/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/180729.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 29, 2018, Vol. 22, No. 209 Headlines ANNISA CLO: Moody's Assigns Ba3 Rating on $20MM Class E-R Notes ASHFORD HOSPITALITY 2018-KEYS: DBRS Finalizes B on Cl. X-EXT Certs BANK 2018-BNK13: DBRS Assigns Prov. B(low) Rating on Class F Certs BENCHMARK MORTGAGE 2018-B5: Fitch to Rate Class G-RR Certs 'B-sf' CARLYLE GLOBAL 2016-1: S&P Assigns BB- Rating on D-R Notes CENT CLO 21: S&P Assigns Prelim B- Rating on Class E-R2 Notes CIFC FUNDING 2018-III: Moody's Assigns B3 Rating on Class F Notes COMM 2012-CCRE5: Moody's Affirms B2 Rating on Class G Certs COMM 2013-CCRE10: DBRS Confirms B Rating on Class F Certs COMM 2013-CCRE12: Fitch Affirms CCC Rating on $16.5MM Class F Certs CPS AUTO 2018-C: DBRS Finalizes BB Rating on $22.3MM Class E Notes CSFB MORTGAGE 2004-C4: Moody's Affirms C Ratings on 2 Tranches DRYDEN 43: Moody's Assigns Ba3 Rating on Class E-R Notes DRYDEN 58: Moody's Assigns Ba3 Rating on $21.37MM Class E Notes FIRST UNION 1999-C1: Moody's Affirms Caa1 Rating on Class G Certs GS MORTGAGE 2018-GS10: DBRS Gives (P)BB(low) Rating on Cl. F Certs GS MORTGAGE 2018-TWR: S&P Assigns Prelim. B- Rating on F Certs HPS LOAN 8-2016: S&P Assigns BB- Rating on Class E-R Notes HUDSON'S BAY 2015-HBS: S&P Affirms B Rating on 3 Tranches INDYMAC HOME 2005-B: Moody's Cuts Class M-3 Debt Rating to 'B1' JP MORGAN 2016-JP2: Fitch Affirms BB- Rating on Class E Certs JP MORGAN 2018-WPT: DBRS Gives (P)B(low) Rating on Cl. G-FX Certs JPMBB COMMERCIAL 2015-C30: DBRS Confirms B Rating on Class F Certs MONROE CAPITAL 2016-1: Moody's Rates $15MM Class E-R Notes 'Ba1' MORGAN STANLEY 2006-HQ10: Moody's Cuts Class A-J Debt Rating to B1 MORGAN STANLEY 2012-C4: Moody's Affirms B1 Rating on Cl. X-B Certs MORGAN STANLEY 2012-C6: Fitch Affirms Bsf Rating on Cl. H Certs MORGAN STANLEY 2018-H3: DBRS Finalizes B(low) Rating on H-RR Certs MOUNTAIN HAWK II: S&P Lowers Class E Notes Rating to B- NATIONSTAR HECM 2018-2: Moody's Rates Class M4 Certs '(P)Ba3' NATIXIS COMMERCIAL 2018-850T: S&P Gives (P)B- Rating on Cl. F Notes REALT 2014-1: Fitch Affirms B Rating on CAD2.8MM Class G Certs TABERNA PREFFERED II: Moody's Hikes Rating on 3 Tranches to B1 THL CREDIT 2016-1: Moody's Assigns Ba3 Rating on Class E-R Notes TIAA CLO I: S&P Assigns BB- Rating on $18MM Class E-R Notes WEBSTER PARK: S&P Assigns B-(sf) Rating on $5MM Class E-R Notes WELLS FARGO 2018-C45: DBRS Finalizes BB Rating on Class G-RR Certs ZAIS CLO 9: Moody's Assigns Ba3 Rating on Class E Notes [*] DBRS Reviews 229 Classes From 14 US RMBS Transactions [*] Moody's Hikes Ratings on 7 Tranches From 2 Merrill Lynch Deals [*] Moody's Lowers $758.6MM Alt-A RMBS Issued 2006-2007 [*] Moody's Takes Action on $197MM RMBS Issued 2003-2006 [*] Moody's Takes Action on $299MM RMBS Issued in 2002-2006 [*] Moody's Takes Action on $49MM Prime Jumbo RMBS Issued 2002-2004 [*] Moody's Takes Action on $86MM of Alt-A RMBS Issued 2004-2008 [*] S&P Raises Ratings on 42 Classes Fom 23 U.S. RMBS Deals [*] S&P Takes Various Actions on 48 Classes From 18 US RMBS Deals [*] S&P Takes Various Actions on 59 Classes From US RMBS Deals ********* ANNISA CLO: Moody's Assigns Ba3 Rating on $20MM Class E-R Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of refinancing notes issued by Annisa CLO, Ltd.: Moody's rating actions are as follows: US$1,650,000 Class X Amortizing Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Definitive Rating Assigned Aaa (sf) US$256,000,000 Class A-R Senior Secured Floating Rate Notes due 2031 (the "Class A-R Notes"), Definitive Rating Assigned Aaa (sf) US$50,000,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$18,000,000 Class C-R Deferrable Mezzanine Secured Floating Rate Notes due 2031 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) US$24,000,000 Class D-R Deferrable Mezzanine Secured Floating Rate Notes due 2031 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$20,000,000 Class E-R Deferrable Junior Secured 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. Invesco RR Fund L.P. 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 20, 2018 in connection with the refinancing of all classes of the secured notes previously issued on August 16, 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 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: $399,587,934 Defaulted par: $1,035,550 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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, where a negative difference corresponds to higher expected losses), assuming that all other factors are held equal: Percentage Change in WARF -- increase of 15% (2800 to 3220) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -2 Class C-R Notes: -2 Class D-R Notes: -1 Class E-R Notes: -1 Percentage Change in WARF -- increase of 30% (2800 to 3640) Rating Impact in Rating Notches Class X Notes: 0 Class A-R Notes: -1 Class B-R Notes: -4 Class C-R Notes: -4 Class D-R Notes: -2 Class E-R Notes: -1 ASHFORD HOSPITALITY 2018-KEYS: DBRS Finalizes B on Cl. X-EXT Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-KEYS issued by Ashford Hospitality Trust 2018-KEYS: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at AA (low) (sf) -- Class D at A (sf) -- Class E at BBB (sf) -- Class X-CP at B (sf) -- Class X-EXT at B (sf) -- Class F at B (low) (sf) All trends are Stable. The Class X-CP and X-EXT balances are notional. The subject transaction is collateralized by six loans, which are not cross-collateralized, that contain a total of 34 hotels, of which 24 operate under various Marriott flags, seven are affiliated with Hilton, one is flagged by Hyatt and two operate as independent hotels. The hotels have a combined total room count of 7,270 keys, consisting of 19 full-service hotels with 4,767 keys, ten select-service hotels with 1,160 keys and five extended-stay hotels containing 893 keys. Furthermore, the portfolio is diversified across 16 states, with the largest concentration by allocated loan amount in California (34.7%), Texas (11.9%) and Florida (9.5%). Sponsorship for the loan is Ashford Hospitality Trust, Inc. (Ashford), a well-established owner and operator of approximately 120 hotel assets across the United States. Management for the hotels is provided by five proven firms: Remington Lodging and Hospitality, LLC (Remington), an affiliate of the borrower; Marriott International (Marriott); Hyatt; Starwood; and Hilton Worldwide Holdings Inc. (Hilton). Remington manages more than 90 hotels across 27 states under 16 different brands, including 21 hotels in this portfolio. Marriott, which manages ten hotels in this portfolio, is a global lodging firm with more than 6,500 properties located in 127 countries and over 90 years of experience. The sponsor has displayed consistent commitment to the subject properties, investing roughly $227.7 million ($29,256 per key) between 2013 and 2017, with $26.7 million ($3,677 per key) budgeted to be spent in 2018. All but three hotels were previously securitized in either the MSCI 2015-XLF1, MSCI 2015-XLF2 or JPMCC 2016-ASH transactions and have paid as agreed with no delinquencies. Senior mortgage loan proceeds of $982.0 million plus $288.2 million of mezzanine financing will refinance prior existing debt of $1,067.0 million, fund $29.8 million of upfront reserves and closing costs and facilitate a $163.4 million cash-equity distribution. The portfolio's appraised value is $1,587.8 million ($218,404 per key) on a single-asset basis, or $1,683.0 million ($231,499 per key) on a portfolio basis, with a net cash flow (NCF) of $127.1 million as of the trailing 12 months (T-12) ending February 28, 2018. The loan is a two-year floating-rate interest-only (IO) loan (one-month LIBOR plus 2.85%, subject to an interest rate cap, with a 12.5-basis point (bps) extension fee or rate increase on the fourth and fifth extension options) with five one-year extension options. Overall, DBRS considers the properties to be in established suburban or peripheral urban areas with generally stable demand sources. Occupancy has averaged 75.9% since 2013, increasing every year through the T-12 ending February 28, 2018, albeit at a decreasing rate. The average daily rate (ADR) has also been solid, increasing every year since 2013 at an average rate of 4.0%; however, the T-12 ending February 28, 2018, ADR is only 0.8% greater than the 2016 figure. These figures produced strong annual revenue per available room (RevPAR) growth of 10.7% in 2014, 8.1% in 2015, 6.6% in 2016 and 1.8% as of the T-12 ending February 28, 2018, reflecting an overall tightening of the national lodging market. To mitigate this downside risk of declining RevPAR once the cycle turns, DBRS concluded to individual property RevPAR assumptions that were generally between the 2015 and 2016 actual figures. The as-is portfolio's appraised value is $1,587.8 million, assuming individual sales, based on an average cap rate of 8.4%, which equates to a high appraised loan-to-value (LTV) of 80.0%, based on total debt, or 62.1% based on the mortgage. Based on a portfolio valuation of $1,683.0 million, the LTV drops to 75.5%. The DBRS-concluded value of $1,082.0 million ($148,835 per key) represents a significant 31.9% discount to the individual appraised value and results in a DBRS total financing LTV of 117.4%, which is indicative of high-leverage financing; however, the DBRS value is based on a blended reversionary cap rate of 10.95%, which represents a significant stress over the current prevailing market cap rates. According to the PWC Q3 2017 report, residual cap rates for full-service hotels ranged from 7.0% to 10.0% with an average of 8.44%. Based on total financing, the DBRS Debt Yield and DBRS Term debt service coverage ratio (DSCR) at 9.3% and 1.58 times (x), respectively, are considered somewhat weak considering the portfolio is primarily securitized by suburban to urban full-service hotels. The portfolio is geographically diverse, as the 34 hotel assets are located across 16 states and 21 metropolitan statistical areas. Furthermore, the portfolio represents three different hotel brands spread across ten different flags, plus two unflagged hotels. The sponsor acquired or constructed the hotels between 1998 and 2015, with most assets acquired between 2003 and 2007. The loan sponsor invested substantial capital between 2013 to 2017, totaling $212.7 million ($29,256 per key). The cumulative investment-grade-rated proceeds per key exposure is $115,089 – well below the estimated replacement cost of the underlying assets (excluding land value), which is closer to $205,000 per key overall. In addition, the associated DBRS Debt Yield through the investment-grade level is very attractive at 14.0%. The portfolio is concentrated by property type, as all properties are hotels. Hotels have the highest cash flow volatility of all property types because of the short lease/length of stay compared with commercial properties and their higher operating leverage. These dynamics can lead to rapidly deteriorating cash flow in a declining market, and with nationwide RevPAR in its seventh consecutive year of growth, relatively easy RevPAR gains appear to be gone. The portfolio's lowest reported annual NCF was $25.7 million at YE2013, which is 33.6% lower than the T-12 ending February 2018 NCF. Performance was rebounding in 2013 from the overall poor lodging environment following the Great Recession. If cash flows were to decline to the YE2013 level, the DBRS Term DSCR on the senior mortgage debt would still be 1.33x, based on the DBRS-stressed interest rate of 6.07%. Furthermore, given that a substantial portion of the mortgage is rated below investment grade or unrated, the portion of the loan considered to be investment grade would have an effective DSCR of 1.42x based on this extremely low NCF level. Based on the DBRS-concluded value of $1,082.0 million ($148,835 per key), the portfolio's leverage based on the senior mortgage loans is considered high, with a DBRS LTV of 90.8%. Furthermore, the DBRS LTV increases to 117.4% with the addition of the mezzanine financing. While the DBRS LTV is high, it is based on a stressed valuation that assumes a significant increase in market cap rates. The DBRS cap rate for the portfolio allows for significant reversion to the mean in the lodging valuation metrics, as it is approximately 251 bps higher than the current market cap rate for full-service hotels (per the PwC Real Estate Investor Survey) and 251 bps above the appraiser's concluded bulk-sale portfolio cap rate. Additionally, the last dollar of debt that reflects the 90.8% DBRS LTV is rated below investment grade at B (low), whereas the BBB-rated exposure reflects a much more modest 78.0% DBRS LTV. Lodging industry revenues have been trending upward for eight years, and RevPAR gains have generally been very robust since the bottom of the market in 2010. The length of recovery, combined with substantial new supply nationwide, could signal a cyclical downturn in the near future. The relatively high cap rates applied to the hotel properties by DBRS reflect the substantial cash flow volatility inherent in the asset class. In addition, the DBRS RevPAR for the portfolio is 4.3% lower than the T-12 ending February 28, 2018, and 2.5% lower than YE2016. Furthermore, the concluded DBRS NCF is between the YE2015 and YE2016 levels, which represent a more normalized stage in the lodging cycle. Of the 32 flagged hotels, eight hotels, representing 15.6% of the total financing, have franchise agreements that expire within the fully extended loan term. The loan is not structured with any cash flow sweep or covenant to guarantee future capital funds are available prior to the franchise expiration. If a franchise agreement expires, and the borrower fails to enter into a replacement franchise agreement with a qualified franchisor, this would cause an event of default and would create several limitations, including limiting Ashford's ability to extend the loan term. Ashford Hospitality Limited Partnership, the main operating partnership through which Ashford (a public real estate investment trust with a market capitalization of $625.4 million, according to Bloomberg) owns its assets. Ashford has generally owned the assets for over ten years and has invested approximately $212.7 million in improvements since 2013. Furthermore, on the first Payment Date of every year, the borrower is required to deposit the aggregate amount of all approved property improvement plan (PIP) expenses for a calendar year. Furthermore, $5,126,176 for required PIPs is included in the upfront reserves at closing. Classes X-CP and X-EXT are IO certificates that reference multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. BANK 2018-BNK13: DBRS Assigns Prov. B(low) Rating on Class F Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-BNK13 to be issued by BANK 2018-BNK13: -- 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 X-B at A (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class X-E at BB (sf) -- Class X-F at B (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) The Class X-A, X-B, X-D, X-E and X-F balances are notional. The collateral consists of 62 fixed-rate loans secured by 80 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The trust assets contributed from five loans, representing 24.3% of the pool, are shadow-rated investment-grade by DBRS. Proceeds for the shadow-rated loans are floored at the respective rating within the pool. When 24.3% of the pool has no proceeds assigned below the rated floor, the resulting pool subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the provisional ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the stabilized net cash flow (NCF) and their respective actual constants, two loans, representing 9.5% 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 14 loans, representing 49.3% of the pool, having refinance DSCRs below 1.00x and eight loans, representing 33.9% of the pool, with refinance DSCRs below 0.90x. These credit metrics are based on whole-loan balances. Four of the 15 largest loans in the pool – 1745 Broadway, Pfizer Building, Fair Oaks Mall and 181 Fremont Street – exhibit credit characteristics consistent with shadow ratings of BBB (high), AAA, A (high) and AA, respectively. These loans represent 22.7% of the transaction balance. Fifteen loans, representing 31.4% of the pool, are located in urban markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include New York, Las Vegas and San Francisco. DBRS did not deem any of the properties securing the loans to be Below Average or Poor property quality. Only two loans, Alvarado Sunset Apartments and Palatka Oaks Apartments, were considered Average (-) and represent a combined 1.0% of the DBRS sample balance. Furthermore, ten loans comprising 55.7% of the DBRS sample balance were either considered Above Average or Average (+). The remaining loans were classified as Average. Additionally, only four loans, totaling 11.3% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. The largest of these loans are Pfizer Building and 181 Fremont Street, which combined represent 9.2% of the pool balance and 81.5% of the single-tenant concentration, both of which are shadow-rated investment-grade. The Pfizer Building and 181 Fremont Street collateral serve as the mission-critical company headquarters for Pfizer Inc. and Facebook, respectively. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. Twenty-three loans, representing 64.1% of the pool, including nine of the largest ten loans, are structured with interest-only (IO) payments for the full term. An additional seven loans, representing 7.5% of the pool, have partial IO periods remaining ranging from 12 months to 60 months. However, the DBRS Term DSCR is calculated by using the amortizing debt service obligation and the DBRS Refi DSCR is calculated by considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines probability of default (POD) based on the lower of Term or Refi DSCR; therefore, loans that lack amortization will be treated more punitively. Further, this concentration includes two shadow-rated loans – 1745 Broadway and 181 Fremont Street – which total 12.3% of the pool, both of which are full-term IO. The pool is relatively more concentrated than recent transactions, with the top ten loans accounting for 57.2% of the pool. The deal's concentration profile is equivalent to that of a pool of 23 equal-sized loans, which is less than favorable. This is mitigated by the fact that a concentration penalty was applied given the pool's lack of diversity, which increases each loan's POD. While the transaction is concentrated in the largest ten loans, two of the top three loans, comprising 8.4% of the transaction balance, are shadow-rated investment-grade by DBRS. Classes X-A, X-B, X-D, X-E and X-F are IO certificates that reference a single rated tranche or multiple rated tranches. The IO ratings mirror the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. BENCHMARK MORTGAGE 2018-B5: Fitch to Rate Class G-RR Certs 'B-sf' ----------------------------------------------------------------- Fitch Ratings has issued a presale report on Benchmark 2018-B5 Mortgage Trust commercial mortgage pass-through certificates, Series 2018-B5. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $22,312,000 class A-1 'AAAsf'; Outlook Stable; -- $195,734,000 class A-2 'AAAsf'; Outlook Stable; -- $135,000,000a class A-3 'AAAsf'; Outlook Stable; -- $340,117,000a class A-4 'AAAsf'; Outlook Stable; -- $34,230,000 class A-SB 'AAAsf'; Outlook Stable; -- $833,904,000b class X-A 'AAAsf'; Outlook Stable; -- $44,163,000b class X-B 'AA-sf'; Outlook Stable; -- $106,511,000 class A-S 'AAAsf'; Outlook Stable; -- $44,163,000 class B 'AA-sf'; Outlook Stable; -- $42,864,000 class C 'A-sf'; Outlook Stable; -- $18,185,000bc class X-D 'BBB+sf'; Outlook Stable; -- $18,185,000c class D 'BBB+sf'; Outlook Stable; -- $32,473,000cd class E-RR 'BBB-sf'; Outlook Stable; -- $19,483,000cd class F-RR 'BB-sf'; Outlook Stable; -- $10,392,000cd class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $37,668,160cd class NR-RR. The initial certificate balances of class A-3 and class A-4 are unknown and expected to be approximately $475,117,000 in aggregate plus or minus 5%. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $75,000,000 to $195,000,000 and the expected class A-4 balance range is $280,117,000 to $400,117,000. a Notional amount and interest only. b Privately placed and pursuant to rule 144A. c Horizontal risk retention (HRR) interest representing at least 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity. NR = Not Rated The expected ratings are based on information provided by the issuer as of July 23, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 55 loans secured by 219 commercial properties having an aggregate principal balance of $1,039,132,161 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, JPMorgan Chase Bank, National Association, and Citi Real Estate Funding Inc. Fitch received a comprehensive sample of the transaction's collateral, including site inspections on 67.2% of the properties by balance, cash flow analysis of 76.1%, and asset summary reviews of 89.9% 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 99.2% is lower than the 2017 and YTD 2018 averages of 101.6% and 103.7%, respectively. Despite the relatively strong Fitch LTV, the pool's Fitch DSCR of 1.19x is slightly weaker than the 2017 and YTD 2018 averages of 1.26x and 1.23x, respectively. Investment-Grade Credit Opinion Loans: Five loans comprising 27.6% of the transaction received an investment-grade credit opinion. Aventura Mall (9.9% of the pool) received a credit opinion 'Asf*' on a stand-alone basis. 181 Fremont Street (3.9% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. AON Center (4.1% of the pool) received a stand-alone credit opinion of 'BBB-sf*'. Ebay North First Commons (4.9% of the pool) received a credit opinion of 'BBB-sf*' on a stand-alone basis. Workspace (4.8% of the pool) received a credit opinion of 'Asf*' on a stand-alone basis. Excluding these loans, the pool's Fitch DSCR and LTV are 1.12x and 112.4%, respectively. Weak Amortization: Twenty-three loans (59.0% of the pool) are full-term interest-only, 18 loans (19.9% of the pool) are partial interest-only and one loan (3.9% of the pool) is interest-only plus ARD Structure. The pool is scheduled to amortize just 6.1% 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 0.8% 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 BMARK 2018-B5 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. CARLYLE GLOBAL 2016-1: S&P Assigns BB- Rating on D-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Carlyle Global Market Strategies CLO 2016-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2016 that is managed by Carlyle Investment Management LLC. S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes following payment in full on the July 20, 2018, refinancing date. On the July 20, 2018, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances were used to redeem the original class A-1, A-2, B, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also extend the weighted average life test by one year. 