGAN STANLEY 2015-UBS8: Fitch Affirms B- Rating on Cl. X-G Certs MORGAN STANLEY 2016-UBS11: Fitch Affirms B- Rating on Class F Certs MORGAN STANLEY 2018-H3: Fitch Rates Class G-RR Certs 'B-sf' MORGAN STANLEY 2018-MP: Moody's Rates Class E Certs '(P)Ba3' NOMURA CRE 2007-2: Fitch Affirms Csf Rating on 11 Tranches OCTAGON INVESTMENT 27: S&P Assigns B-(sf) Rating on Cl. F-R Notes OCTAGON INVESTMENT XVI: S&P Assigns B-(sf) Rating on Cl. F-R Notes ONEMAIN DIRECT 2017-1: Moody's Hikes Class E Notes to Ba3 OZLM LTD VII: Moody's Assigns B3 Rating on Class E-R Notes PALMER SQUARE 2018-2: S&P Assigns (P)B- Rating on E Notes PALMER SQUARE 2018-2: S&P Assigns B-(sf) Rating on Class F Notes REALT 2018-1: DBRS Assigns Prov. B Rating on Class G Certs REGATTA FUNDING XIII: Moody's Assigns Ba3 Rating on Class D Notes SEQUOIA MORTGAGE 2018-CH3: Moody's Gives (P)Ba2 Rating on B-5 Debt SEVEN STICKS: Moody's Gives Ba3 Rating on Class D-R Notes SHACKLETON 2015-VII-R: Moody's Gives B3 Rating on Class F Notes SHACKLETON 2018-XII: Moody's Assigns Ba3 Rating on Class E Notes SHACKLETON CLO 2014-VI-R: Moody's Rates $6MM Class F Notes 'B3' SOUND POINT V-R: Moody's Gives B3 Rating on $12MM Class F Notes TCF AUTO 2015-2: Moody's Hikes Class D Notes to Ba1 TIAA CLO I: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes TICP CLO 2016-1: Moody's Assigns Ba3 Rating on $24MM Cl. E-R Notes TRINITAS CLO II: S&P Affirms BB(sf) Rating on Class E Notes TRINITAS CLO VIII: Moody's Gives Ba3 Rating on $26MM Class E Notes VENTURE CLO 32: Moody's Assigns B3 Rating on $10.5MM Class F Notes VENTURE CLO 33: Moody's Assigns (P)B3 Rating on $9MM Class F Notes VOYA CLO 2014-4: S&P Assigns B- Rating on $9.4MM Class E-R Notes WACHOVIA BANK 2004-C15: Moody's Affirms C Rating on Cl. X-C Certs WELLS FARGO 2010-C1: Fitch Affirms Bsf Rating on Class F Certs WELLS FARGO 2011-C5: Fitch Affirms Bsf Rating on Class G Certs WELLS FARGO 2015-NXS2: DBRS Confirms BB Rating on Class X-E Certs WELLS FARGO 2018-C45: Fitch Gives B-sf Rating on Class H-RR Certs WOODMONT TRUST 2018-5: S&P Assigns Prelim BB(sf) Rating on E Notes [*] Moody's Hikes $1.08BB of RMBS Issued 2004-2007 [*] Moody's Hikes Ratings on 27 Tranches From 10 US RMBS Deals [*] Moody's Takes Action on $10MM of Alt-A RMBS Issued in 2005 [*] Moody's Takes Action on $117MM RMBS Issued 2005-2007 [*] Moody's Takes Action on $174.6MM RMBS Issued 2003-2007 [*] Moody's Takes Action on $348.4MM Subprime RMBS Issued 2006-2007 [*] S&P Discontinues Ratings on 19 Classes From Four CDO Deals [*] S&P Puts 13 Ratings From 3 US CLO Deals on Watch Positive [*] S&P Takes Various Actions on 91 Classes From 21 US RMBS Deals ********* ALM LTD XVII: Moody's Assigns B3 Rating on Class E-R Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by ALM XVII, Ltd.: Moody's rating action is as follows: US$375,000,000 Class A-1a-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1a-R Notes"), Definitive Rating Assigned Aaa (sf) US$12,000,000 Class A-1b-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1b-R Notes"), Definitive Rating Assigned Aaa (sf) US$62,500,000 Class A-2-R Senior Secured Floating Rate Notes due 2028 (the "Class A-2-R Notes"), Definitive Rating Assigned Aa2 (sf) US$31,500,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class B-R Notes"), Definitive Rating Assigned A2 (sf) US$41,900,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Definitive Rating Assigned Baa3 (sf) US$29,400,000 Class D-R Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Definitive Rating Assigned Ba3 (sf) US$12,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), Definitive Rating Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Apollo Credit Management (CLO), 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 issued the Refinancing Notes on July 16, 2018 in connection with the refinancing of all classes of the secured notes previously issued on January 21, 2016. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features occured in connection with the refinancing. These include: extensions of the non-call period; changes to certain collateral quality tests; 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: $600,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 3043 Weighted Average Spread (WAS): 3.30% Weighted Average Recovery Rate (WARR): 48.00% Weighted Average Life (WAL): 7.5 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. APIDOS CLO XX: Moody's Assigns B3 Rating on Class E-R Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by Apidos CLO XX: Moody's rating action is as follows: US$295,000,000 Class A-1R-A Senior Secured Floating Rate Notes due 2031 (the "Class A-1R-A Notes"), Assigned Aaa (sf) US$25,000,000 Class A-1R-B Senior Secured Fixed Rate Notes due 2031 (the "Class A-1R-B Notes"), Assigned Aaa (sf) US$54,800,000 Class A-2RR Senior Secured Floating Rate Notes due 2031 (the "Class A-2RR Notes"), Assigned Aa2 (sf) US$26,300,000 Class B-RR Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B-RR Notes"), Assigned A2 (sf) US$33,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned Baa3 (sf) US$25,700,000 Class D-R Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Ba3 (sf) US$8,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. CVC Credit Partners, 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 has issued the Refinancing Notes on July 16, 2018 in connection with the refinancing of all classes of the secured notes previously partially refinanced on December 9, 2016 and originally issued on February 12, 2015. On the Second Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of additional subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2925 Weighted Average Spread (WAS): 3.15% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. APIDOS CLO XXI: Moody's Assigns B3 Rating on Class E-R Notes ------------------------------------------------------------ Moody's Investors Service has assigned the following ratings to the following notes issued by Apidos CLO XXI: US$315,000,000 Class A-1-R Senior Secured Floating Rate Notes Due 2027 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$64,800,000 Class A-2-R Senior Secured Floating Rate Notes Due 2027 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$24,000,000 Class B-R Mezzanine Deferrable Floating Rate Notes Due 2027 (the "Class B-R Notes"), Assigned A2 (sf) US$32,200,000 Class C-R Mezzanine Deferrable Floating Rate Notes Due 2027 (the "Class C-R Notes"), Assigned Baa3 (sf) US$25,000,000 Class D-R Mezzanine Deferrable Floating Rate Notes Due 2027 (the "Class D-R Notes"), Assigned Ba3 (sf) US$9,000,000 Class E-R Mezzanine Deferrable Floating Rate Notes Due 2027 (the "Class E-R Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. CVC Credit Partners, 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 loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 18, 2018 in connection with the refinancing of all classes of the secured notes previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions, Moody's conducted additional sensitivity analyses, which were considered in determining the rating(s) assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. Here is a summary of the impact of different default probabilities, expressed in terms of WARF level, on the rated notes (shown in terms of the number of notches difference versus the base case model output, where a positive difference corresponds to a lower expected loss): Moody's Assumed WARF - 20% (2350) Class A-1-R: 0 Class A-2-R: +2 Class B-R: +2 Class C-R: +2 Class D-R: +1 Class E-R: +2 Moody's Assumed WARF + 20% (3524) Class A-1-R: 0 Class A-2-R: -3 Class B-R: -3 Class C-R: -2 Class D-R: -1 Class E-R: -3 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $496,637,662 Defaulted par: $3,124,676 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2937 (corresponding to a weighted average default probability of 25.98%) Weighted Average Spread (WAS): 3.15% Weighted Average Recovery Rate (WARR): 48.00% Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. ARES CLO XXXVR: Moody's Assigns Ba3 Rating on Class E Notes ----------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Ares XXXVR CLO Ltd. Moody's rating action is as follows: US$2,800,000 Class X Senior Floating Rate Notes due 2030 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$240,000,000 Class A-1 Senior Floating Rate Notes due 2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$22,000,000 Class A-2 Senior Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$36,000,000 Class B Senior Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$22,000,000 Class C Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$26,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$22,000,000 Class E Mezzanine Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class X Notes, 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. Ares XXXVR is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, and eligible investments, and up to 10% of the portfolio may consist of non-senior secured loans. The portfolio is approximately 78% ramped as of the closing date. Ares 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 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: 70 Weighted Average Rating Factor (WARF): 3025 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 48.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions, 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 3025 to 3479) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 3025 to 3933) Rating Impact in Rating Notches Class X Notes: 0 Class A-1 Notes: -1 Class A-2 Notes: -3 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 ASHFORD HOSPITALITY 2018-KEYS: Moody's Rates Class F Debt 'B3' -------------------------------------------------------------- Moody's Investors Service, has assigned definitive ratings to seven classes of CMBS securities, issued by Ashford Hospitality Trust 2018-KEYS, Commercial Mortgage Pass-Through Certificates, Series 2018-KEYS: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. X-CP*, Definitive Rating Assigned Ba2 (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B3 (sf) Reflects interest-only classes RATINGS RATIONALE The Certificates are collateralized by six mortgage loans secured by the fee and leasehold interests in 34 full service, select service and extended stay hotels. All six loans are first lien. Collectively, the hotels contain a total of 7,270 guestrooms across 16 states. The borrowers are comprised on 34 bankruptcy-remote, special purpose entities, each of which is a Delaware limited partnerships owned by the sponsor, Ashford Hospitality Trust, Inc. Moody's approach to rating this transaction involved the application of both its Large Loan and Single Asset/Single Borrower CMBS methodology and its IO Rating methodology. The rating approach for securities backed by a six loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The first mortgage balance of $982,000,000 represents a Moody's LTV of 105.6%. The Moody's First Mortgage Actual DSCR is 2.12X and Moody's First Mortgage Actual Stressed DSCR is 1.13X. The financing is subject to a mezzanine loan totaling $288,240,000. The Moody's Total Debt LTV (inclusive of the mezzanine loan) is 136.6% while the Moody's Total Debt Actual DSCR is 1.43X and Moody's Total Debt Stressed DSCR is 0.88X. The collateral under the mortgage loan is comprised of six pool of 34 hotel properties diversified across full-service (19 hotels, 68.6% of ALA), select-service (10 hotels, 20.0% of ALA) and extended-stay (5 hotels, 11.4% of ALA) chain scale segments. The portfolio is geographically diversified across 16 states and 22 MSAs, with no single state representing more than 34.7% (California) of the allocated loan amount and no single MSA representing more than 18.5% (San Francisco-Oakland-Hayward, CA) of the allocated mortgage loan amount. The portfolio's property-level Herfindal Index score is 25.8 based on allocated loan amount. As of February 28, 2018, the portfolio's overall occupancy rate for the trailing twelve months was 79.1%, ADR (average daily rate) was $159.71, and RevPAR (revenue per available room) was $126.35. Additionally, the portfolio's Occupancy, ADR, and RevPAR penetration for the trailing twelve months was 108.0%, 109.5% and 118.4% respectively. The properties have a weighted average age of 27 years as the hotel improvements were built at various points between 1963 and 2002. The sponsor invested approximately $212.7 million ($29,256 per key) has been invested into the portfolio improvements from 2013 to 2017. The sponsor plans to spend an additional $26.7 million ($3,677 per key) across the portfolio, of which approximately $5.1 million of the was reserved at closing to fund scheduled property improvement plans for Walnut Creek Embassy Suites and Durham Marriott Research Triangle Park. Notable strengths of the transaction include: the presence of multiple-property diversification within each of the six loan pools, geographic diversity, sponsorship, capital investment, and RevPAR performance relative to each property's respective peer group. Notable credit challenges of the transaction include: the average age of the underlying mortgaged properties, the presence of subordinate leverage, property type concentration, the loan's floating-rate and interest-only mortgage loan profile, and credit negative legal features. The principal methodology used in rating Ashford Hospitality Trust 2018-KEYS, Cl. A, Cl. B, Cl. C, Cl. D, Cl. E, and Cl. F was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Ashford Hospitality Trust 2018-KEYS, Cl. X-CP were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. ATRIUM XIV: S&P Assigns Prelim BB-(sf) Rating on $29MM Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Atrium XIV/Atrium XIV LLC's $676 million floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of July 16, 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 Atrium XIV/Atrium XIV LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A-1 AAA (sf) 452.00 A-2a NR 38.00 A-2b NR 20.00 B AA (sf) 95.00 C A (sf) 46.00 D BBB- (sf) 51.00 E BB- (sf) 29.00 Subordinated notes NR 75.00 NR--Not rated. BAIN CAPITAL 2018-2: S&P Assigns B-(sf) Rating on Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Bain Capital Credit CLO 2018-2 Ltd./Bain Capital Credit CLO 2018-2 LLC's $528 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade 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 Bain Capital Credit CLO 2018-2 Ltd./Bain Capital Credit CLO 2018-2 LLC Class Rating Amount (mil. $) A-1 AAA (sf) 354.00 A-2 NR 33.00 B AA (sf) 69.00 C (deferrable) A (sf) 39.00 D (deferrable) BBB- (sf) 31.50 E (deferrable) BB- (sf) 25.50 F (deferrable) B- (sf) 9.00 Subordinated notes NR 50.70 NR--Not rated. BAMLL 2015-HAUL: Fitch Affirms BB Rating on Class E Debt -------------------------------------------------------- Fitch Ratings has affirmed all classes of Bank of America Merrill Lynch BAMLL Commercial Mortgage Securities Trust 2015-HAUL (BAMLL 2015-HAUL) and revised the Rating Outlooks to Positive from Stable for three classes. KEY RATING DRIVERS Improved Performance and Credit Metrics: The affirmations and Positive Outlooks reflect continued improvements in portfolio performance and loan amortization as expected since issuance. The loan has a Fitch-stressed debt service coverage ratio (DSCR) and loan-to-value (LTV) of 1.51x and 63.1%, respectively, compared to 1.22x and 78.3% at issuance, inclusive of an amortization factor of 75%. The loan has amortized 9.2% since issuance. Both portfolio occupancy and net cash flow (NCF) have improved since 2010. Occupancy has increased from 77.5% in 2010 to 88.6% at year-end (YE) 2017. NCF decreased slightly in 2017 (down 4.4% from YE 2016), but it has experienced average year-over-year growth of 5.1% over the 2010 to 2017 period, with the 2017 NCF at nearly 40.2% above the 2010 level. YE 2017 NCF DSCR was 1.55x, compared to 1.49x in 2015. Fully Amortizing Loan: The loan is structured with a 20-year amortization schedule providing full amortization over the term of the loan. The loan matures in July 2035. Collateral: The loan is secured by 60 cross-collateralized self-storage properties located across six states. No single property represents more than 3.2% of YE 2017 NCF. Ground Leases: Fifty-six of the properties are owned fee simple and four properties are held in leasehold. The four ground-leased properties secure approximately 7% of the portfolio by loan balance. The earliest fully extended ground lease maturity date is Aug. 31, 2043, eight years beyond the loan's maturity date. Experienced Sponsorship and Management: The loan is sponsored by Private Mini Storage, L.P. The sponsor is indirectly wholly owned and controlled by Blackwater Investments, Inc., which is controlled by Mark V. Shoen, the son of the original founders of U-Haul and a significant shareholder in AMERCO, the holding company of U-Haul. The portfolio is managed by U-Haul through management agreements with U-Haul subsidiaries in each of the states where the portfolio properties are located. U-Haul owns and operates approximately over 1,200 self-storage locations in the U.S. with over 450,000 units and 42 million sf of space. Competitive Industry: The self-storage industry is very fragmented with the top 10 self-storage companies owning only 13% of total facilities; the top 50 companies own approximately 17% of total U.S. facilities. RATING SENSITIVITIES The Rating Outlook for classes B, C and X-B have been revised to Positive to reflect the improved portfolio cash flow and reduction in the loan balance due to scheduled amortization. With a sustained improvement in cash flow upgrades to these classes are likely. The Outlooks of the remaining classed remain Stable, but future upgrades are possible as the loan continues to delever. Fitch expects to see several years of sustained improved performance prior to upgrading. Should the loan's performance metrics decline significantly, downgrades are possible. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following classes and revised Outlooks as indicated: -- $68.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $65 million class A-2 at 'AAAsf'; Outlook Stable; -- $142.7 million class X-A(a) at 'AAAsf'; Outlook Stable; -- $31.8 million class B at 'AA-sf'; Outlook to Positive from Stable; -- $23.9 million class C at 'A-sf'; Outlook to Positive from Stable; -- $55.7 million class X-B(a) at 'A-sf'; Outlook to Positive from Stable; -- $38.5 million class D at 'BBB-sf'; Outlook Stable; -- $21.4 million class E at 'BBsf'; Outlook Stable. (a) Notional amount and interest-only. BANK 2017-BNK6: Fitch Affirms B- Rating on Class F Certs -------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Banc of America Merrill Lynch Commercial Mortgage, Inc., commercial mortgage pass-through certificates, series 2017-BNK6 (BANK 2017-BNK6). KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations are based on the overall stable performance and loss expectations of the pool with no material changes to pool metrics since issuance. Fitch has not designated any loans of concern. Minimal Change to Credit Enhancement: As of the June 2018 distribution date, the pool's aggregate balance has been reduced by 0.4% to $929.4 million from $933.3 million at issuance. Based on the loans' scheduled maturity balances, the pool is expected to amortize 9.6% during the term. 14 loans (44.1% of pool) are full-term, interest-only and 20 loans (29.6%) have a partial-term, interest-only component. Pool Concentration: The top-10 loans make up 50.8% of the pool. Loans secured by retail, office and hotel properties represent 27.2%, 19% and 14.6% of the pool, respectively. The largest loan is the General Motors Building (9.7% of pool), which is secured by a 50-story mixed-use office and retail building comprised of approximately two million sf on 767 Fifth Avenue in Manhattan. Retail tenants include Apple and Under Armour, which is leasing the former FAO Schwartz retail space and anticipated to be in full possession of its permanent space by January 2019. Larger office tenants include Weil, Gotshal & Manges, an international law firm and Aramis, a brand of Estee Lauder. At issuance, this loan received an investment-grade credit opinion of 'AAAsf'* on a stand-alone basis. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. For more information on rating sensitivities please refer to Fitch's original presale, dated July 10, 2017. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $27.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $26.6 million class A-2 at 'AAAsf'; Outlook Stable; -- $39.9 million class A-SB at 'AAAsf'; Outlook Stable; -- $58.2 million class A-3 at 'AAAsf'; Outlook Stable; -- $225 million class A-4 at 'AAAsf'; Outlook Stable; -- $239.8 million class A-5 at 'AAAsf'; Outlook Stable; -- $97.5 million class A-S at 'AAAsf'; Outlook Stable; -- $41 million class B at 'AA-sf'; Outlook Stable; -- $34.4 million class C at 'A-sf'; Outlook Stable; -- $35.5 million class D at 'BBB-sf'; Outlook Stable; -- $19.9 million class E at 'BB-sf'; Outlook Stable; -- $8.9 million class F at 'B-sf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- Interest-only class X-B at 'A-sf'; Outlook Stable; -- Interest-only class X-D at 'BBB-sf'; Outlook Stable; -- Interest-only class X-E at 'BB-sf'; Outlook Stable; -- Interest-only class X-F at 'B-sf'; Outlook Stable. Fitch does not rate the class G, Interest-only class X-G and RR Interest certificates. BANK 2018-BNK13: Fitch to Rate $10MM Class F Certs 'B-sf' --------------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2018-BNK13 commercial mortgage pass-through certificates, series 2018-BNK13. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $63,326,000 class A-1 'AAAsf'; Outlook Stable; -- $73,996,000 class A-2 'AAAsf'; Outlook Stable; -- $9,903,000 class A-3 'AAAsf'; Outlook Stable; -- $35,858,000 class A-SB 'AAAsf'; Outlook Stable; -- $190,000,000d class A-4 'AAAsf'; Outlook Stable; -- $254,803,000d class A-5 'AAAsf'; Outlook Stable; -- $627,886,000b class X-A 'AAAsf'; Outlook Stable; -- $173,790,000b class X-B 'A-sf'; Outlook Stable; -- $86,334,000 class A-S 'AAAsf'; Outlook Stable; -- $49,334,000 class B 'AA-sf'; Outlook Stable; -- $38,122,000 class C 'A-sf'; Outlook Stable; -- $41,485,000ab class X-D 'BBB-sf'; Outlook Stable; -- $15,697,000ab class X-E 'BB-sf'; Outlook Stable; -- $10,091,000ab class X-F 'B-sf'; Outlook Stable; -- $41,485,000a class D 'BBB-sf'; Outlook Stable; -- $15,697,000a class E 'BB-sf'; Outlook Stable; -- $10,091,000a class F 'B-sf'; Outlook Stable. The following classes are not expected to be rated: -- $28,031,455a class G; -- $28,031,455ab class X-G; -- $47,209,498c RR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Vertical credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. (d) The initial certificate balances of class A-4 and class A-5 are unknown and expected to be within the range of $180,000,000 - $200,000,000 and $244,803,000 - $264,803,000, respectively. The certificate balances will be determined based on the final pricing of those classes of certificates. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. The expected ratings are based on information provided by the issuer as of July 18, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 62 loans secured by 80 commercial properties having an aggregate principal balance of $944,189,953 as of the cut-off date. The loans were contributed to the trust by: Wells Fargo Bank, NA, Bank of American, NA, Morgan Stanley Mortgage Capital Holdings LLC Bank, NA and National Cooperative Bank, NA. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.9% of the properties by balance, cash flow analysis of 88.8% and asset summary reviews on 88.8% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool's Fitch leverage is significantly lower than other recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.41x is superior to the 2017 and 2018 YTD averages of 1.26x and 1.25x, respectively. The pool's Fitch LTV of 93.7% is also superior to the 2017 and 2018 YTD averages of 101.6% and 103.8%, respectively. Excluding investment-grade credit opinion and multifamily cooperative loans, the pool has a Fitch DSCR and LTV of 1.15 and 108.4%, respectively. Property Type Concentration: The pool has a relatively high exposure to retail properties, which, at 35.3% of the pool, far exceeds 2017 and 2018 YTD average concentrations of 24.8% and 25.0%, respectively. Credit Opinion Loans: Four loans, representing 22.7% of the pool have investment-grade credit opinions, which is well above both the 2017 average of 11.7 % and 2018 YTD average of 9.9%. Above-Average Asset Quality: Six of the top 20 loans were assigned grades of 'A-' or better and an additional six were assigned grades of 'B+' or better. RATING SENSITIVITIES For this transaction, Fitch's NCF was 9.8% 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 BANK 2018-BNK13 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 'Asf' 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. BARINGS CLO 2016-I: Moody's Gives (P)Ba3 Rating on Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to eight classes of notes to be issued by Barings CLO Ltd. 2016-I (formerly known as Babson CLO Ltd. 2016-I). Moody's rating action is as follows: US$3,000,000 Class X-R Senior Secured Term Notes due 2030 (the "Class X-R Notes"), Assigned (P)Aaa (sf) US$240,000,000 Class A-1-R Senior Secured Term Notes due 2030 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf) US$20,000,000 Class A-2-R Senior Secured Term Notes due 2030 (the "Class A-2-R Notes"), Assigned (P)Aaa (sf) US$17,000,000 Class B-1-R Senior Secured Term Notes due 2030 (the "Class B-1-R Notes"), Assigned (P)Aa2 (sf) US$18,000,000 Class B-2-R Senior Secured Term Fixed Rate Notes due 2030 (the "Class B-2-R Notes"), Assigned (P)Aa2 (sf) US$28,000,000 Class C-R Secured Deferrable Mezzanine Term Notes due 2030 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$23,000,000 Class D-R Secured Deferrable Mezzanine Term Notes due 2030 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$22,000,000 Class E-R Secured Deferrable Junior Term Notes due 2030 (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 issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Barings LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer intends to issue the Refinancing Notes on August 20, 2018 in connection with the refinancing of all classes of the secured notes previously issued on February 23, 2016. On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the Issuer also issued one class of subordinated notes that will remain outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2815 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 8.92 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. BATTALION CLO IX: Moody's Gives Ba3 Rating on Class E-R Notes ------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Battalion CLO IX Ltd.: Moody's rating action is as follows: US$325,000,000 Class A-R Senior Secured Floating Rate Notes due 2031 (the "Class A-R Notes"), Assigned Aaa (sf) US$47,000,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned Aa2 (sf) US$27,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf) US$32,500,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf) US$28,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Brigade Capital Management, LP manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 16, 2018 in connection with the refinancing of all classes of the secured notes previously issued on July 29, 2015. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes, along with the proceeds from the issuance of additional subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to certain concentration limits. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $496,905,042 Defaulted Par: $3,094,958 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3000 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. BATTALION CLO VII: Moody's Assigns B3 Rating on $4MM Cl. E-RR Notes ------------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of CLO refinancing notes issued by Battalion CLO VII Ltd.: Moody's rating action is as follows: US$5,000,000 Class X-RR Senior Secured Floating Rate Notes due 2028 (the "Class X-RR Notes"), Assigned Aaa (sf) US$260,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2028 (the "Class A-1-RR Notes"), Assigned Aaa (sf) US$44,000,000 Class A-2-RR Senior Secured Floating Rate Notes due 2028 (the "Class A-2-RR Notes"), Assigned Aa2 (sf) US$19,000,000 Class B-RR Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class B-RR Notes"), Assigned A2 (sf) US$24,000,000 Class C-RR Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-RR Notes"), Assigned Baa3 (sf) US$21,000,000 Class D-RR Secured Deferrable Floating Rate Notes due 2028 (the "Class D-RR Notes"), Assigned Ba3 (sf) US$4,000,000 Class E-RR Secured Deferrable Floating Rate Notes due 2028 (the "Class E-RR Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Brigade Capital Management, LP manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes addresses the expected losses posed to noteholders. The ratings reflects the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 17, 2018 in connection with the refinancing of all classes of the secured notes previously issued on November 19, 2014. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes and additional subordinated notes, to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2910 Weighted Average Spread (WAS): 3.40% Weighted Average Spread (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.75% Weighted Average Life (WAL): 6 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. BBCMS MORTGAGE 2017-DELC: Moody's Affirms B3 Rating on Class F Debt ------------------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes of BBCMS 2017-DELC Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2017-DELC. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Aug 29, 2017 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 29, 2017 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 29, 2017 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Aug 29, 2017 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Aug 29, 2017 Definitive Rating Assigned Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Aug 29, 2017 Definitive Rating Assigned B3 (sf) Cl. X-CP, Affirmed Aa3 (sf); previously on Aug 29, 2017 Definitive Rating Assigned Aa3 (sf) RATINGS RATIONALE The ratings on the six P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), are within acceptable ranges. The rating on the interest only (IO) class, Cl. X-CP, was affirmed based on the credit quality of the referenced classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, defeasance of the loan or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating BBCMS 2017-DELC Mortgage Trust, Cl. A, Cl. B, Cl. C, Cl. D, Cl. E, and Cl. F was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating BBCMS 2017-DELC Mortgage Trust, Cl. X-CP were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2018 Distribution Date, the transaction's aggregate certificate balance remains unchanged at $508 million, the same as securitization. There is additional mezzanine debt of $204 million held outside the trust. The sponsor for the loan is Blackstone Real Estate Partners VIII L.P. The interest only, 7-year (including five 1-year extension options), floating-rate loan is secured by fee simple interest in Hotel del Coronado located in Coronado, CA, which is part of the greater San Diego area. The hotel is a 757-guestroom (679 collateral guestrooms plus 78 condominium hotel guestrooms that are not part of the collateral) luxury hotel and resort that was originally built in 1888. The AAA Four-Diamond rated property offers amenities including 64,000 SF of indoor meeting space, nearly 70,000 SF of outdoor and pre-function space, a 12,500 SF spa, fitness center, multiple food and beverage outlets, four pools, retail shops, and 905 parking spaces. The property achieved occupancy of 69.9% with an Average Daily Rate of $423.78 in the calendar year 2017. The property's Net Cash Flow (NCF) for 2017 was $53.1 million. Moody's stabilized NCF is $44.6 million, the same as securitization. Moody's Trust LTV Ratio is 111%, the same as securitization. Moody's Trust Stressed DSCR is 0.95X, the same as securitization. The trust has not experienced any losses but there is $1 of interest shortfalls as of the current Distribution Date. BBCMS MORTGAGE 2018-CHRS: S&P Gives Prelim BB Rating on Cl. E Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BBCMS 2018-CHRS Mortgage Trust's $400.0 million commercial mortgage pass-through certificates. The note issuance is a commercial mortgage-backed securities transaction backed by a first-lien mortgage on the borrower's fee interest in 779,084 sq. ft. of the 1.3-million sq.-ft. Christiana Mall, a super-regional mall located in Newark, Del. The preliminary ratings are based on information as of July 16, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED BBCMS 2018-CHRS Mortgage Trust Class Rating(i) Amount ($) A AAA (sf) 168,970,000 X AA- (sf) 228,810,000(ii) B AA- (sf) 59,840,000 C A- (sf) 50,630,000 D BBB- (sf) 62,120,000 E BB (sf) 38,440,000 VRR(iii) NR 20,000,000 (i)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 certificates. will initially equal the aggregate balance of the class A and B certificates. (iii)Non-offered certificates. NR--Not rated. BEAR STEARNS 2003-TOP10: Fitch Cuts Class M Notes Rating to 'CCCsf' ------------------------------------------------------------------- Fitch Ratings upgrades two classes and affirms two classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS), series 2003-TOP10 commercial mortgage pass-through certificates. KEY RATING DRIVERS Increasing Credit Enhancement: The upgrades to classes L and M reflect the increasing credit enhancement and paydown to the senior class as well at the expected stabilization of the largest remaining asset. As of the July 2018 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to $15.2 million from $1.21 billion at issuance. Since the prior review, the pool has paid down by an additional $4 million. Five assets remain, one of which is in special servicing (56.9% of the remaining pool balance). The transaction has incurred $8.5 million (0.7% of the original pool balance) in realized losses to date. Interest shortfalls are currently impacting classes M, N and O. Specially Serviced Asset: Fitch's overall loss expectations have declined since the prior review due to the stabilization of Power Plaza Shopping Center (56.9%), the largest remaining asset and the only loan in special servicing. The asset is an 112,155-sf shopping center built in 1994, renovated in 2000, and located in Vacaville, CA. The loan transferred for imminent default in August 2014 after several large tenants vacated then became REO in April 2016. The special servicer executed leases with Restoration Hardware and Sprouts which will bring the occupancy rate to 68%. The servicer has also indicated that they are in negotiations with several other national tenants and they are preparing to market the property for sale. The most recent appraisal value indicates lower losses than at Fitch's previous reviews. Concentration: The pool is highly concentrated with only five of the original 171 assets remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality, and performance, which ranked them by their perceived likelihood of repayment. In addition, the analysis included a liquidation scenario that reflected the expected losses on the REO asset. The ratings reflect the sensitivity analysis. Loan Maturities: Of the remaining non-specially serviced loans, each are fully amortizing with one loan (11.2%) maturing in 2022 and three loans (31.8%) maturing in 2023. These loans are collateralized by two retail shopping centers (33%), one single-tenant Walgreens (5.4%) and mobile home community (4.6%). RATING SENSITIVITIES The Rating Outlooks on classes K and L remain Stable due to increasing credit enhancement, continued amortization, and relatively stable performance of the transaction. Future upgrades are likely to be limited due to the portfolio's concentration and adverse selection, as well as the exposure to the largest asset, which is REO. Downgrades could occur if losses from the REO asset are greater than expected, pool performance deteriorates or loans default at maturity. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch has upgraded the following ratings: -- S4.5 million class L notes to 'BBsf' from 'Bsf'; Outlook Stable; -- $3.0 million class M notes to 'CCCsf' from 'CCsf'; RE 100%. Fitch has affirmed the following ratings: -- $1.1 million class K notes at 'Asf'; Outlook Stable; -- $3.0 million class N notes at 'Csf'; RE 55%. Fitch does not rate the $3.6 million class O. Classes A-1, A-2, B, C, D, E, F, G, H and J have been paid in full. Fitch previously withdrew the ratings on interest-only classes X-1 and X-2. BEAR STEARNS 2007-PWR17: Fitch Hikes $44MM Class C Certs to 'CCCsf' ------------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed 13 classes of Bear Stearns Commercial Mortgage Securities Trust, series 2007-PWR17 (BSCMS 2007-PWR17) commercial mortgage pass-through certificates. KEY RATING DRIVERS Increased Credit Enhancement: The upgrade to class C to 'CCCsf' from 'CCsf' is based on increased credit enhancement since Fitch's last rating action due to amortization, loan payoffs at maturity and better than expected recoveries from specially serviced loans/assets. The affirmations to classes D and E at 'Csf' are based on the expected losses on the specially serviced assets with uncertain timing of dispositions. As of the July 2018 distribution date, the transaction has been reduced by 97.2% to $90.4 million from $3.26 billion. Since Fitch's last rating action, 24 loans ($450.6 million) have paid in full and three loans ($25.6 million) have been liquidated with limited additional losses incurred to the pool ($79,606). Classes A-M through B paid in full, and class C has paid down by $275,546. Cumulative interest shortfalls of $7.1 million are currently affecting classes D through S and there has been $263.9 million (8.1% of original pool balance) in realized losses to date. Concentrated Pool; Adverse Selection: Only 12 of the original 265 loans remain. Retail and office properties located in secondary and tertiary markets comprise 69% and 31% of the pool, respectively. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on the likelihood of repayment and expected losses from the liquidation of specially serviced loans and/or underperforming or overleveraged loans. Five loans (20.1% of pool) are fully amortizing and secured by Rite Aid properties in tertiary markets with leases that expire in 2026 and 2027. The loans had an ARD in June 2017 and have final maturity in June 2037. One loan (3.3%) is secured by a Rite Aid property in CA that matures in July 2019. Specially Serviced Loans: Six loans totaling $69.2 million (76.6% of pool) are specially serviced. The largest specially serviced loan, City Center Englewood (36.5% of pool), is secured by a 218,076 sf retail center located in Englewood, CO, six miles south of the Denver CBD. The loan transferred to special servicing on June 30, 2017 and maturity default occurred at the August 1, 2017 scheduled maturity date. The foreclosure sale is anticipated in 2018. Larger tenants include Ross Dress for Less, 24 Hour Fitness, Office Depot and Harbor Freight Tools. RATING SENSITIVITIES Further upward rating migration for the distressed classes C, D and E is limited due to pool concentration, adverse selection, binary risks and the high percentage of specially serviced loans The ratings on classes D and E are expected to be downgraded to 'Dsf' if losses are incurred. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch upgrades the following class: -- $44.6 million class C to 'CCCsf' from 'CCsf'; RE 100%. In addition, Fitch has affirmed the following classes: -- $24.5 million class D at 'Csf'; RE 10%; -- $20.4 million class E at 'Csf'; RE 0%; -- $1 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4, A-1A, A-M, A-MFL, A-J and B certificates have paid in full. Fitch does not rate the class S certificates. Fitch had previously withdrawn the ratings on the interest-only class X-1 and X-2 certificates. BENCHMARK 2018-B4: DBRS Finalizes B(high) Rating on Cl. G-RR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B4 (the Certificates) issued by Benchmark 2018-B4 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X‑A at AAA (sf) -- Class A-M at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class X-D at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at B (high) (sf) Classes X-B, X-D, D, E-RR, F-RR and G-RR will be privately placed. The Classes X-A, X-B and X-D balances are notional. The collateral consists of 44 fixed-rate loans secured by 60 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. Trust assets contributed from six loans, representing 34.1% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective rating within the pool. When the combined 34.1% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow (NCF) and their respective actual constants, two loans, representing 1.6% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low-interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 28 loans, representing 61.2% of the pool, having refinance DSCRs below 1.00x, and 17 loans, representing 44.3% of the pool, having refinance DSCRs below 0.90x. Aventura Mall, The Gateway and 65 Bay Street, which represent 17.7% of the transaction balance and are three of the pool's loans with a DBRS Refi DSCR below 0.90x, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Eleven loans, representing 30.5% of the pool, are located in urban and super-dense urban gateway markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include Chicago, San Francisco, New York, Jersey City, Los Angeles, Miami and Philadelphia. Six loans – Aventura Mall, 181 Fremont Street, Marina Heights State Farm, AON Center, The Gateway and 65 Bay Street – representing a combined 34.1% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Aventura Mall exhibits credit characteristics consistent with a BBB (high) shadow rating, 181 Fremont Street exhibits credit characteristics consistent with an AA shadow rating, Marina Heights exhibits credit characteristics consistent with an AA shadow rating, The Gateway exhibits credit characteristics consistent with an A shadow rating, AON Center exhibits credit characteristics consistent with an A (high) shadow rating, and 65 Bay Street exhibits credit characteristics consistent with an A (high) shadow rating. Term default risk is moderate, as indicated by the relatively strong DBRS Term DSCR of 1.72x, and when measured against A-note balances only, the DBRS Term DSCR increases to 1.90x. In addition, 21 loans, representing 60.8% of the pool, have a DBRS Term DSCR in excess of 1.50x. Even when excluding the six investment-grade shadow-rated loans, the deal exhibits an acceptable DBRS Term DSCR of 1.49x. Eighteen loans, representing 53.4% of the pool, including ten of the largest 15 loans, are structured with full-term interest-only (IO) payments. An additional 15 loans, comprising 26.9% of the pool, have partial IO periods ranging from ten months to 83 months. As a result, the transaction's scheduled amortization by maturity is only 5.9%, which is generally below other recent conduit securitizations. The DBRS Term DSCR is calculated using the amortizing debt service obligation, and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines the probability of default based on the lower of term or refinance DSCRs; therefore, loans that lack amortization are treated more punitively. Ten of the full-term IO loans, representing 27.0% of the full-IO concentration in the transaction, are located in urban markets. Additionally, all six of the loans that are shadow-rated investment grade by DBRS are full-term IO, and they represent 63.9% of the full-term IO concentration. Eight loans, representing 22.6% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes four of the largest 15 loans: 181 Fremont Street, Marina Heights State Farm, 636 11th Avenue and Best Buy – Sherman Oaks. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. All four of the largest single-tenant loans are leased to tenants that are rated investment grade or have investment-grade-rated parent companies. In addition, DBRS applied a penalty for single-tenant properties that resulted in higher loan-level credit enhancement. The majority of the loans have been structured with cash flow sweeps prior to tenant expiry if the lease expires during, at, or just beyond loan maturity. There are eight loans, totaling 16.6% of the pool, secured by hotels, which are vulnerable to having high NCF volatility because of their relatively short-term leases compared with other commercial properties, which can cause the NCF to quickly deteriorate in a declining market. Three of the largest 15 loans are secured by either hospitality or self-storage properties. Such loans exhibit a weighted-average (WA) DBRS Debt Yield and DBRS Exit Debt Yield of 10.3% and 11.6%, respectively, which compare favorably with the overall deal. Additionally, the vast majority, or 86.2%, of such loans are located in established urban or suburban markets that benefit from increased liquidity and more stable performance. The transaction's WA DBRS Refi DSCR is 0.94x, indicating higher refinance risk on an overall pool level. In addition, 27 loans, representing 60.0% of the pool, have DBRS Refi DSCRs below 1.00x, including four of the top ten loans and nine of the top 15 loans. Seventeen of these loans, comprising 44.3% of the pool, have DBRS Refi DSCRs less than 0.90x, including five of the top ten loans and seven of the top 15 loans. These credit metrics are based on whole-loan balances. Three of the pool's loans with a DBRS Refi DSCR below 0.90x – Aventura Mall, The Gateway and 65 Bay Street – which represent 17.7% of the transaction balance and are three of the pool's loans with a DBRS Refi DSCR below 0.90x, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's WA DBRS Refi DSCR improves materially to 1.03x, and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 49.1% and 26.6%, respectively. Classes X-A, X-B, and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. The ratings assigned to Class G-RR materially deviate from the higher ratings implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviations are warranted given expected dispersion of loan level cash flows post issuance. Notes: All figures are in U.S. dollars unless otherwise noted. BENCHMARK 2018-B4: Fitch Gives 'B-sf' Rating on Class G-RR Certs ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Ratings Outlooks to Benchmark 2018-B4 Mortgage Trust commercial mortgage pass-through certificates, series 2018-B4: -- $22,568,000 class A-1 'AAAsf'; Outlook Stable; -- $137,057,000 class A-2 'AAAsf'; Outlook Stable; -- $30,000,000 class A-3 'AAAsf'; Outlook Stable; -- $41,328,000 class A-SB 'AAAsf'; Outlook Stable; -- $240,000,000 class A-4 'AAAsf'; Outlook Stable; -- $339,983,000 class A-5 'AAAsf'; Outlook Stable; -- $922,439,000a class X-A 'AAAsf'; Outlook Stable; -- $111,503,000 class A-M 'AAAsf'; Outlook Stable; -- $55,028,000 class B 'AA-sf'; Outlook Stable; -- $49, 236,000 class C 'A-sf'; Outlook Stable; -- $55,028,000ab class X-B 'AA-sf'; Outlook Stable; -- $23,000,000ab class X-D 'BBBsf'; Outlook Stable; -- $23,000,000b class D 'BBBsf'; Outlook Stable; -- $34,924,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $21,721,000bc class F-RR 'BB-sf'; Outlook Stable; -- $11,585,000bc class G-RR 'B-sf'; Outlook Stable; The following class is not rated: -- $40,547,279bc class H-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. Since Fitch published its expected ratings on June 21, 2018, the balance of class D and the notional balance of X-D decreased from $23,335,000 to $23,000,000 and the balance of class E-RR increased from $34,589,000 to $34,924,000. The classes reflect the final ratings and deal structure. The ratings are based on information provided by the issuer as of July 12, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 44 loans secured by 60 commercial properties having an aggregate principal balance of $1,158,480,279 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, National Association and Citi Real Estate Funding Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 82.3% of the properties by balance, cash flow analysis of 91.8% and asset summary reviews of 100% of the pool. KEY RATING DRIVERS Lower Fitch LTV Than Recent Transactions: The pool exhibits better LTV metrics than recent Fitch-rated multiborrower transactions. The pool's Fitch LTV of 98.2% is lower than the 2017 and YTD 2018 averages of 101.6% and 103.6%, respectively. Despite the relatively strong Fitch LTV, the pool's Fitch DSCR of 1.19x is weaker than the 2017 and YTD 2018 averages of 1.26x and 1.25x, respectively. Investment-Grade Credit Opinion Loans: Five loans comprising 28.9% of the transaction received an investment-grade credit opinion. Aventura Mall (9.9% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis. 181 Fremont Street (6.9% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. The Gateway (4.3% of the pool) received a stand-alone credit opinion of 'BBBsf*'. AON Center (4.3% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. 65 Bay Street (3.5% of the pool) received a stand-alone credit opinion of 'BBBsf*'. Net of these loans, the pool's Fitch DSCR and LTV are 1.14x and 110.6%, respectively. Weak Amortization: Eighteen loans (53.4% of the pool) are full-term interest-only, and 15 loans (26.9% of the pool) are partial interest-only. The pool is scheduled to amortize 5.9% of the initial pool balance by maturity, which is lower than the 2017 and YTD 2018 averages of 7.9% and 7.3%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 9.4% 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 BMARK 2018-B4 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 'Asf' 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. BHMS 2018-ATLS: DBRS Assigns Prov. BB Rating on Cl. E Certs ----------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-ATLS to be issued by BHMS 2018-ATLS: -- Class A at AAA(sf) -- Class X-CP at AAA (sf) -- Class X-NCP 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) -- Class HRR at BB (low) (sf) All trends are Stable. All classes will be privately placed. The Class X-CP and X-NCP balances are notional. DBRS's ratings on interest-only (IO) certificates address the likelihood of receiving interest based on the notional amount outstanding. DBRS considers the IO certificate's position within the transaction payment waterfall when determining the appropriate rating. The Notional Amount of the Class X-CP Certificates will be equal to the aggregate Certificate Balance of the Class A Certificates. The Notional Amount of the Class X-NCP Certificates will be equal to the aggregate Certificate Balance of the Class A Certificates. The loan is secured by the Atlantis Resort, a 2,917-room luxury hotel resort located on Paradise Island in the Bahamas. The collateral also includes the fee interest in amenities including, but not limited to, 40 restaurants and bars, a 60,000 square foot (sf) casino, the 141-acre Aquaventure waterpark, 73,391 sf of retail space and spa facilities and 500,000 sf of meeting and event space. The resort includes a luxury tower with an additional 495 rooms owned by third parties as condo-hotel units and 392 timeshare rooms located at the Harbor side Resort, both of which are not a part of the collateral for the loan. The subject property is a luxury hotel and beach village located in the Bahamas on a 171-acre beachfront parcel. The property consists of four unique hotel towers (The Beach, The Coral, The Royal and The Cove) together with a non-collateral condominium, The Reef tower, and an expansive list of amenities designed to cater to three generations of guests. The resort was reconstructed in three phases from 1994 to 2007, but acts as one massive, cohesively managed property. With the exception of two pools that have access restricted to the Cove and one pool with access restricted to the Cove and the Reef, the rest of the property, including the water attractions, casinos, restaurants, spa, shops, children's club, movie theater and gym can be accessed by all guests. The mix of older and newer guest room towers with 3,309 rooms in total (2,917 serving as collateral) provides a wide variety of options ranging in size from 260 sf to nearly 100 rooms across the property offering suites of at least 1,000 sf. As of the 12 months ending March 31, 2018, average daily rates range from $241.16 per night for a room in the most affordable towers (The Beach and The Coral) to $433.19 per night for a room at the luxury tower (The Cove), making the Atlantis an attractive destination across a breadth of demographics. Atlantis is a destination offering a tailored experience for all ages. There is a long list of amenities included in the total room charges, including but not limited to the five beautiful beaches, 11 distinct pool areas and the 141-acre water park. A water park of this size is designed for children of all ages, with attractions such as a six-story fast-speed waterslide that shoots guests through a tunnel submerged in a lagoon of sharks; a challenger slide that allows guests to race down side-by-side, with speeds registered by clocks at the bottom; a 50-foot water slide that drops through complete darkness; and for smaller children, an elaborately decorated water playground as well as a lazy river that takes guests around a quarter-mile loop guided by gentle water currents. Access to The Dig, an underground marine exhibit, is also included. Atlantis features more than 50,000 sea animals with over 250 species, most of which can be viewed in The Dig. Guests are also able to take a guided dive with some of the unique species they care for. The Atlantis generates significant amounts of non-room revenue, which represents 71.0% of total DBRS revenue. Cruise ships generate a substantial amount of revenue at the Atlantis, as various packages are sold that provide for the use of resort amenities while docked during the day. Atlantis also generates income on the sale of day passes for use of Aquaventure. Use is closely monitored depending on peak or non-peak seasons to be sensitive to hotel guests and overcrowding. Non-room revenue is well-diversified with food and beverage (F&B) outlets, casino, water attractions, retail and water plant representing 26.8%, 20.0%, 7.8%, 1.8% and 2.2% of DBRS total revenue, respectively. The average length of stay is reportedly 4.3 days and no tower currently offers all-inclusive packages; however, there are plans to potentially convert the Beach Tower to an all-inclusive concept. There are 40 F&B outlets ranging from high-end restaurants such as Nobu, Olives and its newest addition, Fish, which opened in May 2018, to casual counters and bars around the pool to the teens' club and adult nightclubs. The casino is very large and spans 60,000 sf, offering table games, slots, a newer sports book and a private gambling room. For an added cost, guests can swim with dolphins and sea lions at the Dolphin Cay and Education Center, which encompasses 14 acres with nearly 7.0 million gallons of seawater pools. The retail offerings range from souvenir shops to high-end retailers such as Versace and John Bull. Additionally, the Atlantis water plants provide water to all of Paradise Island for a service fee. Management has done a good job of finding creative ways of generating revenue even when the weather is inclement or when guests just want to get out of the sun. Examples of this include movies played all day at a state-of-the-art theater with stadium seating and concessions and a drop-off kids club for ages three to 12, with miniature car racing and a clay-making shop. Amenities targeted to adults include the spa, gym, casino or shops. Although the high level of non-room revenue is viewed as a risk because it can be somewhat volatile, it benefits the property by diversifying cash flow, with both guests and non-guests willing to pay a fee to access an extensive list of property amenities. Within DBRS's "Rating Sovereign Governments" methodology, Appendix C addresses the impact of sovereign ratings on other DBRS ratings, including structured finance ratings. The above-mentioned methodology states that, in most cases, structured finance ratings are limited to two rating categories above the sovereign (e.g., from BBB to AA). DBRS performed an Internal Assessment of The Commonwealth of the Bahamas with the result at the BBB category. As such, typically this would result in a rating cap of AA. However, given the specific attributes of this transaction and property, DBRS is comfortable with rating three categories above the sovereign, at AAA. The rationale for such uplift is as follows: the borrower is required to maintain political risk insurance in the amount of $560.0 million covering expropriatory acts, currency inconvertibility and non-transfer, political violence and war and civil war. This is less than the amount of coverage in the previous securitization in 2014, which was $800.0 million, though DBRS considers it adequate given the country's lack of a history of political violence and upheaval. Additionally, the transaction is a securitization of USD-denominated bonds secured by cash flows from the property that are largely collected (approximately 95%) in USD and with a majority that are never converted to Bahamian currency via cash management arrangements, ensuring those cash flows never enter the Bahamas. While the substantial portion of the revenues of the property are denominated in USD, a portion of the revenue is in Bahamian dollars, which are used to pay Bahamian-dollar budgeted or otherwise permitted expenses with respect to the property without conversion into USD. To incorporate potential for the unknown events that may be associated with prolonged workouts and additional volatility associated with a prolonged workout in a foreign jurisdiction, DBRS increased its capitalization rate on the asset to account for an elevated probability of default and/or loss given default. Classes X-CP and X-NCP are 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. Notes: All figures are in U.S. dollars unless otherwise noted. BLUEMOUNTAIN CLO 2015-2: S&P Assigns BB-(sf) Rating on E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, B-R, C-R, D-R, and E-R replacement notes from BlueMountain CLO 2015-2 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by BlueMountain Capital Management LLC. S&P said, "We withdrew our ratings on the original class A-1 loans and class A-1, B, C, D, and E notes following payment in full on the July 18, 2018, refinancing date. At the same time, we affirmed our rating on the class F notes." On the July 18, 2018, refinancing date, the proceeds from the class A-1-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1 loans and class A-1, B, C, D, and E 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. 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 rating actions as we deem necessary." RATINGS ASSIGNED BlueMountain CLO 2015-2 Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 311.38 B-R AA (sf) 56.76 C-R A (sf) 44.63 D-R BBB (sf) 23.25 E-R BB- (sf) 24.00 RATING AFFIRMED BlueMountain CLO 2015-2 Ltd. Class Rating F B- (sf) RATINGS WITHDRAWN BlueMountain CLO 2015-2 Ltd. Rating Original class To From A-1 loans NR AAA (sf) A-1 notes NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E NR BB- NR--Not rated. BNPP IP 2014-1: S&P Lowers Class E Notes Rating to CCC+ ------------------------------------------------------- S&P Global Ratings lowered its rating on the class E notes issue by BNPP IP CLO 2014-1 Ltd. and removed the rating from CreditWatch, where we had placed it with negative implications on April 20, 2018. At the same time, S&P affirmed its ratings on the class A-1-R, A-2-R, B-R, C, and D notes from the same transaction. BNPP IP CLO 2014-1 Ltd. is a U.S. collateralized loan obligation (CLO) managed by BNP Paribas Asset Management Inc. The rating actions follow S&P's review of the transaction's performance using data from the June 18, 2018, trustee report. The downgrade reflects the decrease in the credit support to the notes and the deteriorated credit quality of the underlying portfolio. Par losses and increase in defaults largely contributed to the decrease in the credit support, and this is reflected in the decline in the trustee-reported overcollateralization (O/C) ratios. The O/C ratios as of the June 2018 monthly trustee report, compared with the ratios in the March 2017 monthly report that S&P used in its last rating action, are as follows: -- The class A O/C ratio declined to 131.94% from 133.88%, -- The class B O/C ratio declined to 118.62% from 120.36%, -- The class C O/C ratio declined to 111.25% from 112.89%, -- The class D O/C ratio declined to 106.07% from 107.63%, and -- The class E O/C ratio declined to 102.04% from 103.54%. In addition, the amount of 'CCC' assets held in the portfolio increased to $27.29 million as of the June 2018 trustee report from $23.51 million as of the March 2017 trustee report. The trustee also reported that defaulted assets increased to $5.88 million from $3.88 million over the same time period. S&P also noticed that the weighted average rating of the portfolio declined to 'B' from 'B+'. The cash flow results, on a standalone basis, showed the class E notes were not passing at a 'CCC' rating level. However, S&P considered forward-looking scenario runs that took into account the potential decline in the weighted average life of the portfolio as it amortizes, and S&P does not feel that this class represents its definition of 'CC' risk. However, any further deterioration in the credit support could lead to potential negative rating actions. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class A-2-R, B-R, C, and D notes. However, given the transaction's increased exposure to 'CCC' and 'D' rated collateral obligations, the drop in the overall weighted average rating of the portfolio, the loss of par, and the declining O/C ratios, we affirmed the ratings on those notes for now. The affirmed ratings reflect the adequate credit support at the current rating levels, though any further deterioration in the credit support available to the notes could result in negative rating actions. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action." S&P Global Ratings will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary. RATING LOWERED AND REMOVED FROM CREDITWATCH BNPP IP CLO 2014-1 Ltd. Rating Class To From E CCC+ (sf) B- (sf)/Watch Neg RATINGS AFFIRMED BNPP IP CLO 2014-1 Ltd. Class Rating A-1-R AAA (sf) A-2-R AA (sf) B-R A (sf) C BBB (sf) D BB (sf) CBAM LTD 2018-7: Moody's Assigns Ba3 Rating on Class E Notes ------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by CBAM 2018-7, Ltd. Moody's rating action is as follows: US$480,000,000 Class A Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$54,375,000 Class B-1 Floating Rate Notes due 2031 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$29,250,000 Class B-2 Floating Rate Notes due 2031 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$38,625,000 Class C Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$50,250,000 Class D Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$37,500,000 Class E Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 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. CBAM 2018-7 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, and up to 10% of the portfolio may consist of second lien loans and senior unsecured loans. The portfolio is approximately 95% ramped as of the closing date. CBAM 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 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: $750,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2771 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% 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. CD MORTGAGE 2016-CD1: Fitch Affirms B- Rating on Class X-E Certs ---------------------------------------------------------------- Fitch Ratings has affirmed all classes of German America Capital Corp.'s CD Mortgage Securities Trust 2016-CD1 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: There have been no major changes to the pool's performance or loss expectations since issuance. The transaction closed in 2016, and there has been just over one year of servicer reporting. Overall, the pool continues to perform in line with Fitch's expectations. Average Scheduled Amortization: All of the 32 loans originally securitized remain outstanding. There has been 1.03% of amortization so far since issuance, and there has been little change to credit enhancement. There are five loans (34.2% of the pool) with full interest-only periods and 11 loans (35.2% of the pool) that have partial interest-only periods. All but one of these loans are still in their IO periods as of the July 2018 remittance. The pool is scheduled to amortize a total of 11.1% by maturity. Concentrated Pool: The pool is concentrated by loan size with only 32 loans. The top 10 loans represent 66.7% of the pool balance and the top 15 loans represent 80.7% of the pool balance. The pool is also concentrated by property type, with office making up 41.6% of the collateral balance. The next two property types with the highest concentrations are mixed-use (19.4%) and retail (18%). RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. For more information on rating sensitivities, please refer to Fitch's original presale, dated Aug. 4, 2016. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $22.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $40 million class A-2 at 'AAAsf'; Outlook Stable; -- $46.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $168 million class A-3 at 'AAAsf'; Outlook Stable; -- $207.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $73.8 million class A-M at 'AAAsf'; Outlook Stable; -- $558.1 million* class X-A at 'AAAsf'; Outlook Stable; -- $31.6 million class B at 'AA-sf'; Outlook Stable; -- $28.1 million class C at 'A-sf'; Outlook Stable; -- $59.8 million* class X-B at 'A-sf'; Outlook Stable; -- $31.6 million class D at 'BBB-sf'; Outlook Stable; -- $31.6 million* class X-C at 'BBB-sf'; Outlook Stable; -- $15.8 million class E at 'BB-sf'; Outlook Stable; -- $15.8 million* class X-D at 'BB-sf'; Outlook Stable; -- $6.1 million class F at 'B-sf'; Outlook Stable; -- $6.1 million* class X-E at 'B-sf'; Outlook Stable. * Notional amount and interest-only Fitch does not rate the class G or X-F certificates. CEDAR FUNDING V: S&P Assigns BB-(sf) Rating on Class E-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-F-R, B-R, C-R, D-R, and E-R replacement notes from Cedar Funding V CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2016 that is managed by managed by Aegon USA Investment Management LLC. S&P withdrew its ratings on the class A-1, A-F, B-1, B-F, C, D, and E notes following payment in full on the July 17, 2018, refinancing date. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the July 17, 2018, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the refinanced notes in line with their full redemption, and we are assigning ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. 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." RATINGS ASSIGNED Cedar Funding V CLO Ltd. Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 196.00 A-F-R AAA (sf) 50.00 B-R AA (sf) 58.00 C-R A (sf) 28.00 D-R BBB- (sf) 21.00 E-R BB- (sf) 15.50 Subordinated notes NR 29.48 RATINGS WITHDRAWN Cedar Funding V CLO Ltd. Class To From A-1 NR AAA (sf) A-F NR AAA (sf) B-1 NR AA (sf) B-F NR AA (sf) C NR A (sf) D NR BBB- (sf) E NR BB- (sf) NR--Not rated. CHASE MORTGAGE 2005-S3: Moody's Cuts Class A-X Debt Rating to Caa2 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating of Cl. A-X from Chase Mortgage Finance Trust, Series 2005-S3 transaction, backed by Prime Jumbo loans. Complete rating actions are as follows: Issuer: Chase Mortgage Finance Trust, Series 2005-S3 Cl. A-X, Downgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa1 (sf) RATINGS RATIONALE The rating action is a result of the correction of an error in the prior rating of Cl. A-X, an interest-only (IO) bond from Chase Mortgage Finance Trust, Series 2005-S3. The factors that Moody's considers in rating an IO bond depend on the type of referenced securities or assets to which the IO bond is linked. Cl. A-X is an IO bond referencing a pool, and Moody's rating of such IO bonds is capped at the rating of the highest-rated principal and interest (P&I) bond backed by the same reference pool. In the prior rating action on November 29, 2017, Cl. A-X was incorrectly confirmed at Caa1 (sf) and did not reflect the October 31, 2017 downgrade of the highest-rated P&I bond in the reference pool to Caa2 (sf). This error has now been corrected, and Moody's's rating action on Cl. A-X reflects the Caa2 (sf) rating of the highest-rated outstanding P&I bond in the reference pool. The methodologies used in this rating was "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities methodology" published in June 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. 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. CITIGROUP COMMERCIAL 2012-GC8: Fitch Affirms Bsf Rating on F Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 10 classes of Citigroup Commercial Mortgage Trust 2012-GC8 (CGCMT 2012-GC8) commercial mortgage pass-through certificates. KEY RATING DRIVERS Declining Loan-Level Performance; Higher Loss Expectations: Four of the top five loans totaling 42.71% of the pool are on the servicer's watchlist for looming or demonstrated declines in occupancy, cash flow or both. In addition, there are a further eight loans (10.32% of the pool) on the servicer's watchlist for declining performance. Overall loss expectations have increased since Fitch's prior rating action in July 2017 given the performance declines of several larger loans in the pool. All loans have remained current and no loans have transferred to special servicing. Fitch Loans of Concern: Five loans (35.2% of the pool) have been identified as Fitch Loans of Concern (FLOCs), including the largest loan in the pool. The Miami Center loan (13.3%) is secured by a 35-story office property located on Biscayne Bay, in downtown Miami, FL. Between June 2012 and December 2017, occupancy at the subject property had fallen to 67% from 83.7%. The year-end (YE) 2017 net operating income (NOI) is down approximately 28.7% from issuance as a result of flat to increasing expenses and falling rental revenue due to the declining occupancy. The master servicer has triggered as cash flow sweep as loan has failed several debt service coverage ratio (DSCR) tests. The YE17 DSCR was reported to be 1.10x. According to the servicer, the borrower expects that a recently completed $20 million renovation to the lobby and elevators will help attract new tenants and improve occupancy. The second largest FLOC, Pinnacle at Westchase (9.2%), an office property in Houston, TX, faces the possible rollover of its two largest tenants. Conoco Phillips's space (44.7%) is dark after the tenant moved into a newly built headquarters. The space has been dark for approximately two years and the lease will expire in July 2019. The second largest tenant, Cognizant Oil & Gas, occupies 42.3% of the net rentable area (NRA) and has their lease expiration in January 2020. Concentrated Pool: The top 10 loans in the pool account for approximately 64.3% of the pool, with the top 15 accounting for 73.4% of the pool. Defeasance and Paydown; Increased Credit Enhancement: 12 loans totaling approximately 15.2% of the pool are defeased. Additionally, the pool has paid down approximately 24.7% since issuance. RATING SENSITIVITIES The Rating Outlook for class F remains Negative given continued declines in loan-level performance for several of the largest loans in the pool. Rating Outlooks on all other classes remain Stable given otherwise stable performance of the pool, additional paydown and defeasance. Downgrades are possible in the event the loan-level underperformance continues and in the event one or more of these loans transfers to special servicing or exhibits delinquency. Conversely, upgrades are possible in the event the underperforming loans stabilize or are defeased. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $23 million class A-3 at 'AAAsf'; Outlook Stable; -- $379.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $68.4 million class A-AB at 'AAAsf'; Outlook Stable; -- $93.6 million class A-S at 'AAAsf'; Outlook Stable; -- $61.1 million class B at 'AA-sf'; Outlook Stable; -- $39 million class C at 'A-sf'; Outlook Stable; -- $45.5 million class D at 'BBB-sf'; Outlook Stable; -- $19.5 million class E at 'BBsf'; Outlook Stable; -- $19.5 million class F at 'Bsf'; Outlook Negative; -- $564.7 million* class X-A at 'AAAsf'; Outlook Stable. Fitch does not rate the class G and X-B certificates. Classes A-1 and A-2 have paid in full. CITIGROUP COMMERCIAL 2016-P4: Fitch Affirms B- Rating on F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Citigroup Commercial Mortgage Trust 2016-P4 commercial mortgage pass-through certificates. KEY RATING DRIVERS Minimal Changes in Credit Enhancement and Stable Loss Expectations: The rating affirmations reflect a slight improvement in credit enhancement to the classes and overall stable pool performance with minimal changes since issuance. As of the June 2018 distribution date, the pool's aggregate principal balance has been paid down by 0.96% to $714.3 million from $721.2 million at issuance. There are currently no delinquent or specially serviced loans. Four loans (7.6%) are currently on the master servicer's watchlist; one (1.3%) of which has been identified as a Fitch Loan of Concern. Fitch Loan of Concern: Fountain Court (1.3%) is secured by a 175,495 sf community shopping center anchored by Bealls in Bradenton, FL. As of December 2017, the property's occupancy declined to 78.7% from 85% in December 2016. Although the anchor tenant Bealls (49.8% of NRA) recently renewed its lease through April 2023, there is upcoming rollover risk with 13% of the net rentable area (NRA) expiring in 2018. Retail Concentration; Limited Regional Mall Exposure: Although eighteen loans (38.4%) are secured by retail properties, only one loan (9.8%) is secured by a super-regional mall. The largest loan in the transaction, Opry Mills, is secured by a 1.2-million-square foot (sf) super-regional mall located seven miles from downtown Nashville, TN. The mall sits adjacent to the Grand Ole Opry and the Gaylord Opryland Resort and Convention Center and its largest tenants include Bass Pro Shops, Regal Cinema, Dave & Buster's, Forever 21 and Bed Bath & Beyond. As of December 2017, the mall's occupancy remained strong at 98.2% with comparable inline sales of $510 per square foot (psf). High Hotel Concentration: Six loans secured by hotel properties account for 19.3% of the pool, including three (14.5%) in the top 15, which is greater than the Fitch 2017 and 2016 averages of 15.8% and 16.0%, respectively. Fitch applied an additional 5% NOI decline in its analysis to these loans within the top 15 to account for hotel performance volatility. High Concentration of Non-Controlling Pari Passu Loans: 14 loans (51.5%) are pari passu, including 10 (44.8%) of the top 15 loans in the transaction. Eleven (37.5%) of the 14 loans have their controlling notes securitized in other transactions. Three loans, Esplanade I (5.6%), 401 South State Street (4.4%) and Swedesford Road Office Center (4.1%) have their controlling notes securitized in this transaction. 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. Deutsche Bank is the trustee for the transaction and also serves as the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017. Fitch relies on the master servicer, Wells Fargo & Company (Fitch Issuer Default Rating of 'A+'/'F1'), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes and Outlooks as indicated: -- $17.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $65.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $170.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $201.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $43.4 million class A-AB at 'AAAsf'; Outlook Stable; -- $48.7 million class A-S at 'AAAsf'; Outlook Stable; -- $34.3 million class B at 'AA-sf'; Outlook Stable; -- $33.4 million class C at 'A-sf'; Outlook Stable; -- $40.6 million class D at 'BBB-sf'; Outlook Stable; -- $18.9 million class E at 'BB-sf'; Outlook Stable; -- $8.1 million class F at 'B-sf'; Outlook Stable; -- $553.5 million class X-A at 'AAAsf'; Outlook Stable; -- $34.3 million class X-B at 'AA-sf'; Outlook Stable; -- $73.9 million class X-C at 'BBB-sf'; Outlook Stable; Fitch does not rate the class G and class H certificates. COMM 2012-CR3: Moody's Affirms B2 Rating on Class G Certs --------------------------------------------------------- Moody's Investors Service, has affirmed the ratings on twelve classes in COMM 2012-CCRE3 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE3 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Aug 9, 2017 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Aug 9, 2017 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Aug 9, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Aug 9, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Aug 9, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa1 (sf); previously on Aug 9, 2017 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Aug 9, 2017 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Aug 9, 2017 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Aug 9, 2017 Affirmed B2 (sf) Cl. PEZ, Affirmed Aa3 (sf); previously on Aug 9, 2017 Affirmed Aa3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 9, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Aug 9, 2017 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, Cl. X-A and Cl. X-B, were affirmed based on the credit quality of their referenced classes. The rating on the exchangeable class, Cl. PEZ, was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 2.5% of the current pooled balance, compared to 1.5% at Moody's last review. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, compared to 1.4% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating COMM 2012-CCRE3 Mortgage Trust, Cl. A-3, Cl. A-M, Cl. A-SB, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, and Cl. G were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The principal methodology used in rating COMM 2012-CCRE3 Mortgage Trust, Cl. PEZ was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating COMM 2012-CCRE3 Mortgage Trust, Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 19.2% to $1.01 billion from $1.25 billion at securitization. The certificates are collateralized by 42 mortgage loans ranging in size from less than 1% to 12.5% of the pool, with the top ten loans (excluding defeasance) constituting 71.6% of the pool. Five loans, constituting 4.4% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15, compared to 17 at Moody's last review. Ten loans, constituting 14% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans that have been liquidated from the pool nor are there any loans in special servicing. Moody's received full or partial year 2017 operating results for 90% of the pool, and partial year 2017 operating results for 55% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 88.5%, compared to 85.2% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12.4% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.89X and 1.29X, respectively, compared to 1.94X and 1.32X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 32.6% of the pool balance. The largest loan is the 260 and 261 Madison Avenue Loan ($126 million -- 12.5% of the pool), which represents a pari passu portion of a $231 million mortgage loan. The loan is secured by two Class-B office towers located in midtown Manhattan on Madison Avenue between 36th and 37th Street. The properties total 840,000 square feet (SF) of office space, 37,000 SF of retail space, and a 46,000 SF parking garage. As of March 2018, the properties had a combined occupancy of approximately 82%, compared to 90% as of March 2017. The decline in occupancy is contributed to the departure of the second largest tenant, Consumer Source Inc (8% of NRA; lease expiration November 2017), upon lease expiration. Moody's LTV and stressed DSCR are 97% and 0.98X, respectively, the same as at last review. The second largest loan is the Solano Mall Loan ($105 million -- 10.4% of the pool), which is secured by a 561,000 SF portion of 1.1 million SF super regional mall located in Fairfield, California. The mall's non-collateral anchors include Macy's, J.C. Penney, and Sears, however, Sears previously announced plans to close its store in July. The largest collateral tenant is Edwards Cinemas (11.2% of NRA, lease expiration December 2024) which serves as a significant draw to the center. The property was 98% leased as of December 2017, compared to 94% leased as of March 2017. Property performance has declined year over year since securitization due to lower total revenues and an increase in operating expenses. The loan is interest-only for the entire 10-year term. Moody's LTV and stressed DSCR are 102% and 1.06X, respectively, compared to 94.8% and 1.11X at the last review. The third largest loan is the Crossgate Mall A-1A2 & A-1B2 Loan ($98 million -- 8.7% of the pool), which represents a pari passu portion of a $272.3 million mortgage loan. The loan is secured by a two-story, 1.3 million square foot (SF) super regional mall located in Albany, New York. The mall is anchored by J.C. Penney, Dick's Sporting Goods, Best Buy and Regal Crossgates and shadow anchored by Macy's and Lord & Taylor. As of December 2017, the inline space was 80% leased and the total mall was 89% leased, compared to 78% and 93%, respectively, in December 2016. Moody's LTV and stressed DSCR are 100% and 1.05X, respectively compared to 101% and 1.04X at last review. CPS AUTO 2018-C: S&P Assigns B+(sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to CPS Auto Receivables Trust 2018-C's $230.275 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 56.26%, 48.41%, 38.11%, 29.99%, and 22.17% 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 S&P's 17.00-18.00% expected cumulative net loss 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%, 50%, and 37%, respectively. -- S&P said, "Our expectation that, under a moderate stress scenario of 1.60x--our expected net loss level--all else equal, the ratings on the class A through C notes would remain within one rating category while they are outstanding, and the rating on the class D notes would not decline by more than two rating categories within its life. The 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 rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A through E notes." -- The timely interest and principal payments made to the rated notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. --The transaction's payment and credit enhancement structure, which includes a non-curable performance trigger. RATINGS ASSIGNED CPS Auto Receivables Trust 2018-C Class Rating Type Interest Amount rate (%) (mil. $) A AAA (sf) Senior 2.87 113.458 B AA (sf) Subordinate 3.43 32.863 C A (sf) Subordinate 3.68 34.541 D BBB (sf) Subordinate 4.40 27.105 E B+ (sf) Subordinate 6.07 22.308 CROWN POINT 5: S&P Assigns B-(sf) Rating on $8MM Class F Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Crown Point CLO 5 Ltd./Crown Point CLO 5 LLC's $376 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 Crown Point CLO 5 Ltd./Crown Point CLO 5 LLC Class Rating Amount (mil. $) A AAA (sf) 256.000 B AA (sf) 48.000 C A (sf) 25.250 D BBB- (sf) 19.000 E BB- (sf) 19.750 F B- (sf) 8.000 Subordinated notes NR 29.875 NR--Not rated. CS FIRST BOSTON 1998-C2: Moody's Cuts Class AX Certs Rating to 'C' ------------------------------------------------------------------ Moody's Investors Service, has affirmed the ratings on three classes and downgraded the rating on one class in CS First Boston Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 1998-C2 as follows: Class G, Affirmed Aaa (sf); previously on June 29, 2017 Affirmed Aaa (sf) Class H, Affirmed B3 (sf); previously on June 29, 2017 Affirmed B3 (sf) Class I, Affirmed C (sf); previously on June 29, 2017 Affirmed C (sf) Class AX, Downgraded to C (sf); previously on June 29, 2017 Affirmed Ca (sf) RATINGS RATIONALE The rating on Cl. G was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on Cl. H and Cl. I were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Cl. I has already experienced a 94% realized loss as result of previously liquidated loans. The rating on the IO Class, Cl. AX, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 3.4% of the current pooled balance, compared to 3.2% at Moody's last review. Moody's base expected loss plus realized losses is now 3.0% of the original pooled balance, compared to 3.1% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating CS First Boston Mortgage Securities Corp 1998-C2, Cl. G, Cl. H, and Cl. I were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. The methodologies used in rating CS First Boston Mortgage Securities Corp 1998-C2, Cl. AX were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 23.7% to $49.9 million from $1.9 billion at securitization. The certificates are collateralized by 40 mortgage loans ranging in size from less than 1% to 3.6% of the pool, with the top ten loans (excluding defeasance) constituting 13.2% of the pool. Seventeen loans, constituting 84.4% of the pool, have defeased and are secured by US government securities. The pool contains a Credit Tenant Lease (CTL) component that includes 24 loans, representing 12.5% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 9, compared to 14 at Moody's last review. Four loans, constituting 5.4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Nineteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $56.5 million. The sole performing loan that is neither defeased nor part of the CTL component is the Derrer Field Estates Apartments Loan ($1.79 million -- 3.6% of the pool). The loan is secured by a 151-unit apartment building located in Columbus, Ohio. The loan has passed its initial anticipated repayment date (ARD) in July 2008 and has a final maturity date in July 2028. As of December 2017, the property was 71% leased, down from 74% the year prior. The loan is on the watchlist for low occupancy, partially due to a fire that damaged eleven units. Moody's LTV and stressed DSCR are 54.5% and 1.88X, respectively. The CTL component consists of 24 loans, constituting 12.5% of the pool, secured by properties leased to three tenants. They are Shopko (formally Pamida Discount Center) ($3.2 million -- 6.4% of the pool), CVS Health ($1.8 million -- 3.7% of the pool; senior unsecured rating: Baa1 on review for possible downgrade) and Rite Aid Corporation ($1.2 million -- 2.4% of the pool); senior unsecured rating: B3/Caa1 -- stable outlook). CSAIL 2015-C3: Fitch Affirms B- Rating on Class F Certs ------------------------------------------------------- Fitch Ratings affirms 16 classes of Credit Suisse USA (CSAIL) Commercial Mortgage Trust Pass-Through Certificates, series 2015-C3. KEY RATING DRIVERS Overall Stable Loss Expectations: The affirmations are based on the overall stable performance of the underlying collateral. Two loans (1.5% of the current pool balance) are in special servicing, including one (0.9%) that has transferred since Fitch's prior rating action, and 10 loans (23.7%), including three regional malls (17.1%), have been designated as Fitch Loans of Concern. There have been no realized losses to date. Regional Malls: Three loans (17.1%) are collateralized by regional malls. The third largest loan in the pool, The Mall of New Hampshire (7.2%), is a regional mall located in Manchester, NH with declining inline sales and occupancy. Occupancy as of the first quarter of 2018 was 89.7% compared to 95% at YE 2017, 93% at YE 2016, and 97% at YE 2015. DSCR was 2.33x as of YE 2017. Westfield Wheaton (7%) is a 1.6 million square foot regional mall in Wheaton, MD in the Washington DC metro with fluctuating sales and strong nearby competitors. Westfield Trumbull (3%) is a 1.1 million square foot regional mall in Trumbull, CT in the Bridgeport metro area with flat sales and significant upcoming tenant roll. Macy's (18.9% NRA) has a lease expiration in December 2018. According to the YE 2017 rent roll, 41 tenants (27.7% NRA), including Macy's, have lease expirations in 2018. Specially Serviced Loans: Two loans (1.5%) are in special servicing. Renaissance Casa des Palmas (0.9%) is a 165-key hotel in McCallen, TX that transferred to special servicing in November 2017 for payment default. The property has experienced performance declines due to the weak oil sector in south Texas and reported a YE 2017 debt service coverage ratio (DSCR) of 0.58x. 800 Chester Pike (0.6%) is an industrial property located in Sharon Hill, PA in the Philadelphia metro. The loan transferred in May 2017 for payment default. The borrower has been unresponsive and the special servicer has obtained a receiver and is pursuing foreclosure. Fitch Loans of Concern: Ten loans (23.7%) have been designated as Fitch Loans of Concern including three (17.1%) that are regional malls and two (1.5%) that are specially serviced. Other Loans of Concern include: Hendry Multifamily Portfolio, which has declining occupancy and cash flow; Hampton Inn - Point Loma, a San Diego hotel that has significantly underperformed issuance expectations; WPC Department Store Portfolio, a six-property department store portfolio entirely occupied by Bon Ton that is in the process of liquidating after declaring Chapter 11 bankruptcy; and two small retail properties where the top three tenants have vacated. Fitch applied an additional stress scenario to the three regional malls loans and the WPC Department Store Portfolio. The Rating Outlooks reflect this scenario. Minimal Change to Credit Enhancement: As of the June 2018 distribution date, the pool's aggregate principal balance has paid down by 1.97% to $1.39 billion from $1.42 billion at issuance. Interest shortfalls are currently impacting class NR. At issuance, the pool was scheduled to amortize by 11.3% of the initial pool balance through maturity. Of the current pool, only 25.6% are full-term interest-only, and 42.9% are partial interest-only. RATING SENSITIVITIES The Negative Rating Outlooks on classes D, X-D, E, X-E, F, and X-F reflect the potential for outsized losses on the three regional malls, WPC Department Store Portfolio, and the two specially serviced loans. Fitch ran a sensitivity scenario assuming a 10% loss severity on the Mall of New Hampshire and Westfield Wheaton, 25% loss severity on Westfield Trumbull, and a 75% loss severity on the WPC Department Store Portfolio. In this scenario, classes D through F would be subject to a downgrade. Outlooks for classes A-1 through C remain Stable due to overall stable performance and continued amortization. Upgrades may occur with improved pool performance and additional paydown or defeasance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch affirms the following ratings and revises Outlooks as indicated: -- $32.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $148.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $502.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $82.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $87 million class A-S at 'AAAsf'; Outlook Stable; -- $1.05 billion class X-A* at 'AAAsf'; Outlook Stable; -- $87 million class B at 'AA-sf'; Outlook Stable; -- $87 million class X-B* at 'AA-sf'; Outlook Stable; -- $63.9 million class C at 'A-sf'; Outlook Stable; -- $72.8 million class D at 'BBB-sf'; Outlook to Negative from Stable; -- $72.8 million class X-D* at 'BBB-sf'; Outlook to Negative from Stable; -- $35.5 million class E at 'BB-sf'; Outlook to Negative from Stable; -- $35.5 million class X-E* at 'BB-sf'; Outlook to Negative from Stable; -- $14.2 million class F at 'B-sf'; Outlook to Negative from Stable; -- $14.2 million class X-F* at 'B-sf'; Outlook to Negative from Stable. CSFB MORTGAGE 2004-C3: Fitch Affirms C Rating on Class E Debt ------------------------------------------------------------- Fitch Ratings has affirmed nine classes of Credit Suisse First Boston Mortgage Securities Corporation's commercial mortgage pass-through certificates, series 2004-C3 (CSFB 2004-C3). KEY RATING DRIVERS High Loss Expectations: The affirmation of class E reflects the high loss expectations from the two specially serviced loans/assets comprising 73% of the remaining pool; default of this class is considered inevitable. Significant Losses Expected on Specially Serviced Loans/Assets: The largest asset, Counsel Square (66.3% of pool), is an eight-building, 109,146 square foot suburban office complex located in New Port Richey, FL. The loan was transferred to special servicing in November 2012 due to imminent non-monetary default. The asset has been real-estate owned since October 2013 and failed to trade in a November 2016 auction. The property was 61% occupied as of June 2018, down from 100% at issuance. According to the special servicer, the property's largest tenant Pasco County Sheriff (21.9% of net rentable area and lease expiry in June 2019) had shown interest in purchasing the property but later decided they no longer needed the space and withdrew from negotiations. The asset is not currently listed for sale, and the property manager continues to market the vacancies for lease. The third largest loan, Dellwood Apartments (6.8%), which is secured by a multifamily property located in Laredo, TX, was transferred to special servicing for a second time in November 2012 for payment default. The loan matured in January 2014. The borrower filed bankruptcy in May 2014 and updated financials have not been provided since June 2011. Litigation remains ongoing due to the sponsor bankruptcy. Additionally, per media reports, the property suffered significant damage from a storm in May 2017 and all tenants were ordered to vacate by the end of June 2017 as the entire complex has been labeled unsafe for occupancy. Concentrated Pool: Only four loans/assets remain. Outside of the two specially serviced loans/assets, the remaining pool consists of a defeased loan (3.5% of pool) maturing in 2024 and an amortizing balloon loan (23.4%) secured by a multifamily property located in Wimauma, FL, which matures in June 2019. Undercollateralization: The transaction is undercollateralized by $3.3 million. As of the June 2018 distribution date, the pool's aggregate principal balance has been reduced by 99.1% to $14.1 million from $1.6 billion at issuance. Realized losses since issuance total $113.1 million (6.9% of original pool balance). Cumulative interest shortfalls totaling $8.8 million are currently impacting classes E through P. RATING SENSITIVITIES Upgrades are not expected due to adverse selection and significant losses anticipated on the remaining pool. Downgrades to class E will occur as losses are realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $8.4 million class E at 'Csf'; RE 85%; -- $5.7 million class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1 through D certificates have paid in full. Fitch does not rate the class N and P certificates. Fitch previously withdrew the ratings on the interest-only class A-X and A-SP certificates. CSMC TRUST 2017-MOON: Fitch Affirms BB- Rating on Class E Certs --------------------------------------------------------------- Fitch Ratings has affirmed all classes of CSMC Trust 2017-MOON commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance: The affirmations reflect the stable performance of the collateral, which consists of the fee interest in a 605,897 square foot (sf) office building located at 300 E Street SW in Washington, D.C. and known as Two Independence Square. The interest-only loan has only had one year of seasoning since issuance in June 2017. Occupancy as of the year-end (YE) 2017 rent roll was 100%, in line with issuance. Fitch Leverage: The $125.7 million mortgage loan has a Fitch DSCR and LTV of 1.02x and 87.2%, respectively, and debt of $373 psf. Investment-Grade Tenancy: The office portion of the property (98.6% of NRA) is 100% leased to the Government Services Administration (GSA) through August 2028 (six years beyond the loan term with no early termination or contraction provisions) on behalf of the U.S. National Aeronautics and Space Administration (NASA). The property serves as the worldwide headquarters for NASA. The remaining space is leased to three small retail tenants. Asset Quality: The LEED Certified Gold building was originally constructed in 1992 and received approximately $86.3 million in upgrades from 2012 to 2014 to the building interior and security features, including NASA investing approximately $45.4 million in its space. Property amenities include a 235-seat auditorium, 769-space underground parking facility and rooftop terrace. Specialized construction for NASA includes high-tech computer and conference rooms, recording studios, sound control, separate systems for backup and 24-hour operation. Well Located: Two Independence Square is located in the Southwest Washington, D.C. submarket, just south of the National Mall and Capitol Building, an area with a concentration of GSA facilities and the headquarters for 19 federal agencies. Single Asset: The transaction is secured by a single property and is, therefore, more susceptible to single-event risk related to the market, sponsor or the largest tenants occupying the property. RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable due to overall stable collateral performance. No rating actions are anticipated unless there are material changes in property occupancy or cash flow. The property performance is consistent with issuance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following ratings: -- $49.1 million class A 'AAAsf'; Outlook Stable; -- $58 million(a) class X 'AAAsf'; Outlook Stable; -- $8.9 million class B 'AA-sf'; Outlook Stable; -- $6 million class C 'A-sf'; Outlook Stable; -- $25 million class D 'BBB-sf'; Outlook Stable; -- $29.5 million class E 'BB-sf'; Outlook Stable; -- $7.3 million(b) class HRR 'BB-sf'; Outlook Stable. (a) Notional amount and interest-only. (b) Horizontal credit risk retention interest. CVP CASCADE CLO-2: S&P Lowers Class D Notes Rating to BB-(sf) ------------------------------------------------------------- S&P Global Ratings lowered its ratings on the class D and E notes from CVP Cascade CLO-2 Ltd., a U.S. collateralized loan obligation (CLO) transaction that closed in 2014 and is managed by CVP CLO Manager LLC. S&P said, "We also removed our rating on class E from CreditWatch, where we placed it with negative implications in April 2018. At the same time, we affirmed our ratings on the A-1-R, A-2A-R, A-2B-R, B-R, and C notes from the same transaction. S&P said, "The rating actions follow our review of the transaction's performance using data from the May 31, 2018, trustee report. We also considered the manager's trades that have taken place since the May trustee report. The downgrades reflect both par losses that contributed to the decrease in credit support and also the underlying portfolio's somewhat deteriorated credit quality. Despite the trustee reporting a decrease in the amount of 'CCC' rated assets held in the portfolio since our last rating actions in April 2017, the portfolio has seen an increase in its scenario default rates (SDRs). The SDR measures our expectations of the portfolio's overall default rate under various stressed assumptions outlined in our criteria." The deteriorated credit quality of the underlying portfolio combined with the par loss has led to the following declines in trustee-reported overcollateralization (O/C) ratios from those in April 2017: -- The class A O/C ratio declined to 128.91% from 130.31%, -- The class B O/C ratio declined to 117.12% from 118.39%, -- The class C O/C ratio declined to 110.49% from 111.69%, -- The class D O/C ratio declined to 104.75% from 105.88%, and -- The class E O/C ratio declined to 101.88% from 102.98%, Even with the decline in credit support, however, all coverage tests are currently passing above the minimum requirements. On a standalone basis, the results of the cash flow analysis showed the class E notes not passing at a 'B-' rating level. S&P said, "At this time, the downgrade of this class is limited to one notch because we do not believe this class currently represents our definition of 'CCC' risk as it is not currently vulnerable to nonpayment and does not depend on favorable market conditions to pay its obligations. The transaction currently has low exposure to 'CCC' rated collateral obligations and distressed sectors, as well as no exposure to long-dated assets (i.e., assets maturing after the CLO's stated maturity). In addition, as the transaction enters its amortization period following the end of its reinvestment period in July 2018, the transaction may begin to pay down the rated notes sequentially, starting with the class A-1-R notes, which, all else remaining equal, will begin to increase the O/C levels. In line with this, we lowered the rating on the class E notes by only one notch. However, any increase in par losses or further deterioration in the portfolio's credit quality could lead to potential negative rating actions in the future. "Meanwhile, the affirmations reflect our view that credit support is adequate at the current rating levels. Although the cash flow results indicated higher ratings for the class A-2A-R, A-2B-R, B-R, and C notes, we considered the slightly deteriorated credit quality of the portfolio, as well as the transaction's par losses in par. Therefore, we affirmed the ratings on these classes to allow cushion to build as the transaction exits its reinvestment period this month. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE CVP Cascade CLO-2 Ltd. Rating To From E B- (sf) B (sf)/Watch Neg RATING LOWERED CVP Cascade CLO-2 Ltd. Rating To From D BB- (sf) BB (sf) RATINGS AFFIRMED CVP Cascade CLO-2 Ltd. Class Rating A-1-R AAA (sf) A-2A-R AA (sf) A-2B-R AA (sf) B-R A (sf) C BBB (sf) DRIVE AUTO 2018-3: S&P Assigns Prelim BB(sf) Rating on E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Drive Auto Receivables Trust 2018-3's $1.066 billion ($1.357 billion if upsized) automobile receivables-backed notes series 2018-3. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 11, 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 63.7%, 57.2%, 47.0%, 38.1%, and 34.8% of credit support for the class A (consisting of classes A-1, A-2, and A-3), B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including 100% credit to excess spread), which provide coverage of approximately 2.35x, 2.10x, 1.70x, 1.35x, and 1.23x for S&P's 26.50%-27.50% expected cumulative net loss (CNL). These break-even scenarios cover total cumulative gross defaults of 91%, 82%, 67%, 59%, and 54%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios are appropriate to the assigned preliminary ratings. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.35x our expected loss level), all else being equal, our ratings on the class A and B notes will remain at the assigned preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively; our rating on the class C notes would not likely decline by more than one rating category of the assigned preliminary 'A (sf)' rating; and our rating on the class D notes would likely not decline by more than two rating categories of the assigned preliminary 'BBB (sf)' rating while they are outstanding. The class E notes will likely remain within two rating categories of the assigned preliminary 'BB (sf)' rating during the first year but will eventually default under our 'BBB' stress scenario, after having received approximately 60% of its principal in our front-loaded stress and approximately 75% of its principal in our back-loaded stress. These rating movements are within the limits specified by our credit stability criteria." -- The originator/servicer's history in the subprime/specialty auto finance business. -- S&P's analysis of 10 years of static pool data on Santander Consumer USA Inc.'s (SC's) lending programs. -- The transaction's payment/credit enhancement and legal structures. PRELIMINARY RATINGS ASSIGNED Drive Auto Receivables Trust 2018-3 Class Rating Interest Amount Upsized amount rate(i) (mil. $) (mil.$)(ii) A-1 A-1+ (sf) Fixed 121.00 155.00 A-2-A/A-2-B AAA (sf) Fixed/floating(iii) 228.00 290.00 A-3 AAA (sf) Fixed 160.15 203.31 B AA (sf) Fixed 139.39 177.48 C A (sf) Fixed 185.85 236.65 D BBB (sf) Fixed 174.24 221.85 E BB (sf) Fixed 57.43 73.13 (i)The tranches' coupons and sizing will be determined on the pricing date. (ii)The anticipated bond sizes if the aggregate initial principal balance of the notes is $1.066 billion ($1.357 billion if upsized) (iii)The class A-2-A notes will be issued as fixed-rate notes, and the class A-2-B notes will be issued as floating-rate notes. The initial principal balance allocation between the class A-2-A and A-2-B notes will be determined on the pricing date. The sponsor doesn't expect the initial principal balance of the class A-2-B notes to exceed $114.00 million if the total note issuance is $1,066,060,000, and $145.00 million if the total note issuance is $1,357,420,000. DRYDEN 38: Moody's Assigns (P)Ba3 Rating on Class E-R Notes ----------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of CLO refinancing notes to be issued by Dryden 38 Senior Loan Fund: Moody's rating action is as follows: US$307,500,000 Class A-1-R Senior Secured Floating Rate Notes due 2030 (the "Class A-1-R Notes"), Assigned (P)Aaa (sf) US$62,000,000 Class B-R Senior Secured Floating Rate Notes due 2030 (the "Class B-R Notes"), Assigned (P)Aa2 (sf) US$22,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Assigned (P)A2 (sf) US$31,300,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Assigned (P)Baa3 (sf) US$24,200,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2030 (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 issued notes will be collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. PGIM, Inc. will manage the CLO. It will direct the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's provisional ratings on the Refinancing Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer intends to issue the Refinancing Notes on August 23, 2018 in connection with the refinancing of all classes of the secured notes previously issued on May 8, 2015. 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 that will remain outstanding. In addition to the issuance of the Refinancing Notes and the 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. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $500,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.15% Weighted Average Spread (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. Together with the set of modeling assumptions, 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: 0 Class B-R: -2 Class C-R: -2 Class D-R: -1 Class E-R: -1 Percentage Change in WARF -- increase of 30% (from 2850 to 3705) Rating Impact in Rating Notches Class A-1-R: -1 Class B-R: -4 Class C-R: -4 Class D-R: -2 Class E-R: -1 DRYDEN 42: S&P Assigns B- Rating on $7MM Class F-R Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, E-R, and F-R notes from Dryden 42 Senior Loan Fund, a U.S. collateralized loan obligation (CLO) transaction managed by PGIM Inc. The notes are being issued via a supplemental indenture. S&P withdrew its ratings on the original class A, B, C, D, and E notes from this transaction following payment in full on the July 16, 2018, refinancing date. On the July 16, 2018, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, E-R, and F-R note issuances were used to redeem the original class A, B, C, D, and E 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 S&P is assigning ratings to the new notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. 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 take rating actions as we deem necessary." RATINGS ASSIGNED Dryden 42 Senior Loan Fund Replacement class Rating Amount (mil. $) A-R AAA (sf) 248.00 B-R AA (sf) 56.00 C-R A (sf) 24.00 D-R BBB- (sf) 24.00 E-R BB- (sf) 15.75 F-R B- (sf) 7.00 Subordinated notes NR 35.75 RATINGS WITHDRAWN Dryden 42 Senior Loan Fund 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) NR--Not rated. EXETER AUTO 2018-3: S&P Assigns Prelim B(sf) Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2018-3's $550 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of July 12, 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 60.2%, 53.3%, 44.4%, 34.5%, 28.6%, and 25.5% credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 2.85x, 2.50x, 2.05x, 1.55x, 1.27x, and 1.10x S&P's 20.50%-21.50% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 92.7%, 82.1%, 71.0%, 55.3%, 45.8%, and 40.8%, respectively; -- The timely interest and principal payments that S&P believes will be made to the preliminary rated notes under stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned preliminary ratings; -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.55x our expected loss level), all else being equal, our ratings on the class A, B, and C notes will remain within one rating category of the assigned preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, for the deal's life, and we expect the class D notes to remain within two rating categories of the assigned preliminary 'BBB (sf)' rating over the deal's life. We expect the class E and F notes to remain within two rating categories of the assigned preliminary 'BB (sf)' and 'B (sf)' ratings over the first year, but we expect them to eventually default under this stress scenario. These rating movements are within the limits specified by our credit stability criteria;" -- The collateral characteristics of the subprime automobile loans securitized in this transaction; and -- The transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED Exeter Automobile Receivables Trust 2018-3 Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 249.48 B AA (sf) Subordinate Fixed 75.13 C A (sf) Subordinate Fixed 80.80 D BBB (sf) Subordinate Fixed 87.89 E BB (sf) Subordinate Fixed 41.11 F B (sf) Subordinate Fixed 15.59 (i)The interest rates of these tranches will be determined on the pricing date. FIGUEROA CLO 2014-1: Moody's Gives Ba3 Rating on Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes issued by Figueroa CLO 2014-1, Ltd.: US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2027 (the "Class A-R Notes"), Assigned Aaa (sf) US$40,000,000 Class B-R Senior Secured Floating Rate Notes due 2027 (the "Class B-R Notes"), Assigned Aa1 (sf) US$26,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Assigned A1 (sf) US$23,500,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2027 (the "Class D-R Notes"), Assigned Baa3 (sf) US$22,500,000 Class E-R Secured Deferrable Floating Rate Notes due 2027 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. TCW Asset Management Company 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 loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 16, 2018 in connection with the refinancing of certain classes of notes previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. FIGUEROA CLO 2014-1: S&P Assigns B-(sf) Rating on Class F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-R and F-R replacement notes from Figueroa CLO 2014-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by TCW Asset Management Company LLC. S&P withdrew its ratings on the original class A and F notes following payment in full on the July 16, 2018, refinancing date. On the July 16, 2018, refinancing date, the proceeds from the class A-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 S&P is assigning ratings to the replacement notes. S&P said, "Although the cash flow results indicated a lower rating for the class F-R notes, we also considered the relatively stable overcollateralization (O/C) ratio for this class that currently has significant cushion over its minimum requirement, as well as other sensitivity tests that took into account the shorter remaining reinvestment period and the weighted average life of the portfolio. We believe that the tranche does not meet our criteria for 'CCC' risk because the portfolio's credit quality and passing O/C demonstrate that it is not currently vulnerable to nonpayment or dependent on favorable market conditions. Therefore, we assigned our 'B- (sf)' rating to class F-R notes." REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement notes Class Amount Interest (mil. $) rate (%) A-R 256.00 LIBOR + 0.90 B-R 40.00 LIBOR + 1.50 C-R 26.00 LIBOR + 2.10 D-R 23.50 LIBOR + 3.25 E-R 22.50 LIBOR + 6.45 F-R 8.00 LIBOR + 10.00 Original notes Class Amount Interest (mil. $) rate (%) A 256.00 LIBOR + 1.55 B 40.00 LIBOR + 2.30 C 26.00 LIBOR + 3.00 D 23.50 LIBOR + 3.90 E 22.50 LIBOR + 5.70 F 8.00 LIBOR + 6.50 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 Figueroa CLO 2014-1 Ltd. Replacement class Rating Amount (mil. $) A-R AAA (sf) 256.00 B-R NR 40.00 C-R NR 26.00 D-R NR 23.50 E-R NR 22.50 F-R B- (sf) 8.00 RATINGS WITHDRAWN Figueroa CLO 2014-1 Ltd. Original class Rating Amount (mil. $) A NR 256.00 F NR 8.00 NR--Not rated. FORTRESS CREDIT VI: S&P Assigns Prelim. BB- Rating on E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1R, A-1T, A-1L, A-2, B-T, B-F, C, D, and E replacement notes from Fortress Credit Opportunities VI CLO Ltd./Fortress Credit Opportunities VI CLO LLC, a collateralized loan obligation (CLO) originally issued in March 2015 that is managed by FCOO CLO Management LLC (formerly known as FCO VI CLO CM LLC). The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of July 11, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its preliminary ratings on the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. 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 Fortress Credit Opportunities VI CLO Ltd./Fortress Credit Opportunities VI CLO LLC Replacement class Rating Amount (mil. $) A-1R AAA (sf) 57.40 A-1T AAA (sf) 87.50 A-1L AAA (sf) 30.00 A-2 AAA (sf) 19.00 B-T AA (sf) 33.40 B-F AA (sf) 15.00 C (deferrable) A- (sf) 33.30 D (deferrable) BBB- (sf) 23.40 E (deferrable) BB- (sf) 9.40 Subordinated notes NR 70.90 NR--Not rated. GALAXY CLO XXII: S&P Assigns BB- Rating on $20MM Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R, C-2-R, D-R, and E-R notes and the class X notes from Galaxy XXII CLO Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by PineBridge Investments LLC. The replacement notes were issued via a supplemental indenture. S&P said, "We withdrew our ratings on the original class A-1, A-2, B-1, B-2, C-1, C-2, D, E-1, E-2, and F notes from this transaction following payment in full on the July 16, 2018, refinancing date. At the same time, we affirmed our rating on the combo note." On the July 16, 2018, refinancing date, the proceeds from the class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R, C-2-R, D-R, and E-R replacement note issuances were used to redeem the original class A-1, A-2, B-1, B-2, C-1, C-2, D, E-1, E-2, 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 S&P is assigning ratings to the replacement notes and the class X note. The combo note is not affected by the changes in the supplemental indenture. 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 take rating actions as we deem necessary." RATINGS ASSIGNED Galaxy XXII CLO Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 2.00 A-1-R AAA (sf) 240.10 A-2-R AAA (sf) 23.50 B-1-R AA (sf) 40.80 B-2-R AA (sf) 3.00 C-1-R A (sf) 11.00 C-2-R A (sf) 13.00 D-R BBB (sf) 20.00 E-R BB- (sf) 20.00 Subordinated notes NR 28.00 RATINGS WITHDRAWN Galaxy XXII CLO Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B-1 NR AA (sf) B-2 NR AA (sf) C-1 NR A (sf) C-2 NR A (sf) D NR BBB (sf) E-1 NR BB- (sf) E-2 NR BB- (sf) F NR B- (sf) RATING AFFIRMED Galaxy XXII CLO Ltd. Class Rating Combo A-p (sf) P--Principal only. NR--Not rated. GALAXY CLO XXII: S&P Gives (P)BB- Rating on $28MM Cl. E-R Debt -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R, C-2-R, D-R, and E-R notes, as well as the class X notes from Galaxy XXII CLO Ltd., a collateralized loan obligation (CLO) originally issued in 2016 that is managed by PineBridge Investments LLC. Based on a proposed supplemental indenture, this transaction is expected to refinance its class A-1, A-2, B-1, B-2, C-1, C-2, D, E-1, E-2, and F notes on July 16, 2018, through an optional redemption and new note issuance. The current outstanding combination notes are unaffected by this proposed amendment. S&P said, "The preliminary ratings on the proposed refinanced notes reflect our opinion that the credit support available is commensurate with the associated rating levels. On the July 16, 2018, refinancing date, the proceeds from the replacement notes issuance are expected to redeem the original notes. At that time, we anticipate withdrawing the ratings on the original notes, assigning ratings to the new notes, and affirming our rating on the combination 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." CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) X 2.00 L + 0.60 95.22 60.02 35.20 A-1-R 240.10 L + 1.00 65.16 60.02 5.14 A-2-R 23.50 L + 0.85 65.16 60.02 5.14 B-1-R 40.80 L + 1.68 62.86 52.38 10.48 B-2-R 3.00 L + 2.10 62.86 52.38 10.48 C-1-R 11.00 L + 2.05 54.93 46.50 8.43 C-2-R 13.00 L + 2.90 54.93 46.50 8.43 D-R 20.00 L + 3.10 48.29 40.84 7.45 E-R 20.00 L + 5.75 35.72 32.16 3.56 BDR--Break-even default rate. SDR--Scenario default rate. L--LIBOR. 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 note remains consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Galaxy XXII CLO Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 2.00 A-1-R AAA (sf) 240.10 A-2-R AAA (sf) 23.50 B-1-R AA (sf) 40.80 B-2-R AA (sf) 3.00 C-1-R A (sf) 11.00 C-2-R A (sf) 13.00 D-R BBB (sf) 20.00 E-R BB- (sf) 20.00 Subordinated notes NR 28.00 OTHER OUTSTANDING RATING Galaxy XXII CLO Ltd. Class Rating Combination notes A- (sf) NR–-Not rated. GALAXY CLO XXVIII: S&P Assigns Prelim. B Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galaxy XXVIII CLO Ltd./Galaxy XXVIII CLO LLC's $427.20 million floating-rate notes (see list). This is a proposed reissue of its October 2016 Galaxy XVII CLO transaction. The note issuance is a collateralized loan obligation 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 12, 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 Galaxy XXVIII CLO Ltd./Galaxy XXVIII CLO LLC Class Rating Amount (mil. $) X AAA (sf) 5.50 A-1 AAA (sf) 233.50 A-2 AAA (sf) 50.00 B AA (sf) 58.50 C (deferrable) A (sf) 27.00 D (deferrable) BBB- (sf) 27.00 E (deferrable) BB- (sf) 18.00 F (deferrable) B- (sf) 7.70 Subordinated notes NR 50.45 NR--Not rated. GALAXY XXVIII: S&P Assigns B-(sf) Rating on $7.70MM Class F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Galaxy XXVIII CLO Ltd./Galaxy XXVIII CLO LLC's $427.20 million floating-rate notes. This is a reissue of its October 2016 Galaxy XVII CLO transaction. The note issuance is a collateralized loan obligation transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Galaxy XXVIII CLO Ltd./Galaxy XXVIII CLO LLC Class Rating Amount (mil. $) X AAA (sf) 5.50 A-1 AAA (sf) 233.50 A-2 AAA (sf) 50.00 B AA (sf) 58.50 C (deferrable) A (sf) 27.00 D (deferrable) BBB- (sf) 27.00 E (deferrable) BB- (sf) 18.00 F (deferrable) B- (sf) 7.70 Subordinated notes NR 50.45 NR--Not rated. GE COMMERCIAL 2004-C2: Moody's Affirms C Rating on 2 Tranches ------------------------------------------------------------- Moody's Investors Service, has affirmed the ratings on three classes in GE Commercial Mortgage Corporation 2004-C2, Commercial Mortgage Pass-Through Certificates, Series 2004-C2, as follows: Cl. N, Affirmed Caa1 (sf); previously on Jul 20, 2017 Downgraded to Caa1 (sf) Cl. O, Affirmed C (sf); previously on Jul 20, 2017 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jul 20, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings of two P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating of the IO class, Cl. X-1, was affirmed because of the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 72.5% of the current pooled balance, compared to 63.1% at Moody's last review. Moody's base expected loss plus realized losses is now 1.4% of the original pooled balance, the same as Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating GE Commercial Mortgage Corporation 2004-C2, Cl. N and Cl. O was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating GE Commercial Mortgage Corporation 2004-C2, Cl. X-1 were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 98% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the July 10, 2017 distribution date, the transaction's aggregate certificate balance has decreased by 98.3% to $23.6 million from $1.38 billion at securitization. The certificates are collateralized by four mortgage loans ranging in size from less than 1% to 74.1% of the pool. Two loans, constituting 2.0% of the pool, have defeased and are secured by US government securities. The remaining loans, constituting 98% of the pool, are currently in special servicing. Eleven loans have been liquidated from the pool at a loss, contributing to an aggregate realized loss of $2.4 million (for an average loss severity of 4.6%). The largest specially serviced loans are the Continental Centre A-Note ($17.5 million -- 74.1% of the pool) and Continental Centre B-Note ($5.6 million -- 23.9% of the pool), which are secured by a 477,259 SF, 26-story, multi-tenant office building located in the CBD of Columbus, Ohio. The property, which was built in 1973 and renovated in 2013, was first transferred to the special servicer in December 2012 for imminent default and was subsequently modified in March 2014. The loan modification resulted in the bifurcation of the loan into an A-note and B-note, with principal balances of $17.5 million and $5.9 million, respectively. In addition to the creation of the B-note, the A-note was modified with a vectored interest rate and had its maturity extended through March 2019. The loans were transferred back to the special servicer in May 2017 due to imminent default stemming from tenancy issues. The largest tenant at the property, SBC Ameritech (a subsidiary of AT&T), occupying 34% of the NRA, informed the borrower that they would be downsizing their space to 4% of the NRA at lease expiration in December 2017. The second-largest tenant, Miami Jacobs Career College (9% of the NRA), informed the borrower they would be vacating at the end of their lease in September 2018. The downsizing/departure of these two tenants will reduce the occupancy of the building to 40% in September 2018 from 79% as of December 2017. The Office of the Attorney General for the State of Ohio currently leases 29.1% of the NRA and recently extended their lease through June 2019. In Ohio, leases to state tenants are prohibited from being longer than two years. GMAC COMMERCIAL 1997-C1: Moody's Affirms C Rating on Class X Debt ----------------------------------------------------------------- Moody's Investors Service, has affirmed the rating on one interest only (IO) class of GMAC Commercial Mortgage Securities, Inc. 1997-C1 as follows: Cl. X, Affirmed C (sf); previously on Jul 25, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on the IO class was affirmed based on the credit quality of the referenced classes. The IO class is the only outstanding Moody's-rated class in this transaction. Moody's rating action reflects a base expected loss of 4.5% of the current pooled balance, compared to 0.2% at Moody's last review. Moody's base expected loss plus realized losses is now 3.7% of the original pooled balance, compared to 3.