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 Carlyle Global Market Strategies CLO 2016-1 Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 246.40 A-2-R AA (sf) 56.80 B-R A (sf) 28.80 C-R BBB- (sf) 17.60 D-R BB- (sf) 18.40 RATINGS WITHDRAWN Carlyle Global Market Strategies CLO 2016-1 Ltd. Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (sf) B NR A (sf) C NR BBB- (sf) D NR BB- (sf) NR--Not rated. CENT CLO 21: S&P Assigns Prelim B- Rating on Class E-R2 Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X-R2, A-1-RA, A-1-RB, A-2-R2, B-R2, C-R2, D-R2, and E-R2 replacement notes from Cent CLO 21 Ltd., a collateralized loan obligation (CLO) originally issued in 2014 that is managed by Columbia Management Investment Advisers 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 20, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 27, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- The replacement class X-R2, A-1-RA, A-2-R2, B-R2, C-R2, D-R2, and E-R2 notes are expected to be issued at a lower spread than the original notes. -- The replacement class A-1-RB notes are expected to be issued at a fixed coupon. The stated maturity and reinvestment period will be extended four years. -- The non-call period will be reinstated, now ending July 2020. 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 Cent CLO 21 Ltd. Replacement class Rating Amount (mil. $) X-R2 AAA (sf) 6.00 A-1-RA AAA (sf) 349.825 A-1-RB AAA (sf) 26.875 A-2-R2 AA (sf) 67.60 B-R2 A (sf) 38.70 C-R2 BBB- (sf) 39.00 D-R2 BB- (sf) 30.00 E-R2 B- (sf) 10.70 CIFC FUNDING 2018-III: Moody's Assigns B3 Rating on Class F Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by CIFC Funding 2018-III, 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$61,500,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$30,300,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$38,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$32,200,000 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. CIFC Funding 2018-III is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans, first lien last out loans and unsecured loans. The portfolio is expected to be over 98% ramped as of the closing date. CIFC CLO Management II 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: $600,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2881 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. Together with the set of modeling assumptions, 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 2881 to 3313) 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 Class F Notes: -2 Percentage Change in WARF -- increase of 30% (from 2881 to 3745) Rating Impact in Rating Notches Class A Notes: -2 Class B Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 Class F Notes: -4 COMM 2012-CCRE5: Moody's Affirms B2 Rating on Class G Certs ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings on twelve classes in COMM 2012-CCRE5 Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2012-CCRE5 Cl. A-2, 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-SB, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. B, Upgraded to Aa1 (sf); previously on Jul 20, 2017 Affirmed Aa2 (sf) Cl. C, Upgraded to A1 (sf); previously on Jul 20, 2017 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Jul 20, 2017 Affirmed Baa1 (sf) Cl. E, Affirmed Baa3 (sf); previously on Jul 20, 2017 Affirmed Baa3 (sf) Cl. F, Affirmed Ba2 (sf); previously on Jul 20, 2017 Affirmed Ba2 (sf) Cl. G, Affirmed B2 (sf); previously on Jul 20, 2017 Affirmed B2 (sf) Cl. PEZ, Affirmed Aa3 (sf); previously on Jul 20, 2017 Affirmed Aa3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed Aa2 (sf); previously on Jul 20, 2017 Affirmed Aa2 (sf) RATINGS RATIONALE The ratings on Cl. B and Cl C were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as the increase in defeasance. The deal has paid down 13% since last review and 22% since securitization. Additionally, defeasance now represents 20% of the pool. The ratings on nine 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 X-B, were affirmed based on the credit quality of their referenced classes. The rating on Cl. PEZ was affirmed due to the weighted average rating factor (WARF) of its exchangeable classes. Moody's rating action reflects a base expected loss of 3.8% of the current pooled balance, compared to 3.9% at Moody's last review. Moody's base expected loss plus realized losses is now 2.9% of the original pooled balance, compared to 3.4% 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-CCRE5 Mortgage Trust, Cl. A-2, Cl. A-SB, Cl. A-3, Cl. A-4, Cl. A-M, 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-CCRE5 Mortgage Trust, Cl. PEZ was "Moody's Approach to Rating Repackaged Securities" published in June 2015. The methodologies used in rating COMM 2012-CCRE5 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 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 22% to $879.8 million from $1.13 billion at securitization. The certificates are collateralized by 47 mortgage loans ranging in size from less than 1% to 10.2% of the pool, with the top ten loans (excluding defeasance) constituting 53% of the pool. Two loans, constituting 10.6% of the pool, have investment-grade structured credit assessments. Nine loans, constituting 20% 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 17, compared to 22 at Moody's last review. Two loans, constituting 1.3% 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. Moody's received full year 2017 operating results for 100% of the pool, and partial year 2018 operating results for 8% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 97%, compared to 96% 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 13% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.60X and 1.11X, respectively, compared to 1.61X and 1.12X 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 largest loan with a structured credit assessment is the 200 Varick Street Loan ($62.1 million -- 7.1% of the pool), which is secured by a 12-story, 430,000 square foot (SF) office property located in lower Manhattan. As of December 2017, the property was over 99% leased. The property's occupancy has remained roughly the same for a number of years. The loan has amortized over 11% since securitization. Moody's structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.70X, respectively, compared to aa3 (sca.pd) and 1.66X at the last review. The second largest loan with a structured credit assessment is the Ritz-Carlton South Beach Loan ($31.0 million -- 3.5% of the pool), which is secured by a beachfront land parcel in Miami Beach, Florida. The land is subject to a long-term ground lease which is set to expire in 2128. The improvements include a 375-room luxury hotel. While Moody's DSCR figures reflect the cash flow from the ground lease, Moody's considered the value of the ground and the improvements when assessing the risk of the loan. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and 1.01X, respectively, compared to aaa (sca.pd) and 0.99X at the last review. The top three conduit loans represent 23% of the pool balance. The largest loan is the Eastview Mall and Commons Loan ($90.0 million -- 10.2% of the pool), which represents a participation interest in a mortgage loan which is secured by a 725,000 SF portion of a 1.4 million super-regional mall and an 86,000 SF portion of a 341,000 SF adjacent retail power center located in Victor, New York, approximately 15 miles southeast of Rochester. The malls non-collateral anchors includes Macy's, Von Maur, JC Penney, Lord & Taylor and Sears. The mall was 93% leased as of June 2017, compared with 95% in January 2017. As of June 2017, inline occupancy was 85% leased. Performance has continued to decline from securitization due to base rent decreasing while expenses are increasing. Since 2015, base rent has decreased by 4% while expenses have increased by 10%. The mall is considered the dominant mall in the area. Moody's LTV and stressed DSCR are 116% and 0.86X, respectively, compared to 111% and 0.88X at the last review. The second largest loan is the Metroplex Loan ($58.1 million -- 6.6% of the pool), which is secured by an 18 story, 404,000 SF office property in the Mid-Wilshire office submarket of Los Angeles, California. As of April 2018, the property was 90% leased, compared to 91% in December 2017 and 90% in December 2016. The property has upcoming lease rollover in 2019, 2020 and 2021 when approximately 35%, 17% and 6% of leases expire. The loan has amortized almost 10% since securitization. Moody's LTV and stressed DSCR are 110% and 0.91X, respectively compared to 112% and 0.89X at the last review. The third largest loan is the Widener Building Loan ($53.1 million -- 6.0% of the pool), which is secured by an 18-story multi-tenant class B office building. The building has approximately 423,000 SF of office space with 32,000 SF of ground floor retail space. As of December 2017, the property was 100% leased, unchanged from the prior year. Property performance dropped in 2017 due to a significant increase in the repairs and maintenance expense. There is limited short-term lease rollover, when approximately 13% of leases expire between 2019 and 2022. Moody's LTV and stressed DSCR are 97% and 1.00X, respectively, compared to 93% and 1.05X at the last review. COMM 2013-CCRE10: DBRS Confirms B Rating on Class F Certs --------------------------------------------------------- DBRS Limited discontinued one class of the Commercial Mortgage Pass-Through Certificates, Series 2013-CCRE10 (the Certificates) issued by COMM 2013-CCRE10 Mortgage Trust as follows: -- Class A-1 DBRS also confirmed the remaining classes of the Certificates as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (high) (sf) -- Class PEZ at A (high) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class F at B (sf) Class A-1 was discontinued as it has been repaid as of the June 2018 remittance. The Class PEZ certificates are exchangeable for the Class A-M, Class B and Class C certificates (and vice versa). All trends are Stable, with the exception of Class F, which carries a Negative trend. The Negative trend has been maintained pending the resolution of the loan in special servicing, Strata Estates (Prospectus ID #15, 1.8% of the pool). DBRS analyzed this loan with a stressed scenario and expects a loss near 100% could be realized at liquidation. The rating confirmations reflect the performance of the transaction since issuance, with a healthy level of collateral reduction and generally strong cash flow growth for the largest loans in the pool. At issuance, the collateral consisted of 59 fixed-rate loans secured by 87 commercial properties. As of the June 2018 remittance report, 54 loans remain in the pool, with a collateral reduction of 11.6%, as a result of scheduled loan amortization. The pool also benefits from defeasance, as five loans, including two in the top 15, are fully defeased, representing 10.0% of the pool. Loans representing 81.6% of the pool reported YE2017 financials, with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.91 times (x) and 12.1%, respectively. Excluding the defeased loans, the largest 15 loans all reported YE2017 financials, with a WA DSCR and WA debt yield of 2.02x and 12.1%, respectively, representing a WA cash flow improvement of 19.5% over the DBRS net cash flow figures derived at issuance. As of the June 2018 remittance, there are 13 loans, representing 27.2% of the pool, including four loans in the top 15, on the servicer's watch list. Six of the loans are being monitored for deferred maintenance. An additional four loans (5.0% of the pool) are being monitored for loan maturity dates in July and August 2018. In general, these loans reported healthy debt yields based on the most recent financial reporting available and DBRS expects all four will successfully repay in the near term. Of the remaining three watch listed loans, two loans have performance and occupancy issues, while the remaining loan is being monitored due to the collateral property's exposure to the bankruptcy filing and store closures for Toys "R" Us. The largest loan on the watch list for cash flow declines, 1411 Fourth Avenue (Prospectus ID #14, 2.1% of the pool), is secured by an office property in Seattle and, as of YE2017, reported a DSCR of 0.50x and an occupancy rate of 24.7%. The loan's depressed cash flow and occupancy rate is primarily due to extensive renovations currently underway at the property. The renovations are in preparation for the conversion of the vacant office space into We Work spaces. We Work will be occupying 72.8% of net rentable area once the final lease approvals are obtained from the servicer. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. There is one loan, representing 1.9% of the pool, in special servicing. Strata Estates Suites (Prospectus ID #15), is secured by two multifamily properties located in Williston, North Dakota, and Watford City, North Dakota. The loan has been delinquent since November 2013 and transferred to special servicing in February 2014. Performance at the property has been severely affected by the downturn in the oil industry, resulting in periods of 100% vacancy. Short-term leases and rent concessions have been offered to increase occupancy but as of YE2017, DSCR was reported at just 0.10x. In DBRS's analysis, DBRS assumed a loss severity approaching 100% based on the most recent appraised value of $6.9 million as of August 2017. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. At issuance, DBRS shadow-rated two loans as investment grade: the largest loan in the pool, One Wilshire (Prospectus ID #1, 10.4% of the pool) and Raytheon & DirecTV Buildings (Prospectus ID #4). As of June 2018, the Raytheon & DirecTV Buildings loan is fully defeased. DBRS has today confirmed that the performance of One Wilshire remains consistent with investment-grade loan characteristics. Class X-A is an interest-only (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. COMM 2013-CCRE12: Fitch Affirms CCC Rating on $16.5MM Class F Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Deutsche Bank Securities, Inc.'s COMM 2013-CCRE12 commercial mortgage pass-through certificates. KEY RATING DRIVERS Sufficient Credit Enhancement to Offset Higher Loss Expectations: The rating affirmations reflect sufficient credit enhancement to the classes 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; 25.3% of pool). As of the June 2018 distribution date, the pool's aggregate principal balance has paid down by 6.1% to $1.12 billion from $1.2 billion at issuance. Four loans (1.8% of pool) have been defeased. No loans in the pool are full term interest-only. Further, only two loans (13.4% of the pool) currently remain in their interest-only periods; both are expected to begin amortizing in the next few months. The pool has experienced minimal realized losses of $68,000 since issuance. High Percentage of Fitch Loans of Concern: Fitch has designated 11 loans (25.3% of pool) as FLOCs, including eight specially serviced loans/real estate owned (REO) assets (21.2%). The largest FLOC is secured by 175 West Jackson (13%), a 1.5 million sf office property located in the Chicago CBD. The loan is currently in special servicing due to imminent default related to cash flow issues. The loan, however, was recently assumed by a Brookfield related entity. Occupancy at the property has declined substantially since issuance and the prior borrower was unwilling to contribute additional capital towards releasing and renovating the property. Per the March 2018 rent roll, the property is only 66.7% occupied; however, the new borrower is expected to invest capital towards stabilizing the property, and the loan is expected to return to the master servicer shortly. The next largest FLOC is secured by a leasehold interest in Harbourside North (3.4%), a 121,983 sf office property located in the Georgetown submarket of Washington D.C. The loan transferred to the special servicer on July 11, 2018 due to a payment default. As of the YE 2017 rent roll, occupancy had declined to 85.8% from 93.8% in March 2017. Further, the second largest tenant (16.5% of NRA) is expected to vacate at or prior to its lease expiry of March 2019 as the law firm has reportedly dissolved. Other FLOCs include a loan secured by a student housing property located in Conway, SC (2%) that has not submitted financial statements in over a year and is expected to face substantial new competition this upcoming school year; a loan secured by a hotel in the Flatiron District of Manhattan (1.8%) that is reportedly operating as housing for homeless families; three REO multifamily properties located in North Dakota (combined 1.8%); an REO hotel located in Morgantown, WV (1.3%); and loans secured by a delinquent shopping center located in Elkview, WV that was closed for a long period due to flood damage (1.1%); and a delinquent hotel (0.6%) located in Schaumberg, IL, and a performing loan secured by a dark Walgreens located in Bel Air, MD (0.3%). Property Type Concentrations: Loans secured by retail properties comprise the highest concentration at 31.8%, followed by office at 27.8% and multifamily/manufactured housing at 19.2%. Hotels comprise only 8% of the pool. Two of the top four loans in the pool are secured by regional mall properties. The Miracle Mile Shops loan (12.9%) is secured by a 448,835 sf mall located on the Las Vegas Strip, at the base of Planet Hollywood Resort & Casino. Foot traffic to the mall is high, and comparable in-line sales are healthy at $828 psf (as of TTM March 2018). The Oglethorpe Mall loan (5.3%) is secured by a 626,966 sf portion of a regional mall located in Savannah, GA. While the mall is considered the dominant center in its trade area, tenant sales have declined over the last few years. YE 2017 comparable in-line sales were reported at $367 psf compared with YE 2016 at $385 and YE 2015 totals of $395 psf. Fitch is concerned about the possibility of an outsize loss on the Oglethorpe Mall loan should performance continue to deteriorate. Fitch performed an additional sensitivity on the loan that assumed a 20% loss; the Negative Outlooks on classes B and X-B factor in this scenario. Maturity Schedule: There are limited scheduled maturities prior to 2023 (90.8%). However, four loans (6.1%) mature in 2018. RATING SENSITIVITIES The Negative Outlooks assigned to classes B through E and the interest-only class X-B primarily reflect concerns over the Fitch Loans of Concern, including the seven specially serviced loans/assets, as well as the potential for an outsized loss on the Oglethorpe Mall loan. Fitch ran an additional stress scenario on the loan whereby a 20% loss was assumed. A higher 40% loss scenario on the mall could result in additional Negative Outlooks through class A-M. The Outlooks on classes A-1 through A-M and X-A remain Stable due to the relatively stable performance of the majority of the pool and expected continued amortization. Rating upgrades to classes B and below may occur with improved pool performance and additional paydown or defeasance. 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 revised Outlooks as indicated: -- $87.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $96.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $225 million class A-3 at 'AAAsf'; Outlook Stable; -- $356 million class A-4 at 'AAAsf'; Outlook Stable; -- $76.3 million class A-M at 'AAAsf'; Outlook Stable; -- $79.3 million class B at 'AA-sf'; Outlook to Negative from Stable; -- $49.4 million class C at 'A-sf'; Outlook Negative; -- $204.9 million* class PEZ at 'A-sf'; Outlook Negative; -- $64.3 million class D at 'BBB-sf'; Outlook Negative; -- $23.9 million class E at 'Bsf' Outlook Negative; -- $16.5 million class F at 'CCCsf'; RE 0%; -- $841.2 million** class X-A at 'AAAsf'; Outlook Stable; -- $193 million** class X-B at 'AA-sf'; Outlook to Negative from Stable. -- The class A-M, B and C certificates may be exchanged for class PEZ certificates, and class PEZ certificates may be exchanged for the class A-M, B and C certificates. -- Notional amount and interest-only. Fitch does not rate the class G and X-C certificates. Class A-1 paid in full. CPS AUTO 2018-C: DBRS Finalizes BB Rating on $22.3MM Class E Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Notes issued by CPS Auto Receivables Trust 2018-C (CPS 2018-C): -- $113,458,000 Class A Notes rated AAA (sf) -- $32,863,000 Class B Notes rated AA (sf) -- $34,541,000 Class C Notes rated A (sf) -- $27,105,000 Class D Notes rated BBB (sf) -- $22,308,000 Class E Notes rated BB (sf) The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement will be in the form of overcollateralization, subordination, amounts held in the reserve fund and excess spread. Credit enhancement levels are sufficient to support the DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- The capabilities of Consumer Portfolio Services, Inc. (CPS) with regard to originations, underwriting and servicing. -- DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts with an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, having managed the company through multiple economic cycles. -- The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. -- The May 29, 2014, settlement of the Federal Trade Commission (FTC) inquiry relating to allegedly unfair trade practices. -- CPS paid imposed penalties and restitution payments to consumers. -- CPS has made considerable improvements to the collections process, including management changes, upgraded systems and software as well as implementation of new policies and procedures focused on maintaining compliance. -- CPS will be subject to ongoing monitoring of certain processes by the FTC. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. The CPS 2018-C transaction represents the 30th securitization completed by CPS since 2010 and offers both senior and subordinate rated securities. The receivables securitized in CPS 2018-C will be subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, vans and minivans. The rating on the Class A Notes reflects the 53.70% of initial hard credit enhancement provided by the subordinated notes in the pool (48.70%), the Reserve Account (1.00%) and overcollateralization (4.00%). The ratings on the Class B, Class C, Class D and Class E Notes reflect 40.00%, 25.60%, 14.30% and 5.00% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. CSFB MORTGAGE 2004-C4: Moody's Affirms C Ratings on 2 Tranches -------------------------------------------------------------- Moody's Investors Service has upgraded the rating on one class and affirmed the ratings on four classes in CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C4 as follows: Cl. E, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) Cl. F, Upgraded to Aaa (sf); previously on Jul 20, 2017 Upgraded to Baa3 (sf) Cl. G, Affirmed C (sf); previously on Jul 20, 2017 Affirmed C (sf) Cl. A-X, Affirmed C (sf); previously on Jul 20, 2017 Affirmed C (sf) Cl. A-Y, Affirmed Aaa (sf); previously on Jul 20, 2017 Affirmed Aaa (sf) RATINGS RATIONALE The rating on Cl. F was upgraded due to an increase in credit support resulting from loan paydowns, amortization and an increase in defeasance. The deal has paid down 11% since Moody's last review and 98% since securitization. Defeasance now represents 61% of the pool. The rating on Cl. E was affirmed because the class is fully covered by defeasance. The rating on Cl. G was affirmed due to realized Moody's expected loss plus realized losses. Cl. G has already experienced a 39% realized loss as a result of previously liquidated loans. The ratings on one IO Class, Cl. A-X, were affirmed based on the credit quality of its referenced classes. The ratings on the other IO Class, Cl. A-Y, were affirmed based on the credit quality of its referenced loans. Moody's does not anticipate losses from the remaining collateral in the current environment. However, over the remaining life of the transaction, losses may emerge from macro stresses to the environment and changes in collateral performance. Its ratings reflect the potential for future losses under varying levels of stress. Moody's base expected loss plus realized losses is now 3.9% of the original pooled balance, 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 methodology used in rating CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C4, Cl. E, Cl. F, and Cl. G was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating CSFB Mortgage Securities Corp. Commercial Mtge Pass-Through Ctfs. 2004-C4, Cl. A-X and Cl. A-Y 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 July 17, 2018 distribution date, the transaction's aggregate pooled certificate balance has decreased by 98.1% to $22.2 million from $1.14 billion at securitization. The certificates are collateralized by thirteen mortgage loans ranging in size from less than 1% to 60.7% of the pool. Seven residential cooperative (co-op) loans, constituting 24.9% of the pool, have aaa (sca.pd) structured credit assessments. Seven of the properties are located in New York and one is located in New Jersey. Two loans, constituting 61.1% 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 5. Three loans, constituting 9.5% 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. Fourteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $43.9 million (for an average loss severity of 25.4%). There are no loans that are currently in special servicing. Other than the defeased and co-op loans, the pool has three additional remaining loans representing 14.0% of the pool balance. The largest loan is the ATYS Industrial Building Loan ($2.5 million -- 11.3% of the pool), which is secured by a 98,000 square foot (SF) industrial building located in Centerville, Tennessee. The property is 100% leased to Agrana Fruit US, Inc. through February 2019 on a triple net lease. Due to the single tenant exposure, Moody's value utilized a lit/dark analysis. The loan has amortized over 32% and is scheduled to mature in August 2019. Moody's LTV and stressed DSCR are 78.2% and 1.31X, respectively. The second largest loan is the Diamond Bar Plaza Loan ($340,193 -- 1.5% of the pool), which is secured by a 36,000 SF retail center located in Diamond Bar, California approximately 29 miles east of Los Angeles. The property was 95% leased at year-end 2016. This fully amortizing loan has paid down over 89% and is scheduled to pay off in June 2019. Moody's LTV and stressed DSCR are 6.2% and greater than 4.00X, respectively. The third largest loan is The Village Apartments Loan ($260,023 -- 1.2% of the pool), which is secured by a 240-unit multifamily property located in Bartlesville, Oklahoma approximately 45 miles north of Tulsa. The property was 98% leased as of December 2016. This fully amortizing loan has paid down over 91% and is scheduled to pay off in May 2019. Moody's LTV and stressed DSCR are 4.5% and greater than 4.00X, respectively. DRYDEN 43: Moody's Assigns Ba3 Rating on Class E-R Notes -------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes issued by Dryden 43 Senior Loan Fund: US$33,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned Baa3 (sf) US$30,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation. The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. PGIM, Inc. 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 20, 2018 in connection with the refinancing of certain classes of notes previously issued on August 22, 2016. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. 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% (2265) Class D-R: +2 Class E-R: +1 Moody's Assumed WARF + 20% (3397) Class D-R: -2 Class E-R: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $599,064,132 Defaulted par: $2,357,351 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2831 (corresponding to a weighted average default probability of 24.02%) Weighted Average Spread (WAS): 3.27% Weighted Average Recovery Rate (WARR): 48.68% 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. DRYDEN 58: Moody's Assigns Ba3 Rating on $21.37MM Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Dryden 58 CLO, Ltd. Moody's rating action is as follows: US$1,000,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$288,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$47,250,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$25,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$24,875,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$21,375,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A-1 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. Dryden 58 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, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is at least 94% ramped as of the closing date. PGIM, Inc. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,249,600 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2780 Weighted Average Spread (WAS): 3.00% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9.2 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. FIRST UNION 1999-C1: Moody's Affirms Caa1 Rating on Class G Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in First Union Commercial Mortgage Trust 1999-C1, Commercial Mortgage Pass-Through Certificates, Series 1999-C1 as follows: G, Affirmed Caa1 (sf); previously on Jul 25, 2017 Affirmed Caa1 (sf) IO-1, Affirmed C (sf); previously on Jul 25, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. G was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Cl. G has already experienced a 0.2% realized loss as a result of previously liquidated loans. The rating on the IO class, Cl. IO-1, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 19.0% of the current pooled balance, compared to 15.2% at Moody's last review. Moody's base expected loss plus realized losses is now 3.5% of the original pooled balance, compared to 3.6% 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 First Union Commercial Mortgage Trust 1999-C1, Cl. G 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 First Union Commercial Mortgage Trust 1999-C1, Cl. IO-1 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 July 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $17.01 million from $1.16 billion at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from less than 1% to 16% of the pool. Two loans, constituting 29% of the pool, have defeased and are secured by US government securities. The pool contains a Credit Tenant Lease (CTL) component that includes nine loans, representing 55% 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 11 at Moody's last review. Two loans, constituting 17% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $37.9 million (for an average loss severity of 35%). There are no loans currently in special servicing. There is only one loan remaining that is not either defeased or a CTL loan. The loan is the Ridgewood Apartments Loan ($2.7 million -- 16..2% of the pool), which is secured by a 160-unit multifamily property in Carrboro, North Carolina. The property was 94% occupied as of March 2018, compared to 89% at the prior review. The loan is fully amortizing and has paid down 37% since securitization. Moody's LTV and stressed DSCR are 53% and 1.85X, respectively. The non-defeased CTL component consists of nine loans, totaling 55% of the pool, secured by properties leased to four tenants. The largest exposure is Rite Aid Corporation ($7.9 million -- 46.2% of the pool). Two of the remaining tenants have a Moody's rating and represent 11% of the CTL component balance. The majority (93%) of the CTL loans are not fully amortizing. GS MORTGAGE 2018-GS10: DBRS Gives (P)BB(low) Rating on Cl. F Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-GS10 to be issued by GS Mortgage Securities Trust 2018-GS10: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G-RR at B (low) (sf) All trends are Stable. The notional amount of the Class X-A, Class X-B and Class X-D certificates (collectively, the Class X certificates) is subject to change depending upon the final pricing of the Class A-1, Class A-2, Class A-3, Class A-4, Class A-5, Class A-AB, Class A-S, Class B, Class C, Class D, Class E, Class F and Class G-RR certificates. The pooled RR Interest represents the right to receive approximately 3.53% of all amounts collected on the Mortgage Loans (net of all expenses of the issuing entity) that are available for distribution to the pooled certificates (other than the Class R certificates). Classes D, E, X-D, F and G-RR will be non-offered certificates. The collateral consists of 33 fixed-rate loans secured by 57 commercial and multifamily 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. Trust assets contributed from three loans, representing 19.2% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective ratings within the pool. When the combined 19.2% 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 net cash flow and their respective actual constants, one loan, representing 1.1% of the total pool, had a DBRS Term DSCR below 1.15x, 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 16 loans, representing 52.5% of the pool, having refinance DSCRs below 1.00x, and ten loans, representing 42.5% of the pool, having refinance DSCRs below 0.90x. 1000 Wilshire and Aliso Creek Apartments, which represent 15.8% of the transaction balance and are two 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. Three loans — 1000 Wilshire, Aliso Creek Apartments and Marina Heights State Farm — representing a combined 19.2% of the pool exhibit credit characteristics consistent with investment-grade shadow ratings. 1000 Wilshire exhibits credit characteristics consistent with an A (low) shadow rating, Aliso Creek Apartments exhibits credit characteristics consistent with an "A" shadow rating and Marina Heights State Farm exhibits credit characteristics consistent with a AA shadow rating. The hotel concentration of two loans, representing 2.6% of the pool balance, is at a lower level than recent transactions that typically have concentrations in excess of 10.0%. Hotel properties have higher cash-flow volatility than traditional property types, as their income, which is derived from daily contracts rather than multi-year leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster because of the high operating leverage. Four loans, representing 16.8% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes two of the largest 15 loans: GSK North American HQ and the FXI Portfolio. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. Eleven loans, comprising 47.4% of the pool, were considered to be of Above Average or Average (+) property quality based on physical attributes and/or a desirable location within their respective markets. Five of these loans are within the top ten (GSK North American HQ, 1000 Wilshire, Aliso Creek Apartments, MOA Leased Fee Portfolio and Thorn creek Crossing). Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Ten loans, representing 20.7% of the pool, are located in tertiary or rural markets, which are considered weak in times of stress and have low liquidity. Term default risk is moderate, as indicated by the strong DBRS Term Debt-Service Coverage Ratio (DSCR) of 1.80x. In addition, 18 loans, representing 63.8% of the pool, have a DBRS Term DSCR in excess of 1.50x. Even when excluding the three investment-grade shadow-rated loans, the deal exhibits a high DBRS Term DSCR of 1.72x. Fourteen loans, representing 60.3% of the pool, including ten of the largest 15 loans, are structured with full-term interest-only (IO) payments. An additional ten loans, comprising 23.3% of the pool, have partial IO periods ranging from 24 months to 60 months. As a result, the transaction's scheduled amortization by maturity is only 5.4%, which is generally below other recent conduit securitizations. The transaction's weighted-average DBRS Refi DSCR is 0.95x, indicating higher refinance risk on an overall pool level. In addition, 16 loans, representing 52.5% of the pool, have DBRS Refi DSCRs below 1.00x, including five of the top ten loans and eight of the top 15 loans. Ten of these loans, comprising 42.5% 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. 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 B, Class C, Class D and 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. GS MORTGAGE 2018-TWR: S&P Assigns Prelim. B- Rating on F Certs -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to GS Mortgage Securities Corp. Trust 2018-TWR's $201.875 million commercial mortgage pass-through certificates series 2018-TWR. The certificate issuance is a commercial mortgage-backed securities (CMBS) transactions backed by one three-year floating-rate, interest-only commercial mortgage loan totaling $212.5 million (including vertical retained interest), with two one-year extension options, secured by a first-lien mortgage on the borrower's fee simple interest in Tower Place, a 790,000-sq.-ft.-office tower and adjacent retail plaza located in Atlanta, Ga. The preliminary ratings are based on information as of July 20, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of the collateral's historic and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. S&P determined that the mortgage loan has a beginning and ending loan-to-value (LTV) ratio of 113.9%, based on S&P Global Ratings' value. PRELIMINARY RATINGS ASSIGNED GS Mortgage Securities Corp. Trust 2018-TWR Class(i) Rating(ii) Amount ($) A AAA (sf) 79,759,000 X-CP BBB- (sf) 101,667,200(iii) X-FP BBB- (sf) 25,416,800(iii) X-NCP BBB- (sf) 127,084,000(iii) B AA- (sf) 17,725,000 C A- (sf) 13,293,000 D BBB- (sf) 16,307,000 E BB- (sf) 22,155,000 F B- (sf) 21,447,000 G NR 31,189,000 (i) Excludes non-offered eligible vertical interest class totaling $10.6 million. (ii) The rating on each class of securities is preliminary and subject to change at any time. (iii) The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (vi) Notional balance. The notional amount of the class X-CP certificates will be equal to the aggregate portion balances of the A-2, B-2, C-2, and D-2 portions. The notional amount of the class X-FP certificates will be equal to the aggregate portion balances of the A-1, B-1, C-1, and D-1 portions. The notional amount of the class X-NCP certificates will be equal to the aggregate certificate balances of the class A, B, C, and D certificates. NR -- Not rated. HPS LOAN 8-2016: S&P Assigns BB- Rating on Class E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A1-R, B-R, C-R, D-R, and E-R replacement notes from HPS Loan Management 8-2016 Ltd., a collateralized loan obligation (CLO) originally issued in April 2016 that is managed by HPS Investment Partners LLC. S&P withdrew its ratings on the original class A, B, C-1, C-2, D, and E notes following payment in full on the July 20, 2018, refinancing date. The class A2-R replacement notes are not rated by S&P Global Ratings. The issuer and co-issuer legal names were changed to HPS Loan Management 8-2016 Ltd. and HPS Loan Management 8-2016 LLC from Highbridge Loan Management 8-2016 Ltd. and Highbridge Loan Management 8-2016 LLC, respectively, in April 2018. On the July 20, 2018, refinancing date, the proceeds from the class A1-R, A2-R, B-R, C-R, D-R, and E-R replacement note issuances, combined with the proceeds of additional subordinated notes, were used to redeem the original class A, B, C-1, C-2, 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 A1-R, B-R, C-R, D-R, and E-R replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Increase the rated par amount and target initial par amount to $426.25 million and $500.00 million, respectively, from $369.00 million and $400.00 million. The first payment date following the refinancing will be Jan. 20, 2019. In addition, given the upsize, the issuer will have an additional effective date, which will occur on or before Jan. 15, 2019. -- Extend the reinvestment period to July 20, 2023, from Oct. 20, 2020. -- Extend the non-call period to July 20, 2020, from April 20, 2018. -- Extend the weighted average life test to July 20, 2027, from eight years calculated from the transaction's original April 7, 2016, closing date. -- Extend the legal final maturity date on the rated and subordinated notes to July 20, 2030, from April 20, 2027. Issue additional subordinated notes, increasing the subordinated note total balance to approximately $47.225 million from $37.75 million. -- Change the required minimum thresholds for the coverage tests. -- Incorporate the recovery rate methodology and updated industry classifications outlined in our August 2016 CLO criteria update. Although the results of the cash flow analysis indicate minimal cushion on the class A1-R and E-R notes, we are comfortable with assigning our ratings due to the transaction's significant difference in the actual calculated values of the portfolio's weighted average spread and weighted average recovery rates as compared to the minimum assumptions that were stressed in our cash flow analysis. We believe the results of the cash flow analysis demonstrated, in our view, that all of the rated classes have adequate credit enhancement available at the rating levels associated with these rating actions. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) A1-R 292.50 LIBOR + 1.02 A2-R 32.50 LIBOR + 1.40 B-R 55.00 LIBOR + 1.60 C-R 30.00 LIBOR + 1.95 D-R 30.00 LIBOR + 2.90 E-R 18.75 LIBOR + 5.50 Subordinated notes 47.23 N/A Original Notes Class Amount Interest (mil. $) rate (%) X(i) 0.00 LIBOR + 1.00 A 248.00 LIBOR + 1.55 B 56.00 LIBOR + 2.40 C-1 18.00 LIBOR + 3.75 C-2 6.00 5.28 D 20.00 LIBOR + 4.85 E 18.00 LIBOR + 7.90 Subordinated notes 37.75 N/A (i)The class X notes were paid off in full on the Oct. 20, 2016, payment date. N/A--Not applicable. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "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 Replacement class Rating Amount (mil $) A1-R AAA (sf) 292.500 A2-R NR 32.500 B-R AA (sf) 55.000 C-R A (sf) 30.000 D-R BBB- (sf) 30.000 E-R BB- (sf) 18.750 Subordinated notes NR 47.225 RATINGS WITHDRAWN Rating Original class To From A NR AAA (sf) B NR AA (sf) C-1 NR A (sf) C-2 NR A (sf) D NR BBB- (sf) E NR BB- (sf) NR--Not rated. HUDSON'S BAY 2015-HBS: S&P Affirms B Rating on 3 Tranches --------------------------------------------------------- S&P Global Ratings affirmed its ratings on 23 classes of commercial mortgage pass-through certificates from Hudson's Bay Simon JV Trust 2015-HBS, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P said, "Our expectation of credit enhancement, for the principal and interest paying classes, was generally in line with the affirmed rating levels. "We affirmed our ratings on the class X-2FL, X-A-7, X-B-7, X-A-10, and X-B-10 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. Class X-2FL's notional balance references classes A-FL, B-FL, C-FL, and D-FL. Class X-A-7's notional balance references class A-7. Class X-A-10's notional balance references class A-10. Class X-B-7's notional balance references class C-7. Class X-B-10's notional balance references class C-10. "In addition, we reviewed the transaction's insurance provisions and providers and determined that they are, for the most part, consistent with our property insurance criteria and normal market standards. However, upon review of the recent insurance certificates provided by the master servicer, we noted that one of the insurers is not rated by S&P Global Ratings. We generally expect insurance providers to be rated by S&P Global Ratings no lower than two rating categories below the highest-rated securities backed by the loan, with a floor of the 'BBB' rating category. As such, we increased our minimum credit enhancement levels at each rating category." This is a stand-alone (single borrower) transaction backed by an IO loan secured by the fee and leasehold interests of the borrowers in 34 Saks Fifth Avenue and Lord & Taylor retail stores located in 15 states. S&P said, "Our property-level analysis included a reevaluation of the retail properties that secure the mortgage loan in the trust and considered the stable servicer-reported net operating income and occupancy for the past two years (2016 through 2017). We then derived our sustainable in-place net cash flow (NCF), which we divided by an 8.00% S&P Global Ratings capitalization rate to determine our expected-case value. This yielded an overall S&P Global Ratings loan-to-value ratio of 89.8% on the trust balance." The lease is fully triple net; the tenant bears all expenses, and the lease allows for annual rent increases of 2.0%. All rental obligations under the master lease are guaranteed by Hudson's Bay Co. (B/Watch Neg). The master lease expires July 31, 2035. According to the July 6, 2018, trustee remittance report, the IO mortgage loan has a trust and whole loan balance of $846.2 million, comprising three loan components. Component A is a $150.0 million floating-rate component with a two-year initial maturity (Aug. 1, 2017) and three one-year extension options (fully extended maturity of Aug. 1, 2020) bearing interest at a rate equal to one-month LIBOR plus 3.15%. Component B is a $371.2 million seven-year fixed-rate component bearing interest at a rate of 5.167% and matures Aug. 1, 2022. Component C is a $325.0 million 10-year fixed-rate component bearing interest at a rate of 5.455% and matures Aug. 1, 2025. To date, the trust has not incurred any principal losses. According to the Sept. 30, 2017, tenant sales report, sales, when compared to issuance, are down 9.8% across the portfolio, weighted by the allocated loan amount. S&P will continue to monitor the sales performance of the portfolio; however, S&P noted that the majority of tenants are paying below-market rents in relatively desirable retail locations. The master servicer, Wells Fargo Bank N.A., reported a DSC of 2.15x on the trust balance for the 12 months ended Dec. 31, 2017, and occupancy was 100%. Wells Fargo stated that no stores are currently dark and none are expected to close. RATINGS LIST Hudson' Bay Simon JV Trust 2015-HBS Commercial mortgage pass-through certificates series 2015-HBS Rating Class Identifier To From A-FL 44422PAA0 AAA (sf) AAA (sf) X-2FL 44422PAG7 BBB- (sf) BBB- (sf) B-FL 44422PAJ1 AA- (sf) AA- (sf) C-FL 44422PAL6 A- (sf) A- (sf) D-FL 44422PAN2 BBB- (sf) BBB- (sf) E-FL 44422PAQ5 BB- (sf) BB- (sf) F-FL 44422PAS1 B (sf) B (sf) A-7 44422PAU6 AAA (sf) AAA (sf) X-A-7 44422PAY8 AAA (sf) AAA (sf) X-B-7 44422PBA9 A- (sf) A- (sf) B-7 44422PBC5 AA- (sf) AA- (sf) C-7 44422PBE1 A- (sf) A- (sf) D-7 44422PBG6 BBB- (sf) BBB- (sf) E-7 44422PBJ0 BB- (sf) BB- (sf) F-7 44422PBL5 B (sf) B (sf) A-10 44422PBN1 AAA (sf) AAA (sf) X-A-10 44422PBT8 AAA (sf) AAA (sf) X-B-10 44422PBU5 A- (sf) A- (sf) B-10 44422PBW1 AA- (sf) AA- (sf) C-10 44422PBY7 A- (sf) A- (sf) D-10 44422PCA8 BBB- (sf) BBB- (sf) E-10 44422PCC4 BB- (sf) BB- (sf) F-10 44422PCE0 B (sf) B (sf) INDYMAC HOME 2005-B: Moody's Cuts Class M-3 Debt Rating to 'B1' --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Class M-3 from IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-B. Complete rating action is as follows: Issuer: IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-B Cl. M-3, Downgraded to B1 (sf); previously on Oct 7, 2014 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating downgrade of Class M-3 from IndyMac Home Equity Mortgage Loan Asset-Backed Trust, INABS 2005-B is due to an outstanding interest shortfall of $21,002 as of June 2018, on the bond, that is unlikely to be reimbursed. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the rating: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.0% 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. JP MORGAN 2016-JP2: Fitch Affirms BB- Rating on Class E Certs ------------------------------------------------------------- Fitch Ratings affirms 13 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance remains in line with Fitch's expectations and there have been no material changes to the pool or loss expectations since issuance; therefore, the original rating analysis was considered in affirming the transaction. There are currently no delinquent or specially serviced loans. Five loans (6%) are on the master servicer's watchlist for deferred maintenance, delinquency, and/or hurricane damage, two (2.7%) of which are considered Fitch loans of concern (FLOC). Minimal Changes to Credit Enhancement: As of the July 2018 distribution date, the pool's aggregate balance has been reduced by 0.9% to $930.6 million, from $939.2 million at issuance. At issuance, based on the scheduled balance at maturity, the pool will pay down 11.1% of the initial pool balance which is better than historical averages for Fitch-rated transactions. Five full-term interest-only loans comprise 25.9% of the pool, and 20 loans representing 47.2% of the pool are partial interest-only. Fitch Loans of Concern: The largest FLOC, 700 17th Street (2.3%) is secured by a 182,505 sf office property located in Denver, CO. The largest tenants are Machol & Johannes (13.2%), expiration March 2021; TGS Management (7.6%), expiration October 2019; Colorado National Bank (6.5%), expiration September 2019. The property's occupancy declined to 84% as of March 2018 from 90% at issuance. The property has a large energy tenancy concentration and a significant amount (26%) of upcoming rollover in 2019. The most recent servicer reported NOI debt service coverage ratio (DSCR) as of September 2017 is 1.34x down from 1.57x (YE 2016). Fitch applied a total 15% NOI decline in its analysis to account for the high upcoming rollover and energy tenancy concentration. The second largest FLOC, Dollar General Portfolio (1.4%) is secured by a portfolio of 26 properties totaling 216,739 sf built 2002 and located in Ohio and West Virginia. The loan is on the master servicer's watchlist for deferred maintenance and delinquency. The loan was last paid through April 6, 2018. The loan is being cash managed. At this time, the master servicer is not receiving enough funds in the CMA to cover the monthly payment. Per the master servicer, the borrower is non-responsive with shortfall requests and they are continuing to monitor the loan. The other FLOC, Autumn Park Apartments (1.3%) is secured by a multifamily complex consisting of 23 buildings located In Victoria, TX. The property sustained damages to 20 units as a result of Hurricane Harvey. Pool Concentrations: Ten loans (25.2%), including three in the top 15, are secured by retail properties, Opry Mills (8.6%), The Shops at Crystal (5.4%), and Hagerstown Premium Outlets (3.3%). At issuance, the sixth largest loan, The Shops at Crystal was given an investment-grade credit opinion of 'BBB+sf' on a stand-alone basis. Hotel loans represent 16.6% of the pool, including three (9.6%) in the top 15. The pool's hotel concentration falls between the year-to-date (YTD) 2016 average of 15.9%. The largest 10 loans account for 54.8% of the pool by balance. At issuance, two sponsors, Simon Property Group and CIM Commercial Trust Corporation, each comprise more than 10% of the pool with 12% and 11%, respectively. RATING SENSITIVITIES The Rating Outlook for all classes remains 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 ratings: -- $22.7 million class A-1 at 'AAAsf'; Outlook Stable; -- $16.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $250 million class A-3 at 'AAAsf'; Outlook Stable; -- $301.5 million class A-4 at 'AAAsf'; Outlook Stable; -- $58.4 million class A-SB at 'AAAsf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- Interest-only class X-B at 'AA-sf'; Outlook Stable; -- $77.5 million class A-S at 'AAAsf'; Outlook Stable; -- $48.1 million class B at 'AA-sf'; Outlook Stable; -- $41.1 million class C at 'A-sf'; Outlook Stable; -- Interest-only class X-C at 'BBB-sf'; Outlook Stable; -- $45.8 million class D at 'BBB-sf'; Outlook Stable; -- $22.3 million class E at 'BB-sf'; Outlook Stable. Fitch does not rate the class F and NR certificates. JP MORGAN 2018-WPT: DBRS Gives (P)B(low) Rating on Cl. G-FX Certs ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-WPT (the Certificates) to be issued by J.P. Morgan Chase Mortgage Securities Trust 2018-WPT: -- Class A-FL at AAA (sf) -- Class B-FL at AA (low) (sf) -- Class C-FL at A (low) (sf) -- Class X-FL at BBB (high) (sf) -- Class D-FL at BBB (sf) -- Class E-FL at BBB (low) (sf) -- Class F-FL at BB (low) (sf) -- Class G-FL at B (low) (sf) -- Class A-FX at AAA (sf) -- Class XA-FX at AAA (sf) -- Class B-FX at AA (low) (sf) -- Class C-FX at A (low) (sf) -- Class XB-FX at BBB (high) (sf) -- Class D-FX at BBB (sf) -- Class E-FX at BBB (low) (sf) -- Class F-FX at BB (low) (sf) -- Class G-FX at B (low) (sf) All trends are Stable. The Class X-FL, Class XA-FX and Class XB-FX balances are notional. Class X-FL will be equal to the Class D-FL certificate. Class XA-FX will be equal to the Class A-FX certificate. Class X-B-FX will be equal to the Class B-FX, Class C-FX and Class D-FX certificates. The subject loan is secured by the fee and leasehold interests in a portfolio of 147 properties, comprising nearly 9.9 million square feet (sf) of office and flex space, located in four different states across the United States. Of the 147 properties, 88 assets are office (6.5 million sf; 76.3% of DBRS Base Rent) and 59 assets are flex (3.4 million sf; 23.7% of DBRS Base Rent). The smallest property in the pool, 100 Gibraltar Road (2,800 sf), was identified as a retail property by the appraiser. This property is a freestanding bank branch located in the Philadelphia metropolitan statistical area (MSA) and represents 0.03% of the cut-off date allocated loan amount. For the purposes of this presale, DBRS classified the 100 Gibraltar Road property as an office. Built between 1972 and 2013, the portfolios properties are in markets that have benefited from positive demand drivers and limited new supply of office and flex space. Located across Pennsylvania, Florida, Minnesota and Arizona, the collateral encompasses five distinct MSAs and over 15 submarkets. The largest concentration of portfolio properties is found in the Philadelphia MSA with 69 properties totaling 40.3% of the mortgage balance, followed by the Tampa MSA (34 properties; 16.5% of the loan); the Minneapolis MSA (19 properties; 13.0% of the loan); the Phoenix MSA (14 properties; 12.9% of the loan); and, the Southern Florida MSA (11 properties; 17.3% of the loan). Although none of the subject properties are located in what DBRS would consider urban markets, the assets are generally located within dense suburban markets that benefit from favorable accessibility and close proximity to their respective central business districts. As of June 1, 2018, the portfolio reported occupancy of 88.6%, which equates to roughly 8.8 million sf of the total 9.9 million sf. Average occupancy remained favorable throughout the economic downturn, ranging from 88.5% to 91.6% between 2008 and 2010. Since 2005, the portfolio has averaged 90.4% and has remained at or above 88.5% during this same time period. Much of the portfolio's stable performance is attributable to its highly granular rent roll with more than 500 tenants, none of which accounts for more than 4.2% of the total net rentable area (NRA). The portfolio's top five tenants, representing a combined 13.4% of the NRA and 13.3% of the DBRS Base Rent, include many large corporations such as United Healthcare Services, Inc. (419,543 sf); Aetna Life Insurance Company (323,943 sf); Siemens Medical Solutions USA, Inc. (241,297 sf); Kroll Ontrack, LLC (195,879 sf); and Dell Marketing L.P. (141,290 sf). Eleven of the top 20 tenants have investment-grade credit ratings, and account for 17.7% of the NRA. In all, investment-grade tenants lease 2.9 million sf (29.7% of the NRA) across the entire portfolio and generate 30.8% of the DBRS Base Rent. Seven of the investment-grade tenants that occupy 261,963 sf and account for 2.9% of the DBRS Base Rent are considered long-term credit tenants by DBRS. The loan is sponsored by Workspace Property Trust, L.P., and a privately held, full-service commercial real estate company specializing in the acquisition, development, management and operation of office and flex properties. Led by a management team with over 75 years of combined real estate experience, the company acquired 39 of the assets in January 2016 and the remaining 108 assets in October 2016. Prior to the acquisitions, the subject properties were owned by Liberty Property Trust. A portion of the portfolio was previously securitized in the JPMCC 2016-WPT transaction. Total loan proceeds of $1.275 billion ($129 psf) were used to pay off $827.5 million ($84 psf) of existing debt and an existing credit line totaling $227.6 million ($23 psf); redeem a preferred equity interest held by Square Mile Capital Management LLC; fund upfront reserves of approximately $32.9 million; pay initial public offering–related expenses, deferred LP distribution and asset management fees; and cover closing costs. Upfront reserves included $13.3 million for outstanding tenant improvements and leasing commissions, $11.8 million for upfront tax reserves, $3.5 million for free rent reserves and $3.2 million for an upfront TI/LC reserve, as well as deferred maintenance, insurance, environmental and replacement reserves. The mortgage loan is split into (1) a floating-rate component of approximately $255.0 million, with a two-year initial term and three one-year extension options and (2) a five-year fixed-rate loan totaling $1.02 billion, comprising the $850.0 million trust balance and three companion loans totaling $170.0 million that will be included in future securitizations. The original loan totaled $1.28 billion; however, in July 2018, the sponsorship group made a voluntary prepayment of $5.0 million to the original $260.0 million floating-rate loan, bringing the total mortgage down to $1.275 billion. All calculations and loan metrics are based on the $1.275 billion cut-off date balance. CBRE, Inc. has determined the as-is value of the portfolio to be $1.634 billion ($165 psf), based on a direct capitalization method using a weighted average cap rate of 7.5%. The DBRS value is substantially lower at $1.119 billion ($113 psf) and was calculated by applying a WA cap rate of 9.25% to the DBRS net cash flow, resulting in a DBRS loan-to-value of 114.0%, which is indicative of high-leverage financing. However, the DBRS cap rate represents a significant stress over current prevailing market cap rates. Classes X-FL, XA-FX and XB-FX 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. JPMBB COMMERCIAL 2015-C30: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------------------ DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C30 issued by JPMBB Commercial Mortgage Securities Trust 2015-C30: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class X-C at A (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (sf) -- Class E at BB (low) (sf) -- Class X-F at B (high) (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance in July 2015 when the deal closed with an original trust balance of $1.3 billion. The transaction consisted of 70 fixed-rate loans secured by 114 commercial properties at issuance, and as of the June 2018 remittance, there has been a collateral reduction of 3.7% since issuance due to the repayment of three loans and scheduled amortization. Sixty-two loans in the pool reported YE2017 financials, reporting a weighted average (WA) debt service coverage ratio (DSCR) and debt yield of 1.58 times (x) and 9.0%, respectively; both figures are generally flat from the YE2016 figures. In addition to benefitting from stable cash flow performance since issuance, the largest loans in the pool have performed particularly well in general. Based on the YE2017 financials, the top 15 loans (57.7% of the pool) reported a WA DSCR of 1.74x compared with the WA DBRS Term DSCR at issuance of 1.45x, representing a WA net cash flow growth (NCF) of 20.3% from DBRS NCF figures for those loans. There is one top 15 loan being monitored closely by DBRS in the One City Centre loan (Prospectus ID #12), which is secured by an office tower in downtown Houston, Texas. The property has seen precipitous occupancy declines since issuance, when the property was 83.0% occupied, to the leased rate of approximately 74.2% as of July 2018. There is potential for additional occupancy declines in the near term as well, as the second-largest tenant, Energy XXI (21.1% of the net rentable area (NRA)), which previously filed for bankruptcy and restructured its lease from the original lease expiry in 2022, will now roll at the end of 2018. The loan was analyzed with a stressed cash flow to reflect these increased risks for this review. For additional information on this loan, please see the DBRS Viewpoint platform for which information is provided below. As of the June 2018 remittance, there are four loans, representing 8.8% of the current pool balance, on the servicer's watch list and no loans in special servicing. The largest loan on the watch list, Peal ridge Center (Prospectus ID#2, 5.4% of the current pool balance), is secured by a mixed-use regional shopping center in Aiea, Hawaii. The loan was placed on the servicer's watch list in April 2018 because small tenant Toys "R" Us (in place on a ground lease representing approximately 5.0% of the NRA) filed for bankruptcy and closed the location at the subject as part of the company's liquidation of stores nationwide. Given the small footprint for the tenant, as well as the strong overall performance of the loan, which reported a YE2017 DSCR of 3.04x and an in-place debt yield of 10.9%, DBRS does not expect the Toys "R" Us closure to have significant impact on the overall performance of the property. The loan is one of two loans shadow-rated investment grade by DBRS in the pool, and with this review, DBRS confirmed that the performances of this and the other loan, Scottsdale Quarter (Prospectus ID #11, 3.2% of the current pool balance), remain consistent with investment-grade loan characteristics. The second-largest loan on the watch list, Woodlark Fund Portfolio (Prospectus ID #16, 2.4% of the pool), is secured by a portfolio of three multifamily properties and is being monitored for a low average occupancy for the portfolio at mid-year 2017 (driven by one property that had a low occupancy rate for the summer between semesters). The two smallest loans, both secured by limited-service hotels in tertiary markets, are being monitored for a low DSCR. Although the low occupancy rate for the Woodlark Fund Portfolio loan is somewhat concerning, the annualized cash flows as of the Q2 2017 reporting show a DSCR of 1.32x, a figure that is in line with the previous two year-end figures and above the DBRS Term DSCR at issuance of 1.22x. DBRS expects the occupancy decline is temporary and the full year-end 2017 reporting will show levels at or near historical figures. The smaller loans secured by hotels with declining cash flows were analyzed with a stressed cash flow scenario to increase the probability of default for the purposes of this review. Classes X-A, X-B, X-C, X-D, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. MONROE CAPITAL 2016-1: Moody's Rates $15MM Class E-R Notes 'Ba1' ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes 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"), Definitive Rating Assigned Aaa (sf) US$30,750,000 Class B-R Senior Floating Rate Notes due 2028 (the "Class B-R Notes"), Definitive Rating Assigned Aa1 (sf) US$18,000,000 Class C-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class C-R Notes"), Definitive Rating Assigned A1 (sf) US$23,250,000 Class D-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class D-R Notes"), Definitive Rating Assigned Baa2 (sf) US$15,000,000 Class E-R Deferrable Mezzanine Floating Rate Notes due 2028 (the "Class E-R Notes"), Definitive Rating Assigned Ba1 (sf) 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 issued 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 used proceeds from the issuance of five 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. MORGAN STANLEY 2006-HQ10: Moody's Cuts Class A-J Debt Rating to B1 ------------------------------------------------------------------ Moody's Investors Service has downgraded the rating on one class and affirmed the ratings on five classes in Morgan Stanley Capital I Trust 2006-HQ10 as follows: Cl. A-J, Downgraded to B1 (sf); previously on Jul 25, 2017 Affirmed Ba2 (sf) Cl. B, Affirmed Caa2 (sf); previously on Jul 25, 2017 Downgraded to Caa2 (sf) Cl. C, Affirmed C (sf); previously on Jul 25, 2017 Downgraded to C (sf) Cl. D, Affirmed C (sf); previously on Jul 25, 2017 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Jul 25, 2017 Affirmed C (sf) Cl. X-1, Affirmed C (sf); previously on Jul 25, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. A-J was downgraded due to ongoing interest shortfalls concerns from the specially serviced loans remaining in the pool. Loans constituting 88.8% of the pool are currently in special servicing The ratings on four 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 48.0% of the current pooled balance, compared to 36.4% at Moody's last review. Moody's base expected loss plus realized losses is now 10.5% of the original pooled balance, compared to 9.5% 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 Capital I Trust 2006-HQ10, Cl. A-J, 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 2006-HQ10, 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 88.8% 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 13, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 91.8% to $121.8 million from $1.49 billion at securitization. The certificates are collateralized by ten mortgage loans (seven of which are included within one portfolio). Thirty loans have been liquidated from the pool, resulting in an aggregate realized loss of $97.9 million (for an average loss severity of 39.8%). Two exposures, constituting 88.8% of the pool, are currently in special servicing. The largest specially serviced loan is the PPG Portfolio ($80.35 million -- 65.9% of the pool), which was originally secured by seven medical office properties located in Arizona, Colorado and Indiana, totaling approximately 435,000 square feet (SF). The loan transferred to special servicing in May 2016 due to imminent maturity default. The loan was scheduled to mature in October 2016. Three properties, two in South Bend, Indiana and one in Centennial, Colorado, were released in 2018 and the proceeds were used to paydown the loan balance and outstanding interest shortfalls. The remaining four properties became REO between March and May 2018. The second largest specially serviced exposure is the Fort Roc Portfolio ($27.8 million -- 22.9% of the pool), which is a portfolio representing seven of the remaining loans in the pool. The portfolio loan is secured by six free-standing retailers and one community shopping center located across four states: Pennsylvania, New York, Tennessee and Delaware. The free-standing retailers include four Rite Aids and one Kmart. The sixth free-standing retailer had been 100% leased to Staples and is now completely vacant. The community shopping center is 33% leased following the closure of its anchor tenant, Kmart. The loan transferred to special servicing in September 2016 for imminent maturity default. Moody's estimates an aggregate $58.3 million loss for the specially serviced loans (54% expected loss on average). As of the July 2018 remittance statement cumulative interest shortfalls were $7.4 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The two performing loans represent 11.2% of the pool balance. The largest loan is the Copperwood Apartments Loan ($9.99 million -- 8.2% of the pool), which is secured by a 300-unit apartment complex located in The Woodlands, Texas. Built in 1982 and renovated in 2000, this property has enjoyed sustained occupancy at or above 99% since securitization. This loan has amortized 13% since securitization. Moody's LTV and stressed DSCR are 42% and 2.27X, respectively. The second performing loan is the Dick's Sporting Goods loan ($3.7 million -- 3.0% of the pool), which is secured by a freestanding store in Akron, Ohio. The loan has passed its anticipated repayment date in October 2016. The loan remains current with a final maturity date of October 2036. Given the single tenant exposure for this loan, a lit/dark approach was incorporated into Moody's analysis. Moody's LTV and stressed DSCR are 122% and 0.84X, respectively. MORGAN STANLEY 2012-C4: Moody's Affirms B1 Rating on Cl. X-B Certs ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on eleven classes in Morgan Stanley Capital I Trust 2012-C4, Commercial Mortgage Pass-Through Certificates, Series 2012-C4, as follows: Cl. A-3, Affirmed Aaa (sf); previously on Aug 4, 2017 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Aug 4, 2017 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Aug 4, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aa2 (sf); previously on Aug 4, 2017 Affirmed Aa2 (sf) Cl. C, Affirmed A2 (sf); previously on Aug 4, 2017 Affirmed A2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Aug 4, 2017 Affirmed Baa1 (sf) Cl. E, Affirmed Ba1 (sf); previously on Aug 4, 2017 Downgraded to Ba1 (sf) Cl. F, Affirmed Ba3 (sf); previously on Aug 4, 2017 Downgraded to Ba3 (sf) Cl. G, Affirmed B3 (sf); previously on Aug 4, 2017 Downgraded to B3 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Aug 4, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed B1 (sf); previously on Aug 4, 2017 Affirmed B1 (sf) RATINGS RATIONALE The ratings of nine 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 of the IO classes, Cl. X-A and Cl. X-B, were affirmed because of the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 3.8% of the current pooled balance, compared to 3.2% at Moody's last review. Moody's base expected loss plus realized losses is now 3.3% of the original pooled balance, compared to 3.0% 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 Morgan Stanley Capital I Trust 2012-C4, 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 methodologies used in rating Morgan Stanley Capital I Trust 2012-C4, 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 31.8% to $749.8 million from $1.10 billion at securitization. The certificates are collateralized by 30 mortgage loans ranging in size from less than 1% to 15.6% of the pool, with the top ten loans (excluding defeasance) constituting 69.6% of the pool. One loan, constituting 7.9% of the pool, has an investment-grade structured credit assessment. One loan, constituting 1.2% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 15, the same as at Moody's last review. Seven loans, constituting 20.8% 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 at a loss, contributing to an aggregate realized loss of $7.9 million (for a loss severity of 42%). There are currently no loans 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 97%, compared to 93% 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 18.2% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.39X and 1.15X, respectively, compared to 1.44X and 1.18X 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 ELS Portfolio Loan ($59.2 million -- 7.9% of the pool), which is secured by a portfolio of eight manufactured housing communities located in Florida (2), Nevada (2), Virginia (1), Arizona (1), California (1), and Massachusetts (1). The sponsor, Equity Lifestyle Properties, is a Chicago-based, self-administered, self-managed REIT which currently owns 200 manufactured housing communities and 185 RV resorts and campgrounds, across 32 states. The portfolio was 84% leased as of December 2017, compared to 93% at securitization. Moody's structured credit assessment and stressed DSCR are aa2 (sca.pd) and 1.83X, respectively. The top three conduit loans represent 31% of the pool balance. The largest loan is The Shoppes at Buckland Hills Loan ($117.2 million -- 15.6% of the pool), which is secured by a 535,000 SF component of a 1.1 million SF regional mall located in the Buckland Hills section of Manchester, Connecticut, approximately 10 miles north of Hartford. The mall was originally built in 1990 and subsequently renovated and expanded in 2003. The property is anchored by Macy's (non-collateral), Macy's Mens & Home (non-collateral), Sears (non-collateral), and Dick's Sporting Goods. The property's trade area covers the northeastern suburbs of Hartford and parts of the north-central part of Connecticut. The property competes with a number of regional malls and power centers, including the Westfarms Mall, a Taubman property that is the dominant regional mall in the Hartford MSA. As of December 2017, the collateral component of the property was 90% leased, with inline occupancy of 86%, excluding specialty/temporary tenants. Moody's LTV and stressed DSCR are 133% and 0.85X, respectively, compared to 133% and 0.84X at the last review. The second largest loan is the Capital City Mall Loan ($59.4 million -- 7.9% of the pool), which is secured by a 489,000 SF component of a 609,000 SF regional mall located in Camp Hill, Pennsylvania. The property, which was built in 1979 and renovated in 2005, is anchored by a Macy's (non-collateral), JCPenney, and Dick's Sporting Goods. Sears was previously a tenant and occupied the box that is now partially occupied by Dick's Sporting Goods. The collateral was 93% leased as of March 2018, with inline occupancy of 99%. Dave & Busters is scheduled to open at the property in the fall of 2018. Moody's LTV and stressed DSCR are 97% and 1.08X, respectively, the same as Moody's last review. The third largest loan is the GPB Portfolio I Loan ($56.2 million -- 7.5% of the pool), which is secured by an 11 property retail portfolio located across two states: Massachusetts (10) and New Jersey (1). The portfolio was 98% leased as of December 2017, unchanged from December 2016. Moody's LTV and stressed DSCR are 74% and 1.25X, respectively, compared to 75% and 1.23X at the last review. MORGAN STANLEY 2012-C6: Fitch Affirms Bsf Rating on Cl. H Certs --------------------------------------------------------------- Fitch Ratings has affirmed 13 classes from Morgan Stanley Capital I, Inc. MSBAM 2012-C6 commercial mortgage pass-through certificates (MSBAM 2012-C6). KEY RATING DRIVERS Stable Overall Performance; Increased Credit Enhancement: The affirmations are based on generally stable performance of the underlying collateral pool with the exception of some larger Fitch Loans of Concern. However, credit enhancement has increased since issuance and remains sufficient to affirm the ratings. As of the July 2018 distribution date, the pool's aggregate principal balance has paid down by 30.2% to $784.6 million from $1.12 billion at issuance. Since Fitch's last rating action, four loans totaling $82 million were repaid at or prior to their scheduled maturity dates. The pool has experienced no realized losses to date and there are currently no specially serviced loans. Two loans (6.1% of current pool) have been defeased. Loans of Concern: Three loans (15.4%) have been designated as Fitch Loans of Concern including two (13.6%) that are regional malls. Greenwood Mall (7.9%), located in Bowling Green, KY, has had declining inline sales, but NOI has been stable and has improved 24.5% compared to issuance. The mall has exposure to Sears and JCPenney, and Macy's has recently been replaced by Belk. Cumberland Mall (5.7%), located in Vineland NJ, had a large increase in NOI of 38.4% from YE 2016 to YE 2017 after declining from YE 2014-2016. However, Toys R US recently vacated the mall, and there is a large amount of potential rollover in 2019. NOI is expected to decrease in 2018. The other Loan of Concern is the Disney Store Headquarters (1.8%), which is a single tenant office that Disney is vacating in August 2018. Fitch applied an additional stress scenario to the two regional malls loans assuming outsize losses given low sales or expected declines in perfomance. The Ratings and Outlooks reflect this analysis. Pool and Loan Concentrations: The pool is becoming increasingly concentrated with 47 of the original 61 loans remaining as of July 2018. The largest loan represents 15.9% of the current pool and the largest 15 loans represent 73.1% of the pool. Seven loans (42.5%) are secured by properties located in New York and New Jersey, with five of the top 15 loans (36.3% of pool) secured by properties located in Manhattan, NY. The pool has a high concentration of retail properties (45.7%) and there are two regional malls in the top 5 loans consisting of 13.9%. Amortization: The top two loans in the pool (25.5%) are full time interest only while all other loans are currently amortizing. Maturities: All loans in the pool mature from July through October 2022. RATING SENSITIVITIES The Negative Rating Outlooks for classes G and H reflects potential rating downgrades due to performance concerns on the Greenwood and Cumberland Mall loans. Rating downgrades are possible if the performance of these properties continues to decline. Fitch's additional sensitivity scenario incorporates a 40% loss on the Greenwood Mall loan due to inline sales below $300 psf and a 20% loss on the Cumberland Mall loan to reflect the potential for an outsized loss. 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, but may be limited given the retail and total deal concentration. 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 Outlooks on the following classes as indicated: -- $35 million class A-3 at 'AAAsf'; Outlook Stable; -- $411.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $98.3 million class A-S at 'AAAsf'; Outlook Stable; -- $50.6 million class B at 'AAsf'; Outlook Stable; -- $43.5 million class C at 'Asf'; Outlook Stable; -- $0 class PST (Exchangeable) at 'Asf'; Outlook Stable; -- $21.1 million class D at 'BBB+sf'; Outlook Stable; -- $40.7 million class E at 'BBB-sf'; Outlook Stable; -- $9.8 million class F at 'BBB-sf'; Outlook Stable; -- $19.7 million class G at 'BBsf'; Outlook to Negative from Stable; -- $12.6 million class H at 'Bsf'; Outlook to Negative from Stable; -- $544.7 million class X-A at 'AAAsf'; Outlook Stable; -- $94.1 million class X-B at 'Asf'; Outlook Stable. The class PST certificates are exchangeable for the class A-S, class B, and class C certificates. Class A-1 and A-2 has paid in full. Fitch does not rate the class J and X-C certificates. MORGAN STANLEY 2018-H3: DBRS Finalizes B(low) Rating on H-RR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-H3 issued by Morgan Stanley Capital I Trust 2018-H3: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class X-D at BBB (high) (sf) -- Class D at BBB (sf) -- Class E-RR at BBB (low) (sf) -- Class F-RR at BB (low) (sf) -- Class G-RR at B (high) (sf) -- Class H-RR at B (low) (sf) All trends are Stable. Classes X-D, D, E-RR, F-RR, G-RR and H-RR have been privately placed. The Class X-A, X-B and X-D balances are notional. The collateral consists of 66 fixed-rate loans secured by 120 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. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow (NCF) and their respective actual constants, five loans, representing 5.4% of the aggregate pool balance, 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 31 loans, representing 60.3% of the pool, having refinance DSCRs below 1.00x, and 19 loans, representing 45.7% of the pool, with refinance DSCRs below 0.90x. Twelve loans, comprising 48.0% of the DBRS sample (35.8% of the pool), were considered to be of Above Average or Average (+) property quality based on physical attributes and/or a desirable location within their respective markets. Six of these loans are within the top ten (Griffin Portfolio II, Rittenhouse Hill, SunTrust Center, Shoppes at Chino Hills, Playa Largo and Crowne Plaza Dulles Airport). Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in a more stable performance. Only one loan, comprising 1.0% of the DBRS sample (0.7% of the pool), was considered to be of Below Average property quality. Ten loans, comprising 17.6% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes three of the largest 15 loans: 6330 West Loop South, Torrance Technology Campus and New York Film Academy. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. The 6330 West Loop South property is primarily leased to subsidiaries of Texas Children's Health Plan and Texas Children's Hospital (together), as an investment-grade tenant, which accounts for 76.5% of the DBRS occupied total rent. The Torrance Technology Campus is primarily leased by L-3, a long-term credit tenant (LTCT) that accounts for 89.3% of the DBRS occupied total rent with leases that expire in 2031. Additionally, the loans have been structured with cash flow sweeps prior to tenant expiry and/or lease termination options. The appraisers' dark value of $90.3 million for Torrance Technology Campus and $28.9 million for New York Film Academy imply low appraised dark loan-to-values based on the $93.8 million and the $21.6 million senior notes, respectively. While the appraiser did not conclude a dark value for 6330 West Loop South, the sponsor contributed $23.2 million of cash equity at funding for the acquisition, representing 31.3% of the total acquisition proceed sources. The pool is relatively diverse based on loan size, with a concentration profile equivalent to that of a pool of 35 equal-sized loans, though the top ten represent 43.7% of the pool. Diversity is further enhanced by ten loans, representing 21.3% of the pool, that are secured by multiple properties (64 in total). Increased pool diversity insulates the higher-rated classes from event risk. Eleven loans, representing 22.4% of the pool, are secured by properties located in tertiary markets, including two of the top ten loans (Griffin Portfolio II and Playa Largo). Properties located in tertiary and rural markets were analyzed with significantly higher loss severities than those located in urban and suburban markets. The two largest loans secured by properties in tertiary and rural markets are The Griffin Portfolio II and Playa Largo. The Griffin Portfolio II benefits from geographic diversity, as it is secured by four properties across four states. Additionally, the Griffin Portfolio is leased to four separate tenants, and two of these properties are fully leased by LTCTs (Southern Company Services and Amazon). Playa Largo is the first hotel built in the Florida Keys in approximately 20 years, which is primarily due to a Florida state-enforced moratorium on commercial beach-side development to address ecological concerns. The deal appears concentrated by property type, with 17 loans, representing 40.8% of the pool, secured by DBRS office property type classified properties. Of the office property concentration, 80.8% of the loans are located in suburban or super dense urban markets, and one loan, Griffin Portfolio II, is predominately secured by properties in tertiary markets. The largest loan analyzed with a DBRS office property type classification, Griffin Portfolio II, representing 19.2% of the office concentration, is secured by a mixed-used portfolio. Based on allocated loan amount, the Griffin Portfolio II is secured by 42.0% industrial properties. Excluding the Griffin Portfolio II from the total DBRS office concentration would lower the total DBRS office concentration to 32.9% from 40.8%. Additionally, DBRS sampled 78.5% of the pool, representing 80.8% coverage of the total office loan cut-off balance, thereby providing comfort for the DBRS NCF. There are eight loans, representing 10.9% of the pool, secured by multifamily proprieties, none of which are student housing or military housing properties. Student and military housing often exhibits higher cash flow volatility than traditional multifamily properties Twenty-four loans, representing 47.8% of the pool, including eight of the largest ten loans, are structured with full-term interest-only (IO) payments. An additional 21 loans, comprising 23.1% of the pool, have partial IO periods. The DBRS Term DSCR is calculated by using the amortizing debt service obligation, and the DBRS Refi DSCR is calculated by considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines probability of default based on the lower of Term or Refi DSCR; therefore, loans that lack amortization will be treated more punitively. Including ARD loans, the DBRS expected amortization by maturity is 6.4%. Classes X-A, X-B and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. MOUNTAIN HAWK II: S&P Lowers Class E Notes Rating to B- ------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, B-R, and C-R replacement notes from Mountain Hawk II CLO Ltd. S&P said, "At the same time, we withdrew our ratings on the original class A-1, B, and C notes following payment in full on the refinancing date. We also lowered our rating on the original class E notes and removed it from CreditWatch, where we had placed it with negative implications in April 2018, and affirmed our rating on the original class D notes." Mountain Hawk II CLO Ltd. is a collateralized loan obligation (CLO) originally issued in 2013 that is managed by Western Asset Management Co. On the July 20, 2018, refinancing date, the proceeds from the class A-1-R, B-R, and C-R replacement note issuances were used to redeem the original class A-1, B, and C notes as outlined in the transaction document provisions. S&P thus withdrew its ratings on the original notes in line with their full redemption and assigned ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also issue the replacement notes at lower spreads than the original class A-1, B, and C notes. Because this transaction exited its reinvestment period on July 20, 2017, and the refinancing occurred on the July 20, 2018, payment date, the principal proceeds available on the June 2018 payment date partially paid down the senior class A-1 notes at the time of the refinancing. The class A-1 notes were subsequently redeemed with the proceeds of the respective replacement class issuance. The rating assignment and affirmation reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The downgrade reflects the decline in available credit support for the class E notes due to a drop in the portfolio's weighted average spread to 3.36% from 4.12% as of the June 2018 trustee report, par losses, and higher concentrations in lower-rated and distressed assets. The overcollateralization (O/C) ratio for class E also declined since our last rating action. As of the June 2018 trustee report, the O/C ratio is 102.38%, down from 102.53% as of the April 2016 trustee report, and it is only narrowly passing its required threshold of 102.20%. Although the results of the cash flow analysis indicate a lower rating on a standalone basis, we believe the class does not meet our definition of 'CCC' risk because it is not vulnerable to nonpayment and does not depend on favorable market conditions to fully repay. 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 rating actions as we deem necessary." RATINGS WITHDRAWN Mountain Hawk II CLO Ltd. Rating Original class To From A-1 NR AAA (sf) B NR AA (sf) C NR A (sf) RATINGS ASSIGNED Mountain Hawk II CLO Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 149.18 B-R AA (sf) 76.00 C-R A (sf) 34.00 RATING LOWERED, REMOVED FROM CREDITWATCH NEGATIVE Mountain Hawk II CLO Ltd. Rating Class To From E B- (sf) B (sf)/Watch Neg RATING AFFIRMED Mountain Hawk II CLO Ltd. Class Rating D BBB- (sf) NR--Not rated. NATIONSTAR HECM 2018-2: Moody's Rates Class M4 Certs '(P)Ba3' ------------------------------------------------------------- Moody's Investors Service, has assigned provisional ratings to five classes of residential mortgage-backed securities (RMBS) issued by Nationstar HECM Loan Trust 2018-2 (NHLT 2018-2). The ratings range from Aaa (sf) to Ba3 (sf). The certificates are backed by a pool that includes 1,265 inactive home equity conversion mortgages (HECMs) and 99 real estate owned (REO) properties. The servicer for the deal is Nationstar Mortgage LLC (Nationstar). The complete rating actions are as follows: Issuer: Nationstar HECM Loan Trust 2018-2 Cl. A, Assigned (P)Aaa (sf) Cl. M1, Assigned (P)Aa3 (sf) Cl. M2, Assigned (P)A3 (sf) Cl. M3, Assigned (P)Baa3 (sf) Cl. M4, Assigned (P)Ba3 (sf) RATINGS RATIONALE The collateral backing NHLT 2018-2 consists of first-lien inactive HECMs covered by Federal Housing Administration (FHA) insurance secured by properties in the US along with Real-Estate Owned (REO) properties acquired through conversion of ownership of reverse mortgage loans that are covered by FHA insurance. If a borrower or their estate fails to pay the amount due upon maturity or otherwise defaults, the sale of the property is used to recover the amount owed. Nationstar acquired the mortgage assets from Ginnie Mae sponsored HECM mortgage backed (HMBS) securitizations. All of the mortgage assets are covered by FHA insurance for the repayment of principal up to certain amounts. There are 1,364 mortgage assets with a balance of $316,490,687. The assets are in either default, due and payable, referred, foreclosure or REO status. Loans that are in default may move to due and payable; due and payable loans may move to foreclosure; and foreclosure loans may move to REO. 35.7% of the assets are in default of which 0.9% (of the total assets) are in default due to non-occupancy and 34.8% (of the total assets) are in default due to delinquent taxes and insurance. 