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: An IO class may be subject to ratings upgrades if there is an improvement in the credit quality of its referenced classes, subject to the limits and provisions of the updated IO methodology. An IO class may be subject to ratings downgrades if there is (i) a decline in the credit quality of the reference classes and/or (ii) paydowns of higher quality reference classes, subject to the limits and provisions of the updated IO methodology. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in this rating were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $14.5 million from $1.70 billion at securitization. The certificates are collateralized by seven mortgage loans ranging in size from 5.7% to 40% of the pool. Three loans, constituting 53% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of three, compared to four at Moody's last review. Four loans, constituting 47% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-seven loans have been liquidated from the pool, resulting in an aggregate realized loss of $62 million (for an average loss severity of 42.9%). Moody's received full year 2016 operating results for 75% of the pool, and full year 2017 operating results for 75% of the pool (excluding specially serviced and defeased loans). The top three non-defeased loans represent 40.3% of the pool balance. The largest loan is the Morris Heights Apartments Loan ($2.7 million -- 18.3% of the pool), which is secured by a 158 unit multi-family property located in the Bronx, New York. Reported September 2017 occupancy was 99%, the same as at the prior review. The loan is fully amortizing and has paid down 41.6% since securitization. Moody's LTV and stressed DSCR are 23% and greater than 4.00X, respectively. The second largest loan is the Medford Center Loan ($2.3 million -- 15.3% of the pool), which is secured by a retail center which is located in Medford, Wisconsin. The property's anchor tenant, K-Mart, which occupied 55% of the NRA, closed in May 2018. The property was approximately 35% occupied as of June 2018 following the closure, compared to 96% at the last review. Moody's LTV and stressed DSCR are 161% and 0.67X, respectively. The third largest loan is the CarMax Loan ($990,338 -- 6.7% of the pool), which is secured by a single tenant retail store in southeast Houston, Texas. The property is 100% occupied by CarMax. The loan is fully amortizing and has paid down 89% since securitization. Moody's LTV and stressed DSCR are 37% and 3.19X, respectively. GS MORTGAGE 2018-GS10: Fitch to Rate Class G-RR Certs 'B-sf' ------------------------------------------------------------ Fitch Ratings has issued a presale report on GS Mortgage Securities Trust 2018-GS10 commercial mortgage pass-through certificates. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $12,186,000 class A-1 'AAAsf'; Outlook Stable; -- $72,497,000 class A-2 'AAAsf'; Outlook Stable; -- $62,946,000 class A-3 'AAAsf'; Outlook Stable; -- $175,000,000 class A-4 'AAAsf'; Outlook Stable; -- $199,668,000 class A-5 'AAAsf'; Outlook Stable; -- $25,167,000 class A-AB 'AAAsf'; Outlook Stable; -- $615,897,000a class X-A 'AAAsf'; Outlook Stable; -- $38,127,000a class X-B 'AA-sf'; Outlook Stable; -- $68,433,000 class A-S 'AAAsf'; Outlook Stable; -- $38,127,000 class B 'AA-sf'; Outlook Stable; -- $36,172,000 class C 'A-sf'; Outlook Stable; -- $22,485,000b class D 'BBBsf'; Outlook Stable; -- $17,597,000b class E 'BBB-sf'; Outlook Stable; -- $40,082,000ab class X-D 'BBB-sf'; Outlook Stable; -- $17,597,000b class F 'BB-sf'; Outlook Stable; -- $7,821,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $26,395,782bc class H-RR; -- $28,618,000bd RR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. (d) Vertical credit risk retention interest. The expected ratings are based on information provided by the issuer as of July 12, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 57 commercial properties having an aggregate principal balance of $810,709,783 as of the cutoff date. The loans were contributed to the trust by Goldman Sachs Mortgage Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 73.4% of the properties by balance, cash flow analysis of 90.9% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool has slightly lower leverage relative to other recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.23x is slightly lower than the 2017 average of 1.26x and the YTD 2018 average of 1.24x. The pool's Fitch LTV of 98.5% is below the 2017 and YTD 2018 averages of 101.6% and 103.6%, respectively. Excluding credit opinion loans, the pool has a Fitch DSCR and LTV of 1.18x and 105.4%,respectively, compared with the normalized 2017 Fitch averages of 1.21x and 107.2%. Investment-Grade Credit Opinion Loans: Two loans received investment-grade credit opinions, 1000 Wilshire (8.1% of pool by balance) and Aliso Creek Apartments (7.8%). The pool's credit opinion loan concentration of 15.8% is higher than the 2017 and YTD 2018 averages of 11.7% and 10.0%, respectively, for Fitch-rated multiborrower transactions. Highly Concentrated Pool: The pool is more concentrated than the other, recent Fitch-rated multiborrower transactions. Specifically, the pool contains 33 loans, compared with the 2017 and the YTD 2018 averages of 49 and 51 loans, respectively. Moreover, the largest 10 loans account for 59.5% of the pool, which is above the 2017 and YTD 2018 averages of 53.1% and 51.2%, respectively. The pool's loan concentration index (LCI) is 472, which is above the 2017 average of 398 and the YTD 2018 average of 380. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 13.9% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the GSMS 2018-GS10 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. GS MORTGAGE 2018-GS10: S&P Gives (P)B- Rating on WLS-D Certs ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage Securities Trust 2018-GS10's $810.7 million commercial mortgage pass-through certificates. The issuance is a commercial mortgage-backed securities transaction backed by 33 commercial mortgage loans with an aggregate principal balance of $810,709,783, secured by the fee and leasehold interests in 57 properties across 24 states and Cuautitlan Izcalli, Mexico. The preliminary ratings are based on information as of July 12, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the credit support provided by the transaction's structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. PRELIMINARY RATINGS ASSIGNED GS Mortgage Securities Trust 2018-GS10 Class Rating(i) Amount ($) A-1 AAA (sf) 12,186,000 A-2 AAA (sf) 72,497,000 A-3 AAA (sf) 62,946,000 A-4 AAA (sf) 175,000,000(ii) A-5 AAA (sf) 199,668,000(ii) A-AB AAA (sf) 25,167,000 X-A AA+ (sf) 615,897,000(iii) X-B NR 38,127,000(iii) A-S AA+ (sf) 68,433,000 B NR 38,127,000 C NR 36,172,000 D(iv) NR 22,485,000 E(iv) NR 17,597,000 X-D(iv) NR 40,082,000(iii) F(iii) NR 17,597,000 G-RR(iv) NR 7,821,000 H-RR(iv) NR 26,395,782 WLS-A(v) A- (sf) 5,190,000 WLS-B(v) BBB- (sf) 10,301,000 WLS-C(v) BB- (sf) 13,996,000 WLS-D(v) B- (sf) 13,547,000 WLS-E(v) NR 16,934,750 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) The final certificate balances of classes A-4 and A-5 will be determined at final pricing. The certificates will, in aggregate, have a total balance of $374.668 million. The class A-4 certificates are expected to have a balance between $125.0 million and $175.0 million, and the class A-5 certificates are expected to have a balance between $199.829 million and $249.829 million. (iii) Notional balance. (iv) Non-offered pooled certificates. (v) Non-offered loan-specific certificates tied to 1000 Wilshire. NR--Not rated. HALCYON LOAN 2012-2: S&P Lowers Class E Notes Rating to B(sf) ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class C and D notes from Halcyon Loan Advisors Funding 2012-2 Ltd. S&P said, "At the same time, we affirmed our ratings on the class A and B notes from the same transaction, and we lowered our rating on class E notes and removed it from CreditWatch, where we placed it with negative implications on April 20, 2018." The rating actions follow S&P's review of the transaction's performance using data from the June 6, 2018, trustee report. The upgrades reflect the transaction's $86.98 million in paydowns to the class A notes since our Oct. 12, 2017, rating action, which referenced the Sept. 6, 2017, trustee report. These paydowns resulted in improved overcollateralization (O/C) ratios for all except the junior-most class reported in the June 6, 2018, trustee report: -- The senior notes O/C ratio increased to 168.93% from 142.78%. -- The class C O/C ratio increased to 130.23% from 122.14%. -- The class D O/C ratio increased to 116.61% from 113.76%. -- The class E O/C ratio decreased to 106.21% from 106.90%. S&P said, "Although we expect the subsequent June 2018 payments to improve these ratios, the collateral portfolio's credit quality has deteriorated since our last rating actions. Collateral obligations with ratings in the defaulted category have increased to $1.70 million compared with zero at the time of our last rating action. As the portfolio continues to amortize, the proportion of 'CCC' rated collateral has increased to approximately 11.65%. In addition, the residual portfolio now has increased exposure to project finance and to assets currently trading at distressed prices. "The affirmations reflect our view that the credit support available is commensurate with the current rating levels. On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class D notes; however, because the transaction now has greater exposure to lower-quality collateral as noted above, we limited the upgrade on this class to maintain rating cushion as this transaction continues to amortize. "The rating on the class E notes was lowered based on the decline in credit support available for this class. The class is being affected by the drop in weighted average spread on the portfolio to 3.94% from 4.17% as of the September 2017 trustee report, par losses, and higher concentrations to lower-rated and distressed assets. The O/C for this class has declined since our last rating action and was failing prior to the March 2018 payment date when the test was cured using interest proceeds. However, the continued deleveraging has helped improve the O/C ratio since this class was placed on CreditWatch with negative implications on April 20, 2018. Although the results of the cash flow analysis indicated a lower rating on a standalone basis, we believe that the class does not currently meet our definition of 'CCC' risk because it is not currently vulnerable to nonpayment. Furthermore, it is not dependent on favorable market conditions to be fully repaid. Given the improvement in the O/C ratio since our CreditWatch action, and the relatively higher O/C ratio compared with other 'B- (sf)' rated classes, we lowered the rating to 'B (sf)' instead of 'B- (sf)'. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATINGS RAISED Halcyon Loan Advisors Funding 2012-2 Ltd. Class To From C AA+ (sf) AA- (sf) D BBB+ (sf) BBB (sf) RATINGS AFFIRMED Halcyon Loan Advisors Funding 2012-2 Ltd. Class Rating A AAA (sf) B AAA (sf) RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Halcyon Loan Advisors Funding 2012-2 Ltd. Class To From E B (sf) BB (sf)/Watch Neg HALCYON LOAN 2014-1: Moody's Cuts Class F Notes Rating to Caa1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Halcyon Loan Advisors Funding 2014-1 Ltd.: US$33,000,000 Class B-1-R Senior Secured Floating Rate Notes due 2026, Upgraded to Aaa (sf); previously on July 18, 2017 Assigned Aa1 (sf) US$20,000,000 Class B-2-R Senior Secured Fixed Rate Notes due 2026, Upgraded to Aaa (sf); previously on July 18, 2017 Assigned Aa1 (sf) US$21,500,000 Class C-R Secured Deferrable Floating Rate Notes due 2026, Upgraded to A1 (sf); previously on July 18, 2017 Assigned A2 (sf) Moody's also downgraded the rating on the following notes: US$10,000,000 Class F Secured Deferrable Floating Rate Notes due 2026, Downgraded to Caa1 (sf); previously on March 6, 2014 Definitive Rating Assigned B2 (sf) In addition, Moody's affirmed the ratings on the following notes: US$199,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2026, Affirmed Aaa (sf); previously on July 18, 2017 Assigned Aaa (sf) US$50,000,000 Class A-R Loans due 2026, Affirmed Aaa (sf); previously on Jul 18, 2017 Assigned Aaa (sf) Up to US$50,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2026, Affirmed Aaa (sf); previously on July 18, 2017 Assigned Aaa (sf) US$24,500,000 Class D Secured Deferrable Floating Rate Notes due 2026, Affirmed Baa3 (sf); previously on March 6, 2014 Definitive Rating Assigned Baa3 (sf) US$18,000,000 Class E Secured Deferrable Floating Rate Notes due 2026, Affirmed Ba3 (sf); previously on March 6, 2014 Definitive Rating Assigned Ba3 (sf) Halcyon Loan Advisors Funding 2014-1 Ltd., issued in March 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in April 2018. RATINGS RATIONALE The upgrade and affirmation rating actions reflect the benefit of the end of the deal's reinvestment period in April 2018 and the expectation that deleveraging will commence shortly. The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on Moody's calculations, the total collateral par balance, including recoveries from defaulted securities, is $387.6 million, or $12.4 million less than the $400 million initial par amount targeted during the deal's ramp-up. Furthermore, Moody's calculated weighted average rating factor (WARF) and weighted average spread (WAS) are currently 3073 and 3.90%, respectively, compared to 2814 and 3.99%, respectively, in July 2017. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. 8) Exposure to assets with low credit quality and weak liquidity: The historical default rate of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. In addition to the base case analysis, Moody's also conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results, which may be different from the current public ratings of the notes. Here is a summary of the impact of different default probabilities (expressed in terms of WARF) on all of the rated notes (by the difference in the number of notches versus the current model output, for which a positive difference corresponds to lower expected loss): Moody's Adjusted WARF -- 20% (2458) Class A-R: 0 Class A-1-R: 0 Class A-2-R: 0 Class B-1-R: 0 Class B-2-R: 0 Class C-R: +2 Class D: +2 Class E: +1 Class F: +3 Moody's Adjusted WARF + 20% (3688) Class A-R: 0 Class A-1-R: 0 Class A-2-R: 0 Class B-1-R: -1 Class B-2-R: -1 Class C-R: -2 Class D: -2 Class E: -2 Class F: -2 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $386.5 million, defaulted par of $2.0 million, a weighted average default probability of 21.23% (implying a WARF of 3073), a weighted average recovery rate upon default of 47.95%, a diversity score of 60 and a weighted average spread of 3.90% (before accounting for LIBOR floors). Moody's incorporates the default and recovery properties of the collateral pool in cash flow model analysis where they are subject to stresses as a function of the target rating on each CLO liability reviewed. Moody's derives the default probability from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate for future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and the collateral manager's latitude for trading the collateral are also factors. HONOR AUTOMOBILE 2016-1: S&P Cuts Class C Notes Rating to 'CCC+' ---------------------------------------------------------------- S&P Global Ratings lowered its rating on Honor Automobile Trust Securitization 2016-1's class C notes to 'CCC+ (sf)' from 'BB- (sf)'. The rating was removed from CreditWatch, where it was placed with negative implications on April 18, 2018. The 'A (sf)' rating on the class A notes and 'BBB (sf)' rating on the class B notes were affirmed. Honor Automobile Trust Securitization 2016-1 is a subprime auto loan asset-backed securities (ABS) transaction. The rating actions reflect worse-than-expected collateral performance to date, S&P's projections regarding future collateral performance, the transaction's structure and credit enhancement, and S&P's cash flow analysis. Further, there has been significant senior management turnover at Honor Finance LLC during the last seven months with the exodus of both co-founders and the chief financial officer (CFO). The president/co-founder departed in December 2017, and the CFO retired in March 2018. The company's other co-founder, who was serving as its chief operating officer and chief compliance officer, and had assumed the additional role of president in December, departed in May 2018. Honor's controller has become the interim CFO. Honor Finance LLC stopped originating loans at the end of May and is in discussions with a third party to assume various servicing functions. Series Mo. Pool Current 30+-day 60+-day Mo. factor CNL (%) delinq. (%) delinq. (%) exts. (%) 2016-1 19 32.55 20.00 25.38 10.16 11.57 CNL--Cumulative net loss. Delinq.--Delinquencies. Mo.--Month. Exts.--Extensions. The pool has experienced cumulative net losses (CNL) of 20.00% and has a pool factor of 32.55%, based on the transaction's July servicing report. As of June 30, 2018, 30+-day delinquencies and 60+-day delinquencies were 25.38% and 10.16%, respectively. The 60+-day delinquencies have been increasing since March 31, in response to the company adopting a less liberal approach to extensions. Extensions had been growing and reached a peak of 20%-22% from October 2017 through January 2018. In March, the most recent month prior to placement of the class C rating on CreditWatch negative, monthly extensions were 18.35%; they have since declined to 11.57% in June. Extensions are measured as a percentage of the beginning-month pool balance. The historically high level of extensions, which we believe is outside of industry norms, coupled with elevated delinquencies, lend support, in our view, to losses being more back-loaded than normally observed in most subprime auto loan ABS transactions. S&P said, "We believe CNLs, which are currently 20%, could rise to approximately 30% of the original receivables balance. We arrived at this revision using various approaches, including straight line and peer loss timing curves. For the peer loss timing curve approach, we considered paid-off subprime pools with a similar weighted average original maturity of approximately 45 months, but much lower delinquencies and extensions than the Honor 2016-1 transaction, and pools with longer original terms, but relatively high extensions (albeit still lower than Honor 2016-1's). We also considered Honor 2016-1's higher extension and delinquency levels relative to peers, and the potential disruption in collection continuity in our revised ECNL of 30%." The transaction contains a sequential principal payment structure by which the notes are paid principal by seniority. The sequential payment structure increases subordination as a percentage of the amortizing pools for all of the classes except the lowest-rated subordinate class. Each tranche has credit enhancement in the form of a nonamortizing reserve account, overcollateralization (O/C), subordination for the senior tranches, and excess spread. The O/C, which is the primary form of hard credit enhancement for the class C notes, has declined to 13.36% of the current collateral balance ($4.88 million) as of June 30, 2018, from its required 20.50% as of the end of November 2017. The reserve account remains fully funded. HARD CREDIT SUPPORT (%) (As of the July 2018 distribution date) Class Total hard Current total credit support hard credit support at issuance (% of current) A 33.93 83.81 B 20.89 43.72 C 13.00 19.50 S&P is affirming the ratings on classes A and B to reflect its view that the total hard credit support as a percentage of the amortizing pool balance, compared with its expected remaining losses, is commensurate with each affirmed rating level and S&P's view of operational risks associated with the wind-down of the originator/servicer. Class C's total hard credit enhancement is 19.50% as a percentage of the current collateral balance. While class C's hard credit enhancement has grown from 13% at closing (11% initial O/C plus 2% reserve account), S&P believes O/C will decline going forward as a portion of the growing level of delinquent loans roll through and default. Since class C is highly dependent upon excess spread, S&P incorporated various cash flow scenarios in its analysis. Under a base-case scenario wherein the pool incurs remaining cumulative net losses of approximately 31% of current receivables (approximately 38% remaining cumulative gross losses using a 20% recovery rate) over the next two years, the class C bonds incur a write-off of approximately 2% of their bond balance. As a result, S&P is downgrading class C to 'CCC+ (sf)' to reflect that the class is currently vulnerable to nonpayment. The issuer is dependent on favorable business, financial, and economic conditions to meet its financial commitments on the class. S&P will continue to monitor performance on this transaction and take additional rating action to the extent appropriate. IVY HILL X: S&P Assigns BB-(sf) Rating on $25MM Class D-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its 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, which is 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. S&P withdrew its rating on the original class A-1 notes following payment in full on the July 18, 2018, refinancing date. On the July 18, 2018, refinancing date, proceeds from the replacement note issuances were used to redeem the original 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 assigned ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. 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 rating actions as we deem necessary." 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 55.00 RATINGS WITHDRAWN Ivy Hill Middle Market Credit Fund X Ltd. Rating Original class To From A-1 NR AAA (sf) NR--Not rated. JP MORGAN 2006-CIBC16: Moody's Affirms Caa2 Rating on Cl. A-J Certs ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on five classes in J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC16, Commercial Mortgage Pass-Through Certificates, and Series 2006-CIBC16 as follows: Class A-J, Affirmed Caa2 (sf); previously on July 14, 2017 Downgraded to Caa2 (sf) Class B, Affirmed C (sf); previously on July 14, 2017 Downgraded to C (sf) Class C, Affirmed C (sf); previously on July 14, 2017 Affirmed C (sf) Class D, Affirmed C (sf); previously on July 14, 2017 Affirmed C (sf) Class X-1, Affirmed C (sf); previously on July 14, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Cl. X-1, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 61.9% of the current pooled balance, compared to 51.6% at Moody's last review. Moody's base expected loss plus realized losses is now 13.8% of the original pooled balance, compared to 13.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC16, Cass. A-J, Class B, Class C, and Class D was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating J.P. Morgan Chase Commercial Mortgage Securities Corp. Series 2006-CIBC16, Class X-1 were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 77.9% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the July 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 91.1% to $191.6 million from $2.1 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size from less than 2% to 34.8% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5, the same as at Moody's last review. There are no loans in the pool that are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-three loans have been liquidated from the pool, resulting in an aggregate realized loss of $177.7 million (for an average loss severity of 55.7%). Five loans, constituting 77.9% of the pool, are currently in special servicing. The largest specially serviced loan is the REPM Portfolio ($66.7 million -- 34.8% of the pool), which is secured by the fee interest in a portfolio of ten industrial/flex projects located across eight states. Five of the ten properties have been sold and the principal paydowns are reflected in the loan balance. Two of the remaining five locations are currently completely vacant. The loan transferred to special servicing in March 2015 for imminent default, subsequently defaulting on monthly payments. All of the remaining assets were foreclosed during 2017 and are currently REO. Moody's anticipates a significant loss on this loan. The second largest specially serviced loan is the Richland Mall loan (formerly known as the Westfield Richland Mall loan) ($37.0 million -- 19.3% of the pool), which is secured by 396,000 square feet (SF) portion of a mall in Mansfield, Ohio, which is located between Columbus and Cleveland, Ohio. The mall is anchored by Avita Health System, Macy's, JC Penny & Sears. The loan transferred to special servicing in June 2014 due to imminent default due to borrower's unwillingness to fund future operating shortfalls, and the trust took title to the property on in February 2016. Moody's anticipates a significant loss on this loan. The third largest specially serviced loan is the Fountain Place Shopping Center loan ($22.0 million -- 11.5% of the pool), which is secured by a retail center anchored by Lowes and shadow-anchored by a Wal-Mart Supercenter. The property is located in Logan, West Virginia. The property was 93.5% occupied as of March 2018, compared to 99.5% as of December 2016. The Borrower requested a loan term extension and modification. A loan modification was completed in 2017 and included a maturity date extension to September 2018. At the time of the transfer to special servicing, the property's anchor tenant had less than one year remaining on its lease term, however, the anchor tenant subsequently extended their lease and the Borrower is currently marketing the collateral for sale. The remaining two specially serviced loans are secured by one office and one retail property. Moody's estimates an aggregate $111.3 million loss for the specially serviced loans (74.4% expected loss on average). The three performing loans represent 22.1% of the pool balance. The largest performing loan is the Capitol Commons Loan ($31.9 million -- 16.6% of the pool), which is secured by an office property located in Lansing, Michigan, less than one mile southwest of Michigan State Capitol. This loan transferred to special servicing in October 2013 for imminent default. The loan returned to master servicing in February 2016 as a corrected mortgage and remains current on its payments. The property is fully leased to the State of Michigan on a lease that expires in 2029. Moody's accounted for single-tenant risk through a lit/dark blended value approach. Moody's LTV and stressed DSCR are 144.7% and 0.71X, respectively, compared to 144.1% and 0.71X at the last review. The second largest loan is the Infor Global Solutions Office Building Loan ($7.9 million -- 4.1% of the pool), which is secured by a suburban office property located in Greenville, South Carolina. The single tenant occupying 100% of NRA has a lease, which is scheduled to expire in March 2021. Moody's accounted for single-tenant risk through a lit/dark blended value approach. The loan matures in June 2021 and Moody's LTV and stressed DSCR are 83.9% and 1.22X, respectively, compared to 83.9% and 1.23X at the last review. The third largest loan is the Wythe Creek Plaza Loan ($2.7 million -- 1.4% of the pool), which is secured by 51,064 square feet retail center located in Poquoson, Virginia. As of December 2017, the shopping center is 91% occupied, compared to 93% in December 2016. Moody's LTV and stressed DSCR are 85.1% and 1.11X, respectively, compared to 87.3% and 1.08X at the last review. JP MORGAN 2013-C16: Fitch Affirms BB Rating on Class E Certs ------------------------------------------------------------ Fitch Ratings has affirmed 13 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust (JPMCC) commercial mortgage pass-through certificates series 2013-C16. The Rating Outlook for Class F has been revised to Negative from Stable. KEY RATING DRIVERS Stable Loss Expectations: Pool-level losses have remained within Fitch Ratings' expectations since the last rating action. Collateral performance has been relatively stable since issuance despite some fluctuation in the Fitch Loans of Concern (FLOCs). There are no specially serviced loans, and the pool has not incurred losses to date. Ten loans totaling 24.7% are on the servicer watchlist. One additional loan (0.5%) has been flagged as a FLOC. Improved Credit Enhancement: Credit enhancement has improved modestly since issuance given loan amortization, loan payoffs and defeasance. The pool has paid down approximately 18.5% since issuance, and an additional 5.9% of the pool is defeased. While credit enhancement has improved, ratings remain stable, given sensitivity and concentration factors. High Multifamily Concentration: The pool has a multifamily concentration of 25.4%, which is significantly higher than the 2013 average concentration of 12.2%. The second largest loan in the pool, Veritas Multifamily Portfolio (8.1%), which was secured by multifamily, paid off in January 2016. The largest loan, The Aire (14.0%), is a multifamily property and is currently on the servicer watchlist for underperformance, with a year-end 2017 NOI DSCR of 0.88x and occupancy of approximately 93.6%. While the loan has been flagged as a FLOC due to low DSCR, the loan is considered to have a lower probability of loss given the property's superior quality and location. Upcoming Maturity Concentration: There are five nondefeased loans with upcoming maturities in the remainder of 2018, totaling approximately 8.3% of the remaining pooled balance. This includes one of the largest loans in the pool, Hulen Mall (4.0%), a regional mall. While the property reflects a debt yield of 11.6% and occupancy of 97.9%, the collateral property's weak anchors, tenant sales and secular challenges may make refinancing the loan a challenge. Fitch performed an additional stressed sensitivity scenario on this loan, in which loss severity was increased to 50% to address the potential for outsized losses from refinancing risks upon the loan's maturity. However, the stress scenario did not result in negative rating changes due to the increased credit enhancement since issuance. RATING SENSITIVITIES The Rating Outlook for Class F has been revised to Negative given sensitivity testing related to the Hulen Mall loan (4.0%). Fitch's analysis included a stress scenario whereby an outsized loss of 50% was assumed on the Hulen Mall loan (4.0%), due to the near term loan maturity and potential refinancing risks. The sensitivity testing did not result in any negative rating actions for other classes, given increased credit enhancement from paydown and defeasance. Upgrades to senior classes may occur with improved pool performance and additional paydown or defeasance. Downgrades to classes are possible should overall pool performance decline or in the event the Hulen Mall loan (4.0%) struggles to obtain takeout financing. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following rating and revised the Outlook as indicated: -- $11.4 million class F at 'Bsf'; Outlook to Negative from Stable. Fitch has affirmed the following ratings: -- $83.1 million class A-2 at 'AAAsf'; Outlook Stable; -- $145 million class A-3 at 'AAAsf'; Outlook Stable; -- $276.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $80.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $83.8 million class A-S at 'AAAsf'; Outlook Stable; -- $73.8 million class B at 'AA-sf'; Outlook Stable; -- $41.2 million class C at 'A-sf'; Outlook Stable; -- $56.8 million class D at 'BBB-sf'; Outlook Stable; -- $21.3 million class E at 'BBsf'; Outlook Stable; -- $198.8 million class EC* at 'A-sf'; Outlook Stable; -- $668.6 million class X-A at 'AAAsf'; Outlook Stable; -- $73.8 million class X-B at 'AA-sf'; Outlook Stable. Class A-S, class B and class C certificates may be exchanged for a related amount of class EC certificates, and class EC certificates may be exchanged for class A-S, class B and class C certificates. Class A-1 has paid in full. Fitch does not rate the class NR certificates or the interest only class X-C. JP MORGAN 2013-LC11: S&P Lowers Rating on Class F Debt to B-(sf) ---------------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on eight other classes from the same transaction. S&P said, "For the downgrades and affirmations, our expectation of credit enhancement was in line with the lowered or affirmed rating levels. Specifically, the downgrades reflect our view of sustainable deterioration in performance on some of the larger loans in the pool: the World Trade Center I & II loan ($110.4 million, 10.3%); the Chandler Crossings Portfolio loan ($80.1 million, 7.5%); the 315 Madison Avenue loan ($22.0 million, 2.1%); and the Botany Plaza loan ($20.8 million, 1.9%). "We affirmed our ratings on the class X-A and X-B interest-only (IO) certificates based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance of the class X-A certificates references classes A-1, A-2, A-3, A-4, A-5, A-SB, and A-S. The notional balance of the class X-B certificates references the class B and C certificates." TRANSACTION SUMMARY As of the June 15, 2018, trustee remittance report, the collateral pool balance was $1.07 billion, which is 81.7% of the pool balance at issuance. The pool currently includes 46 loans, down from 52 loans at issuance. One loan ($57.0 million, 5.3%) is with the special servicer, and five ($132.9 million, 12.4%) are on the master servicer's watchlist. In addition, it is S&P's understanding that The Forum at Sam Houston loan ($15.9 million, 1.5%) was defeased subsequent to the June 2018 trustee remittance report. To date, the transaction has not experienced any principal losses. S&P calculated a 1.59x S&P Global Ratings' weighted average debt service coverage (DSC) and 85.9% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.67% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced and defeased loan. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $698.0 million (64.9%). Adjusting the servicer-reported numbers, S&P calculated an S&P Global Ratings' weighted average DSC and LTV of 1.46x and 90.7%, respectively, for nine of the top 10 nondefeased loans. The remaining loan is specially serviced and discussed below. CREDIT CONSIDERATIONS As of the June 15, 2018, trustee remittance report, the Dulles View loan in the pool was with the special servicer, C-III Asset Management LLC (C-III). The Dulles View loan is the sixth-largest nondefeased loan in the pool and has a total reported exposure of $57.0 million. The loan is secured by a 355,543-sq.-ft. suburban office property in Herndon, Va. The loan, which has a current payment status, was transferred to the special servicer on Feb. 23, 2018, for imminent default. According to C-III, a significant drop in occupancy is expected over the next 15 months to approximately 20% due to tenant rollovers and cancellations. C-III stated that it is working with the borrower on resolution. The reported DSC and occupancy as of year-end 2017 were 2.18x and 93.4%, respectively. S&P currently expect a minimal loss (less than 25%) based on the most recent appraisal value upon this loan's eventual resolution. S&P will continue to monitor this loan for any material future developments. RATINGS LIST J.P. Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 Commercial mortgage pass through certificates series 2013-LC11 Rating Class Identifier To From A-4 46639YAP2 AAA (sf) AAA (sf) A-5 46639YAQ0 AAA (sf) AAA (sf) A-SB 46639YAR8 AA (sf) AAA (sf) X-A 46639YAS6 AAA (sf) AAA (sf) X-B 46639YAT4 A- (sf) A- (sf) A-S 46639YAU1 AAA (sf) AAA (sf) B 46639YAV9 AA- (sf) AA- (sf) C 46639YAW7 A- (sf) A- (sf) D 46639YAX5 BB+ (sf) BBB- (sf) E 46639YAC1 BB- (sf) BB (sf) F 46639YAE7 B- (sf) BB- (sf) JP MORGAN 2017-MAUI: 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-MAUI (the Certificates) issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X at A (sf) -- Class D at A (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. This transaction closed in July 2017 at an original trust balance of $469.0 million, with two mezzanine loans totaling $131.0 million held outside of the trust. The collateral for this transaction is the Four Seasons Resort (the Four Seasons) located on Wailea Beach on the island of Maui in the state of Hawaii. The underlying trust loan is interest-only (IO) throughout the term, structured with a two-year initial term with five one-year extension options. The loan is sponsored by MSD Capital, a private equity firm founded by Michael Dell. The five-star oceanfront resort is one of the premier resorts on the island and is the only AAA Five-Diamond and Forbes Travel Guide Five-Star luxury resort in Maui. The borrower, MSD Capital, owns a fee simple interest on the 16.2-acre beachfront parcel, which is rare in Hawaii. The hotel management agreement with the Four Seasons runs through March 2025 with two 15-year extension options remaining. Per the trailing-12 months (T-12) Smith Travel Research report dated January 2018, the subject is reporting an occupancy rate, average daily rate and revenue per available room (RevPAR) of 87.0%, $957 and $832, respectively. The subject is outperforming its competitive set and has seen its occupancy rate and RevPAR increase 8.3% and 17.3% year over year, respectively. Maui also experienced an improvement in the number of annual visitors from 2015 to 2016 as the island attracted a total of 2.7 million visitors in 2016, a 3.8% increase from 2.6 million visitors in 2015. The T-12 financial statement dated March 2018 shows the whole loan is reporting a debt service coverage ratio (DSCR) of 2.09 times (x) compared with the YE2017 DSCR of 1.87x and DBRS Term DSCR at issuance of 1.96x. The net cash flow improvement is attributed to an occupancy rate improvement and increased income from food and beverage. Operating expenses also increased 4.1% due to increased management fees and labor costs. The servicer reports the actual DSCR for the T-12 March 2018 totaled 2.11x due to lower variable interest rates. Class X is an IO certificate that references 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. Notes: All figures are in U.S. dollars unless otherwise noted. KVK CLO 2014-3: S&P Affirms B-(sf) Rating on Class F Notes ---------------------------------------------------------- S&P Global Ratings lowered its ratings on the class F notes from KVK CLO 2014-3 Ltd. and removed it from CreditWatch, where S&P placed it with negative implications on April 20, 2018. At the same time, S&P affirmed its ratings on the class A-R, B-R, C-R, D, and E notes. The rating actions follow S&P's review of the transaction's performance using data from the June 3, 2018, trustee report. S&P took into account recent trading activity as reflected in this report. The deal has experienced a decrease in overcollateralization (O/C) ratios since S&P's April 17, 2017, rating actions, which referenced the Feb. 3, 2017, trustee report: -- The class A/B O/C ratio decreased to 129.03% from 129.51%. -- The class C O/C ratio decreased to 117.37% from 117.81%. -- The class D O/C ratio decreased to 110.70% from 111.11%. -- The class E O/C ratio decreased to 105.43% from 105.82%. -- The Interest Diversion ratio decreased to 103.41% from 103.80%. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class B-R, C-R, and D notes; however, because the transaction witnessed a decline in credit support and now has greater exposure to assets rated in the 'CCC' category, at $30.69 million currently compared with $21.74 million at the time of S&P's last rating actions, it affirmed the ratings on these classes to maintain rating cushion as this transaction will reinvest until October 2018. The affirmations reflect S&P's view that the credit support available is commensurate with the current rating levels. The rating on the class F notes was lowered based on the decline in credit support available for this class. The class is also being affected by the drop in weighted average spread on the portfolio to 3.06% from 3.55% as of the February 2017 trustee report, as well as a higher concentration in 'CCC' rated assets. In addition, the interest diversion test has declined since S&P's last rating action and was failing prior to the July 2018 monthly report. Although the O/C levels have decreased, the deal will exit its reinvestment period in October 2018; if paydowns commence, the subsequent payments will likely improve these ratios. S&P said, "Although the results of the cash flow analysis indicated a lower rating on the class F notes, we believe that the class does not currently meet our definition of 'CCC' risk because it is not currently vulnerable to nonpayment. Furthermore, it is not dependent on favorable market conditions to be fully repaid. "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE KVK CLO 2014-3 Ltd. Class To From F B- (sf) B (sf)/Watch Neg RATINGS AFFIRMED KVK CLO 2014-3 Ltd. Class Rating A-R AAA (sf) B-R AA (sf) C-R A (sf) D BBB (sf) E BB (sf) LB COMMERCIAL 1998-C4: Moody's Affirms C Ratings on 2 Tranches -------------------------------------------------------------- Moody's Investors Service, has upgraded the ratings on two classes and affirmed the ratings on two classes in LB Commercial Trust 1998-C4 as follows: Cl. J, Upgraded to Aaa (sf); previously on May 19, 2017 Upgraded to Aa1 (sf) Cl. K, Upgraded to Baa3 (sf); previously on May 19, 2017 Affirmed B1 (sf) Cl. L, Affirmed C (sf); previously on May 19, 2017 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Jun 9, 2017 Downgraded to C (sf) RATINGS RATIONALE The rating on two P&I classes were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 48% since Moody's last review. In addition, loans constituting 81% of the pool have either defeased or that have debt yields exceeding 12.0% are scheduled to mature within the next four months. The rating on Cl. L was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Cl. L has already experienced a 45% realized loss as a result of previously lqiuidated loans. The rating on the IO Class, Cl. X, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 1.4% of the current balance, compared to 2.8% at Moody's last review. Moody's base expected loss plus realized losses is now 2.1% of the original pooled balance, essentially the same as at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating LB Commercial Trust 1998-C4, Cl. J, Cl. K, and Cl. L were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. The methodologies used in rating LB Commercial Trust 1998-C4, Cl. X were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $19.7 million from $2.0 billion at securitization. The certificates are collateralized by 27 mortgage loans ranging in size from less than 1% to 13% of the pool, with the top ten loans (excluding defeasance) constituting 58% of the pool. Twelve loans, constituting 42% of the pool, have defeased and are secured by US government securities. The pool contains a Credit Tenant Lease (CTL) component that includes seven loans, representing 6% of the pool. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 7, compared to 8 at Moody's last review. Nine loans, constituting 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Twenty-eight loans have been liquidated with a loss, resulting in an aggregate realized loss of $42.3 million (for an average loss severity of 29%). There are no loans currently in special servicing. Moody's received full year 2016 operating results for 100% of the pool, and full or partial year 2017 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 58.0%, compared to 57.9% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 30% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10.3%. Moody's actual and stressed conduit DSCRs are 1.43X and 2.84X, respectively, compared to 1.45X and 2.36X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 32% of the pool balance. The largest loan is the Cineplex Multiplex Loan ($2.6 million -- 13.1% of the pool), which is secured by a 48,000 square foot (SF) cinema located in Huntington, New York. This fully amortizing loan has paid down 61% since securitization. Both the theater's lease expiration and the loan maturity are in September 2023. Due to the single tenant exposure, Moody's valuation reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 48% and 2.47X, respectively. The second largest loan is the Greenbriar Market Place Loan ($2.2 million -- 11.4% of the pool), which is secured by a 142,720 square foot (SF) retail center located in Atlanta, Georgia. The loan benefits from amortization and has paid down 39% since securitization. As of year-end 2017, the property was 97% leased, the same as at year-end 2016. Due to the single tenant exposure, Moody's valuation reflects a lit/dark analysis. Moody's LTV and stressed DSCR are 55% and 1.96X, respectively. The third largest loan is the Westgate Plaza Loan ($1.4 million -- 7.0% of the pool), which is secured by an anchored retail center in Elizabethtown, North Carolina. The loan benefits from amortization and has paid down 36% since securitization. The property is anchored by a Tractor Supply that took occupancy in July 2012, replacing a Food Lion that had vacated in December 2007. The property was 100% leased as of April 2018. Moody's LTV and stressed DSCR are 77% and 1.41X, respectively. The CTL component consists of seven loans, constituting 6% of the pool, secured by properties leased to five tenants. The largest CTL exposures are CVS Health ($722,604 -- 3.7% of the pool; senior unsecured rating: Baa1 -- ratings under review) and Sears Holding Corp ($304,320 -- 1.5% of the pool; senior unsecured rating: C -- negative outlook). LCM LTD 27: S&P Assigns Prelim BB- Rating on $16MM Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to LCM 27 Ltd.'s $392.63 million floating-rate notes. The note issuance is a collateralized loan obligation 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 11, 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 LCM 27 Ltd. Class Rating Amount (mil. $) X AAA (sf) 2.25 A-1 AAA (sf) 272.25 A-2 NR 22.50 B AA (sf) 47.25 C (deferrable) A (sf) 27.00 D (deferrable) BBB- (sf) 27.00 E (deferrable) BB- (sf) 16.88 Subordinated notes NR 45.60 NR--Not rated. MARINER CLO 6: S&P Assigns BB-(sf) Rating on Class E Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to Mariner CLO 6 Ltd./Mariner CLO 6 LLC's $459 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. 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 Mariner CLO 6 Ltd./Mariner CLO 6 LLC Class Rating Interest Amount rate (%) (mil. $) A AAA (sf) Three-month LIBOR + 1.10 310.00 B AA (sf) Three-month LIBOR + 1.68 59.50 C (deferrable) A (sf) Three-month LIBOR + 1.95 40.50 D (deferrable) BBB- (sf) Three-month LIBOR + 2.95 27.00 E (deferrable) BB- (sf) Three-month LIBOR + 6.00 22.00 Subordinated notes NR N/A 51.85 NR--Not rated. N/A--Not applicable. MARLIN RECEIVABLES 2018-1: Fitch to Rate $4.3MM Cl. E Notes 'BBsf' ------------------------------------------------------------------ Fitch Ratings expects to assign the following ratings to Marlin Receivables 2018-1 LLC (2018-1): -- $77,200,000 class A-1 notes 'F1+sf'; -- $55,500,000 class A-2 notes 'AAAsf'; Outlook Stable; -- $36,820,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $10,370,000 class B notes 'AAsf'; Outlook Stable; -- $11,350,000 class C notes 'Asf'; Outlook Stable; -- $5,460,000 class D notes 'BBBsf'; Outlook Stable; -- $4,370,000 class E notes 'BBsf'; Outlook Stable. KEY RATING DRIVERS Diversified Collateral Pool: The 2018-1 pool is diversified by equipment type, industry, geography and obligor concentrations. The top equipment types in 2018-1 are commercial and industrial (9.1%), restaurant equipment (6.4%) and titled commercial vehicles (6.4%). Prior Marlin Leasing securitizations consisted primarily of micro-ticket collateral with upwards of 33% copiers and printers (2010-1). Additionally, the pool is highly seasoned at 17 months and short weighted average (WA) life of 34.7 months. Given the low obligor concentrations, the stressed loss approach was the primary rating approach. Recent Asset Performance Stable: Marlin Leasing's portfolio experienced deterioration during the 2006-2008 vintages with peak cumulative gross defaults (CGD) of 9.46% in 2007. However, subsequent vintages from 2009-2015 have experienced lower CGDs ranging from 2.89%-4.45%. Default levels for 2016-2017 vintages are generally consistent with 2009-2015 vintages. Fitch's forward-looking base case CGD proxy is 4.50%. Given expected stable economic conditions, no adjustments were made to the base proxy. Sufficient Credit Enhancement: All classes benefit from a cash reserve account and overcollateralization (OC). Total initial hard credit enhancement (CE) for the class A, B, C, D, and E notes is 23.35%, 18.60%, 13.40%, 10.90%, and 8.90%, respectively. Relative to 2010-1, these levels are down for classes A, B, and C but higher for class D. CE is sufficient to cover in excess of 5.0x, 4.0x, 3.0x, 2.0x and 1.5x multiples of Fitch's base case CGD proxy of 4.50%. Quality of Origination, Underwriting, and Servicing: Marlin Leasing has demonstrated adequate abilities as originator, underwriter, and servicer as evidenced by historical delinquency and loss performance of securitized trusts and the managed portfolio. Integrity of Legal Structure: The legal structure of the transaction should provide that a bankruptcy of Marlin Leasing would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in potential rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to 2018-1 to increased CNL over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased CNL, showing a potential downgrade of two to three rating categories under Fitch's severe (2.5x base case loss scenario). MARLIN RECEIVABLES 2018-1: S&P Gives (P)BB Rating on Class E Debt ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Marlin Receivables 2018-1 LLC's $201.07 million asset-backed notes. The note issuance is an asset-backed securities transaction backed by small-ticket equipment leases and loans, and associated equipment. The preliminary ratings are based on information as of July 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of 23.34%, 18.63%, 13.80%, 10.25%, and 6.74% credit support to the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. S&P said, "These credit support levels provide coverage--based on multiples in our equipment leasing criteria and, for preliminary ratings below the 'BBB' category, our securitized consumer receivables criteria--of our cumulative net loss range, which is consistent with the preliminary ratings. Our cumulative net loss ranges from 3.75%-4.25% and reflects our stressed recovery rate range of 2.00%-3.00%." -- S&P's expectation that, under its credit stability analysis, in a moderate stress ('BBB') scenario, all else being equal, the ratings on the class A and B notes would not decline by more than one rating category from its preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, and the ratings on the class C, D, and E notes would not decline by more than two rating categories from its preliminary 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively, in the first year. These potential rating movements are consistent with our credit stability criteria. -- S&P's expectation for the timely payment of periodic interest and principal by the final maturity date according to the transaction documents, based on stressed cash flow modeling scenarios that S&P believes are appropriate for the assigned preliminary rating categories. -- The collateral characteristics of the securitized pool of equipment leases and loans, including individual obligor concentrations of less than 1.50%. -- S&P's stable outlook for the credit quality of the small- and medium-sized businesses that represent the obligors in the pool. -- The presence of a backup servicer, U.S. Bank N.A. -- The transaction's legal structure. PRELIMINARY RATINGS ASSIGNED Marlin Receivables 2018-1 LLC Class Rating Type Interest Amount rate (mil. $) A-1 A-1+ (sf) Senior Fixed 77.20 A-2 AAA (sf) Senior Fixed 55.50 A-3 AAA (sf) Senior Fixed 36.82 B AA (sf) Subordinate Fixed 10.37 C A (sf) Subordinate Fixed 11.35 D BBB (sf) Subordinate Fixed 5.46 E BB (sf) Subordinate Fixed 4.37 MERRILL LYNCH 2008-C1: S&P Cuts Class J Certs Rating to 'D(sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class J commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust 2008-C1, a U.S. commercial mortgage-backed securities (CMBS) transaction. The downgrade reflects a principal loss affecting the class, as detailed in the July 13, 2018, trustee remittance report. The July 2018 trustee remittance report reported $14.6 million in realized loss, which resulted from the liquidation of the specially serviced Fort Office Portfolio asset. According to the trustee remittance report, the Fort Office Portfolio asset liquidated at a 64.9% loss severity of its $22.5 million beginning balance. Consequently, class J experienced a $1.2 million loss(10.4%) of its $11.9 million original principal balance, class K (not rated) lost 100% of its $10.7 million original balance, and class L (not rated) lost 100% of its $2.7 million beginning balance. MIDOCEAN CREDIT IX: S&P Gives Prelim B-(sf) Rating on Cl. F Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to MidOcean Credit CLO IX/MidOcean Credit CLO IX LLC's $355.0 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 19, 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 MidOcean Credit CLO IX/MidOcean Credit CLO IX LLC Class Rating Interest Amount rate (mil. $) A-1 AAA (sf) Three-month LIBOR + 1.15 240.00 A-2 NR Three-month LIBOR + 1.50 16.00 B AA (sf) Three-month LIBOR + 1.75 32.00 C A (sf) Three-month LIBOR + 2.00 35.00 D BBB- (sf) Three-month LIBOR + 3.30 26.00 E BB- (sf) Three-month LIBOR + 6.05 14.00 F B- (sf) Three-month LIBOR + 7.57 8.00 Income notes NR Residual 37.60 NR--Not rated. MJX VENTURE II: Moody's Gives Ba1 Rating on Series I Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to nine classes of notes issued by MJX Venture Management II LLC. Moody's rating action is as follows: US$12,182,500 Series I/Class A-1 Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$5,100,000 Series I/Class A-2A Notes due 2031 (the "Class A-2A Notes"), Assigned Aaa (sf) US$612,500 Series I/Class A-2BF Notes due 2031 (the "Class A-2BF Notes"), Assigned Aaa (sf) US$2,030,000 Series I/Class A-F Notes due 2031 (the "Class A-F Notes"), Assigned Aaa (sf) US$250,000 Series I/Class A-X Notes due 2031 (the "Class A-X Notes"), Assigned Aaa (sf) US$3,250,000 Series I/Class B Notes due 2031 (the "Class B Notes"), Assigned Aa1 (sf) US$1,912,500 Series I/Class C Notes due 2031 (the "Class C Notes"), Assigned A1 (sf) US$1,712,500 Series I/Class D Notes due 2031 (the "Class D Notes"), Assigned Baa1 (sf) US$1,425,000 Series I/Class E Notes due 2031 (the "Class E Notes"), Assigned Ba1 (sf) The Class A-1 Notes, the Class A-2A Notes, the Class A-2BF Notes, the Class A-F Notes, the Class A-X 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," and are the ninth series of issuance by the Issuer in a program of financing for CLOs. 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. MJX VM II is the collateral manager of Venture 32 CLO, Limited. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. The proceeds from the issuance of the Rated Notes will be used to finance the purchase of a 5% vertical slice of the Class A-1 Notes, Class A-2A Notes, Class A-2BF Notes, Class A-F Notes, Class A-X Notes, Class B Notes, Class C Notes, Class D Notes and Class E Notes (the "Underlying CLO Notes") issued by the Underlying CLO, in order for the Issuer to comply with the retention requirements of both the US and EU Risk Retention Rules. MJX VM II also acts as "originator" of a part of the assets of the Underlying CLO. As a result, MJX VM II is exposed to potential credit and market value risk of the Originated Assets during a holding period from the time the Issuer purchases the Originated Assets in the market by until the Originated Assets are sold from the Issuer to the Underlying CLO. To mitigate these risks, the Issuer incorporates (i) a substantial cash reserve in an escrow account to cover any potential losses during the holding period and until the Originated Assets settle into the CLO and (ii) minimum industry diversity and rating requirements for the Originated Assets. The Rated Notes are collateralized primarily by the Underlying CLO Notes and 5% of the Underlying CLO's Class F notes and subordinated notes. In addition, the Rated Notes benefit from additional credit enhancement provided by (i) 50% of the senior management fees from the Underlying CLO, and (ii) in the event the Rated Notes experience a default, certain excess collections from other, non-defaulted Series of notes issued by the Issuer. On each payment date, each class of Rated Notes will receive an interest payment equal to 5% of the interest payment paid to the entire class of the related Underlying CLO Notes. In the event of a permitted refinancing or re-pricing, the respective interest amount each class of Rated Notes receives will be reduced by the amount the respective refinancing or re-pricing reduced the interest rates on the Underlying CLO Notes. The Issuer's priority of payments includes an interest trapping mechanism following the occurrence of certain events (the "Cash-Trap Events"). Upon a Cash-Trap Event, after payment of interest on the Rated Notes, all remaining interest proceeds from the Underlying CLO Notes and the Pledged Management Fee will be trapped in a cash-trap account. Cash-Trap Events include, but are not limited to, failure of an overcollateralization test, deferral of interest on certain Underlying CLO Notes, and certain collateral manager-related events. Unless the Cash-Trap Event is cured, amounts in the cash-trap account will be applied to repay the Rated Notes at maturity or redemption. Although the Rated Notes constitute full recourse indebtedness of the Issuer, the holders of the Rated Notes have no right to foreclose upon the assets of the Issuer's other Series and have limited rights to assets constituting excess collections from other Series. Holders of other Series of Debt of the Issuer are likewise precluded from foreclosing on the assets of the Rated Notes and are limited in their rights to excess collections from the Rated Notes. In addition to a variety of other factors, its analysis of the Issuer's bankruptcy remoteness took into account a substantive consolidation legal opinion. The opinion provided comfort that the Issuer's structure and separateness features minimize the risk that a bankruptcy court would order the consolidation of the assets and liabilities of Issuer's parent and the Issuer. 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: $613,936,059 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2790 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions, 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 2790 to 3209) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2A Notes: 0 Class A-2BF Notes: -1 Class A-F Notes: 0 Class A-X Notes: 0 Class B Notes: 0 Class C Notes: -1 Class D Notes: -2 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2790 to 3627) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2A Notes: 0 Class A-2BF Notes: -2 Class A-F Notes: -1 Class A-X Notes: 0 Class B Notes: -3 Class C Notes: -3 Class D Notes: -3 Class E Notes: -2 MONROE CAPITAL 2016-1: Moody's Rates $15MM Class E-R Notes (P)Ba1 ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to five classes of CLO refinancing notes to be issued by Monroe Capital MML CLO 2016-1, Ltd.: Moody's rating action is as follows: US$158,000,000 Class A-1R Senior Floating Rate Notes due 2028 (the "Class A-1R Notes"), Assigned (P)Aaa (sf) US$30,750,000 Class B-R Senior Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned (P)Aa1 (sf) US$18,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned (P)A1 (sf) US$23,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned (P)Baa2 (sf) US$15,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class E-R Notes"), Assigned (P)Ba1 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of small and medium enterprise loans. Monroe Capital 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 will issue the Refinancing Notes on July 23, 2018 in connection with the refinancing of six classes of the secured notes previously issued on July 28, 2016. On the Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes, to redeem in full the Refinanced Original Notes. On the Original Closing Date, the Issuer also issued one class of secured notes and one class of subordinated notes, which are not subject to the refinancing on the Refinancing Date and will remain outstanding. In addition to the issuance of the Refinancing Notes, the non-call period will be extended to January 2020. 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 higher or lower default probabilities relative to the base case. Here is a summary of the impact of a change 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 20% (from 3718 to 4462) Rating Impact in Rating Notches Class A-1R Notes: 0 Class B-R Notes: -1 Class C-R Notes: -2 Class D-R Notes: -2 Class E-R Notes: -1 Percentage Change in WARF -- decrease of 20% (from 3718 to 2974) Rating Impact in Rating Notches Class A-1R Notes: 0 Class B-R Notes: 1 Class C-R Notes: 2 Class D-R Notes: 2 Class E-R Notes: 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 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: $300,000,000 Defaulted par: $0 Diversity Score: 37 Weighted Average Rating Factor (WARF): 3718 Weighted Average Spread (WAS): 5.57% Weighted Average Coupon (WAC): n/a Weighted Average Recovery Rate (WARR): 46.71% Weighted Average Life (WAL): 5.44 years MORGAN STANLEY 2007-IQ14: Moody's Affirms Ca Rating on 2 Tranches ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14 as follows Cl. A-J, Affirmed Ca (sf); previously on Jul 14, 2017 Downgraded to Ca (sf) Cl. A-JFX, Affirmed Ca (sf); previously on Jul 14, 2017 Downgraded to Ca (sf) RATINGS RATIONALE The ratings on two P&I classes were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Moody's rating action reflects a base expected loss of 56.9% of the current balance, compared to 40.0% at Moody's last review. Moody's base expected loss plus realized losses is now 15.8% of the original pooled balance, compared to 14.7% at Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 94.3% to $278.4 million from $4.9 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 49% of the pool. All of the remaining loans (100% of the pool) are currently in special servicing. One hundred-five loans have been liquidated from the pool, resulting in an aggregate realized loss of $616.4 million (for an average loss severity of 39%). The largest specially serviced loan is the PDG Portfolio Loan ($135.5 million -- 48.7% of the pool), which is secured by a portfolio of cross-collateralized and cross-defaulted retail properties located in Arizona. The loan had transferred to special servicing in October 2010 due to imminent monetary default and was modified in November 2011. The modification included an initial interest rate reduction to 4.5% (from 5.8%) through the loan maturity in May 2017. The Loan transferred back into special servicing in March 2017 due to imminent maturity default and subsequently defaulted in May 2017. The portfolio went into foreclosure in June 2018. Four of the eleven total properties in the portfolio were sold in 2016 and 2017. The second largest specially serviced loan is the Heritage Park Loan ($27.0 million -- 9.7% of the pool), which is secured by a 161,851 SF retail property located in Solano, California approximately 35 miles southwest of Sacramento. The Loan transferred to special servicing in October 2014 for imminent default after the Borrower was unable to cover debt service due to vacancy. The Trust took title in December 2016. Roughly half of the NRA rolls during 2018 and 2019, including the anchor grocery tenant, Raley's. The third largest specially serviced loan is Crossings of Sandusky Loan ($21.5 million -- 7.7% of the pool), which is secured by a 217,746 SF retail property in Sandusky, Ohio. The Loan transferred to special in September 2015 due to Imminent Monetary Default. As of year-end 2016 the property was 92% occupied. The asset is now REO but is not currently listed for sale. The remaining specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $158.5 million loss for the specially serviced loans (57% expected loss on average). Of the specially serviced loans, 59.7% are categorized as in foreclosure and 40.3% are REO. MORGAN STANLEY 2013-C12: Moody's Affirms B1 Rating on Class F Certs ------------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on twelve classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-2, Affirmed Aaa (sf); previously on Jul 26, 2017 Affirmed Aaa (sf) Cl. A-SB, Affirmed Aaa (sf); previously on Jul 26, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 26, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 26, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 26, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jul 26, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jul 26, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jul 26, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jul 26, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed B1 (sf); previously on Jul 26, 2017 Affirmed B1 (sf) Cl. PST, Affirmed A1 (sf); previously on Jul 26, 2017 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 26, 2017 Affirmed Aaa (sf) RATINGS RATIONALE The ratings on ten P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the IO class, Cl. X-A, was affirmed based on the credit quality of the referenced classes. The rating on the exchangeable class, Cl. PST, was affirmed due to the weighted average rating factor (WARF) of its exchangeable classes. Moody's rating action reflects a base expected loss of 3.4% of the current pooled balance, compared to 2.0% at Moody's last review. Moody's base expected loss plus realized losses is now 3.1% of the original pooled balance, compared to 1.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12, Cl. A-2, Cl. A-SB, Cl. A-3, Cl. A-4, Cl. A-S, Cl. B, Cl. C, Cl. D, Cl. E, and Cl. F was "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The principal methodology used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12, Cl. PST was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12, Cl. X-A were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the July 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 11% to $1.14 billion from $1.28 billion at securitization. The certificates are collateralized by 69 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 51% of the pool. Three loans, constituting 2% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 26, compared to 28 at Moody's last review. Eleven loans, constituting 20% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool and no loans are currently in special servicing. Moody's received full year 2017 operating results for 100% of the pool, and partial year 2018 operating results for 83% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 93%, compared to 91% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 16% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 1.62X and 1.16X, respectively, compared to 1.64X and 1.16X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 25% of the pool balance. The largest loan is the Merrimack Premium Outlets Loan ($122.8 million -- 10.8% of the pool), which is secured by a 408,996 square foot (SF) outlet center located in Merrimack, New Hampshire. The outlet center is situated immediately off the Everett Turnpike within the Southern New Hampshire section of the greater Boston market area, approximately ten miles north of the Massachusetts/New Hampshire border. The property was developed by Simon Property Group, L.P. and opened in June 2012. As of March 2018, the property was 94% leased, compared to 99% leased as of March 2017 and 100% leased at securitization. The loan benefits from amortization and Moody's LTV and stressed DSCR are 91% and 1.07X respectively, compared to 93% and 1.05X at the last review. The second largest loan is the 15 MetroTech Center Loan ($81.0 million -- 7.1% of the pool), which represents a pari passu portion of a $152.9 million mortgage loan. The loan is secured the borrower's leasehold interest in a 19-story, Class A office building containing 649,492 SF of net rentable area located in Brooklyn, New York. The loan represents a pari-passu interest in a $152.9 million mortgage loan. It is one of seven Class A buildings situated within the MetroTech Center, all of which are owned by the sponsor. As of March 2018, the building was 100% leased, unchanged from the last review and securitization. One of the tenants, WellPoint Inc. currently subleases 92% of their space to seven subtenants. The WellPoint Inc. lease represents 60% of the building's net rentable area (NRA) and is scheduled to expire on June 30, 2020. The improvements are situated on New York City-owned land and subject to a ground lease that expires in 2100. The loan benefits from amortization and Moody's LTV and stressed DSCR are 82% and 1.18X, respectively, compared to 84% and 1.15X at the last review. The third largest loan is the City Creek Center Loan ($77.7 million -- 6.8% of the pool), which is secured by 348,537 SF of net rentable area contained within a 628,934 SF regional mall located in Salt Lake City, Utah. City Creek Center opened in March 2012 as part of a $1.5 billion mixed-used redevelopment of downtown Salt Lake City that started in 2006. In addition to the subject property, the development contains 2.1 million SF of office space, 800 multi-family units and a 4,000-space subterranean garage. The center is anchored by Macy's and Nordstrom. Both anchor units are owned by their respective tenants and are not contributed as collateral for the loan. The borrower owns a leasehold interest in the majority of the collateral and a fee interest in three restaurants. The ground-lease is with the Church of Latter-day Saints with an initial term of 30 years through March 21, 2042 and four additional 10-year options. As of January 2018, the property was 93% leased, compared to 98% leased as of March 2017. The loan benefits from amortization and Moody's LTV and stressed DSCR are 73% and 1.25X, respectively, compared to 75% and 1.23X at the last review. MORGAN STANLEY 2013-C7: Moody's Affirms B2 Rating on Class G Certs ------------------------------------------------------------------ Moody's Investors Service, has affirmed the ratings on Thirteen classes in Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Commercial Mortgage Pass-Through Certificates as follows: Cl. A-AB, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. A-3, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Jul 20, 2017 Affirmed Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Jul 20, 2017 Affirmed A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Jul 20, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Jul 20, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed Ba3 (sf); previously on Jul 20, 2017 Affirmed Ba3 (sf) Cl. G, Affirmed B2 (sf); previously on Jul 20, 2017 Affirmed B2 (sf) Cl. PST, Affirmed A1 (sf); previously on Jul 20, 2017 Affirmed A1 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed A2 (sf); previously on Jul 20, 2017 Affirmed A2 (sf) RATINGS RATIONALE The ratings on ten P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on the IO classes, Cl. X-A and Cl. X-B, were affirmed based on the credit quality of the referenced classes. The ratings on the exchangeable class, Cl. PST, was affirmed due to the weighted average rating factor (WARF) of the exchangeable classes. Moody's rating action reflects a base expected loss of 2.2% of the current pooled balance, compared to 2.0% at Moody's last review. Moody's base expected loss plus realized losses is now 2.0% of the original pooled balance, the same as at Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Cl. A-AB, Cl. A-3, Cl. A-4,Cl. A-S, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, and Cl. G were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The principal methodology used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Cl. PST was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the June 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 20% to $1.11 billion from $1.39 billion at securitization. The certificates are collateralized by 56 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans (excluding defeasance) constituting 59% of the pool. One loan, constituting 2% of the pool, has an investment-grade structured credit assessment. Two loans, constituting 2% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 18, compared to 19 at Moody's last review. Two loans, constituting 3% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $2.7 million (for an average loss severity of 17%). No loans are currently in special servicing. Moody's has assumed a high default probability for one poorly performing loan, constituting 0.4% of the pool, and has estimated a moderate loss from the troubled loan. Moody's received full or partial year 2016 and 2017 operating results for 98% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 97% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 12% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.72X and 1.09X, respectively, compared to 1.74X and 1.10X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The loan with a structured credit assessment is the Sunvalley Shopping Center Fee Loan ($21.4 million -- 1.9% of the pool), which is secured by the leased fee interest associated with six parcels of land totaling 68.4 acres located in Concord, California. The parcels generate revenue through a ground lease to a 1.4 million square feet (SF) regional mall which is operated by an affiliate of Taubman Centers Inc. The mall anchors are JC Penney, Macy's and Sears. Moody's structured credit assessment is aaa (sca.pd), the same as at Moody's last review. The top three conduit loans represent 33% of the pool balance. The largest loan is the Chrysler East Building Loan ($165 million -- 14.8% of the pool), which is secured by a 32-story, 745,000 SF multi-tenant office building within the Grand Central office market of New York, New York. The loan sponsor is Tishman Speyer Properties. Property performance in 2015 diverged substantially from the underwritten levels due to several lease expirations in 2014 and 2015 including the two largest tenants at securitization. Property performance has been recovering since 2016 and was 85% leased as of March 2018, compared to 83% as of March 2017. Moody's LTV and stressed DSCR are 123% and 0.75X, respectively, the same as at Moody's last review. The second largest loan is the Millennium Boston Retail Loan ($99.4 million -- 8.9% of the pool), which is secured by nine commercial condominium units contained within three buildings, totaling 282,000 SF of mixed use space in the Midtown/Theater District area of downtown Boston, Massachusetts. The properties are 100% leased as of May 2018, unchanged from prior reviews and securitization. Moody's LTV and stressed DSCR are 81% and 1.06X, respectively, compared to 82% and 1.05X at the last review. The third largest loan is the Solomon Pond Mall Loan ($98.5 million -- 8.9% of the pool), which is secured by a 399,000 SF component of a 885,000 SF regional mall located in Marlborough, Massachusetts (approximately 27 miles west of Boston). The property is anchored by Macy's, JC Penney, and Sears, none of which are part of the loan collateral. The largest collateral tenants are Regal Cinema (17% of the NRA) and Tilt Arcade (7% of the NRA). As of March 2018, the property was 94% leased, with in-line occupancy of 85%. The property's financial performance has been stable for the past three years. Moody's LTV and stressed DSCR are 90% and 1.17X, respectively, compared to 92% and 1.15X at the last review. MORGAN STANLEY 2013-C8: S&P Affirms B Rating on Class G Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on five classes of commercial mortgage pass-through certificates from Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on eight other classes from the same transaction. S&P said, "For the upgrades and affirmations, our expectation of credit enhancement was in line with the raised or affirmed rating levels. The upgrades also reflect the reduction in trust balance, the defeasance of the Wanamaker Building loan ($68.7 million, 7.7%), and sustainable improvement in the performances of the Storage Post Portfolio loan ($54.4 million, 6.1%); the Carolina Premium Outlets loan ($44.7 million, 5.0%); and the Embassy Suites – Fort Lauderdale loan ($33.2 million, 3.7%), offset by sustainable decline in the performance of the Chrysler East Building loan ($100.0 million, 11.2%). "We raised our rating to 'AA+ (sf)' on the class X-B interest-only (IO) certificates and affirmed our 'AAA (sf)' rating on the class X-A IO certificates based on our criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-A references classes A-SB, A-3, A-4, and A-S, while the notional balance on class X-B references class B. "In addition, we raised our rating on the class PST certificates to 'AA- (sf)', reflecting the rating on the class C certificates. The class PST certificates are exchangeable for the class A-S, B, and C certificates." TRANSACTION SUMMARY As of the June 15, 2018, trustee remittance report, the collateral pool balance was $897.0 million, which is 78.8% of the pool balance at issuance. The pool currently includes 50 loans, down