29.6% of the assets are due and payable, 26.7% of the assets are in foreclosure and 2.2% of the assets are in referred status. Finally, 5.9% of the assets are REO properties and were acquired through foreclosure or deed-in-lieu of foreclosure on the associated loan. If the value of the related mortgaged property is greater than the loan amount, some of these loans may be settled by the borrower or their estate. The collateral composition of NHLT 2018-2 is unique compared to other NHLT deals in several key respects. First, NHLT 2018-2 has a relatively high percentage of loans in default and due-and-payable status and a relatively low percentage of loans in REO status. In addition, a relatively large percentage of the collateral in NHLT 2018-2 is inactive due to tax and/or insurance delinquencies (70.2%). Furthermore, the weighted average loan-to-value (LTV) ratio, at 104.8%, is significantly lower than in any other NHLT transaction Moody's has rated. This relatively low LTV ratio implies that borrowers in this pool tend to have more equity in their homes compared to in prior transactions which may lead to higher cure and repayment rates. As with most NHLT transactions Moody's has rated, the pool has a significant concentration of mortgage assets backed by properties in New York, New Jersey and Florida. Such states are judicial foreclosure states with long foreclosure timelines. Also, there are 19 assets (1.0% of the asset balance) in NHLT 2018-2 that are backed by properties in Puerto Rico, which is still recovering from Hurricane Maria and suffering from poor economic conditions due to a public debt crisis and continued out-migration. Its credit ratings reflect state-specific foreclosure timeline stresses as well as adjustments for risks associated with the real estate market in Puerto Rico. Transaction Structure The securitization has a sequential liability structure amongst six classes of notes with structural subordination. All funds collected, prior to an acceleration event, are used to make interest payments to the notes, then principal payments to the Class A notes, then to a redemption account until the amount on deposit in the redemption account is sufficient to cover future principal and interest payments for the subordinate notes up to their expected final payment dates. The subordinate notes will not receive principal until the beginning of their respective target amortization periods (in the absence of an acceleration event). The notes benefit from structural subordination as credit enhancement, and an interest reserve account funded with cash received from the initial purchasers of the notes for liquidity and credit enhancement. The transaction is callable on or after six months with a 1.0% premium and on or after 12 months without a premium. The mandatory call date for the Class A notes is in September 2020. For the Class M1 notes, the expected final payment date is in March 2021. For the Class M2 notes, the expected final payment date is in May 2021. For the Class M3 notes, the expected final payment date is in July 2021. For the Class M4 notes, the expected final payment date is in September 2021. Finally, for the Class M5 notes, the expected final payment date is in November 2021. For each of the subordinate notes, there are target amortization periods that conclude on the respective expected final payment dates. The legal final maturity of the transaction is 10 years. Available funds to the transaction are expected to primarily come from the liquidation of REO properties and receipt of FHA insurance claims. These funds will be received with irregular timing. In the event that there are insufficient funds to pay interest in a given period, the interest reserve account may be utilized. Additionally, any shortfall in interest will be classified as an available funds cap shortfall. These available funds cap carryover amounts will have priority of payments in the waterfall and will also accrue interest at the respective note rate. Certain aspects of the waterfall are dependent upon Nationstar remaining as servicer. Servicing fees and servicer related reimbursements are subordinated to interest and principal payments while Nationstar is servicer. However, servicing advances will instead have priority over interest and principal payments in the event that Nationstar defaults and a new servicer is appointed. Third-Party Review A third party firm conducted a review of certain characteristics of the mortgage assets on behalf of Nationstar. The review focused on data integrity, FHA insurance coverage verification, accuracy of appraisal recording, accuracy of occupancy status recording, borrower age documentation, identification of excessive corporate advances, documentation of servicer advances, and identification of tax liens with first priority in Texas. Also, broker price opinions (BPOs) were ordered for 277 properties in the pool. The TPR firm conducted an extensive data integrity review. Certain data tape fields, such as the mortgage insurance premium (MIP) rate, the current UPB, current interest rate, and marketable title date were reviewed against Nationstar's servicing system. However, a significant number of data tape fields were reviewed against imaged copies of original documents of record, screen shots of HUD's HERMIT system, or HUD documents. Some key fields reviewed in this manner included the original note rate, the debenture rate, foreclosure first legal date, and the called due date. The results of the third-party review (TPR) are comparable to previous NHLT transactions in many respects. However, the number of exceptions related to the accuracy of reported valuations, and foreclosure and bankruptcy attorney fees was higher than in most other recently rated NHLT transactions. NHLT 2018-2's TPR results showed an 18.8% initial-tape exception rate related to the accuracy of reported valuations and a 29.8% initial-tape exception rate related to foreclosure and bankruptcy attorney fees. In its analysis of the pool, Moody's applied adjustments to account for the TPR results in certain areas. Reps & Warranties (R&W) Nationstar is the loan-level R&W provider and is rated B2 (Stable). This relatively weak financial profile is mitigated by the fact that Nationstar will subordinate its servicing advances, servicing fees, and MIP payments in the transaction and thus has significant alignment of interests. Another factor mitigating the risks associated with a financially weak R&W provider is that a third-party due diligence firm conducted a review on the loans for evidence of FHA insurance. Nationstar represents that the mortgage loans are covered by FHA insurance that is in full force and effect. Nationstar provides further R&Ws including those for title, first lien position, enforceability of the lien, and the condition of the property. Although Nationstar provides a no fraud R&W covering the origination of the mortgage loans, determination of value of the mortgaged properties, and the sale and servicing of the mortgage loans, the no fraud R&W is made only as to the initial mortgage loans. Aside from the no fraud R&W, Nationstar does not provide any other R&W in connection with the origination of the mortgage loans, including whether the mortgage loans were originated in compliance with applicable federal, state and local laws. Although certain representations are knowledge qualified, the transaction documents contain language specifying that if a representation would have been breached if not for the knowledge qualifier then Nationstar will repurchase the relevant asset as if the representation had been breached. Upon the identification of an R&W breach, Nationstar has to cure the breach. If Nationstar is unable to cure the breach, Nationstar must repurchase the loan within 90 days from receiving the notification. Moody's believes the absence of an independent third party reviewer who can identify any breaches to the R&W makes the enforcement mechanism weak in this transaction. Also, Nationstar, in its good faith, is responsible for determining if a R&W breach materially and adversely affects the interests of the trust or the value the collateral. This creates the potential for a conflict of interest. When analyzing the transaction, Moody's reviewed the transaction's exposure to large potential indemnification payments owed to transaction parties due to potential lawsuits. In particular, Moody's assessed the risk that the acquisition trustee would be subject to lawsuits from investors for a failure to adequately enforce the R&Ws against the seller. Moody's believes that NHLT 2018-2 is adequately protected against such risk in part because a third-party data integrity review was conducted on a significant random sample of the loans. In addition, the third-party due diligence firm verified that all of the loans in the pool are covered by FHA insurance. Trustee & Master Servicer The acquisition and owner trustee for the NHLT 2018-2 transaction is Wilmington Savings Fund Society, FSB. The paying agent and cash management functions will be performed by U.S. Bank National Association. U.S. Bank National Association will also serve as the claims payment agent and as such will be the HUD mortgagee of record for the mortgage assets in the pool. Methodology The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016 and "Moody's Global Approach to Rating Reverse Mortgage Securitizations" published in May 2015. Moody's quantitative asset analysis is based on a loan-by-loan modeling of expected payout amounts given the structure of FHA insurance and with various stresses applied to model parameters depending on the target rating level. FHA insurance claim types: funds come into the transaction primarily through the sale of REO properties and through FHA insurance claim receipts. There are uncertainties related to the extent and timing of insurance proceeds received by the trust due to the mechanics of the FHA insurance. HECM mortgagees may suffer losses if a property is sold for less than its appraised value. The amount of insurance proceeds received from the FHA depends on whether a sales based claim (SBC) or appraisal based claim (ABC) is filed. SBCs are filed in cases where the property is successfully sold within the first six months after the servicer has acquired marketable title to the property. ABCs are filed six months after the servicer has obtained marketable title if the property has not yet been sold. For an SBC, HUD insurance will cover the difference between (i) the loan balance and (ii) the higher of the sales price and 95.0% of the latest appraisal, with the transaction on the hook for losses if the sales price is lower than 95.0% of the latest appraisal. For an ABC, HUD only covers the difference between the loan amount and 100% of appraised value, so failure to sell the property at the appraised value results in loss. Moody's expects ABCs to have higher levels of losses than SBCs. The fact that there is a delay in the sale of the property usually implies some adverse characteristics associated with the property. FHA insurance will not protect against losses to the extent that an ABC property is sold at a price lower than the appraisal value taken at the six month mark of REO. Additionally, ABCs do not cover the cost to sell properties (broker fees) while SBCs do cover these costs. For SBCs, broker fees are reimbursable up to 6.0% ordinarily. Its base case expectation is that properties will be sold for 13.5% less than their appraisal value for ABCs. This is based on the historical experience of Nationstar. Moody's stressed this percentage at higher credit rating levels. At a Aaa rating level, Moody's assumed that ABC appraisal haircuts could reach up to 30.0%. In its asset analysis, Moody's also assumed there would be some losses for SBCs, albeit lower amounts than for ABCs. Based on historical performance, in the base case scenario Moody's assumed that SBCs would suffer 1.0% losses due to a failure to sell the property for an amount equal to or greater than 95.0% of the most recent appraisal. Moody's stressed this percentage at higher credit rating levels. At a Aaa rating level, Moody's assumed that SBC appraisal haircuts could reach up to 11.0% (i.e., 6.0% below 95.0%). Under its analytical approach, each loan is modeled to go through both the ABC and SBC process with a certain probability. Each loan will thus have both of the sales disposition payments and associated insurance payments (four payments in total). All payments are then probability weighted and run through a modeled liability structure. Based on the historical experience of Nationstar, for the base case scenario Moody's assumed that 85% of claims would be SBCs and the rest would be ABCs. Moody's stressed this assumption and assumed higher ABC percentages for higher rating levels. At a Aaa rating level, Moody's assumed that 85% of insurance claims would be submitted as ABCs. Liquidation process: each mortgage asset is categorized into one of four categories: default, due and payable, foreclosure and REO. In its analysis, Moody's assumes loans that are in referred status to be either in foreclosure or REO category. The loans are assumed to move through each of these stages until being sold out of REO. Moody's assumed that loans would be in default status for six months. Due and payable status is expected to last six to 12 months depending on the default reason. Foreclosure status is based on the state in which that the related property is located and is further stressed at higher rating levels. The base case foreclosure timeline is based on FHA timeline guidance. REO disposition is assumed to take place in six months with respect to SBCs and 12 months with respect to ABCs. Debenture interest: the receipt of debenture interest is dependent upon performance of certain actions within certain timelines by the servicer. If these timeline and performance benchmarks are not met by the servicer, debenture interest is subject to curtailment. Its base case assumption is that 95.0% of debenture interest will be received by the trust. Moody's stressed the amount of debenture interest that will be received at higher rating levels. Its debenture interest assumptions reflect the requirement that Nationstar (B2, Stable) reimburse the trust for debenture interest curtailments due to servicing errors or failures to comply with HUD guidelines. Additional model features: Moody's incorporated certain additional considerations into its analysis, including the following: -- In most cases, the most recent appraisal value was used as the property value in its analysis. However, for seasoned appraisals Moody's applied a 15.0% haircut to account for potential home price depreciation between the time of the appraisal and the cut-off date. -- Mortgage loans with borrowers that have significant equity in their homes are likely to be paid off by the borrowers or their heirs rather than complete the foreclosure process. Moody's estimated which loans would be bought out of the trust by comparing each loans' appraisal value (post haircut) to its UPB. -- Moody's assumed that foreclosure costs will average $4,500 per loan, two thirds of which will be reimbursed by the FHA. Moody's then applied a negative adjustment to this amount based on the TPR results. -- Moody's estimated monthly tax and insurance advances based on cumulative tax and insurance advances to date. Moody's ran additional stress scenarios that were designed to mimic expected cash flows in the case where Nationstar is no longer the servicer. Moody's assumes the following in the situation where Nationstar is no longer the servicer: -- Servicing advances and servicing fees: While Nationstar subordinates their recoupment of servicing advances, servicing fees, and MIP payments, a replacement servicer will not subordinate these amounts. -- Nationstar indemnifies the trust for lost debenture interest due to servicing errors or failure to comply with HUD guidelines. In the event of a bankruptcy, Nationstar will not have the financial capacity to do so. -- A replacement servicer may require an additional fee and thus Moody's assumes a 25 bps strip will take effect if the servicer is replaced. -- One third of foreclosure costs will be removed from sales proceeds to reimburse a replacement servicer (one third of foreclosure costs are not reimbursable under FHA insurance). This is typically on the order of $1,500 per loan. Moody's also applied a small adjustment in its analysis to account for the risks associated with certain damaged properties that are located in areas impacted by Hurricane Harvey or Hurricane Irma. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of stress could drive the ratings up. Transaction performance depends greatly on the US macro economy and housing market. Property markets could improve from its original expectations resulting in appreciation in the value of the mortgaged property and faster property sales. Down Levels of credit protection that are insufficient to protect investors against current expectations of stresses could drive the ratings down. Transaction performance depends greatly on the US macro economy and housing market. Property markets could deteriorate from its original expectations resulting in depreciation in the value of the mortgaged property and slower property sales. NATIXIS COMMERCIAL 2018-850T: S&P Gives (P)B- Rating on Cl. F Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Natixis Commercial Mortgage Securities Trust 2018-850T's $177.22 million commercial mortgage pass-through certificates series 2018-850T. The note issuance is a commercial mortgage-backed securities (CMBS) transaction backed by a $177.22 million trust loan, which is part of a whole mortgage loan structure in the aggregate principal amount of $242.0 million and secured by a first lien on the borrower's interest in 850 Third Avenue, a class-A office building located within Midtown Manhattan's East Side office submarket. The mortgage loan seller is retaining a $22.0 million unfunded pari passu non-trust companion note. Both the trust loan and the companion loans are collectively secured by the same mortgage on the property and will be serviced and administered according to the trust and servicing agreement for this securitization. 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 our view of the transaction collateral's historic and projected performance, the sponsor's and managers' experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. PRELIMINARY RATINGS ASSIGNED Natixis Commercial Mortgage Securities Trust 2018-850T Class Rating(i) Amount (mil. $) A AAA (sf) 73,780,000 X-F(ii) NR 177,220,000(iii) B AA- (sf) 18,440,000 C A- (sf) 13,840,000 D BBB- (sf) 16,970,000 E BB- (sf) 23,060,000 F B- (sf) 22,269,000 RR(iv) NR 8,861,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Interest only. (iii)Notional balance. The notional amount of the class X-F certificates will be equal to the class A, B, C, D, E, F, and RR certificate balances. (iv)Non-offered eligible horizontal interest. NR--Not rated. REALT 2014-1: Fitch Affirms B Rating on CAD2.8MM Class G Certs -------------------------------------------------------------- Fitch Ratings has affirmed seven classes of Real Estate Asset Liquidity Trust's (REALT) commercial mortgage pass-through certificates, series 2014-1. All currencies are denominated in Canadian dollars (CAD). KEY RATING DRIVERS Limited Changes in Loss Expectations Since Issuance: The pool performance has been stable since issuance and Fitch's last rating action. The ratings reflect strong Canadian commercial real estate loan performance, including a low delinquency rate and low historical losses of less than 0.1%, as well as positive loan attributes, such as short amortization schedules, recourse to the borrower and additional guarantors. Of the remaining pool, over 90% of the loans feature full or partial recourse to the borrowers and/or sponsors. The pool has no delinquent or specially serviced loans. There are three loans (3.5%) on the servicer's watch list due to declining performance; however, each loan has recourse to the borrower. The former Loan of Concern, Strongco Building Fort McMurray (4.2%), is no longer considered a Loan of Concern due to the signing of a long-term tenant. The revision of the Outlook on class G to Stable from Negative reflects this change. Improved Credit Enhancement: As of the May 2018 distribution date, the pool's aggregate principal balance has been reduced 8.8% from $280.6 million at issuance to $255.9 million with 34 loans remaining. There are no full or partial interest only loans in the pool. Since the last rating action, the 111 Grangeway Office Building loan (3.2%) was defeased. Pool Concentrations: The transaction is concentrated with only 34 loans remaining. The top 10 and 15 loans (including crossed loans) account for 54.2% and 78.0% of the pool, respectively. Retail properties represent 34.54% of the pool while Industrial/Warehouse loans comprise 23% of the pool. The pool has 18 properties (54.2%) located in Ontario; however, Ontario is Canada's most populous province and accounts for approximately 40% of the country's population and GDP. Fitch Loans of Concern: Fitch continues to monitor the performance of two loans in the top 15. Whitemud Centre Industrial Edmonton is the fifth largest loan (5.8%) in the pool. The largest tenant, Frito Lay, has its lease expiring in December 2018. Frito Lay represents 25.5% of the NRA and pays $11/SF. Frito Lay's lease includes extension options and the loan has 25% recourse to the borrower. The loan matures in September 2019. The loan has a modeled loss, but the 25% recourse provides enough credit enhancement to cover the modeled loss. Four Points Sheraton Kamloops is the 14th largest loan (2.2%) in the pool. As a result of declining occupancy the hotel property has seen year over year decline in RevPAR to $79.5 as of September 2017 from $95.21 at issuance. In addition, the expense ratio has increased to 76% as of September 2017 from 60% at issuance. The September 2017 DSCR was 0.94x. The loan is full recourse. RATING SENSITIVITIES The Rating Outlook on class G is revised to Stable. Strongco Building in Fort McMurray AB (4.2%) is no longer considered a Fitch Loan of Concern. A long-term replacement tenant has taken occupancy, and the loan is expected to refinance in 2019 at maturity. Any unexpected losses could be mitigated by loan recourse provisions. The Rating Outlooks on the senior classes remain Stable as the classes have benefited from an increase in credit enhancement from loan payoffs though upgrades may be limited as the pool is becoming more concentrated. 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 and revised Outlooks where indicated: -- $217.6 million class A at 'AAAsf'; Outlook Stable; -- $7.0 million class B at 'AAsf'; Outlook Stable; -- $9.1 million class C at 'Asf'; Outlook Stable; -- $7.7 million class D at 'BBBsf'; Outlook Stable; -- $3.5 million class E at 'BBB-sf'; Outlook Stable; -- $3.2 million class F at 'BBsf'; Outlook Stable; -- $2.8 million class G at 'Bsf'; Outlook to Stable from Negative. Fitch does not rate the interest-only class X or the non-offered $5.6 million class H certificate. TABERNA PREFFERED II: Moody's Hikes Rating on 3 Tranches to B1 -------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Taberna Preferred Funding II, Ltd.: US$400,000,000 Class A-1A First Priority Delayed Draw Senior Secured Floating Rate Notes Due 2035 (current balance of $142,183,703), Upgraded to B1 (sf); previously on July 24, 2017 Upgraded to B3 (sf); US$106,500,000 Class A-1B First Priority Senior Secured Floating Rate Notes Due 2035 (current balance of $37,856,410), Upgraded to B1 (sf); previously on July 24, 2017 Upgraded to B3 (sf); US$10,000,000 Class A-1C First Priority Senior Secured Fixed/Floating Rate Notes Due 2035 (current balance of $3,554,593), Upgraded to B1 (sf); previously on July 24, 2017 Upgraded to B3 (sf); Taberna Preferred Funding II, Ltd., issued in June 2005, is a collateralized debt obligation (CDO) backed mainly by a portfolio of REIT trust preferred securities (TruPS), with exposure to CMBS and CRE CDO tranches. RATINGS RATIONALE The rating actions are primarily a result of the deleveraging of the Class A-1A, Class A-1B and Class A-1C notes, and an increase in the transaction's over-collateralization (OC) ratios since July 2017. The Class A-1A, A-1B and A-1C have paid down collectively by approximately 16.6% or $36.6 million in total since July 2017, using principal proceeds from the redemption of the underlying assets and the diversion of excess interest proceeds. Based on Moody's calculations, the OC ratio for the Class A-1 notes has improved to 179.8% from 151.2% in July 2017. In addition, there are currently $11.0 million of principal proceeeds in the deal which are expected to be paid to the Class A-1 notes on the next payment date in August 2018. The rating actions also took into consideration an Event of Default (EoD) and subsequent acceleration of the transaction in 2009. The transaction declared an EoD because of missed interest payments on the Class A-1, A-2 and B notes, according to Section 5.1(a) of the indenture. Methodology Underlying the Rating Action The principal methodology used in these ratings was "Moody's Approach to Rating TruPS CDOs" published in October 2016. 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, as described: 1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in the general economy. 2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance. 3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority. 4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc™ or credit estimates. Because these are not public ratings, they are subject to additional uncertainties. 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): Assuming a two-notch upgrade to assets with below-investment grade ratings or rating estimates (WARF of 2752) Class A-1A: +2 Class A-1B: +2 Class A-1C: +2 Assuming a two-notch downgrade to assets with below-investment grade ratings or rating estimates (WARF of 5774) Class A-1A: -2 Class A-1B: -2 Class A-1C: -2 Loss and Cash Flow Analysis: Moody's applied a Monte Carlo simulation framework in Moody's CDOROM™ to model the loss distribution for TruPS CDOs. The simulated defaults and recoveries for each of the Monte Carlo scenarios defined the reference pool's loss distribution. Moody's then used the loss distribution as an input in its CDOEdge™ cash flow model. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, and weighted average recovery rate, are based on its methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool as having a performing par and principal proceeds balance of $330.1 million, defaulted/deferring par of $159.2 million, a weighted average default probability of 58.59% (implying a WARF of 4699), and a weighted average recovery rate upon default of 10.0%. In addition to the quantitative factors Moody's explicitly models, qualitative factors are part of rating committee considerations. Moody's considers the structural protections in the transaction, the risk of an event of default, recent deal performance under current market conditions, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. The portfolio of this CDO contains mainly TruPS issued by small to medium sized REIT companies that Moody's does not rate publicly. For REIT TruPS that do not have public ratings, Moody's REIT group assesses their credit quality using the REIT firms' annual financials. THL CREDIT 2016-1: Moody's Assigns Ba3 Rating on Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned the following ratings to the following notes issued by THL Credit Wind River 2016-1 CLO Ltd.: US$384,000,000 Class A-R Senior Secured Floating Rate Notes due 2028 (the "Class A-R Notes"), Assigned Aaa (sf) US$72,000,000 Class B-R Senior Secured Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned Aa2 (sf) US$36,000,000 Class C-R Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned A2 (sf) US$30,000,000 Class D-R Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Baa3 (sf) US$30,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2028 (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. THL Credit Senior Loan Strategies 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 20, 2018 in connection with the refinancing of certain classes of notes previously issued on June 22, 2016. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of each class of the Issuer's notes is subject to uncertainty relating to certain factors and circumstances, and this uncertainty could lead Moody's to change its ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the Manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by the Manager or other transaction parties owing to embedded ambiguities. 3) Collateral credit risk: Investing in collateral of better credit quality, or better than Moody's expected credit performance of the assets collateralizing the transaction can lead to positive CLO performance. Conversely, a negative shift in the credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: During the amortization period, the pace of deleveraging from unscheduled principal proceeds is an important source of uncertainty. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the Manager, which could have a significant impact on the ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those notes having the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted average life: The notes' ratings can be sensitive to the weighted average life assumption of the portfolio, which could lengthen owing to any decision by the Manager to reinvest into new issue loans or loans with longer maturities, or participate in amend-to-extend offerings. Life extension can increase the default risk horizon and assumed cumulative default probability of CLO collateral. 7) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. Together with the set of modeling assumptions described, Moody's conducted additional sensitivity analyses, which were considered in determining the ratings assigned to the rated notes. In particular, in addition to the base case analysis, Moody's conducted sensitivity analyses to test the impact of a number of default probabilities on the rated notes relative to the base case modeling results. 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% (2380) Class A-R: 0 Class B-R: +2 Class C-R: +2 Class D-R: +3 Class E-R: +2 Moody's Assumed WARF + 20% (3570) Class A-R: 0 Class B-R: -2 Class C-R: -3 Class D-R: -1 Class E-R: -1 Loss and Cash Flow Analysis: Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $597,757,188 Defaulted par: $3,919,097 Diversity Score: 68 Weighted Average Rating Factor (WARF): 2975 (corresponding to a weighted average default probability of 25.58%) Weighted Average Spread (WAS): 3.62% Weighted Average Recovery Rate (WARR): 47.45% 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. TIAA CLO I: S&P Assigns BB- Rating on $18MM Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its 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 have been issued via a supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the July 20, 2018, refinancing date, the proceeds from the replacement notes issuance were used to redeem the original notes. The replacement notes are being issued via a 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 Three-month LIBOR + 1.70 B 47.25 Three-month LIBOR + 2.30 C 31.50 Three-month LIBOR + 3.25 D 22.50 Three-month LIBOR + 5.20 E-1 10.00 Three-month LIBOR + 8.05 E-2 10.25 Three-month LIBOR + 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." RATINGS ASSIGNED TIAA CLO I Ltd. Replacement class Rating Amount (mil. $) X AAA (sf) 1.700 A-R AAA (sf) 288.000 B-1-R AA (sf) 32.500 B-2-R AA (sf) 17.000 C-R A (sf) 36.000 D-R BBB- (sf) 22.500 E-R BB- (sf) 18.000 Subordinated notes NR 41.545 RATINGS WITHDRAWN TIAA CLO I Ltd. Rating Class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB (sf) E-1 NR BB- (sf) E-2 NR BB- (sf) NR--Not rated. WEBSTER PARK: S&P Assigns B-(sf) Rating on $5MM Class E-R Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1AR, A-2R, B-R, C-R, D-R, and E-R replacement notes from Webster Park CLO Ltd., a collateralized loan obligation (CLO) originally issued in January 2016 that is managed by GSO/Blackstone Debt Funds Management LLC, a wholly owned subsidiary of The Blackstone Group L.P. The replacement notes have been issued via a supplemental indenture. On the July 20, 2018, refinancing date, proceeds from the issuance of the replacement notes redeemed the original notes. As such, S&P has withdrawn its rating on the original class A-1 notes. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, asserts the following: -- The stated maturity reinvestment will be extended by 4.5 years. -- Updated S&P Global Ratings industry classifications, recoveries, and country groupings for recovery purposes will be used. -- Of the underlying collateral obligations, 90.35% have credit ratings assigned by S&P Global Ratings. -- Of the underlying collateral obligations, 96.22% have recovery 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 Webster Park CLO Ltd./Webster Park CLO LLC Replacement class Rating Amount (mil. $) A-1AR AAA (sf) 300.00 A-1BR NR 20.00 A-2R AA (sf) 62.50 B-R (deferrable) A (sf) 27.00 C-R (deferrable) BBB- (sf) 29.50 D-R (deferrable) BB- (sf) 19.50 E-R (deferrable) B- (sf) 5.00 Subordinated Notes NR 46.90 NR--Not rated. RATINGS WITHDRAWN Webster Park CLO Ltd./Webster Park CLO LLC Rating Class To From A-1 NR AAA (sf) WELLS FARGO 2018-C45: DBRS Finalizes BB Rating on Class G-RR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C45 (the Certificates) issued by Wells Fargo Commercial Mortgage Trust 2018-C45: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X‑A at AAA (sf) -- Class X-B at AA (low) (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) Classes X-D, D, E-RR, F-RR, G-RR and H-RR have been privately placed. The Class X-A, X-B and X-D balances are notional. The collateral consists of 49 fixed-rate loans secured by 89 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The trust asset contributed from one loan, representing 3.0% of the pool, is shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loan are floored at the respective rating within the pool. When 3.0% of the pool has no proceeds assigned below the rated floor, the resulting pool subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the 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 stabilized net cash flow and their respective actual constants, two loans, representing 11.2% 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 25 loans, representing 70.9% of the pool, having refinance DSCRs below 1.00x, and ten loans, representing 31.1% of the pool, with refinance DSCRs below 0.90x. These credit metrics are based on whole-loan balances. The hotel concentration of five loans, representing 6.7% of the pool balance, is at a lower level than recent transactions that typically have concentrations around 13.0% or more. Hotel properties have higher cash flow volatility than traditional property types, as their income, which is derived from daily contracts rather than multi-year leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster because of the high operating leverage. Only six loans, totaling 9.9% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. The largest of these loans is 181 Fremont Street, which represents 3.0% of the pool balance and 30.7% of the single-tenant concentration, and is shadow-rated investment grade. Additionally, 181 Fremont Street is a mission-critical space for Facebook, as it serves as the company's headquarters. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. Term default risk is low, as indicated by the relatively strong DBRS Term DSCR of 1.50x. Only one loan, representing 1.7% of the pool balance, has a DBRS Term DSCR below 1.10x. Additionally, eight of the largest 15 loans, totaling 28.7% of the pool balance, have a DBRS Term DSCR above 1.50x. The tenth-largest loan in the pool — 181 Fremont Street — exhibits credit characteristics consistent with a shadow rating of AA. This loan represents 3.0% of the transaction balance. Nineteen loans, representing 27.9% of the pool, are secured by properties located in tertiary or rural markets, including three of the top 15 loans. Properties located in tertiary and rural markets are modeled with significantly higher loss severities than those located in urban and suburban markets. Further, the weighted-average (WA) DBRS Debt Yield and DBRS Exit Debt Yield for such loans are 9.0% and 10.0%, respectively, which are somewhat, though not materially, higher than the overall pool metrics. The DBRS refinance (Refi) DSCR is 0.99x, indicating a higher refinance risk on an overall pool level. In addition, 25 loans, representing 70.9% of the pool, have DBRS Refi DSCRs below 1.00x. Ten of these loans, comprising 31.1% of the pool, have DBRS Refi DSCRs less than 0.90x, including three of the top ten loans and five of the top 15 loans. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.87%, which implies an interest rate of 9.24% amortizing on a 30-year schedule. This represents a significant stress of 4.34% over the WA contractual interest rate of the loans in the pool. DBRS models the probability of default (POD) based on the more constraining of the DBRS Term DSCR and DBRS Refi DSCR. Ten loans, representing 25.5% of the pool, including five of the largest 15 loans, are structured with interest-only (IO) payments for the full term. An additional 21 loans, representing 56.8% of the pool, have partial IO periods remaining that range from 24 months to 60 months. The DBRS Term DSCR is calculated by using the amortizing debt service obligation, and the DBRS Refi DSCR is calculated by considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines POD based on the lower of the Term or Refi DSCR; therefore, loans that lack amortization will be treated more punitively. This concentration includes the shadow-rated loan, which totals 3.0% of the pool and is full-term IO. Classes X-A, X-B and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. ZAIS CLO 9: Moody's Assigns Ba3 Rating on Class E Notes ------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by ZAIS CLO 9, Limited. Moody's rating action is as follows: US$320,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$20,000,000 Class B-1 Senior Secured Floating Rate Notes due 2031 (the "Class B-1 Notes"), Assigned Aa2 (sf) US$38,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2031 (the "Class B-2 Notes"), Assigned Aa2 (sf) US$26,800,000 Class C Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$32,300,000 Class D Deferrable Mezzanine Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$22,900,000 Class E Deferrable Mezzanine 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. ZAIS CLO 9 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 100% ramped as of the closing date. ZAIS Leveraged Loan Master Manager, 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: 70 Weighted Average Rating Factor (WARF): 2841 Weighted Average Spread (WAS): 3.55% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 46.0% 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 2841 to 3267) Rating Impact in Rating Notches Class A Notes: 0 Class B-1 Notes: -2 Class B-2 Notes: -2 Class C Notes: -2 Class D Notes: -1 Class E Notes: -1 Percentage Change in WARF -- increase of 30% (from 2841 to 3693) Rating Impact in Rating Notches Class A Notes: -1 Class B-1 Notes: -4 Class B-2 Notes: -4 Class C Notes: -4 Class D Notes: -2 Class E Notes: -1 [*] DBRS Reviews 229 Classes From 14 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 229 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. DBRS confirmed all 229 ratings reviewed. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The rating actions are the result of DBRS's application of "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published on April 4, 2017. The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of prime, agency credit, seasoned and reperforming collateral. The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect certain structural features and historical performance that constrain the quantitative model output. -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B2 -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B2-IO -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3 -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3-IOA -- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3-IOB -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class M2 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class M2-IO -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class M3 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class M3-IO -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class B1 -- CIM Trust 2017-7, Mortgage-Backed Notes Series 2017-7, Class B2 -- COLT 2017-2 Mortgage Loan Trust, COLT 2017-2 Mortgage Pass-Through Certificates, Series 2017-2, Class A-3A -- COLT 2017-2 Mortgage Loan Trust, COLT 2017-2 Mortgage Pass-Through Certificates, Series 2017-2, Class A-3B -- COLT 2017-2 Mortgage Loan Trust, COLT 2017-2 Mortgage Pass-Through Certificates, Series 2017-2, Class A-3C -- COLT 2017-2 Mortgage Loan Trust, COLT 2017-2 Mortgage Pass-Through Certificates, Series 2017-2, Class A-3XA -- COLT 2017-2 Mortgage Loan Trust, COLT 2017-2 Mortgage Pass-Through Certificates, Series 2017-2, Class A-3XB -- COLT 2017-2 Mortgage Loan Trust, COLT 2017-2 Mortgage Pass-Through Certificates, Series 2017-2, Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Asset Backed Securities, Series 2017-2, Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Asset Backed Securities, Series 2017-2, Class M-2 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, and Class M-1 -- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, and Class M-2 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class A4 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class M1 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class M2 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B1 -- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B2 -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4 -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4A -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4B -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOA -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOB -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5 -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5A -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5B -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOA -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOB -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-IO -- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class IO -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2 -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2A -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2B -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2C -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IO -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IOA -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IOB -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IOC -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-3 -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-3A -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-3B -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-3C -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B3-IO -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B3-IOA -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B3-IOB -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B3-IOC -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4 -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4A -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4B -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-4C -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B4-IOA -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B4-IOB -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B4-IOC -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5 -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5A -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5B -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5C -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-5D -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOA -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOB -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOC -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B5-IOD -- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-7 -- CSMC Trust 2013-7, Mortgage Pass-through Certificates, Series 2013-7, Class A-IO-S -- CSMC Trust 2013-7, Mortgage Pass-Through Certificates, Series 2013-7, Class B-4 -- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates, Series 2014-WIN2, Class A-IO-S -- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates, Series 2014-WIN2, Class B-4 -- CSMC Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class A-IO-S -- CSMC Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4 The Affected Ratings is available at https://bit.ly/2uLn5g2 [*] Moody's Hikes Ratings on 7 Tranches From 2 Merrill Lynch Deals ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings of 7 tranches from 2 transactions, backed by subprime RMBS loans, issued by Merrill Lynch. Complete rating actions are as follows: Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC1 Cl. B-1, Upgraded to Caa2 (sf); previously on Mar 21, 2011 Downgraded to Ca (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Apr 10, 2015 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to Ba1 (sf); previously on Apr 10, 2015 Upgraded to Caa1 (sf) Issuer: Merrill Lynch Mortgage Investors, Inc. 2004-WMC2 Cl. B-1, Upgraded to Ca (sf); previously on Mar 21, 2011 Downgraded to C (sf) Cl. M-2, Upgraded to A3 (sf); previously on Mar 4, 2016 Upgraded to Ba1 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Mar 4, 2016 Upgraded to Caa1 (sf) Cl. S, Upgraded to B3 (sf); previously on Oct 27, 2017 Confirmed at Caa1 (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 an increase in credit enhancement available to the bonds. The principal methodology used in rating Merrill Lynch Mortgage Investors, Inc. 2004-WMC1 Cl. M-2, Cl. M-3, and Cl. B-1; and Merrill Lynch Mortgage Investors, Inc. 2004-WMC2 Cl. M-2, Cl. M-3, and Cl. B-1 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Merrill Lynch Mortgage Investors, Inc. 2004-WMC2 Cl. S 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. 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, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Lowers $758.6MM Alt-A RMBS Issued 2006-2007 ------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 68 tranches issued by nine transactions, backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Deutsche Alt-A Securities Resecuritization Trust, Series 2007-2R Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Issuer: Residential Asset Securitization Trust 2006-R1 Cl. A-1, Downgraded to Ca (sf); previously on Feb 23, 2011 Downgraded to Caa3 (sf) Cl. A-2, Downgraded to Ca (sf); previously on Feb 23, 2011 Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J5 Cl. 1-A-1, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-2, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. 1-A-3, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. 