from 54 loans at issuance. One loan ($4.9 million, 0.5%) is with the special servicer, three ($83.2 million, 9.3%) are defeased, and eight ($120.2 million, 13.4%) are on the master servicer's watchlist. To date, the transaction has not experienced any principal losses. S&P said, "We calculated a 2.06x S&P Global Ratings' weighted average debt service coverage (DSC) and 73.5% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.83% S&P Global Ratings' weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the specially serviced and defeased loans. "The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $503.8 million (56.2%). Adjusting the servicer-reported numbers, we calculated an S&P Global Ratings' weighted average DSC and LTV of 2.31x and 69.8%, respectively, for the top 10 nondefeased loans." CREDIT CONSIDERATIONS As of the June 15, 2018, trustee remittance report, the Flats at Wick loan was the sole loan with the special servicer, Colony NorthStar AMC OPCO LLC. The loan has a total reported exposure of $4.9 million and a reported late (but less than one-month delinquent) payment status. The loan is secured by a 113-unit student housing property in Youngstown, Ohio. The loan was transferred to the special servicer on April 17, 2018, due to default. According to comments provided in the transaction's reporting files, the special servicer is in discussion with the borrower to cure defaults. The servicer-reported net operating income (NOI) at the property has trended downwards in recent years, with a reported NOI of $466,104 as of year-end 2017. The reported DSC and occupancy as of year-end 2017 were 1.17x and 99.1%, respectively. We expect a minimal loss (less than 25%) upon this loan's eventual resolution. RATINGS LIST Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 Commercial mortgage pass-through certificates series 2013-C8 Rating Class Identifier To From A-SB 61761QAC7 AAA (sf) AAA (sf) A-3 61761QAD5 AAA (sf) AAA (sf) A-4 61761QAE3 AAA (sf) AAA (sf) X-A 61761QAF0 AAA (sf) AAA (sf) A-S 61761QAG8 AAA (sf) AAA (sf) B 61761QAH6 AA+ (sf) AA (sf) PST 61761QAJ2 AA- (sf) A (sf) C 61761QAK9 AA- (sf) A (sf) X-B 61761QAL7 AA+ (sf) AA (sf) D 61761QAN3 BBB+ (sf) BBB (sf) E 61761QAQ6 BB+ (sf) BB+ (sf) F 61761QAS2 BB- (sf) BB- (sf) G 61761QAU7 B (sf) B (sf) MORGAN STANLEY 2015-UBS8: Fitch Affirms B- Rating on Cl. X-G Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 17 classes of Morgan Stanley & Co. LLC's MSCI 2015-UBS8 Commercial Mortgage Pass-Through Certificates. KEY RATING DRIVERS Relatively Stable Performance: The affirmations reflect the majority of the loans in the pool exhibiting stable performance and sufficient credit enhancement in light of increased loss expectations on the Fitch Loans of Concern (FLOCs). Fitch has designated five loans as FLOCs (13.4% of current pool), including three loans in the top 15 (11.3%) and one specially serviced loan (0.7%). Fitch Loans of Concern: The largest FLOC, Meridian Office Complex (6.6%), is secured by a suburban office complex located in Carmel, IN, that suffered a significant occupancy decline after losing a major tenant (36% of NRA) at the end of 2017. Further, the current largest tenant (43% of NRA) is month-to-month after its lease expired in March 2017; the tenant contributes 76% of the remaining in-place cash flow. The second largest FLOC, the WPC Department Store Portfolio (2.5%), is secured by a portfolio of six department stores owned by The Bon-Ton Stores Inc. located in Wisconsin, Illinois and North Dakota. Bon-Ton filed for bankruptcy in February 2018 and subsequently announced the liquidation of all of their assets. The final chain-wide closing date is scheduled for end of August 2018. The third largest FLOC, Radisson - Buena Park, CA (2.2%), is secured by a full-service hotel property located in Buena Park, CA, that reported a significant drop in NOI in 2017, which was largely due to property renovations; all renovations have since been completed as of March 2018. The fourth largest FLOC, Holiday Inn Express - Atlanta Airport (1.4%), is secured by a limited-service hotel property located in Atlanta, GA, that did not renew its franchise agreement by January 2018; the franchise agreement is scheduled to expire in January 2020. The property also has numerous property improvement plan items outstanding. The specially serviced loan, Romeoville Town Center (0.7%), is secured by a retail convenience center in Romeoville, IL. The loan transferred to special servicing in August 2016 due to payment default. Foreclosure occurred in February 2018 where the lender was the successful bidder. A confirmation hearing is scheduled later this month. Fitch applied an additional sensitivity scenario on the Meridian Office Complex and the WPC Department Store Portfolio loans to reflect the potential for outsized losses. The Rating Outlooks reflect this analysis. Minimal Change to Credit Enhancement: As of the June 2018 distribution date, the pool's aggregate principal balance has been reduced by 2.5% to $785.1 million from $805.0 million at issuance. One loan (0.8% of original pool) has paid off since issuance. The pool is scheduled to amortize by 11.3% of the initial pool balance prior to maturity. Eight loans (30.5% of current pool), including the second largest loan, are full-term interest-only, while eight loans (22.7%) remain in their partial interest-only periods. High Retail Concentration: Retail properties comprise 43.9% of the pool, including eight of the top 15 loans. Four of these top 15 loans (19.0%) are secured by retail outlet centers owned by Simon Property Group. These outlets centers reported in-line sales ranging between $323 psf and $408 psf in 2017. Another top 15 loan is secured by a regional mall located in Eagle Pass, TX, that draws a significant portion of its customers from Mexico. Fitch requested updated sales data for this property; however, none was provided. Maturity Schedule: The entire pool matures in 2025. RATING SENSITIVITIES The Negative Outlooks assigned to classes E, F and G and the interest-only classes X-D, X-F and X-G reflect performance concerns and the potential for outsized losses on the Meridian Office Complex and WPC Department Store Portfolio loans, as well as the high retail concentration in the pool. Fitch ran an additional stress scenario which assumed a 25% loss on Meridian Office Complex and a 75% loss on the WPC Department Store Portfolio. The Outlooks on classes A-1 through D and the interest-only classes X-A and X-B remain Stable due to overall stable performance and expected continued amortization. Rating upgrades may occur with improved pool performance and/or 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 and revised Rating Outlooks to the following classes as indicated: -- $12.8 million class A-1 at 'AAAsf'; Outlook Stable; -- $6.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $51.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $160.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $313.0 million class A-4 at 'AAAsf'; Outlook Stable; -- $48.3 million class A-S at 'AAAsf'; Outlook Stable; -- $53.3 million class B at 'AA-sf'; Outlook Stable; -- $37.2 million class C at 'A-sf'; Outlook Stable; -- $25.2(a) million class D at 'BBBsf'; Outlook Stable; -- $18.1(a) million class E at 'BBB-sf'; Outlook to Negative from Stable; -- $18.7(a) million class F at 'BBsf'; Outlook to Negative from Stable; -- $10.5(a) million class G at 'B-sf'; Outlook Negative; -- $543.6(b) million class X-A at 'AAAsf'; Outlook Stable; -- $101.6(a)(b) million class X-B at 'AA-sf'; Outlook Stable; -- $43.3(a)(b) million class X-D at 'BBB-sf'; Outlook to Negative from Stable; -- $18.7(a)(b) million class X-F at 'BBsf'; Outlook to Negative from Stable; -- $10.5(a)(b) million class X-G at 'B-sf'; Outlook Negative. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. Fitch does not rate the class H and J certificates or the interest-only class X-H and X-J certificates. MORGAN STANLEY 2016-UBS11: Fitch Affirms B- Rating on Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Morgan Stanley Capital l Trust 2016-UBS11 Commercial Mortgage Pass-Through Certificates. KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations are based on the stable performance of the underlying collateral. There have been no material changes to the pool since issuance, and therefore the original rating analysis was considered in affirming the transaction. As of the June 2018 distribution date, the pool's aggregate principal balance has been reduced by 2.1% to $704.8 million from $719.8 million at issuance. No loans have transferred to special servicing and there are currently no loans on the servicers Watch List. Strong Credit Metrics: As of the June 2018 distribution, the pool's weighted-average debt service coverage ratio (DSCR) was 2.58x based on borrower reporting, and the weighted-average debt yield was 12.7%. The weighted-average LTV is 83.4%. High Lodging Exposure: Approximately 35.8% of the pool by balance, including eight of the top 20 loans, is comprised of hotel properties. Hotel concentration in the pool is greater than the 2017 and 2016 averages of 15.8% and 16.0%, respectively. Two of the top 10 loans, 132 West 27th Street (9.4% of the pool) and Fairfield Inn Times Square Fee (7% of the pool), are classified as hotels but are collateralized by a net lease and leased fee interest, respectively. Excluding these two loans, the hotel concentration is 19.6%, which is higher than the 2017 and 2016 averages, respectively. Amortization: The pool is scheduled to amortize by 14.9%, there are four loans representing 23.8% of the pool that are full-term interest only and six loans representing 16.1% of the pool that are partial interest-only. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: --$27.2 million class A-1 at 'AAAsf'; Outlook Stable; --$60.3 million class A-2 ' at AAAsf'; Outlook Stable; --$55.9 million class A-SB at 'AAAsf'; Outlook Stable; --$170 million class A-3 at 'AAAsf'; Outlook Stable; --$175.5 million class A-4 at 'AAAsf'; Outlook Stable; --$488.9* million class X-A at 'AAAsf'; Outlook Stable; --$128.7 million* class X-B at 'A-sf'; Outlook Stable; --$60.3 million class A-S at 'AAAsf'; Outlook Stable; --$34.2 million class B at 'AA-sf'; Outlook Stable; --$34.2 million class C at 'A-sf'; Outlook Stable; --$36.9* million class X-D at 'BBB-sf'; Outlook Stable; --$18* million class X-E at 'BB-sf'; Outlook Stable; --$7.2* million class X-F at 'B-sf'; Outlook Stable; --$36.9 million class D at 'BBB-sf'; Outlook Stable; --$18 million class E at 'BB-sf'; Outlook Stable; --$7.2 million class F at 'B-sf'; Outlook Stable. Notional amount and interest-only. Fitch does not rate class G or class XG certificates. MORGAN STANLEY 2018-H3: Fitch Rates Class G-RR Certs 'B-sf' ----------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Morgan Stanley Capital I Trust 2018-H3 Commercial Mortgage Pass-Through Certificates. -- $24,170,000 class A-1 'AAAsf'; Outlook Stable; -- $62,010,000 class A-2 'AAAsf'; Outlook Stable; -- $39,360,000 class A-SB 'AAAsf'; Outlook Stable; -- $38,050,000 class A-3 'AAAsf'; Outlook Stable; -- $275,000,000 class A-4 'AAAsf'; Outlook Stable; -- $278,376,000 class A-5 'AAAsf'; Outlook Stable; -- $716,966,000a class X-A 'AAAsf'; Outlook Stable; -- $135,712,000a class X-B 'AA-sf'; Outlook Stable; -- $90,902,000 class A-S 'AAAsf'; Outlook Stable; -- $44,810,000 class B 'AA-sf'; Outlook Stable; -- $43,530,000 class C 'A-sf'; Outlook Stable; -- $30,727,000ab class X-D 'BBB-sf'; Outlook Stable; -- $30,727,000b class D 'BBB-sf'; Outlook Stable; -- $20,485,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $24,326,000bc class F-RR 'BB-sf'; Outlook Stable; -- $10,242,000bc class G-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $16,644,000bc class H-RR; -- $25,606,358bc class J-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. Since Fitch published its expected ratings on June 18, 2018, the balances for class A-4 and A-5 were finalized. At the time that expected ratings were assigned, the class A-4 balance range was $150,000,000 to $$350,000,000 and the expected class A-5 balance range was $203,376,000 to $403,376,000. The final class size for class A-4 and A-5 are $275,000,000 and $278,376,000, respectively. Additionally, the rating of class X-B has been updated to 'AA-sf' from 'A-sf' based on the final structure. The classes reflect the final ratings and deal structure. The final ratings are based on information provided by the issuer as of July 11, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 66 loans secured by 120 commercial properties having an aggregate principal balance of $1,024,238,359 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, KeyBank National Association, Argentic Real Estate Finance LLC, Starwood Mortgage Funding III LLC, Bank of America, National Association and Citi Real Estate Funding Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 66.0% of the properties by balance, cash flow analysis of 76.2%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Higher Fitch Leverage Relative to Recent Transactions: The pool's leverage is higher than that of recent Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.16x is below the year-to-date (YTD) 2018 and 2017 averages of 1.25x and 1.26x, respectively. The pool's Fitch LTV of 107.2% is higher than the YTD 2018 and 2017 averages of 103.8% and 101.6%, respectively. There are no loans with investment-grade credit opinions in the pool. The average investment-grade credit opinion loan concentration for the YTD 2018 is 9.91%. Low Pool Concentration: This pool is more diverse by loan size than average. The top-10 loans represent 43.7% of the pool by balance. This is well below the YTD 2018 and 2017 averages of 51.2% and 53.1%, respectively. The pool's LCI is 288 and SCI is 298. Comparatively, the YTD 2018 average LCI score is 379 and the YTD 2018 average SCI score is 415. Limited Amortization: There are 27 loans (54.0% of the pool) that are full-term interest-only and 21 loans (23.1%) that are partial interest-only. Based on the scheduled balance at maturity, the pool will pay down by 6.4%, which is below the YTD 2018 average of 7.4% and the 2017 average of 7.9%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 11.2% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the MSC 2018-H3 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 'BB+sf' could result. The presale report includes a detailed explanation of additional stresses and sensitivities on page 11. 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 Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and the findings did not have an impact on the analysis or conclusions. MORGAN STANLEY 2018-MP: Moody's Rates Class E Certs '(P)Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to seven classes of CMBS securities, issued by Morgan Stanley Capital I Trust 2018-MP, Commercial Mortgage Pass-Through Certificates, Series 2018-MP: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa3 (sf) Cl. C, Assigned (P)A3 (sf) Cl. D, Assigned (P)Baa3 (sf) Cl. E, Assigned (P)Ba3 (sf) Cl. X-A*, Assigned (P)Aaa (sf) Cl. X-B*, Assigned (P)Aa3 (sf) * Reflects interest-only class RATINGS RATIONALE The certificates are collateralized by a single loan backed by the borrower's condominium interests in eight retail and office assets in New York, Boston, San Francisco, Washington D.C. and Miami. The loan is secured by fee simple interests in all eight assets and a leasehold interest in a portion of the asset located in San Francisco. The loan is a 10 year, fixed-rate, interest-only, first lien mortgage loan with an original and outstanding principal balance of $710,000,000. The ratings are based on the collateral and the structure of the transaction. More specifically, the trust assets primarily consist of two promissory notes, including one senior note and one junior note, which combined have an aggregate principal balance of $484,100,000 as of the cut-off date. The portfolio is comprised of condominium interests in eight Class A properties all centrally located within top tier gateway markets. In aggregate, the collateral improvements contain 1,549,699 SF of retail, office and/or parking area. The three New York City properties represent retail components of luxury apartment condominiums on Manhattan's Upper West Side. The Boston property represents the retail and office component of a recently constructed luxury residential tower in Boston's Downtown Crossing neighborhood. The remaining four properties represent commercial condominium components of a related 5-star luxury hotel (two Ritz-Carlton hotels and two Four Seasons hotels). Except for a small office/retail building located at 735 Market Street in San Francisco, all of the properties were developed by the sponsor, Millennium Partners LLC, within the last 25 years and have been maintained in excellent condition. As of May 1, 2018 the portfolio is 94.3% leased to a combination of national retail tenants including Equinox sports clubs, AMC Loews movie theaters, Primark, and Zara along with office tenants including Havas and HSBC. Moody's approach to rating this transaction involved an application of Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS and Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also consider a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The first mortgage balance of $710,000,000 represents a Moody's LTV of 92.1%, inclusive of the $280,150,000 mezzanine loan this increases to 128.4%. The Moody's first mortgage DSCR is 2.03x and Moody's first mortgage DSCR at a 9.25% stressed constant is 0.94x. Notable strengths of the transaction include the location of the properties in gateway cities, historical occupancy, geographic diversification and strong sponsorship. Offsetting these strengths are the interest-only mortgage loan profile, additional debt, tenant concentration, declining retail sales of some tenants, condominium structure and credit negative legal features. The principal methodology used in rating Morgan Stanley Capital I Trust 2018-MP, Cl. A, Cl. B, Cl. C, Cl. D, and Cl. E was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Morgan Stanley Capital I Trust 2018-MP, Cl. X-A, and Cl. X-B were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan paydowns or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. NOMURA CRE 2007-2: Fitch Affirms Csf Rating on 11 Tranches ---------------------------------------------------------- Fitch Ratings has affirmed all classes of Nomura CRE CDO 2007-2, Ltd./LLC (Nomura 2007-2). KEY RATING DRIVERS Default of the remaining rated classes is considered inevitable. The collateralized debt obligation (CDO) is undercollateralized in excess of $260 million. The balance of the most senior outstanding class D notes of $28.8 million exceeds the remaining collateral of $25.5 million. All remaining classes have negative credit enhancement. As of the May 2018 trustee report, the CDO is failing all overcollateralization and interest coverage tests. Since the last rating action and as of the May 2018 trustee report, the CDO liabilities have paid down by $64.3 million, mainly from six asset repayments, which resulted in the full pay off of classes B and C. The transaction is highly concentrated with only four assets remaining, two defaulted commercial real estate CDO bonds (60.5% of collateral) and two whole loans (39.5%) secured by retail properties in Baton Rouge, LA and Kennewick, WA. RATING SENSITIVITIES Future upgrades are not expected as the transaction is undercollateralized. All classes are subject to further downgrade to 'Dsf' as the classes are expected to default at legal maturity. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $28.8 million class D affirmed at 'Csf'; RE 60%; -- $22.4 million class E affirmed at 'Csf'; RE 0%; -- $23.9 million class F affirmed at 'Csf'; RE 0%; -- $28.0 million class G affirmed at 'Csf'; RE 0%; -- $23.1 million class H affirmed at 'Csf'; RE 0%; -- $29.3 million class J affirmed at 'Csf'; RE 0%; -- $31.1 million class K affirmed at 'Csf'; RE 0%; -- $12.5 million Class L affirmed at 'Csf'; RE 0%; -- $8.5 million Class M affirmed at 'Csf'; RE 0%; -- $13.1 million Class N affirmed at 'Csf'; RE 0%; -- $23.5 million Class O affirmed at 'Csf'; RE 0%. Fitch does not rate the $48.5 million preferred shares. Classes A-1, AR, A-2, B and C were paid in full. OCTAGON INVESTMENT 27: S&P Assigns B-(sf) Rating on Cl. F-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes from Octagon Investment Partners 27 Ltd., a collateralized loan obligation originally issued in June 2016 and is managed by Octagon Credit Investors LLC. S&P also withdrew its rating on the original class A notes following payment in full on the July 16, 2018, refinancing date. On the July 16, 2018, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes as outlined in the transaction document provisions. Therefore, S&P withdrew its rating on the original class A notes in line with their full redemption, and S&P assigned ratings to the replacement class A-1-R, B-1-R, B-2-R, C-R, D-R, E-R, and F-R notes. Based on the provisions in the amended and restated indenture, the following changes will be made, among others: -- The replacement classes are issued at a lower weighted average cost of debt than the current notes. -- The replacement classes are issued at fixed and floating rates, replacing the current floating-rate notes. -- The stated maturity, reinvestment period, and non-call period are extended by three, 2.50, and two years, respectively. -- 99.28% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 92.88% of the identified underlying collateral obligations have recovery ratings issued by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED Octagon Investment Partners 27 Ltd./Octagon Investment Partners 27 LLC Replacement class Rating Amount (mil. $) A-1-R AAA (sf) 310.00 A-2-R NR 20.00 B-1-R AA (sf) 27.50 B-2-R AA (sf) 22.50 C-R (deferrable) A (sf) 35.00 D-R (deferrable) BBB- (sf) 25.00 E-R (deferrable) BB- (sf) 20.00 F-R (deferrable) B- (sf) 10.00 Subordinated notes NR 50.40 RATING WITHDRAWN Octagon Investment Partners 27 Ltd./Octagon Investment Partners 27 LLC Rating Original class To From A NR AAA (sf) NR--Not rated. OCTAGON INVESTMENT XVI: S&P Assigns B-(sf) Rating on Cl. F-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-1-R, B-R, C-R, D-R, E-R, and F-R notes and the new class X-R notes from Octagon Investment Partners XVI Ltd., a collateralized loan obligation originally issued in June 2013 and managed by Octagon Credit Investors LLC. S&P also withdrew its rating on the original class A, B-1, B-2, C-1, C-2, D, E, and F notes following payment in full on the July 17, 2018, refinancing date. On the July 17, 2018, refinancing date, the proceeds from the replacement notes issuance were used to redeem the original notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original class A, B-1, B-2, C-1, C-2, D, E, and F notes in line with their full redemption, and it assigned ratings to the replacement class A-1-R, B-R, C-R, D-R, E-R, and F-R notes and the new class X-R notes. S&P said, "We had placed our ratings on the original class B-1, B-2, C-1, C-2, and D notes on CreditWatch with positive implications on April 20, 2018, reflecting the increased credit support for these classes due to paydowns on the senior class. In light of substantial changes to the transaction post reset--which include upsizing both the asset portfolio and the total balance of the transaction's tranches, as well as extending the reinvestment period--we did not place any replacement class ratings on CreditWatch." Based on the provisions in the amended and restated indenture, the following changes were made, among others: -- Issuance of replacement notes whose aggregate balance will be greater than the current aggregate balance of the original notes -- Issuance of the replacement classes at a slightly lower weighted average cost of debt than the current notes. -- Issuance of all replacement classes at floating spreads, replacing the current fixed- and floating-rate classes. -- Extension of the stated maturity of the rated notes by five years compared to the original transaction. -- Reestablishment of the reinvestment period and non-call period and set them to end five and two years from the reset closing date, respectively. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED Octagon Investment Partners XVI Ltd./Octagon Investment Partners XVI LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 4.50 A-1-R AAA (sf) 300.00 A-2-R NR 25.00 B-R AA (sf) 55.00 C-R (deferrable) A (sf) 30.00 D-R (deferrable) BBB- (sf) 30.00 E-R (deferrable) BB- (sf) 20.00 F-R (deferrable) B- (sf) 10.00 Subordinated notes NR 86.00 RATINGS WITHDRAWN Octagon Investment Partners XVI Ltd./Octagon Investment Partners XVI LLC Rating Original class To From A NR AAA (sf) B-1 NR AA+ (sf)/Watch Pos B-2 NR AA+ (sf)/Watch Pos C-1 NR A+ (sf)/Watch Pos C-2 NR A+ (sf)/Watch Pos D NR BBB (sf)/Watch Pos E NR BB (sf) F NR B (sf) NR--Not rated. ONEMAIN DIRECT 2017-1: Moody's Hikes Class E Notes to Ba3 --------------------------------------------------------- Moody's Investors Service has upgraded seven outstanding tranches and affirmed two outstanding tranches issued from OneMain Direct Auto Receivables Trusts. The securitizations are sponsored and serviced by Springleaf Finance Corporation (SFC), rated B1, a wholly owned subsidiary of OneMain Holdings, Inc., rated B1. The complete rating actions are as follow: Issuer: OneMain Direct Auto Receivables Trust 2016-1 Class A, Affirmed Aaa (sf); previously on November 21, 2017 Upgraded to Aaa (sf) Class B, Affirmed Aaa (sf); previously on November 21, 2017 Upgraded to Aaa (sf) Class C, Upgraded to Aaa (sf); previously on November 21, 2017 Upgraded to Aa2 (sf) Class D, Upgraded to A1 (sf); previously on November 21, 2017 Upgraded to Baa2 (sf) Issuer: OneMain Direct Auto Receivables Trust 2017-1 Class A Asset-Backed Notes, Upgraded to Aaa (sf); previously on February 1, 2017 Definitive Rating Assigned Aa3 (sf) Class B Asset-Backed Notes, Upgraded to Aa2 (sf); previously on February 1, 2017 Definitive Rating Assigned A2 (sf) Class C Asset-Backed Notes, Upgraded to A1 (sf); previously on February 1, 2017 Definitive Rating Assigned Baa2 (sf) Class D Asset-Backed Notes, Upgraded to Baa2 (sf); previously on February 1, 2017 Definitive Rating Assigned Ba2 (sf) Class E Asset-Backed Notes, Upgraded to Ba3 (sf); previously on February 1, 2017 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The upgrades are a result of the buildup of credit enhancement owing to structural features including a sequential pay bond structure, a non-declining reserve account and overcollateralization. The transactions have particularly benefited from the sequential pay bond structures because the underlying pools of SFC's direct auto loans prepay at a much higher rate than typical auto loans. SFC frequently refinances existing direct auto loans for qualified borrowers which results in a prepayment of the loan out of the trust during the amortization period. As long as SFC continues its renewal practice, the transactions will benefit from high prepayments and a rapid buildup of credit enhancement. The lifetime cumulative net loss (CNL) expectation was decreased to 3.25% from 3.75% for ODART 2016-1, reflecting stronger than expected performance of the underlying loans as well as high prepayments. The lifetime CNL expectation was decreased to 5.50% from 7.00% for ODART 2017-1 following the end of the revolving period, throughout which its loss analysis took into account the potential for a decline in the credit quality of the pool, subject to reinvestment criteria. Here are key performance metrics (as of the June 2018 distribution date) and credit assumptions for each affected transaction. The credit assumptions include Moody's expected lifetime CNL expectation (expressed as a percentage of the original pool balance) and Moody's lifetime remaining CNL expectation (expressed as a percentage of the current pool balance). Performance metrics include the pool factor, which is the ratio of the current collateral balance to the original collateral balance at closing; total hard credit enhancement, which typically consists of subordination, overcollateralization, and a reserve fund; and excess spread per annum. Issuer - OneMain Direct Auto Receivables Trust 2016-1 Lifetime CNL expectation -- 3.25%; prior expectation (November 2017) -- 3.75% Lifetime Remaining CNL expectation -- 4.72% Pool factor -- 21.97% Total Hard credit enhancement - Class A 103.56%, Class B 76.03%, Class C 45.09%, Class D 12.55% Excess Spread per annum - Approximately 9.0% Issuer - OneMain Direct Auto Receivables Trust 2017-1 Lifetime CNL expectation -- 5.50%; original expectation (February 2017) -- 7.00% Lifetime Remaining CNL expectation -- 5.97% Pool factor -- 79.15% Total Hard credit enhancement - Class A 42.92%, Class B 31.55%, Class C 23.97%, Class D 12.60%, Class E 5.02% Excess Spread per annum - Approximately 12.3% Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. OZLM LTD VII: Moody's Assigns B3 Rating on Class E-R Notes ---------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by OZLM VII, Ltd.: Moody's rating action is as follows: US$392,200,000 Class A-1-R Senior Secured Floating Rate Notes Due 2029 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$63,800,000 Class A-2-R Senior Secured Floating Rate Notes Due 2029 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$30,900,000 Class B-R Senior Secured Deferrable Floating Rate Notes Due 2029 (the "Class B-R Notes"), Assigned A2 (sf) US$37,900,000 Class C-R-R Senior Secured Deferrable Floating Rate Notes Due 2029 (the "Class C-R-R Notes"), Assigned Baa3 (sf) US$32,600,000 Class D-R Secured Deferrable Floating Rate Notes Due 2029 (the "Class D-R Notes"), Assigned Ba3 (sf) US$5,700,000 Class E-R Secured Deferrable Floating Rate Notes Due 2029 (the "Class E-R Notes"), Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Och-Ziff Loan Management LP 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 17, 2018 in connection with 1) the refinancing of the Class A-1a-R, A-1b-R, A-2a-R, A-2b-R, B-1-R, B-2-R and C-R secured notes, previously issued on April 17, 2017 and 2) the refinancing of the Class D and Class E secured notes, previously issued on June 26, 2014. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Existing Notes and Original Notes. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to comply with the Volcker Rule. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2875 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.25% Weighted Average Life (WAL): 7.0 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. PALMER SQUARE 2018-2: S&P Assigns (P)B- Rating on E Notes --------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Palmer Square CLO 2018-2 Ltd.'s $457.75 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 13, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Palmer Square CLO 2018-2 Ltd. Class Rating Amount (mil. $) A-1a AAA (sf) 311.00 A-1b NR 9.00 A-2 AA (sf) 60.00 B A (sf) 30.00 C BBB- (sf) 25.00 D BB- (sf) 23.50 E B- (sf) 8.25 Subordinated notes NR 41.60 NR--Not rated. PALMER SQUARE 2018-2: S&P Assigns B-(sf) Rating on Class F Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Palmer Square CLO 2018-2 Ltd.'s $457.75 million floating 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 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 Palmer Square CLO 2018-2 Ltd. Class Rating Amount (mil. $) A-1a AAA (sf) 311.00 A-1b NR 9.00 A-2 AA (sf) 60.00 B A (sf) 30.00 C BBB- (sf) 25.00 D BB- (sf) 23.50 E B- (sf) 8.25 Subordinated notes NR 41.60 NR--Not rated. REALT 2018-1: DBRS Assigns Prov. B Rating on Class G Certs ---------------------------------------------------------- DBRS Limited assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-1 to be issued by Real Estate Asset Liquidity Trust (REALT), Series 2018-1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class B at AA (sf) -- Class X at A (high) (sf) -- Class C at A (sf) -- Class D-1 at BBB (sf) -- Class D-2 at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) -- Class G at B (sf) All trends are Stable. Classes D-2, E, F and G will be privately placed. The Class X balance is notional. The collateral consists of 66 fixed-rate loans and four pari passu co-ownership interests secured by 140 commercial properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, 11 loans, representing 6.4% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a high likelihood of mid-term default. Additionally, to assess refinance risk given the current low interest rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in five loans, representing 13.6% of the pool, having refinance DSCRs below 1.00x based on the trust balance, indicating elevated refinance risk. Ten loans, representing 19.3% of the pool, were considered by DBRS to have strong sponsor strength and 44 loans, representing 52.3% of the pool, were considered to have meaningful recourse to the respective sponsor; all else being equal, recourse loans typically have a lower probability of default and were analyzed as such. All loans in the pool amortize for the entire term, with 55.0% of the pool, amortizing on schedules that are 25 years or less and the remaining loans amortizing on schedules that are between 25 to 30 years. Forty-three loans, representing 20.7% of the pool balance, are seasoned loans originated by a separate financial institution and were acquired by the Royal Bank of Canada (RBC) (the acquired loans). The majority of these loans have dated rent rolls and/or operating statements that are more than 24 months. However, RBC warrants proven payment history. Additionally, RBC conducted its own analysis, including updated valuations, site visits and property cash flow analysis of each loan based on the bank's standards. These loans are generally seasoned with lower loan-to-value ratios based on RBC's updated valuations. The DBRS sample included 37 of the 70 loans in the pool. Site inspections were performed on 93 of the 140 properties in the portfolio (64.2% of the pool by allocated loan balance). The DBRS sampled RBC originated loans had an average NCF variance of -3.3% from the Issuer's NCF and ranged from -19.5% (U-Haul Royal Windsor Drive) to +9.1% (U-Haul East Drive). The DBRS sampled acquired loans had an average NCF variance of -21.0% to the Issuer's NCF. For the non-sampled loans, DBRS applied the average NCF variances of RBC-originated loans and acquired loans, respectively. Class X is interest-only (IO) that references multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. REGATTA FUNDING XIII: Moody's Assigns Ba3 Rating on Class D Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Regatta XIII Funding Ltd. Moody's rating action is as follows: US$5,650,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$367,500,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$60,250,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$27,250,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Assigned A2 (sf) US$35,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf) US$35,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Regatta XIII 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 approximately 89% ramped as of the closing date. Napier Park Global Capital (US) LP 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 two other classes of notes including 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: $565,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. ] SEQUOIA MORTGAGE 2018-CH3: Moody's Gives (P)Ba2 Rating on B-5 Debt ------------------------------------------------------------------ Moody's Investors Service, has assigned provisional ratings to the classes of residential mortgage-backed securities (RMBS) issued by Sequoia Mortgage Trust 2018-CH3, except for the interest-only classes. The certificates are backed by one pool of prime quality, first-lien mortgage loans. SEMT 2018-CH3 is the fifth securitization that includes loans acquired by Redwood Residential Acquisition, a subsidiary of Redwood Trust, Inc., under its expanded credit prime loan program called "Redwood Choice". Redwood's Choice program is a prime program with credit parameters outside of Redwood's traditional prime jumbo program, "Redwood Select." The Choice program expands the low end of Redwood's FICO range to 661 from 700, while increasing the high end of eligible loan-to-value ratios from 85% to 90%. The pool also includes loans with non-QM characteristics (30.11%), such as debt-to-income ratios up to 49.99%. Non-QM loans were acquired by Redwood under each of the Select and Choice programs. The assets of the trust consist of 549 fixed rate mortgage loans, all of which are fully amortizing, except for four mortgage loan that has an interest-only term. The mortgage loans have an original term to maturity of 30 years except for seven loans which have an original term to maturity of 20 years and one loan with an original term to maturity of 25 years. The loans were sourced from multiple originators and acquired by Redwood. All of the loans conform to the Seller's guidelines, except for loans originated by First Republic Bank, TIAA FSB (FKA EverBank), five of 10 loans originated by Guaranteed Rate, and high balance agency conforming loans underwritten to GSE guidelines with Redwood overlays. First Republic Bank originated loans conform with First Republic Bank's guidelines. TIAA FSB (FKA EverBank) were underwritten to EverBank Non-Agency Preferred guidelines, and five loans originated by and Guaranteed Rate loans were underwritten to their Guaranteed Rate Flex Jumbo program. The transaction benefits from nearly 100% due diligence of data integrity, credit, property valuation, and compliance conducted by an independent third-party firm. CitiMortgage Inc. will act as the master servicer of the loans in this transaction. Shellpoint Mortgage Servicing, TIAA FSB, First Republic Bank, and HomeStreet Bank will be primary servicers on the deal. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2018-CH3 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aa1 (sf) Cl. A-20, Assigned (P)Aa1 (sf) Cl. A-21, Assigned (P)Aa1 (sf) Cl. A-22, Assigned (P)Aaa (sf) Cl. A-23, Assigned (P)Aaa (sf) Cl. A-24, Assigned (P)Aaa (sf) Cl. B-1A, Assigned (P)Aa3 (sf) Cl. B-1B, Assigned (P)Aa3 (sf) Cl. B-2A, Assigned (P)A1 (sf) Cl. B-2B, Assigned (P)A1 (sf) Cl. B-3, Assigned (P)A3 (sf) Cl. B-4, Assigned (P)Baa2 (sf) Cl. B-5, Assigned (P)Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis Moody's expected cumulative net loss on the aggregate pool is 0.80% in a base scenario and reaches 10.60% at a stress level roughly consistent with Aaa ratings. The MILAN CE may be different from the credit enhancement that is consistent with a Aaa rating for a tranche, because the MILAN CE does not take into account the structural features of the transaction. Moody's took this difference into account in its ratings of the senior classes. The MILAN CE may be different from the credit enhancement that is consistent with a Aaa rating for a tranche, because the MILAN CE does not take into account the structural features of the transaction. Moody's took this difference into account in its ratings of the senior classes. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to its Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description The SEMT 2018-CH3 transaction is a securitization of 549 first lien residential mortgage loans, with an aggregate unpaid principal balance of $416,960,596. There are 109 originators in this pool, including Guild Mortgage (6.1%), LoanDepot.com (6.0%), and PrimeLending (5.4%). The remaining originators contributed less than 5% of the principal balance of the loans in the pool. The loan-level third party due diligence review (TPR) encompassed credit underwriting, property value and regulatory compliance. In addition, Redwood has agreed to backstop the rep and warranty repurchase obligation of all originators other than First Republic Bank. SEMT 2018-CH3 includes loans acquired by Redwood under its Choice program. Although from a FICO and LTV perspective, the borrowers in SEMT 2018-CH3 are not the super prime borrowers included in traditional SEMT transactions, these borrowers are prime borrowers with a demonstrated ability to manage household finance. On average, borrowers in this pool have made a 22.7% down payment on a mortgage loan of $759,491. In addition, 62.1% of borrowers have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. The WA FICO is 746, which is lower than traditional SEMT transactions, which has averaged 771 in 2018 SEMT transactions. The lower WA FICO for SEMT 2018-CH3 may reflect recent mortgage lates (0x30x3, 1x30x12, 2x30x24) which are allowed under the Choice program, but not under Redwood's traditional product, Redwood Select (0x30x24). While the WA FICO may be lower for this transaction, Moody's does not believe that the limited mortgage lates demonstrates a history of financial mismanagement. Moody's also notes that SEMT 2018-CH3 is the fifth SEMT transaction to include non-QM loans (155) compared to SEMT 2018-CH2 (156) and SEMT 2018-CH1 (157). Redwood's Choice program was launched by Redwood in April 2016. In contrast to Redwood's traditional program, Select, Redwood's Choice program allows for higher LTVs, lower FICOs, non-occupant co-borrowers, non-warrantable condos, limited loans with adverse credit events, among other loan attributes. Under both Select and Choice, Redwood also allows for loans with non-QM features, such as interest-only, DTIs greater than 43%, asset depletion, among other loan attributes. However, Moody's notes that Redwood historically has been on average stronger than its peers as an aggregator of prime jumbo loans, including a limited number of non-QM loans in previous SEMT transactions. As of the May 2018 remittance report, there have been no losses on Redwood-aggregated transactions that Moody's has rated to date, and delinquencies to date have also been very low. While in traditional SEMT transactions, Moody's has factored this qualitative strength into its analysis, in SEMT 2018-CH3, Moody's has a neutral assessment of the Choice Program until Moody's is able to review a longer performance history of Choice mortgage loans. Structural considerations Similar to recent rated Sequoia transactions, in this transaction, Redwood is adding a feature prohibiting the servicer, or securities administrator, from advancing principal and interest to loans that are 120 days or more delinquent. These loans on which principal and interest advances are not made are called the Stop Advance Mortgage Loans ("SAML"). The balance of the SAML will be removed from the principal and interest distribution amounts calculations. Moody's views the SAML concept as something that strengthens the integrity of senior and subordination relationships in the structure. Yet, in certain scenarios the SAML concept, as implemented in this transaction, can lead to a reduction in interest payment to certain tranches even when more subordinated tranches are outstanding. The senior/subordination relationship between tranches is strengthened as the removal of SAML in the calculation of the senior percentage amount, directs more principal to the senior bonds and less to the subordinate bonds. Further, this feature limits the amount of servicer advances that could increase the loss severity on the liquidated loans and preserves the subordination amount for the most senior bonds. On the other hand, this feature can cause a reduction in the interest distribution amount paid to the bonds; and if that were to happen such a reduction in interest payment is unlikely to be recovered. The final ratings on the bonds, which are expected loss ratings, take into consideration its expected losses on the collateral and the potential reduction in interest distributions to the bonds. Furthermore, the likelihood that in particular the subordinate tranches could potentially permanently lose some interest as a result of this feature was considered. As such, Moody's incorporated some additional sensitivity runs in its cashflow analysis in which Moody's increases the tranche losses due to potential interest shortfalls during the loan's liquidation period in order to reflect this feature and to assess the potential impact to the bonds. Moody's believes there is a low likelihood that the rated securities of SEMT 2018-CH3 will incur any losses from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, the loans are prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, Redwood (or a majority-owned affiliate of the sponsor), who will retain credit risk in accordance with the U.S. Risk Retention Rules and provides a back-stop to the representations and warranties of all the originators except for First Republic Bank, has a strong alignment of interest with investors, and is incentivized to actively manage the pool to optimize performance. Third, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when a loan becomes 120 days delinquent, which reduces the likelihood that parties will be sued for inaction. Tail Risk & Subordination Floor 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, known as tail risk. The transaction provides for a subordination floor of 1.60% ($6,671,370) of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Third-party Review and Reps & Warranties Two TPR firms conducted a due diligence review of 100% of the mortgage loans in the pool. For 530 loans, the TPR firm conducted a review for credit, property valuation, compliance and data integrity ("full review") and limited review for 19 First Republic Bank loans, HomeStreet Bank, and Primelending. For the 19 loans, Redwood Trust elected to conduct a limited review, which did not include a TPR firm check for TRID compliance. For the full review loans, the third party review found that the majority of reviewed loans were compliant with Redwood's underwriting guidelines and had no valuation or regulatory defects. Most of the loans that were not compliant with Redwood's underwriting guidelines had strong compensating factors. Additionally, the third party review didn't identify material compliance-related exceptions relating to the TILA-RESPA Integrated Disclosure (TRID) rule for the full review loans. The TPR report identified three grade "C" compliance-related conditions two relating to the TILA-RESPA Integrated Disclosure (TRID) rule. The conditions cited by Clayton included the minimum and/or maximum payment amounts were inconsistent on the closing disclosure and either or both of the "In 5 Years" total payment or total principal amounts were under-disclosed and missing evidence of receipt of the closing disclosure by the non-borrowing spouse. Moody's believes that such conditions are not material and thus, Moody's did not make any adjustments for these loans. For the full review loans, the TPR report identified one loan with a final grade "D" property valuation-related condition relating to escrow hold back. The conditions cited by Clayton included the appraisal was "subject to completion" per plans and specification. The escrow holdback distribution amount was $1,200. The TPR report also identified one loan with a final grade "C" property valuation-related condition due to missing building permits for repairs and remodeling. Moody's believes that such conditions are not material and thus, Moody's did not make any adjustments for these loans. No TRID compliance reviews were performed by the TPR firm on the limited review loans. Therefore, there is a possibility that some of these loans could have unresolved TRID issues. We, however reviewed the initial compliance findings of loans from HomeStreet Bank and Primelending where a full review was conducted and there were no material compliance findings. As a result, Moody's did not increase its Aaa loss for the limited review loans originated by HomeStreet Bank or PrimeLending. The property valuation review conducted by the TPR firm consisted of (i) a review of all of the appraisals for full review loans, checking for issues with the comparables selected in the appraisal and (ii) a value supported analysis for all loans. After a review of the TPR appraisal findings, Moody's found one loan with a final grade "C" for missing building permits for repairs and remodeling and one loan with final grade "D" for escrow holdback distribution amount. Moody's has received the results of the inspection report or appraisal confirmation for all the mortgage loans secured by properties in the areas affected by FEMA disaster areas. The results indicate that the properties did not receive any material damage. SEMT 2018-CH3 includes a representation that the pool does not include properties with material damage that would adversely affect the value of the mortgaged property. The originators and Redwood have provided unambiguous representations and warranties (R&Ws) including an unqualified fraud R&W. There is provision for binding arbitration in the event of dispute between investors and the R&W provider concerning R&W breaches. Trustee & Master Servicer The transaction trustee is Wilmington Trust, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. and the custodian functions will be performed by Wells Fargo Bank, N.A., rather than the trustee. In addition, CitiMortgage Inc., as Master Servicer, is responsible for servicer oversight, and termination of servicers and for the appointment of successor servicers. In addition, CitiMortgage is committed to act as successor if no other successor servicer can be found. 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. Significant weight was put on judgment taking into account the results of the modeling tools as well as the aggregate impact of the third-party review and the quality of the servicers and originators. SEVEN STICKS: Moody's Gives Ba3 Rating on Class D-R Notes --------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes issued by Seven Sticks CLO Ltd.: US$256,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$44,300,000 Class A-2-R Senior Secured Floating Rate Notes due 2028 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$20,600,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned A2 (sf) US$27,300,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned Baa3 (sf) US$20,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (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 senior secured, broadly syndicated corporate loans. Guggenheim Partners Investment 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 loss posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on July 16, 2018 in connection with the refinancing of certain classes of notes previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. SHACKLETON 2015-VII-R: Moody's Gives B3 Rating on Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Shackleton 2015-VII-R CLO, Ltd.: Moody's rating action is as follows: US$286,000,000 Class A-1 Senior Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$35,000,000 Class A-2 Senior Fixed Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aaa (sf) US$56,200,000 Class B Senior Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$24,700,000 Class C Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$30,500,000 Class D Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) U.S.$26,500,000 Class E Junior Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) US$8,100,000 Class F Junior Deferrable Floating Rate Notes due 2031 (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, together, 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. Shackleton 2015-VII-R 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, senior unsecured loans and first-lien last-out loans. The portfolio is approximately 97% ramped as of the closing date. Alcentra NY, 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 has assumed one class of subordinated notes in connection with the Issuer's acquisition of the initial portfolio from another CLO. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par Amount: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2887 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. SHACKLETON 2018-XII: Moody's Assigns Ba3 Rating on Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Shackleton 2018-XII CLO, Ltd. Moody's rating action is as follows: US$320,000,000 Class A Senior Floating Rate Notes due 2031 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$60,000,000 Class B Senior Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$25,500,000 Class C Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$30,250,000 Class D Mezzanine Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$24,250,000 Class E Junior Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE Moody's ratings of the Rated Notes address the expected losses posed to noteholders. The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Shackleton 2018-XII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10.0% of the portfolio may consist of senior unsecured loans, first-lien last-out loans and second lien loans. The portfolio is approximately 90% ramped as of the closing date. Alcentra NY, 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: $500,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2918 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions, 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 2918 to 3356) 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 2918 to 3793) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 SHACKLETON CLO 2014-VI-R: Moody's Rates $6MM Class F Notes 'B3' --------------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by Shackleton 2014-VI-R CLO, Ltd.: US$7,000,000 Class X Senior Floating Rate Notes Due 2028 (the "Class X Notes"), Assigned Aaa (sf) US$325,000,000 Class A Senior Floating Rate Notes due 2028 (the "Class A Notes"), Assigned Aaa (sf) US$58,750,000 Class B Senior Floating Rate Notes due 2028 (the "Class B Notes"), Assigned Aa2 (sf) US$21,250,000 Class C Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class C Notes"), Assigned A2 (sf) US$31,000,000 Class D Mezzanine Deferrable Floating Rate Notes due 2028 (the "Class D Notes"), Assigned Baa3 (sf) US$24,000,000 Class E Junior Deferrable Floating Rate Notes due 2028 (the "Class E Notes"), Assigned Ba3 (sf) US$6,000,000 Class F Junior Deferrable Floating Rate Notes due 2028 (the "Class F Notes"), Assigned B3 (sf) The Class X Notes, the Class A 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, together, 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. Shackleton 2014-VI-R 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 senior unsecured loans and second lien loans. The portfolio is approximately 90% ramped as of the closing date. Alcentra NY, 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 two 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 has 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: $500,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2910 Weighted Average Spread (WAS): 3.15% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 6 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. SOUND POINT V-R: Moody's Gives B3 Rating on $12MM Class F Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Sound Point CLO V-R, Ltd. Moody's rating action is as follows: US$390,000,000 Class A Senior Secured Floating Rate Notes Due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$66,000,000 Class B Senior Secured Floating Rate Notes Due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class C Notes"), Assigned A2 (sf) US$40,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$26,000,000 Class E Junior Secured Deferrable Floating Rate Notes Due 2031 (the "Class E Notes"), Assigned Ba3 (sf) US$12,000,000 Class F Junior Secured Deferrable Floating Rate Notes Due 2031 (the "Class F Notes"), Assigned B3 (sf) The Class A 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. Sound Point CLO V-R is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second-lien loans and unsecured loans. The portfolio is approximately 60% ramped as of the closing date. Sound Point Capital Management, LP 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: $600,000,000 Diversity Score: 55 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.00% 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 2700 to 3105) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: --1 Class E Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2700 to 3510) Rating Impact in Rating Notches Class A Notes: -1 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -2 TCF AUTO 2015-2: Moody's Hikes Class D Notes to Ba1 --------------------------------------------------- Moody's Investors Service has upgraded the ratings of seven securities and affirmed the ratings of eight securities issued from four TCF Auto Receivables Owner Trust transactions between 2015 and 2016. The transactions are sponsored and serviced by Gateway One Lending and Finance LLC. Complete rating actions are as follow: Issuer: TCF Auto Receivables Owner Trust 2015-1 Class A-4 Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class B Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class C Notes, Affirmed Aaa (sf); previously on December 5, 2017 Upgraded to Aaa (sf) Class D Notes, Upgraded to A3 (sf); previously on December 5, 2017 Upgraded to Baa3 (sf) Issuer: TCF Auto Receivables Owner Trust 2015-2 Class A-4 Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class B Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class C Notes, Upgraded to Aaa (sf); previously on December 5, 2017 Upgraded to Aa2 (sf) Class D Notes, Upgraded to Ba1 (sf); previously on December 5, 2017 Affirmed Ba2 (sf) Issuer: TCF Auto Receivables Owner Trust 2016-1 Class A-3 Asset-Backed Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class A-4 Asset-Backed Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously on December 5, 2017 Upgraded to Aa2 (sf) Class C Asset-Backed Notes, Upgraded to A1 (sf); previously on December 5, 2017 Affirmed Baa2 (sf) Issuer: TCF Auto Receivables Owner Trust 2016-PT1 Class A Asset-Backed Notes, Affirmed Aaa (sf); previously on December 5, 2017 Affirmed Aaa (sf) Class B Asset-Backed Notes, Upgraded to Aaa (sf); previously on December 5, 2017 Upgraded to Aa2 (sf) Class C Asset-Backed Notes, Upgraded to Aa3 (sf); previously on December 5, 2017 Upgraded to A3 (sf) RATINGS RATIONALE The upgrades and rating affirmations resulted from the buildup of credit enhancement owing to the sequential pay structures in addition to non-declining overcollateralization and reserve accounts that offset the increase in expected lifetime CNLs for the transactions. The lifetime cumulative net loss (CNL) expectation was increased to 5.75% from 5.50% for the 2015-2 transaction as a result of continued weaker than expected performance of the underlying loans. The CNL expectations remained unchanged at 5.00% for the remaining three transactions issued between 2015 and 2016. All outstanding transactions are at their respective OC floors. In December 2016, Moody's learned that the servicer does not include additional servicer expenses in its reporting of net loss, which would reduce liquidation proceeds for defaulted receivables and therefore increase losses. These expenses were included in the analysis when determining the updated CNLs for all transactions. Here are key performance metrics (as of the June 2018 distribution date) and credit assumptions for the affected transactions. Credit assumptions include Moody's expected lifetime CNL, expressed as a percentage of the original pool balance, as well as Moody's Aaa levels expressed as a percentage of the current pool balance. The Aaa level is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given asset pool. Performance metrics include the pool factor, which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, reserve fund; and Excess Spread per annum. Issuer: TCF Auto Receivables Owner Trust 2015-1 Lifetime CNL expectation -- 5.00%; prior expectation (December 2017) -- 5.00% Lifetime Remaining CNL expectation -- 4.34% Aaa (sf) level - 14.00% Pool factor -- 21.89% Total Hard credit enhancement - Class A-4 Notes 53.67%, Class B Notes 33.11%, Class C Notes 19.41%, Class D Notes 5.71% Issuer: TCF Auto Receivables Owner Trust 2015-2 Lifetime CNL expectation -- 5.75%; prior expectation (December 2017) -- 5.50% Lifetime Remaining CNL expectation -- 5.30% Aaa (sf) level - 15.00% Pool factor -- 29.53% Total Hard credit enhancement - Class A-4 Notes 41.48%, Class B Notes 26.76%, Class C Notes 15.58%, Class D Notes 4.57% Issuer: TCF Auto Receivables Owner Trust 2016-1 Lifetime CNL expectation -- 5.00%; prior expectation (December 2017) -- 5.00% Lifetime Remaining CNL expectation -- 4.91% Aaa (sf) level - 16.50% Pool factor -- 47.74% Total Hard credit enhancement - Class A Notes 23.57%, Class B Notes 16.55%, Class C Notes 9.53%, Class D Notes 2.62% Issuer: TCF Auto Receivables Owner Trust 2016-PT1 Lifetime CNL expectation -- 5.00%; prior expectation (December 2017) -- 5.00% Lifetime Remaining CNL expectation -- 5.35% Aaa (sf) level - 16.50% Pool factor -- 54.56% Total Hard credit enhancement - Class A Notes 21.81%, Class B Notes 15.67%, Class C Notes 10.45%, Class D Notes 3.48% PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the vehicles that secure the obligor's promise of payment. The US job market and the market for used vehicle are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. TIAA CLO I: S&P Assigns Prelim BB-(sf) Rating on Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X, A-R, B-1-R, B-2-R, C-R, D-R, and E-R replacement notes from TIAA CLO I Ltd., a collateralized loan obligation (CLO) originally issued in 2016 that is managed by Teachers Advisors LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 20, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, S&P anticipates withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, S&P may affirm the ratings on the original notes and withdraw its 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: -- The transaction will add class X notes. -- The replacement class A-R, C-R, and D-R notes are expected to be issued at a lower spread than the original notes. -- The replacement class B-1-R and B-2-R notes are expected to be issued at a floating rate and fixed rate, respectively, replacing the current single-class B floating-rate notes. -- The replacement class E-R notes are expected to be issued as single-class, floating-rate notes, replacing the current class E-1 and E-2 notes. -- The stated maturity and reinvestment period will be extended three years. -- The concentration limit of covenant-lite loans is increasing to 80% from 60%. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) X 1.70 Three-month LIBOR + 0.65 A-R 288.00 Three-month LIBOR + 1.20 B-1-R 32.50 Three-month LIBOR + 1.75 B-2-R 17.00 4.589 C-R 36.00 Three-month LIBOR + 2.35 D-R 22.50 Three-month LIBOR + 3.50 E-R 18.00 Three-month LIBOR + 6.20 Original Notes Class Amount Interest (mil. $) rate (%) A 292.50 1.70 B 47.25 2.30 C 31.50 3.25 D 22.50 5.20 E-1 10.00 8.05 E-2 10.25 10.00 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 TIAA CLO I Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 1.70 A-R AAA (sf) 288.00 B-1-R AA (sf) 32.50 B-2-R AA (sf) 17.00 C-R A (sf) 36.00 D-R BBB- (sf) 22.50 E-R BB- (sf) 18.00 Subordinated notes NR 41.545 OTHER OUTSTANDING RATINGS TIAA CLO I Ltd. Class Rating A AAA (sf) B AA (sf) C A (sf) D BBB (sf) E-1 BB- (sf) E-2 BB- (sf) NR--Not rated. TICP CLO 2016-1: Moody's Assigns Ba3 Rating on $24MM Cl. E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes 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"), Definitive Rating Assigned Aaa (sf) US$252,300,000 Class A-1-R Senior Secured Floating Rate Notes due 2031 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$38,200,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$20,500,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) Us$25,500,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$24,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. 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 has issued the Refinancing Notes on July 17, 2018 in connection with the refinancing of all classes of the secured notes previously issued on July 7, 2016. On the Refinancing Date, the Issuer used 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 occurred 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. TRINITAS CLO II: S&P Affirms BB(sf) Rating on Class E Notes ----------------------------------------------------------- S&P Global Ratings affirmed its ratings on the class A-R, A-2R, B-1R, B-2R, C, D, E, and F notes from Trinitas CLO II Ltd. At the same time, S&P removed its rating on the class F notes from CreditWatch, where S&P placed it with negative implications on April 20, 2018. The rating actions follow S&P review of the transaction's performance using data from the May 31, 2018, trustee report. The affirmations reflect S&P's belief that the credit support available is commensurate with the current rating levels. The deal has experienced a decrease in overcollateralization (O/C) ratios; however, they are all still above their current thresholds: -- The class A/B notes O/C ratio decreased to 123.70% from 125.53%. -- The class C O/C ratio decreased to 115.56% from 117.28%. -- The class D O/C ratio decreased to 108.97% from 110.58%. -- The class E O/C ratio decreased to 103.84% from 105.38%. S&P said, "Although the O/C levels have decreased, our analysis took into account that the transaction has just completed its reinvestment period and could begin amortizing in upcoming periods. If paydowns commence, we expect the subsequent payments to improve these ratios. In addition, our analysis considered trades entered into after the May 2018 trustee report. Using a forward-looking analysis, which also considered the potential decline in the portfolio's weighted average life, and comparable O/C ratios of other 'B- (sf)' classes, we affirmed the rating on class F rating and removed it from CreditWatch negative. "On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class B-1R, B-2R, C, and D notes. However, because the transaction now has greater exposure to assets rated in the 'CCC' category, at $50.99 million currently compared with $33.62 million at the time of our last rating actions, we affirmed the ratings on these classes to maintain rating cushion as this transaction begins to amortize. "Although our cash flow analysis indicated a lower rating on the class E notes, we affirmed the rating at 'BB (sf)'. The O/C for this class is comparable to other 'BB (sf)' rated classes and has increased since we placed the rating on class F on CreditWatch. Given our expectation that amortization could improve the results, we affirmed our 'BB (sf)' rating instead of lowering it to 'BB- (sf)'. However, any increase in par losses or further deterioration in the portfolio's credit quality could lead to potential negative rating actions in the future. "Our review of this transaction included a cash flow analysis based on the portfolio and transaction as reflected in the aforementioned trustee report, and it estimated future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATINGS AFFIRMED Trinitas CLO II Ltd. Class Rating A-1R AAA (sf) A-2R AAA (sf) B-1R AA (sf) B-2R AA (sf) C A (sf) D BBB (sf) E BB (sf) RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Trinitas CLO II Ltd. Class To From F B- (sf) B- (sf)/Watch Neg TRINITAS CLO VIII: Moody's Gives Ba3 Rating on $26MM Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Trinitas CLO VIII, Ltd. Moody's rating action is as follows: US$320,000,000 Class A Floating Rate Notes Due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$55,000,000 Class B Floating Rate Notes Due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$26,500,000 Class C Deferrable Floating Rate Notes Due 2031 (the "Class C Notes"), Assigned A2 (sf) US$32,500,000 Class D Deferrable Floating Rate Notes Due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$26,000,000 Class E 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. Trinitas CLO VIII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, up to 7.5% of the portfolio may consist of second lien loans, and up to 2.5% of the portfolio may consist of unsecured loans. The portfolio is approximately 95% ramped as of the closing date. Trinitas Capital 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 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: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.45% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. VENTURE CLO 32: Moody's Assigns B3 Rating on $10.5MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to ten classes of notes issued by Venture 32 CLO, Limited. Moody's rating action is as follows: US$243,650,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$102,000,000 Class A-2A Senior Secured Floating Rate Notes due 2031 (the "Class A-2A Notes"), Assigned Aaa (sf) US$12,250,000 Class A-2BF Senior Secured Fixed Rate Notes due 2031 (the "Class A-2BF Notes"), Assigned Aaa (sf) US$40,600,000 Class A-F Senior Secured Fixed Rate Notes due 2031 (the "Class A-F Notes"), Assigned Aaa (sf) US$5,000,000 Class A-X Senior Secured Floating Rate Notes due 2031 (the "Class A-X Notes"), Assigned Aaa (sf) US$65,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$38,250,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$34,250,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$28,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) US$10,500,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Assigned B3 (sf) The Class A-1 Notes, the Class A-2A Notes, the Class A-2BF Notes, the Class A-F Notes, the Class A-X 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. Venture 32 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 95% ramped as of the closing date. MJX Venture Management II LL 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: $613,936,059 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2790 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 5.0% Weighted Average Recovery Rate (WARR): 47% 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 2790 to 3209) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-2A Notes: 0 Class A-2BF Notes: -1 Class A-F Notes: 0 Class A-X Notes: 0 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: 0 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2790 to 3627) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-2A Notes: 0 Class A-2BF Notes: -2 Class A-F Notes: -1 Class A-X Notes: 0 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -2 VENTURE CLO 33: Moody's Assigns (P)B3 Rating on $9MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to eight classes of notes to be issued by Venture 33 CLO, Limited. Moody's rating action is as follows: US$365,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$5,000,000 Class A-X Senior Secured Floating Rate Notes due 2031 (the "Class A-X Notes"), Assigned (P)Aaa (sf) US$25,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$63,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$37,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf) US$33,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$28,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf) US$9,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Assigned (P)B3 (sf) The Class A-1 Notes, the Class A-X 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." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE Moody's provisional ratings of the Rated Notes address the expected losses posed to noteholders. The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Venture 33 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. Moody's expects the portfolio to be approximately 85% ramped as of the closing date. MJX Asset Management LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2700 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.00% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 8.9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions, 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 2700 to 3105) Rating Impact in Rating Notches Class A-1 Notes: 0 Class A-X Notes: 0 Class A-2 Notes: -1 Class B Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Class F Notes: 0 Percentage Change in WARF -- increase of 30% (from 2700 to 3510) Rating Impact in Rating Notches Class A-1 Notes: -1 Class A-X Notes: 0 Class A-2 Notes: -3 Class B Notes: -3 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -3 VOYA CLO 2014-4: S&P Assigns B- Rating on $9.4MM Class E-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Voya CLO 2014-4 Ltd./Voya CLO 2014-4 LLC's $523.95 million fixed- and floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. This is a reissue of the Voya CLO 2014-4 Ltd. transaction, which S&P Global Ratings did not originally rate. 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 Voya CLO 2014-4 Ltd./Voya CLO 2014-4 LLC Class Rating Amount (mil. $) X-R AAA (sf) 1.00 A-1-RA AAA (sf) 313.80 A-1-RB NR 15.70 A-2-RA AA (sf) 32.05 A-2-RB AA (sf) 9.50 B-R2 A (sf) 44.40 C-R2 BBB- (sf) 26.60 D-R BB- (sf) 18.80 E-R B- (sf) 9.40 Subordinated notes NR 52.70 NR--Not rated. WACHOVIA BANK 2004-C15: Moody's Affirms C Rating on Cl. X-C Certs ----------------------------------------------------------------- Moody's Investors Service, has affirmed the ratings on four classes in Wachovia Bank Commercial Mortgage Trust 2004-C15, Commercial Mortgage Pass-Through Certificates, Series 2004-C15 as follows: Cl. F, Affirmed B1 (sf); previously on Aug 3, 2017 Upgraded to B1 (sf) Cl. G, Affirmed Caa1 (sf); previously on Aug 3, 2017 Upgraded to Caa1 (sf) Cl. H, Affirmed C (sf); previously on Aug 3, 2017 Reinstated to C (sf) Cl. X-C, Affirmed C (sf); previously on Aug 3, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings on three P&I Classes were affirmed due to Moody's expected loss. The rating on IO Class, Cl. X-C, was affirmed based on the credit performance of the referenced classes. Moody's rating action reflects a base expected loss of 19.7% of the current loan balance, compared to 17.0% at Moody's last review. Moody's base expected loss plus realized losses is now 5.0% of the original pooled balance and remains unchanged since Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating Wachovia Bank Commercial Mortgage Trust 2004-C15, Cl. F, Cl. G and Cl. H was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Wachovia Bank Commercial Mortgage Trust 2004-C15, Cl. X-C were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 57.2% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the June 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 97.6% to $27.3 million from $1.15 billion at securitization. The certificates are collateralized by 4 mortgage loans ranging in size from less than 1% to 57.2% of the pool. Two loans, constituting 36.6% of the pool, have defeased and are secured by US government securities. The transaction is under-collateralized as the aggregate certificate balance is $3.4 million greater than the pooled loan balance. Moody's is currently treating the under-collateralization as a loss of principal to the trust. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $53.2 million (for an average loss severity of 40.4%). One loan, the 4 Sylvan Way Loan ($13.7 million -- 57.2% of the pool), is currently in special servicing. The loan is secured by a single tenant three-story office building located in a large office park in suburban Parsippany, New Jersey. The loan transferred to special servicing in August 2014 due to imminent maturity default and became REO in June 2015. The property is currently 100% leased to T-Mobile, which renewed their lease in January 2017, through May 2027 on a triple net lease. The non-defeased performing loan is the CVS-Cedar Park, TX Loan ($1.4 million -- 6.1% of the pool), which is secured by a former single tenant CVS property that was subleased to Goodwill Industries aka Goodwill since 2011. Goodwill vacated the space in early 2017 and CVS continues to make rent payments on their lease which will expire in October 2023. Moody's value incorporates a Lit/Dark analysis. The fully amortizing loan has paid down over 54% and is scheduled to mature in September 2024. Due to the dark tenant, this loan is on the master servicer's watchlist. Moody's LTV and stressed DSCR are 73.3% and 1.40X, respectively. WELLS FARGO 2010-C1: Fitch Affirms Bsf Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Wells Fargo Bank N.A.'s commercial mortgage pass-through certificates series 2010-C1. KEY RATING DRIVERS Overall Stable Performance and Loss Projections: The overall pool performance remains stable from issuance with minimal changes. There are no delinquent loans. Three loans (9.2%), including the fifth and the 10th largest loans, are on the watchlist due to declining performance and concerns with the largest tenants, one of which (3.1%) was flagged as a Fitch Loan of Concern (FLOC). While not on the servicer's watchlist, Polaris Towne Center was flagged as a FLOC due to upcoming rollover risk. Fitch's base case analysis included additional cash flow stresses on these loans; in addition, the Negative Outlooks on classes E and F reflect an additional sensitivity test that assumed a 25% loss severity on Salmon Run (7.7%), Polaris Towne Center (6.9%) and Food Lion/Kroger/Earth Fare Pool (3.1%) due to tertiary market location, lack of updated sales or upcoming tenant rollover concerns. Retail Concentration: Of the pool, 29% is collateralized by retail properties, including the second largest loan, a regional mall located in Watertown, NY. Of the properties, 16.6% are within the top 15, two of which are considered FLOC. Increased Credit Enhancement Since Issuance: As of the June 2018 distribution date, the pool's aggregate balance has been reduced by 18.7% to $598.5 million from $735.9 million at issuance. Only one loan (4.2%) is full-term interest only. Nine loans (37.8%) are defeased. Maturity Schedule: All loans will mature in 2020. RATING SENSITIVITIES The Negative Rating Outlook on classes D, E and F reflects potential rating downgrades due to the high retail concentration (29%): the second largest loan (7.7%) is a regional mall located in Watertown, NY and 16.6% of is within the top 15, two of which are considered FLOCs. Rating downgrades are possible if the performance of the FLOCs declines. Fitch's additional sensitivity scenario incorporates a 50% loss on the Salmon Run (7.7%) balloon balance, a 15% loss on Polaris Towne Center (6.9%) balloon balance and 25% loss on Food Lion/Kroger/Earth Fare Pool (3.1%) loans due to tertiary market location, lack of updated sales or upcoming tenant rollover concerns. The Rating Outlooks on classes A-1 through C remain Stable due to increasing credit enhancement and expected continued paydown. Future rating upgrades may occur with improved pool performance and additional defeasance or paydown. Deutsche Bank is the trustee for the transaction and also serves as the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017. Fitch relies on the master servicer, Wells Fargo & Co (rated A+/ F1), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $26.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $443.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $469.5 million class X-A* at 'AAAsf'; Outlook Stable; -- $22.1 million class B at 'AAsf'; Outlook Stable; -- $31.3 million class C at 'Asf'; Outlook Stable; -- $34 million class D at 'BBBsf'; Outlook to Negative from Stable; -- $13.8 million class E at 'BBB-sf'; Outlook Negative; -- $12.9 million class F at 'Bsf'; Outlook Negative. * Interest only. Fitch does not rate the $14,865,260 class G certificates or the $128,925,260 interest-only class X-B. WELLS FARGO 2011-C5: Fitch Affirms Bsf Rating on Class G Certs -------------------------------------------------------------- Fitch Ratings has affirmed 10 classes of Wells Fargo Bank, N.A. Commercial Mortgage Trust commercial mortgage pass-through certificates series 2011-C5 (WFRBS 2011-C5). KEY RATING DRIVERS Increased Credit Enhancement to Offset Higher Loss Expectations: The rating affirmations reflect increased credit enhancement to the classes due to paydown and defeasance, which help to offset Fitch's higher loss expectations. While the majority of the pool continues to exhibit stable performance, the change in loss expectations reflects the high concentration of Fitch Loans of Concern (FLOCs; 32.3% of pool) and the high concentration of loans secured by retail properties (50.6%). As of the June 2018 distribution date, the pool's aggregate principal balance has paid down by 20.2% to $870.9 million from $1.09 billion at issuance. Nine loans (8.5% of pool) have been defeased. Since Fitch's last rating action, three loans ($7.6 million) were prepaid with yield maintenance. The pool has experienced no realized losses since issuance. The majority of the pool (55 loans; 99% of pool) is amortizing; only one loan (1%) is full-term interest-only. High Concentration of Fitch Loans of Concern: Fitch has designated 14 loans (32.3% of pool) as FLOCs, including six of the top 15 loans (26.7%) and one loan (0.6%) that recently transferred to special servicing in January 2018. Occupancy at the largest FLOC, Puck Building (9.5% of pool), a mixed-use property located in the SoHo neighborhood of Manhattan, is expected to decline to 85.9% from 100% as the third largest tenant, Oscar Insurance, has reportedly signed a new lease at another SoHo property and will be relocating its headquarters from the subject to this new location in first-quarter 2019. The second largest FLOC, Village of Rochester Hills (5.5%), a retail lifestyle center in Rochester Hills, MI, faces the imminent loss of its non-collateral anchor Carson's as part of parent company Bon-Ton's bankruptcy filing and has reported declining cash flow between 2016 and 2017. The third largest FLOC, Madonna Plaza (4.2%), a retail center in San Luis Obispo, CA, has experienced declining occupancy after its collateral anchor Sears closed its store at the property in July 2017. The fourth largest FLOC, 919 Congress (2.9%), an office property in Austin, TX, experienced recent occupancy and cash flow declines after several tenants vacated or downsized at lease expiration. The fifth largest FLOC, The Patriot Tech Center (2.9%), an industrial property in Spring Garden Township, PA, faces the possible rollover of its largest tenant, Johnson Controls, after its lease expired in March 2018; although the tenant remains in occupancy and the borrower is reportedly working on renewal negotiations, Johnson Controls recently built a new facility in nearby Hopewell Township, PA, and has reportedly relocated a large number of employees to the new facility. The sixth largest FLOC, 8301 Professional Place (1.7%), an office property in Landover, MD, experienced a substantial occupancy decline after two major tenants vacated at expiration in March and October 2017. The other non-specially serviced FLOCs outside of the top 15 (5.1%) were flagged for declining occupancy, low debt service coverage ratio (DSCR) and/or a lack of updated financials. Fitch performed an additional sensitivity scenario, which assumed the potential for outsized losses on the Patriot Tech Center and 8301 Professional Place loans, and the Rating Outlooks reflect this analysis. High Retail Concentration: Loans secured by retail properties represent 50.6% of the current pool by balance and include five of the top 15 loans (42.7%). Although the overall retail concentration is high, there is no regional mall exposure; the retail exposure consists primarily of lifestyle center and neighborhood/community shopping center retail properties that have exhibited generally stable performance since issuance. The largest loan in the pool is secured by The Domain (21.4%), a lifestyle center comprising retail and office space located in Austin, TX, that has exposure to Macy's and Dillard's as non-collateral anchors and Neiman Marcus as a collateral anchor. Palms Crossing (4%), a retail center in McAllen, TX, that is one of the two retail centers securing the Arbor Walk and Palms Crossing loan (8.4%), has exposure to Babies "R" Us, which is expected to vacate by the end of June 2018 as part of the Toys "R" Us bankruptcy filing and liquidation plans. Specially Serviced Loan: Since Fitch's last rating action in July 2017, one loan transferred to special servicing. The Boardwalk Apartments loan (0.6%), which is secured by a 174-unit multifamily property located in Houston, TX, transferred to special servicing in January 2018 for imminent non-monetary default after the property sustained significant damage from Hurricane Harvey in August 2017. The property was vacated as a result of the damage. According to the servicer, negotiations with the insurance company are ongoing. This is the third consecutive year that the property has experienced major flooding. Pool and Loan Concentrations: The pool has become increasingly concentrated with 56 of the original 75 loans remaining as of June 2018. The largest loan represents 21.4% of the current pool, and the largest 15 loans represent 74.9% of the pool. Ten loans (37.6%) are secured by properties located in Texas, with three of the top 10 loans (32.8% of pool) secured by properties located in Austin, TX. RATING SENSITIVITIES The Negative Rating Outlook for class G reflects potential rating downgrades due to performance concerns on the Patriot Tech Center and 8301 Professional Place loans. Rating downgrades are possible if the performance of these properties continues to decline or with limited positive leasing momentum. Fitch's additional sensitivity scenario incorporates a 50% loss on the Patriot Tech Center loan and a 50% loss on the 8301 Professional Place loan to reflect the potential for outsized losses. The Rating Outlooks for classes A-3 through F remain Stable due to increasing credit enhancement and expected continued paydown. Future rating upgrades may occur with improved pool performance and additional defeasance or paydown. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed and revised Rating Outlooks on the following classes as indicated: -- $72.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $471 million class A-4 at 'AAAsf'; Outlook Stable; -- $85.9 million class A-S at 'AAAsf'; Outlook Stable; -- $629.5 million class X-A* at 'AAAsf'; Outlook Stable; -- $54.6 million class B at 'AAsf'; Outlook Stable; -- $40.9 million class C at 'Asf'; Outlook Stable; -- $25.9 million class D at 'BBB+sf'; Outlook Stable; -- $49.1 million class E at 'BBB-sf'; Outlook Stable; -- $17.7 million class F at 'BBsf'; Outlook Stable; -- $16.4 million class G at 'Bsf'; Outlook to Negative from Stable. * Notional amount and interest-only. Classes A-1 and A-2 have paid in full. Fitch does not rate the class H and interest-only class X-B certificates. WELLS FARGO 2015-NXS2: DBRS Confirms BB Rating on Class X-E Certs ----------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Pass-Through Certificates, Series 2015-NXS2 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2015-NXS2 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (sf) -- Class F at B (low) (sf) All trends are Stable. The Class A-S, Class B and Class C Certificates may be exchanged for the Class PEX Certificates (and vice versa). The rating confirmations reflect the overall stable performance of the transaction since issuance. The transaction consists of 63 fixed-rate loans secured by 77 commercial and multifamily properties. According to the June 2018 remittance, the pool has experienced a collateral reduction of 1.8% since issuance because of scheduled loan amortization, with all original loans remaining in the pool and an aggregate outstanding principal balance of $898.0 million. There are 60 loans, representing 96.9% of the current pool balance, that are reporting year-end 2017 financials. These loans exhibited an improved weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.78 times (x) and 9.7%, respectively, compared with the 1.68x WA DBRS Term DSCR and 8.5% WA DBRS Debt Yield for those same loans at issuance. Overall, the pool's WA net cash flow increased by 16.1% since issuance. The top 15 loans, which collectively represent 58.6% of the pool, reported a WA DSCR and Debt Yield of 1.78x and 8.8%, respectively. The pool benefits from a healthy concentration of properties located in urban markets (18.1% of the pool balance) and a relatively low concentration of properties located in tertiary and rural markets, which represent only 7.4% of the pool balance. The largest loan in the pool, Patriots Park (10.0% of the pool balance), was shadow-rated investment grade at issuance to reflect the long-term credit tenant and the loan's cash flow sweep triggers. With this review, DBRS has confirmed that the characteristics of the loan remain in line with the investment grade rating. Two loans, comprising of 15.0% of the pool, are scheduled to mature in 2019, which include the Patriots Park loan and 100 West 57th Street (Prospectus ID #4). Refinance risk is considered minimal for both loans due to desirable property locations and strong cash flows for each. As of the June 2018 remittance, there are 17 loans, comprising 44.8% of the pool, that are either full term interest-only (IO) or have partial IO remaining throughout the term. Six of the top 15 loans, comprising 32.7% of the pool, are fully IO. The IO loans in the pool reported a WA debt yield of 9.0% and DSCR of 1.86x, both healthy metrics overall. There are four loans, representing 3.3% of the pool balance, on the servicer's watch list. Two loans are on the watch list for recent vacancies or upcoming lease expirations. One loan is secured by a hotel property located in a rural/tertiary market that is showing significant cash flow declines since issuance. The remaining loan was placed on the watch list for failure to submit financials. DBRS analyzed the watch listed loans with materially increased risk factors using a stressed scenario to increase the probability of default for this review. Classes X-A, X-E and X-F and 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. WELLS FARGO 2018-C45: Fitch Gives B-sf Rating on Class H-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2018-C45 commercial mortgage pass-through certificates, series 2018-C45: -- $14,405,000 class A-1 'AAAsf'; Outlook Stable; -- $5,559,000 class A-2 'AAAsf'; Outlook Stable; -- $37,388,000 class A-SB 'AAAsf'; Outlook Stable; -- $180,000,000d class A-3 'AAAsf'; Outlook Stable; -- $223,783,000d class A-4 'AAAsf'; Outlook Stable; -- $461,135,000b class X-A 'AAAsf'; Outlook Stable; -- $110,344,000b class X-B 'A-sf'; Outlook Stable; -- $46,114,000 class A-S 'AAAsf'; Outlook Stable; -- $32,115,000 class B 'AA-sf'; Outlook Stable; -- $32,115,000 class C 'A-sf'; Outlook Stable; -- $21,174,000ab class X-D 'BBB-sf'; Outlook Stable; -- $21,174,000a class D 'BBB-sf'; Outlook Stable; -- $14,234,000ac class E-RR 'BBB-sf'; Outlook Stable; -- $8,235,000ac class F-RR 'BB+sf'; Outlook Stable; -- $9,881,000ac class G-RR 'BB-sf'; Outlook Stable; -- $7,411,000ac class H-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $26,351,419 class J-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest. Since Fitch published its expected ratings on June 20, 2018, the balances for class A-3 and class A-4 were finalized. At the time that expected ratings were assigned, the class A-3 balance range was $150,000,000-$200,000,000 and the expected class A-4 balance range was $203,783,000-$253,783,000. The final class sizes for class A-3 and A-4 are $180,000,000 and $223,783,000, respectively. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 49 loans secured by 89 commercial properties having an aggregate principal balance of $658,765,419 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Barclays Bank PLC, Rialto Mortgage Finance, LLC and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 68.9% of the properties by balance, cash flow analysis of 84.7% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Leverage: The subject pool's leverage is higher than that of recent Fitch-rated U.S. private label multiborrower transactions. The pool's Fitch DSCR of 1.12x is well below the YTD 2018 average of 1.25x and the 2017 average of 1.26x. The Fitch LTV of 108.2% is also above the YTD 2018 average of 103.8% and a 2017 average of 101.6%. Pool Concentration: The top 10 loans make up 54.6% of the pool, which is above the YTD 2018 average of 51.2% and slightly above the 2017 average of 53.1%. The pool has an LCI of 412 and a SCI of 412, indicating a higher loan concentration than the YTD 2018 and 2017 LCI averages of 379 and 398, respectively. There was no additional sponsor concentration. Credit Opinion Loan: One loan in the pool, 181 Fremont Street (3.0% of the pool) received a stand-alone credit opinion of 'BBB-sf'. Excluding the credit opinion loan, the pool has a Fitch DSCR and LTV of 1.12x and 109.4%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 9.9% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the WFCM 2018-C45 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 further to 30% below Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. WOODMONT TRUST 2018-5: S&P Assigns Prelim BB(sf) Rating on E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Woodmont 2018-5 Trust's $356 million floating-rate notes. The note issuance is a collateralized loan obligation transaction primarily backed by middle-market speculative-grade senior secured term loans (those rated 'BB+' or lower). The preliminary ratings are based on information as of March 23, 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 middle-market 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 Woodmont 2018-5 Trust Class Rating Amount (mil. $) A-1 AAA (sf) 220.75 A-2 AAA (sf) 21.25 B AA (sf) 34.00 C (deferrable) A (sf) 30.00 D (deferrable) BBB- (sf) 26.00 E (deferrable) BB (sf) 24.00 Certificates NR 49.56 NR--Not rated. [*] Moody's Hikes $1.08BB of RMBS Issued 2004-2007 -------------------------------------------------- Moody's Investors Service has upgraded the ratings of 48 tranches from 16 transactions issued by various issuers, backed by Alt-A, Option ARM and Prime Jumbo loans. Complete rating actions are as follows: Issuer: BankUnited Trust 2005-1 Cl. I-A-1, Upgraded to Baa1 (sf); previously on June 30, 2015 Upgraded to Ba2 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on December 14, 2010 Downgraded to Caa3 (sf) Issuer: Bear Stearns ALT-A Trust 2005-7 Cl. I-1A-1, Upgraded to Aaa (sf); previously on April 13, 2017 Upgraded to A1 (sf) Cl. I-1A-2, Upgraded to Aa2 (sf); previously on March 21, 2018 Upgraded to Baa1 (sf) Cl. I-2A-3, Upgraded to Aa2 (sf); previously on Mar 21, 2018 Upgraded to Baa1 (sf) Cl. I-2A-1, Upgraded to Aaa (sf); previously on Apr 13, 2017 Upgraded to A1 (sf) Cl. I-2A-2, Upgraded to Aa1 (sf); previously on Mar 21, 2018 Upgraded to A3 (sf) Cl. I-M-1, Upgraded to Caa3 (sf); previously on Jul 2, 2010 Downgraded to C (sf) Issuer: Bear Stearns Alt-A Trust 2006-5 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns ALT-A Trust 2007-2 Cl. I-A-1, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Cl. II-A-1, Upgraded to Caa3 (sf); previously on Sep 16, 2010 Downgraded to Ca (sf) Issuer: Bear Stearns Mortgage Funding Trust 2006-AR4 Cl. A-1, Upgraded to Baa3 (sf); previously on Dec 7, 2010 Downgraded to Caa3 (sf) Cl. A-2, Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Underlying Rating: Upgraded to B2 (sf); previously on Dec 7, 2010 Downgraded to C (sf) Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: Chase Mortgage Finance Trust, Series 2005-S1 Cl. 1-A1, Upgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to B3 (sf) Cl. 1-A2, Upgraded to Caa1 (sf); previously on Sep 11, 2012 Downgraded to Ca (sf) Cl. 2-A1, Upgraded to Baa3 (sf); previously on Sep 11, 2012 Downgraded to B2 (sf) Cl. 1-A4, Upgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to Caa1 (sf) Cl. 1-A11, Upgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to B3 (sf) Cl. 1-A12, Upgraded to Caa1 (sf); previously on Sep 11, 2012 Downgraded to C (sf) Cl. I-A13, Upgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to Caa1 (sf) Cl. I-A14, Upgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to Caa1 (sf) Cl. I-A15, Upgraded to B2 (sf); previously on Sep 11, 2012 Downgraded to Caa1 (sf) Cl. 2-A2, Upgraded to Baa3 (sf); previously on Sep 11, 2012 Downgraded to B2 (sf) Cl. 2-A3, Upgraded to Baa3 (sf); previously on Sep 11, 2012 Downgraded to B2 (sf) Issuer: ChaseFlex Trust Series 2007-2 Cl. A-1, Upgraded to B3 (sf); previously on Oct 20, 2010 Downgraded to Caa2 (sf) Issuer: CHL Mortgage Pass-Through Trust 2004-HYB7 Cl. 1-A-3, Upgraded to Baa2 (sf); previously on Sep 1, 2017 Upgraded to Baa3 (sf) Cl. M, Upgraded to B2 (sf); previously on Sep 1, 2017 Upgraded to Caa2 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2005-A2 Cl. 1-A-1, Upgraded to Aaa (sf); previously on Apr 30, 2018 Upgraded to Aa1 (sf) Cl. 1-A-2, Upgraded to Aaa (sf); previously on Apr 30, 2018 Upgraded to Aa2 (sf) Cl. 1-M-1, Upgraded to B1 (sf); previously on Jun 15, 2017 Upgraded to Caa3 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-A4 Cl. A-3, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Downgraded to Caa3 (sf) Cl. A-5, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Affirmed Caa3 (sf) Cl. A-6, Upgraded to Caa3 (sf); previously on Apr 4, 2013 Affirmed Ca (sf) Cl. A-7, Upgraded to Caa3 (sf); previously on Apr 4, 2013 Affirmed Ca (sf) Cl. A-8, Upgraded to Caa2 (sf); previously on Apr 4, 2013 Affirmed Caa3 (sf) Issuer: J.P. Morgan Alternative Loan Trust 2006-S4 Cl. A-3A, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa2 (sf) Cl. A-3-B, Upgraded to Caa1 (sf); previously on Sep 17, 2010 Downgraded to Caa2 (sf) Cl. A-4, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Cl. A-5, Upgraded to Caa3 (sf); previously on Sep 17, 2010 Downgraded to Ca (sf) Issuer: Prime Mortgage Trust 2005-4 Cl. II-A-10, Upgraded to B3 (sf); previously on Aug 11, 2010 Downgraded to Caa1 (sf) Issuer: Prime Mortgage Trust 2006-CL1 Cl. A-1, Upgraded to Ba3 (sf); previously on Sep 14, 2015 Upgraded to B2 (sf) Cl. A-2, Upgraded to Ba3 (sf); previously on Sep 14, 2015 Upgraded to B2 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2005-AR3 Cl. 1-A-1, Upgraded to B1 (sf); previously on Jun 28, 2016 Upgraded to B3 (sf) Cl. II-A-1, Upgraded to Baa1 (sf); previously on Jun 28, 2016 Upgraded to Baa3 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2005-AR6 Cl. I-A-1, Upgraded to Baa3 (sf); previously on Jan 30, 2017 Upgraded to Ba1 (sf) Cl. II-A-1, Upgraded to Ba1 (sf); previously on Jun 28, 2016 Upgraded to B2 (sf) Cl. X-1, Upgraded to Caa2 (sf); previously on Dec 20, 2017 Confirmed at Caa3 (sf) Issuer: Structured Asset Mortgage Investments II Trust 2006-AR6 Cl. II-A-1, Upgraded to Caa2 (sf); previously on Dec 14, 2010 Downgraded to Caa3 (sf) RATINGS RATIONALE 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 upgrade on Cl. A-2 from Bear Stearns Mortgage Funding Trust 2006-AR4 also reflects the funds received by the deal in February 2018 pursuant to the Second Amended Plan of Rehabilitation of the Segregated account of Ambac Assurance Corporation, which resulted in full recoupment of cumulative realized loss on Cl. A-1. The actions further reflect 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 principal methodology used in rating Chase Mortgage Finance Trust, Series 2005-S1 Cl. 1-A1, Cl. 1-A4, Cl. 1-A11, Cl. I-A13, Cl. I-A14, Cl. I-A15, Cl. 2-A1, Cl. 2-A2, Cl. 1-A2 and Cl. 1-A12, CHL Mortgage Pass-Through Trust 2004-HYB7 Cl. 1-A-3 and Cl. M. BankUnited Trust 2005-1 Cl. I-A-1 and Cl. I-A-2, Bear Stearns ALT-A Trust 2005-7 Cl. I-1A-1, Cl. I-1A-2, Cl. I-2A-1, Cl. I-2A-2, Cl. I-2A-3 and Cl. I-M-1, Bear Stearns Alt-A Trust 2006-5 Cl. I-A-1, Bear Stearns ALT-A Trust 2007-2 Cl. I-A-1 and Cl. II-A-1, Bear Stearns Mortgage Funding Trust 2006-AR4 Cl. A-2 and Cl. A-1, ChaseFlex Trust Series 2007-2 Cl. A-1, J.P. Morgan Alternative Loan Trust 2005-A2 Cl. 1-A-1, Cl. 1-A-2 and Cl. 1-M-1, J.P. Morgan Alternative Loan Trust 2006-A4 Cl. A-3, Cl. A-5, Cl. A-6, Cl. A-7 and Cl. A-8, J.P. Morgan Alternative Loan Trust 2006-S4 Cl. A-4, Cl. A-3A, Cl. A-3-B and Cl. A-5, Prime Mortgage Trust 2005-4 Cl. II-A-10, Prime Mortgage Trust 2006-CL1 Cl. A-1, Structured Asset Mortgage Investments II Trust 2005-AR3 Cl. 1-A-1 and Cl. II-A-1 , Structured Asset Mortgage Investments II Trust 2005-AR6 Cl. I-A-1, Cl. II-A-1 and Cl. II-A-1, Structured Asset Mortgage Investments II Trust 2006-AR6 Cl. II-A-1 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Chase Mortgage Finance Trust, Series 2005-S1 Cl. 2-A3, Prime Mortgage Trust 2006-CL1 Cl. A-2 and Structured Asset Mortgage Investments II Trust 2005-AR6 Cl. X-1 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. [*] Moody's Hikes Ratings on 27 Tranches From 10 US RMBS Deals -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 27 tranches from ten transactions, backed by Subprime RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Asset Backed Securities Corporation Home Equity Loan Trust 2006-HE3 Cl. A1, Upgraded to Aaa (sf); previously on Apr 27, 2017 Upgraded to Aa3 (sf) Cl. A2, Upgraded to Aaa (sf); previously on Apr 27, 2017 Upgraded to A1 (sf) Cl. A4, Upgraded to Aa1 (sf); previously on Apr 27, 2017 Upgraded to A3 (sf) Cl. A5, Upgraded to Aa2 (sf); previously on Apr 27, 2017 Upgraded to Baa1 (sf) Issuer: CSFB Home Equity Asset Trust 2005-8 Cl. M-1, Upgraded to Aaa (sf); previously on Apr 21, 2017 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Apr 21, 2017 Upgraded to B1 (sf) Issuer: CSFB Home Equity Asset Trust 2006-6 Cl. 2-A-3, Upgraded to Caa3 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: CSFB Home Equity Pass-Through Certificates, Series 2005-1 Cl. M-4, Upgraded to Aaa (sf); previously on Apr 21, 2017 Upgraded to Aa2 (sf) Cl. M-5, Upgraded to A3 (sf); previously on Apr 21, 2017 Upgraded to Baa3 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-ECC1 Cl. M-3, Upgraded to B2 (sf); previously on Oct 19, 2016 Upgraded to Caa2 (sf) Issuer: GSAMP Trust 2004-AR1 Cl. B-1, Upgraded to Caa2 (sf); previously on Apr 9, 2012 Downgraded to C (sf) Cl. M-2, Upgraded to Baa3 (sf); previously on Oct 11, 2016 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to Baa3 (sf); previously on Oct 11, 2016 Upgraded to Ba1 (sf) Cl. M-4, Upgraded to Ba1 (sf); previously on Oct 11, 2016 Upgraded to Ba2 (sf) Cl. M-5, Upgraded to Ba3 (sf); previously on Oct 11, 2016 Upgraded to B1 (sf) Cl. M-6, Upgraded to B3 (sf); previously on Oct 11, 2016 Upgraded to Caa1 (sf) Issuer: GSAMP Trust 2005-AHL2 Cl. A-1A, Upgraded to Aaa (sf); previously on Apr 27, 2017 Upgraded to Aa1 (sf) Cl. A-1B, Upgraded to Baa2 (sf); previously on Apr 27, 2017 Upgraded to Ba1 (sf) Cl. A-2D, Upgraded to Baa2 (sf); previously on Apr 27, 2017 Upgraded to Ba1 (sf) Cl. A-2C, Upgraded to Baa1 (sf); previously on Apr 27, 2017 Upgraded to Baa3 (sf) Issuer: HSI Asset Securitization Corporation Trust 2005-I1 Cl. I-A, Upgraded to Baa3 (sf); previously on Feb 3, 2017 Upgraded to Ba3 (sf) Cl. II-A-3, Upgraded to Aa3 (sf); previously on Feb 3, 2017 Upgraded to Ba1 (sf) Cl. II-A-4, Upgraded to Baa2 (sf); previously on Feb 3, 2017 Upgraded to Ba3 (sf) Issuer: New Century Home Equity Loan Trust 2005-3 Cl. M-6, Upgraded to B3 (sf); previously on Oct 14, 2016 Upgraded to Ca (sf) Issuer: New Century Home Equity Loan Trust, Series 2004-1 Cl. M-2, Upgraded to B1 (sf); previously on Oct 11, 2016 Upgraded to B2 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to 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. [*] Moody's Takes Action on $10MM of Alt-A RMBS Issued in 2005 -------------------------------------------------------------- Moody's Investors Service has downgraded the ratings of seven tranches issued by two transactions and upgraded the rating of Class A3 issued by Structured Asset Securities Corp Trust 2005-11H. Complete rating actions are as follows: Issuer: Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 Cl. II-A-1, Downgraded to B3 (sf); previously on June 16, 2010 Downgraded to B2 (sf) Cl. III-A-1, Downgraded to Caa2 (sf); previously on August 22, 2016 Downgraded to Caa1 (sf) Cl. III-A-2, Downgraded to Caa2 (sf); previously on August 22, 2016 Downgraded to Caa1 (sf) Cl. III-A-3, Downgraded to Caa2 (sf); previously on August 22, 2016 Downgraded to Caa1 (sf) Cl. IV-A-PO, Downgraded to Caa2 (sf); previously on June 16, 2010 Downgraded to Caa1 (sf) Cl. IV-A-X, Downgraded to Caa1 (sf); previously on December 20, 2017 Upgraded to B3 (sf) Issuer: Structured Asset Securities Corp Trust 2005-11H Cl. A3, Upgraded to Caa1 (sf); previously on August 12, 2010 Downgraded to Caa2 (sf) Cl. A-IO, Downgraded to Caa1 (sf); previously on November 29, 2017 Confirmed at B3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings downgrades are due to the weaker performance of the underlying collateral and the erosion of enhancement available to the bonds. The rating upgrade is a result of an increase in credit enhancement available to the bond. The principal methodology used in rating Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 Cl. II-A-1, Cl. III-A-1, Cl. III-A-3, and Cl. IV-A-PO; and Structured Asset Securities Corp Trust 2005-11H Cl. A3 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 Cl. III-A-2 and Cl. IV-A-X; and Structured Asset Securities Corp Trust 2005-11H Cl. A-IO were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities methodology" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.0% 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. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. 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. [*] Moody's Takes Action on $117MM RMBS Issued 2005-2007 -------------------------------------------------------- Moody's Investors Service has upgraded the ratings of thirty eight tranches from four 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 Sequoia Mortgage Trust. The complete rating actions are as follows: Issuer: Sequoia Mortgage Trust 2015-2 Cl. A-19, Upgraded to Aaa (sf); previously on Apr 30, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Apr 30, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Apr 30, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-IO1, Upgraded to Aaa (sf); previously on Jun 9, 2017 Downgraded to Aa1 (sf) Cl. A-IO20, Upgraded to Aaa (sf); previously on Apr 30, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-IO21, Upgraded to Aaa (sf); previously on Apr 30, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-IO22, Upgraded to Aaa (sf); previously on Apr 30, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-IO23, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. A-IO24, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. A-IO25, Upgraded to Aaa (sf); previously on Jun 20, 2017 Downgraded to Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Sep 1, 2016 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Aug 8, 2017 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 8, 2017 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 8, 2017 Upgraded to Ba2 (sf) Issuer: Sequoia Mortgage Trust 2017-6 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 Baa2 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Aug 30, 2017 Definitive Rating Assigned Ba3 (sf) Issuer: Sequoia Mortgage Trust 2017-CH1 Cl. B-1A, Upgraded to Aa2 (sf); previously on Sep 29, 2017 Definitive Rating Assigned Aa3 (sf) Cl. B-1B, Upgraded to Aa2 (sf); previously on Sep 29, 2017 Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Sep 29, 2017 Definitive Rating Assigned A1 (sf) Cl. B-2B, Upgraded to Aa2 (sf); previously on Sep 29, 2017 Definitive Rating Assigned A1 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Sep 29, 2017 Definitive Rating Assigned A2 (sf) Cl. B-4, Upgraded to A3 (sf); previously on Sep 29, 2017 Definitive Rating Assigned Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Sep 29, 2017 Definitive Rating Assigned Ba2 (sf) Issuer: Sequoia Mortgage Trust 2017-CH2 Cl. A-19, Upgraded to Aa1 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. A-20, Upgraded to Aa1 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. A-21, Upgraded to Aa1 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa2 (sf) Cl. A-22, Upgraded to Aaa (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa1 (sf) Cl. A-23, Upgraded to Aaa (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa1 (sf) Cl. A-24, Upgraded to Aaa (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa1 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa3 (sf) Cl. B-1B, Upgraded to Aa2 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Aa3 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Nov 30, 2017 Definitive Rating Assigned A2 (sf) Cl. B-2B, Upgraded to Aa3 (sf); previously on Nov 30, 2017 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Nov 30, 2017 Definitive Rating Assigned A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Nov 30, 2017 Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in credit enhancement available to the bonds and a decrease in its projected pool losses. The actions reflect the recent strong performance of the underlying pools. As of June 2018, the deals had no serious delinquencies (loans 60 days or more delinquent). The upgrades for Sequoia Mortgage Trust 2015-2 also partially reflect corrections to the pool loss projections used by Moody's in rating this transaction. In prior rating actions, incorrect adjustments were made for the documentation of mortgage loans and for homeowners association (HOA) properties in super-lien states, leading to overstated pool loss projections. The documentation and HOA adjustments have since been revised, and the rating actions reflect the corrected adjustments and associated projected pool losses. 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 June 2018, the 3-month average prepayment rates for the underlying pools averaged approximately 7.6% for SEMT 2015-2, 7.2% for SEMT 2017-6, 9.1% for SEMT 2017-CH1 and 26.9% for SEMT 2017-CH2 with the pool factors at 61.9%, 90.6%, 85.0% and 86.4%, 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. Our 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 Sequoia Mortgage Trust 2015-2 Cl. A-19, Cl. A-20, Cl. A-21, Cl. B-1, Cl. B-2, Cl. B-3 and Cl. B-4; Sequoia Mortgage Trust 2017-6 Cl. B-1, Cl. B-2, Cl. B-3, and Cl. B-4; Sequoia Mortgage Trust 2017-CH1 Cl. B-1A, Cl. B-1B, Cl. B-2A, Cl. B-2B, Cl. B-3, Cl. B-4, and Cl. B-5; and Sequoia Mortgage Trust 2017-CH2 Cl. A-19, Cl. A-20, Cl. A-21, Cl. A-22, Cl. A-23, Cl. A-24, Cl. B-1A, Cl. B-1B, Cl. B-2A, Cl. B-2B, 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 Sequoia Mortgage Trust 2015-2 Cl. A-IO1, Cl. A-IO20, Cl. A-IO21, Cl. A-IO22, Cl. A-IO23, Cl. A-IO24, and Cl. A-IO25 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. [*] Moody's Takes Action on $174.6MM RMBS Issued 2003-2007 ---------------------------------------------------------- Moody's Investors Service has upgraded the ratings of six tranches and downgraded the ratings of eleven tranches from five transactions, backed by Subprime and Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns Structured Products Trust 2007-EMX1 Cl. A-1, Downgraded to Ba3 (sf); previously on Mar 16, 2018 Downgraded to Baa3 (sf) Cl. A-2, Downgraded to B1 (sf); previously on Mar 16, 2018 Downgraded to Ba1 (sf) Cl. M-1, Downgraded to B3 (sf); previously on Mar 16, 2018 Downgraded to B2 (sf) Cl. M-2, Downgraded to Caa1 (sf); previously on Apr 18, 2016 Upgraded to B3 (sf) Issuer: C-BASS Mortgage Loan Trust, Series 2003-CB1 Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 10, 2011 Downgraded to Ca (sf) Issuer: GSR Mortgage Loan Trust 2004-15F Cl. 1A-2, Downgraded to B3 (sf); previously on May 7, 2015 Downgraded to B1 (sf) Cl. 1A-3, Downgraded to B3 (sf); previously on May 7, 2015 Downgraded to B1 (sf) Cl. 1A-4, Downgraded to Caa2 (sf); previously on May 7, 2015 Downgraded to B3 (sf) Cl. 2A-1, Downgraded to B3 (sf); previously on May 7, 2015 Downgraded to B1 (sf) Cl. 2A-2, Downgraded to B3 (sf); previously on May 7, 2015 Downgraded to B1 (sf) Cl. 2A-3, Downgraded to B3 (sf); previously on May 7, 2015 Downgraded to B1 (sf) Issuer: MASTR Asset Backed Securities Trust 2005-HE1 Cl. M-4, Downgraded to B1 (sf); previously on May 1, 2014 Upgraded to Ba3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust 2006-FF1 Cl. B-1, Upgraded to A3 (sf); previously on Oct 10, 2017 Upgraded to Baa1 (sf) Cl. B-2, Upgraded to Baa2 (sf); previously on Oct 10, 2017 Upgraded to Baa3 (sf) Cl. M-4, Upgraded to Aaa (sf); previously on Oct 10, 2017 Upgraded to Aa2 (sf) Cl. M-5, Upgraded to Aa2 (sf); previously on Oct 10, 2017 Upgraded to A1 (sf) Cl. M-6, Upgraded to Aa3 (sf); previously on Oct 10, 2017 Upgraded to A2 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are a result of the improving performance of the related pools and / or an increase in credit enhancement available to the bonds. The rating downgrade on MASTR Asset Backed Securities Trust 2005-HE1 Class M-4 is due to outstanding interest shortfall on the bond that is not expected to be reimbursed due to a weak interest shortfall reimbursement mechanism on the tranche. The rating downgrade on Bear Stearns Structured Products Trust 2007-EMX1 Classes A-1, A-2, M-1, and M-2 are due to increasing outstanding interest shortfalls on the bonds that have not been reimbursed. The rating downgrades for the remaining bonds reflect the recent performance of the underlying pools, the erosion of credit enhancement available to the bonds, and Moody's updated loss expectations on the pools. The principal methodology used in rating MASTR Asset Backed Securities Trust 2005-HE1 Cl. M-4 , C-BASS Mortgage Loan Trust, Series 2003-CB1 Cl. B-1 , Bear Stearns Structured Products Trust 2007-EMX1 Cl. A-2 , Cl. A-1, Cl. M-1 and Cl. M-2 , Merrill Lynch Mortgage Investors Trust 2006-FF1 Cl. M-4 , Cl. M-5 , Cl. M-6 , Cl. B-1 and Cl. B-2 , GSR Mortgage Loan Trust 2004-15F Cl. 1A-4 , Cl. 1A-2 , Cl. 1A-3 , Cl. 2A-1 and Cl. 2A-2 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating GSR Mortgage Loan Trust 2004-15F Cl. 2A-3 were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.0% 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. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. 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. [*] Moody's Takes Action on $348.4MM Subprime RMBS Issued 2006-2007 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 10 tranches from five transactions, backed by Subprime RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2007-1 Cl. A-3, Upgraded to Baa1 (sf); previously on Dec 16, 2016 Upgraded to Ba1 (sf) Cl. A-4, Upgraded to Baa3 (sf); previously on Dec 16, 2016 Upgraded to Ba2 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2007-ASAP2 Cl. A-2B, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Downgraded to Ca (sf) Cl. A-2C, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Cl. A-2D, Upgraded to Caa1 (sf); previously on Apr 14, 2010 Confirmed at Ca (sf) Issuer: CSFB Home Equity Asset Trust 2007-3 Cl. 1-A-1, Upgraded to Caa2 (sf); previously on May 5, 2010 Downgraded to Ca (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-12 Cl. 2-A-2, Upgraded to B1 (sf); previously on Apr 14, 2010 Downgraded to Caa2 (sf) Cl. 2-A-3, Upgraded to Caa2 (sf); previously on Apr 14, 2010 Downgraded to C (sf) Issuer: CWABS Asset-Backed Certificates Trust 2006-22 Cl. 2-A-3, Upgraded to B1 (sf); previously on Oct 17, 2016 Upgraded to Caa1 (sf) Cl. 2-A-4, Upgraded to Caa2 (sf); previously on Oct 17, 2016 Upgraded to Ca (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and/or an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to 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. [*] S&P Discontinues Ratings on 19 Classes From Four CDO Deals -------------------------------------------------------------- S&P Global Ratings today discontinued its ratings on 15 classes from three cash flow (CF) collateralized loan obligation (CLO) transactions and four classes from one CF collateral debt obligation (CDO) backed by commercial mortgage-backed securities (CMBS). The discontinuances follow the complete paydown of the notes as reflected in the most recent trustee-issued note payment reports for each transaction: -- Canyon Capital CLO 2006-1 Ltd. (CF CLO): all rated tranches paid down; -- JFIN Revolver CLO 2015 Ltd. (CF CDO of CMBS): optional redemption in June 2018; -- Northwoods Capital XII Ltd. (CF CLO): optional redemption in June 2018; and -- N-Star REL CDO VI Ltd. (CF CDO of CMBS): senior-most tranches paid down, other rated tranches still outstanding. RATINGS DISCONTINUED Canyon Capital CLO 2006-1 Ltd. Rating Class To From A-1 NR AAA (sf) A-2 NR AAA (sf) B NR AAA (sf) C NR AAA (sf) D NR AA (sf) E NR BBB (sf) JFIN Revolver CLO 2015 Ltd. Rating Class To From C NR A+ (sf) D NR BBB+ (sf) E VFN NR BB+ (sf) Northwoods Capital XII Ltd. Rating Class To From A-R NR AAA (sf) B-R NR AA (sf) C-R NR A (sf) D-R NR BBB (sf) E-1 NR BB (sf) E-2-R NR BB (sf) N-Star REL CDO VI Ltd. Rating Class To From D NR CCC- (sf) E NR CCC (sf) F NR CCC- (sf) G NR CCC (sf) NR--Not rated. [*] S&P Puts 13 Ratings From 3 US CLO Deals on Watch Positive ------------------------------------------------------------- S&P Global Ratings placed its ratings on 13 tranches from three U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications. S&P said, "At the same time, we placed our ratings on two tranches from one U.S. CLO transaction on CreditWatch with negative implications. The CreditWatch placements follow our surveillance review of U.S. cash flow collateralized debt obligation (CDO) transactions." The CreditWatch positive placements resulted from enhanced overcollateralization due to paydowns to the senior tranches of these CLO transactions. All of the transactions have exited their reinvestment periods. The CreditWatch negative placements reflect declining credit support available to the junior tranches of this CLO transaction. This transaction has also experienced deterioration in its weighted average spread. S&P believes the credit support available to these notes may no longer be commensurate with the current ratings. The impacted tranches are subordinate within the transaction and therefore are more vulnerable to distressed market conditions and losses in the transaction. The following table reflects the year of issuance for the five transactions whose ratings were placed on CreditWatch. Year of issuance No. of deals 2012 1 2013 2 2014 1 S&P said, "We expect to resolve today's CreditWatch placements within 90 days after we complete a comprehensive cash flow analysis and committee review for each of the affected transactions. We will continue to monitor the CDO transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." RATINGS PLACED ON CREDITWATCH POSITIVE Emerson Park CLO Ltd. Rating Class To From B-1-R AA (sf)/Watch Pos AA (sf) B-2-R AA (sf)/Watch Pos AA (sf) C-1-R A (sf)/Watch Pos A (sf) C-2-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) Symphony CLO VIII Ltd. Partnership Rating Class To From C-R AA+ (sf)/Watch Pos AA+ (sf) D-R AA- (sf)/Watch Pos AA- (sf) E-R BBB- (sf)/Watch Pos BBB- (sf) Vibrant CLO II Ltd. Rating Class To From A-2A-R AA (sf)/Watch Pos AA (sf A-2B-R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) C-R BBB (sf)/Watch Pos BBB (sf) D BB (sf)/Watch Pos BB (sf) RATINGS PLACED ON CREDITWATCH NEGATIVE CVP Cascade CLO - 1 Ltd. Rating Class To From D BB (sf)/Watch Neg BB (sf) E B- (sf)/Watch Neg B- (sf) [*] S&P Takes Various Actions on 91 Classes From 21 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 91 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2007. All of these transactions are backed by subprime, document-deficient, and re-performing collateral. The review yielded 23 upgrades, 18 downgrades, 49 affirmations, and one discontinuance. Analytical Considerations SP said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows." These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls and missed interest payments; -- Priority of principal payments; -- Tail risk; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We raised our ratings by five or more notches on 10 classes due to increased credit support and/or expected short duration. A vast majority of the classes with raised ratings have the benefit of failing cumulative loss triggers, whereby the most senior classes in the payment priority are receiving all scheduled and unscheduled principal allocations, which in effect increases credit support. As a result, we believe these classes have credit support that is sufficient to withstand losses at higher rating levels. "We lowered our rating on class M-3 from GSAMP Trust 2005-SD2 to 'CCC (sf)' from 'A (sf)' after assessing the impact of missed interest payments on this class. As this class receives additional compensation for outstanding missed interest payments, the downgrade is based on our cash flow projections used in determining the likelihood that the missed interest payments would be reimbursed under various rating scenarios." 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Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***