1-A-5, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-6, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-7, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-A-8, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 1-X, Downgraded to Ca (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Cl. 2-A-1, Downgraded to C (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Cl. 2-X, Downgraded to C (sf); previously on Nov 29, 2017 Downgraded to Ca (sf) Cl. PO-1, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. PO-2, Downgraded to C (sf); previously on Oct 6, 2016 Confirmed at Ca (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J6 Cl. A-1, Downgraded to Ca (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. A-2, Downgraded to Ca (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. A-3, Downgraded to Ca (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. A-4, Downgraded to Ca (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. A-5, Downgraded to Ca (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. PO, Downgraded to C (sf); previously on Sep 19, 2016 Confirmed at Caa3 (sf) Cl. X, Downgraded to Ca (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-21CB Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. 1-A-6, Downgraded to Caa3 (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Cl. 1-X, Downgraded to Caa3 (sf); previously on Nov 29, 2017 Confirmed at Caa2 (sf) Cl. 2-A-1, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-2, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-3, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-4, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-5, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-7, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-8, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-9, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-11, Downgraded to C (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. PO, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa2 (sf) Issuer: Lehman Mortgage Trust 2006-8 Cl. 2-A1, Downgraded to C (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 2-A3, Downgraded to C (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 3-A1, Downgraded to C (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 3-A2, Downgraded to C (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 4-A1, Downgraded to C (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Cl. 4-A2, Downgraded to C (sf); previously on Dec 22, 2010 Downgraded to Ca (sf) Issuer: Residential Asset Securitization Trust 2006-A2 Cl. A-1, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-2, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-3, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-4, Downgraded to Ca (sf); previously on Apr 10, 2013 Affirmed Caa3 (sf) Cl. A-5, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-6, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-7, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-8, Downgraded to Ca (sf); previously on Apr 10, 2013 Affirmed Caa3 (sf) Cl. A-9, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-10, Downgraded to Ca (sf); previously on Apr 10, 2013 Affirmed Caa3 (sf) Cl. A-11, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Cl. A-X, Downgraded to Ca (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. PO, Downgraded to Ca (sf); previously on Apr 10, 2013 Downgraded to Caa3 (sf) Issuer: Residential Asset Securitization Trust 2006-A3CB Cl. A-1, Downgraded to Ca (sf); previously on Nov 12, 2010 Downgraded to Caa3 (sf) Cl. A-X, Downgraded to Ca (sf); previously on Nov 29, 2017 Confirmed at Caa3 (sf) Cl. PO, Downgraded to Ca (sf); previously on Nov 12, 2010 Downgraded to Caa3 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-1 Trust Cl. 1-A-1, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-3, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-4, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed at Ca (sf) Cl. 1-A-5, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-6, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-7, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-8, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-10, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-11, Downgraded to Ca (sf); previously on Sep 1, 2010 Downgraded to Caa3 (sf) Cl. 1-A-12, Downgraded to Ca (sf); previously on Nov 29, 2017 Confirmed at Caa3 (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 downgrade of Cl. 1-A-1 from Deutsche Alt-A Securities Resecuritization Trust, Series 2007-2R reflects the downgrade on the underlying bond, Class 1-A-1 from CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-21CB; and the rating downgrade of Cl. A-1 and Cl. A-2, from Residential Asset Securitization Trust 2006-R1 reflects the downgrade on the underlying bond, Class A-1 from Residential Asset Securitization Trust 2006-A3CB. The principal methodology used in rating CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J5 Cl. 2-A-1, Cl. 1-A-1, Cl. 1-A-2, Cl. PO-2, Cl. 1-A-5, Cl. 1-A-6, Cl. 1-A-8, and Cl. PO-1; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J6 Cl. PO, Cl. A-1, Cl. A-3, Cl. A-4, and Cl. A-5; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-21CB Cl. 1-A-4, Cl. 1-A-6, Cl. PO, Cl. 2-A-1, Cl. 2-A-2, Cl. 2-A-3, Cl. 2-A-5, Cl. 2-A-7, Cl. 2-A-8, Cl. 2-A-9, Cl. 2-A-11, and Cl. 1-A-1; Lehman Mortgage Trust 2006-8 Cl. 2-A1, Cl. 2-A3, Cl. 3-A1, and Cl. 4-A1; Residential Asset Securitization Trust 2006-A2 Cl. A-1, Cl. A-3, Cl. A-4, Cl. A-5, Cl. A-7, Cl. A-8, Cl. A-9, Cl. A-10, Cl. A-11, and Cl. PO; Residential Asset Securitization Trust 2006-A3CB Cl. PO and Cl. A-1; and WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-1 Trust Cl. 1-A-1, Cl. 1-A-10, Cl. 1-A-11, Cl. 1-A-3, Cl. 1-A-6, Cl. 1-A-7, and Cl. 1-A-8 was "US RMBS Surveillance Methodology" published in January 2017. The principal methodology used in rating Deutsche Alt-A Securities Resecuritization Trust, Series 2007-2R Cl. 1-A-1; and Residential Asset Securitization Trust 2006-R1 Cl. A-1 and Cl. A-2 was "Moody's Approach to Rating Resecuritizations" published in February 2014. The methodologies used in rating CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J5 Cl. 1-A-3, Cl. 2-X, Cl. 1-A-7, and Cl. 1-X; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2006-J6 Cl. X and Cl. A-2; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-21CB Cl. 1-X and Cl. 2-A-4; Lehman Mortgage Trust 2006-8 Cl. 3-A2 and Cl. 4-A2; Residential Asset Securitization Trust 2006-A2 Cl. A-2, Cl. A-6, and Cl. A-X; Residential Asset Securitization Trust 2006-A3CB Cl. A-X; WaMu Mortgage Pass-Through Certificates, WMALT Series 2007-1 Trust Cl. 1-A-12, Cl. 1-A-4, and Cl. 1-A-5 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 $197MM RMBS Issued 2003-2006 -------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 16 tranches from four transactions and downgraded the ratings of 33 tranches from four transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-21 Cl. D-B-1, Downgraded to B2 (sf); previously on Apr 10, 2012 Downgraded to Ba3 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-1 Cl. I-A-2, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. I-A-3, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. I-P, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Cl. II-A-1, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. II-A-2, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. III-A-1, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. IV-A-1, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa3 (sf) Cl. V-A-1, Upgraded to Baa1 (sf); previously on Apr 10, 2012 Downgraded to Baa2 (sf) Issuer: First Horizon Mortgage Pass-Through Trust 2005-7 Cl. A-1, Downgraded to Ca (sf); previously on Jun 12, 2015 Downgraded to Caa2 (sf) Cl. A-11, Downgraded to Ca (sf); previously on Jun 12, 2015 Downgraded to Caa1 (sf) Cl. A-13, Downgraded to Ca (sf); previously on Jun 12, 2015 Downgraded to Caa2 (sf) Issuer: GSR Mortgage Loan Trust 2005-AR3 Cl. 3A1, Upgraded to B3 (sf); previously on May 7, 2015 Confirmed at Caa2 (sf) Issuer: J.P. Morgan Mortgage Trust 2006-S2 Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa1 (sf) Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa1 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-7, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-8, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-9, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-12, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-13, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-14, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-15, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-16, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-17, Downgraded to Caa3 (sf); previously on Nov 27, 2012 Downgraded to Caa2 (sf) Cl. 1-A-18, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-19, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-20, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-21, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa2 (sf) Cl. 1-A-24, Downgraded to Caa3 (sf); previously on Oct 7, 2013 Downgraded to Caa1 (sf) Cl. 2-A-2, Downgraded to Caa3 (sf); previously on Apr 12, 2010 Downgraded to Caa1 (sf) Cl. 3-A-1, Downgraded to Ca (sf); previously on Oct 7, 2013 Downgraded to Caa3 (sf) Cl. 3-A-2, Downgraded to Ca (sf); previously on Oct 7, 2013 Downgraded to Caa3 (sf) Cl. 3-A-3, Downgraded to Ca (sf); previously on Oct 7, 2013 Downgraded to Caa3 (sf) Cl. 3-A-4, Downgraded to Ca (sf); previously on Nov 27, 2012 Downgraded to Caa3 (sf) Cl. 3-A-5, Downgraded to Ca (sf); previously on Nov 27, 2012 Downgraded to Caa3 (sf) Cl. 3-A-7, Downgraded to Ca (sf); previously on Nov 27, 2012 Downgraded to Caa3 (sf) Cl. 3-A-8, Downgraded to Ca (sf); previously on Nov 27, 2012 Downgraded to Caa3 (sf) Cl. A-P, Downgraded to Caa3 (sf); previously on Oct 7, 2013 Downgraded to Caa1 (sf) Issuer: Sequoia Mortgage Trust 2004-11 Cl. A-3, Upgraded to Baa1 (sf); previously on Jun 12, 2015 Upgraded to Baa3 (sf) Cl. B-1, Upgraded to B3 (sf); previously on Jun 12, 2015 Upgraded to Caa2 (sf) Cl. B-2, Upgraded to Ca (sf); previously on Mar 2, 2012 Downgraded to C (sf) Cl. X-A2, Upgraded to Baa1 (sf); previously on Jun 12, 2015 Upgraded to Baa3 (sf) Cl. X-B, Upgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at C (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-6 Trust Cl. A-4, Downgraded to Ba2 (sf); previously on Aug 23, 2012 Upgraded to Baa3 (sf) Issuer: Wells Fargo Mortgage Backed Securities 2005-AR1 Trust Cl. I-A-1, Upgraded to Ba2 (sf); previously on Apr 5, 2010 Downgraded to B2 (sf) Cl. I-A-2, Upgraded to Caa1 (sf); previously on Apr 5, 2010 Downgraded to Ca (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to an improvement of credit enhancement available to the bonds or an improvement in pool performance. The rating downgrades are due to the erosion of enhancement available to the bonds or an increase in undercollateralization driven by structural features on the deals. The principal methodology used in rating CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-21 Cl. D-B-1; CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-1 Cl. II-A-1, Cl. III-A-1, Cl. IV-A-1, Cl. V-A-1, Cl. I-A-2, Cl. I-A-3, Cl. I-P, and Cl. II-A-2; Sequoia Mortgage Trust 2004-11 Cl. A-3, Cl. B-1, and Cl. B-2; J.P. Morgan Mortage Trust 2006-S2 Cl. A-P, Cl. 3-A-8, Cl. 1-A-3, Cl. 1-A-4, Cl. 1-A-5, Cl. 1-A-7, Cl. 1-A-8, Cl. 1-A-9, Cl. 1-A-11, Cl. 1-A-12, Cl. 1-A-13, Cl. 1-A-14, Cl. 1-A-15, Cl. 1-A-16, Cl. 1-A-17, Cl. 1-A-18, Cl. 1-A-19, Cl. 1-A-20, Cl. 1-A-21, Cl. 2-A-2, Cl. 3-A-1, Cl. 3-A-2, Cl. 3-A-3, Cl. 3-A-4, Cl. 3-A-5, Cl. 3-A-7, Cl. 1-A-24, and Cl. 1-A-1; First Horizon Mortgage Pass-Through Trust 2005-7 Cl. A-1, Cl. A-11, and Cl. A-13; GSR Mortgage Loan Trust 2005-AR3 Cl. 3A1; Wells Fargo Mortgage Backed Securities 2005-6 Trust Cl. A-4; Wells Fargo Mortgage Backed Securities 2005-AR1 Trust Cl. I-A-1 and Cl. I-A-2 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating Sequoia Mortgage Trust 2004-11 Cl. X-B and Cl. X-A2 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. 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, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $299MM RMBS Issued in 2002-2006 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 15 tranches and downgraded the ratings of four tranches from 12 transactions issued by various issuers. Complete rating actions are as follows: Issuer: Ameriquest Mortgage Securities Inc., Series 2003-13 Cl. M-3, Upgraded to Caa1 (sf); previously on May 4, 2012 Downgraded to C (sf) Issuer: Asset Backed Funding Corporation Asset-Backed Certificates, Series 2006-OPT2 Cl. A-2, Upgraded to B1 (sf); previously on Feb 24, 2016 Upgraded to B2 (sf) Cl. A-3C, Upgraded to Caa1 (sf); previously on Jun 3, 2010 Downgraded to Caa2 (sf) Cl. A-3D, Upgraded to Caa2 (sf); previously on Jun 3, 2010 Downgraded to Ca (sf) Issuer: Chase Funding Trust, Series 2003-6 Cl. IIM-2, Upgraded to Caa2 (sf); previously on Apr 23, 2012 Downgraded to Ca (sf) Issuer: Citigroup Mortgage Loan Trust 2006-NC2 Cl. A-1, Upgraded to Baa3 (sf); previously on Jan 18, 2017 Upgraded to Ba3 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE1 Cl. M-5, Downgraded to B1 (sf); previously on Jan 18, 2017 Upgraded to Ba3 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE2 Cl. A-3, Upgraded to Aaa (sf); previously on Jan 18, 2017 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Jan 18, 2017 Upgraded to Caa1 (sf) Issuer: Citigroup Mortgage Loan Trust 2006-WFHE4 Cl. M-3, Upgraded to Caa2 (sf); previously on Jan 18, 2017 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2003-FFH2 Cl. M-2, Upgraded to Caa3 (sf); previously on Mar 15, 2011 Downgraded to C (sf) Issuer: GSAMP Trust 2005-WMC3 Cl. A-1A, Upgraded to Aaa (sf); previously on Feb 1, 2017 Upgraded to A2 (sf) Cl. A-1B, Upgraded to A1 (sf); previously on Feb 1, 2017 Upgraded to Baa1 (sf) Cl. A-2B, Upgraded to A1 (sf); previously on Feb 1, 2017 Upgraded to Baa1 (sf) Cl. A-2C, Upgraded to A1 (sf); previously on Feb 1, 2017 Upgraded to Baa2 (sf) Issuer: MASTR Asset Backed Securities Trust 2003-WMC1 Cl. M-1, Upgraded to Baa3 (sf); previously on Apr 27, 2015 Upgraded to Ba1 (sf) Issuer: RAMP Series 2003-RS1 Trust Cl. A-I-5, Downgraded to B3 (sf); previously on Dec 29, 2016 Upgraded to B2 (sf) Cl. A-I-6, Downgraded to B1 (sf); previously on Dec 29, 2016 Upgraded to Ba2 (sf) Issuer: Saxon Asset Securities Trust 2002-3 Cl. AF-6, Downgraded to B2 (sf); previously on Apr 14, 2016 Downgraded to B1 (sf) RATINGS RATIONALE The upgrades are primarily due to the total credit enhancement available to the bonds. The actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The ratings downgrade for RAMP Series 2003-RS1 Trust Classes A-I-5 and A-I-6 are due to weak collateral performance. The ratings downgrade for Citigroup Mortgage Loan Trust 2006-WFHE1 Class M-5 and Saxon Asset Securities Trust 2002-3 Class AF-6 are due to outstanding interest shortfalls on the bonds. Interest shortfalls on these bonds are not expected to be reimbursed as the mechanism for reimbursement of interest shortfalls on mezzanine bonds in Citigroup Mortgage Loan Trust 2006-WFHE1 is weak and interest payments in Saxon Asset Securities Trust 2002-3 are not cross-collateralized between collateral groups. 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 $49MM Prime Jumbo RMBS Issued 2002-2004 ------------------------------------------------------------------- Moody's Investors Service has upgraded the rating of one tranche and downgraded the ratings of 16 tranches from five transactions, backed by Prime Jumbo RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-26 Cl. III-M-2, Upgraded to Aa3 (sf); previously on Aug 20, 2013 Downgraded to A3 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-5 Cl. IV-B-1, Downgraded to Ca (sf); previously on Nov 24, 2015 Downgraded to Caa2 (sf) Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-1 Cl. D-B-2, Downgraded to Caa2 (sf); previously on Nov 16, 2012 Downgraded to B2 (sf) Cl. D-B-3, Downgraded to C (sf); previously on Mar 18, 2011 Downgraded to Ca (sf) Issuer: J.P. Morgan Mortgage Trust 2004-S2 Cl. 2-B-2, Downgraded to C (sf); previously on Jan 10, 2013 Downgraded to Ca (sf) Cl. 4-A-1, Downgraded to B3 (sf); previously on Sep 19, 2017 Downgraded to B2 (sf) Cl. 4-A-2, Downgraded to B3 (sf); previously on Sep 19, 2017 Downgraded to B2 (sf) Cl. 4-A-3, Downgraded to Caa1 (sf); previously on Sep 19, 2017 Downgraded to B3 (sf) Cl. 4-A-5, Downgraded to B3 (sf); previously on Sep 19, 2017 Downgraded to B1 (sf) Cl. 5-A-P, Downgraded to B1 (sf); previously on Apr 29, 2011 Downgraded to Ba1 (sf) Issuer: Sequoia Mortgage Trust 2004-5 Cl. A-1, Downgraded to Baa3 (sf); previously on Apr 27, 2011 Downgraded to Baa1 (sf) Cl. A-2, Downgraded to Baa3 (sf); previously on Apr 27, 2011 Downgraded to Baa2 (sf) Cl. A-3, Downgraded to Baa3 (sf); previously on Apr 27, 2011 Downgraded to Baa2 (sf) Cl. B-1, Downgraded to Caa3 (sf); previously on Jan 8, 2016 Downgraded to Caa1 (sf) Cl. B-2, Downgraded to C (sf); previously on Apr 27, 2011 Downgraded to Ca (sf) Cl. X-2, Downgraded to Baa3 (sf); previously on Oct 27, 2017 Confirmed at Baa2 (sf) Cl. X-B, Downgraded to C (sf); previously on Oct 27, 2017 Confirmed at Caa3 (sf) RATINGS RATIONALE The rating upgrade is due to an increase in the credit enhancement available to the bond. The rating downgrades are due to the weak collateral performance of the underlying pools and the erosion of credit enhancement available to the bonds. The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectation on those pools. The principal methodology used in rating CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-26 Cl. III-M-2; CSFB Mortgage-Backed Pass-Through Certificates, Series 2002-5 Cl. IV-B-1; CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-1 Cl. D-B-2 and Cl. D-B-3; J.P. Morgan Mortgage Trust 2004-S2 Cl. 2-B-2, Cl. 4-A-5, Cl. 5-A-P, Cl. 4-A-1 and Cl. 4-A-3; Sequoia Mortgage Trust 2004-5 Cl. A-1, Cl. A-2, Cl. A-3, Cl. B-1 and Cl. B-2 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating J.P. Morgan Mortgage Trust 2004-S2 Cl. 4-A-2 and Sequoia Mortgage Trust 2004-5 Cl. X-2 and Cl. X-B 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 2018. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. 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 $86MM of Alt-A RMBS Issued 2004-2008 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two tranches and downgraded the ratings of 29 tranches from six transactions, backed by Alt-A RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Banc of America Alternative Loan Trust 2005-1 Cl. 2-A-1, Downgraded to B3 (sf); previously on Jul 2, 2015 Downgraded to B1 (sf) Issuer: Banc of America Funding 2006-7 Trust, Mortgage Pass-Through Certificates, Series 2006-7 Cl. 1-A-1, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa1 (sf) Cl. 1-A-2, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-3, Downgraded to Caa3 (sf); previously on Oct 27, 2017 Confirmed at Caa2 (sf) Cl. 1-A-4, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa1 (sf) Cl. 1-A-5, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-9, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-11, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 1-A-12, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Cl. 30-IO, Downgraded to Caa3 (sf); previously on Nov 29, 2017 Downgraded to Caa2 (sf) Cl. 30-PO, Downgraded to Caa3 (sf); previously on Nov 5, 2010 Downgraded to Caa2 (sf) Issuer: Bear Stearns ALT-A Trust 2005-2 Cl. I-A-1, Upgraded to Aaa (sf); previously on Apr 13, 2017 Upgraded to Aa1 (sf) Cl. II-A-6, Downgraded to Caa2 (sf); previously on Jul 2, 2010 Downgraded to Caa1 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-30CB Cl. 2-A-1, Downgraded to Caa3 (sf); previously on Oct 7, 2016 Confirmed at Caa2 (sf) Cl. 2-A-2, Downgraded to Caa3 (sf); previously on Oct 7, 2016 Confirmed at Caa2 (sf) Cl. 2-A-3, Downgraded to Caa3 (sf); previously on Oct 7, 2016 Confirmed at Caa2 (sf) Cl. 2-A-4, Downgraded to Caa3 (sf); previously on Oct 7, 2016 Confirmed at Caa2 (sf) Cl. PO, Downgraded to Caa3 (sf); previously on Oct 7, 2016 Confirmed at Caa1 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J6 Cl. 1-A-1, Upgraded to Ba1 (sf); previously on Oct 7, 2016 Confirmed at Ba3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-3CB Cl. 1-A-1, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-2, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-3, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-4, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-5, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-6, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-9, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-10, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-11, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) Cl. 1-A-12, Downgraded to Caa2 (sf); previously on Nov 29, 2017 Confirmed at Caa1 (sf) Cl. 2-A-1, Downgraded to Caa1 (sf); previously on Oct 5, 2016 Confirmed at B3 (sf) Cl. PO, Downgraded to Caa2 (sf); previously on Oct 5, 2016 Confirmed at Caa1 (sf) RATINGS RATIONALE The ratings upgrade are due to an increase in the credit enhancement available to the bonds. The ratings downgrade are due to the weak collateral performance of the underlying pools and the erosion of credit enhancement available to the bonds. The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on those pools The principal methodology used in rating CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-30CB Cl. PO, Cl. 2-A-1, Cl. 2-A-3, and Cl. 2-A-4; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-J6 Cl. 1-A-1; Banc of America Funding 2006-7 Trust, Mortgage Pass-Through Certificates, Series 2006-7 Cl. 30-PO, Cl. 1-A-1, Cl. 1-A-2, Cl. 1-A-4, Cl. 1-A-5, Cl. 1-A-9, Cl. 1-A-11, and Cl. 1-A-12; Bear Stearns ALT-A Trust 2005-2 Cl. I-A-1 and Cl. II-A-6; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-3CB Cl. 1-A-1, Cl. 1-A-2, Cl. 1-A-3, Cl. 1-A-4, Cl. 1-A-5, Cl. 1-A-9, Cl. 1-A-10, Cl. 1-A-11, Cl. PO, and Cl. 2-A-1; and Banc of America Alternative Loan Trust 2005-1 Cl. 2-A-1 was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating CWALT, Inc. Mortgage Pass-Through Certificates, Series 2004-30CB Cl. 2-A-2; Banc of America Funding 2006-7 Trust, Mortgage Pass-Through Certificates, Series 2006-7 Cl. 30-IO and Cl. 1-A-3; and CWALT, Inc. Mortgage Pass-Through Certificates, Series 2005-3CB Cl. 1-A-6 and Cl. 1-A-12 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% 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. [*] S&P Raises Ratings on 42 Classes Fom 23 U.S. RMBS Deals ----------------------------------------------------------- S&P Global Ratings completed its review of 84 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1998 and 2006. All of these transactions are backed by subprime and re-performing collateral. The review yielded 42 upgrades and 42 affirmations. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its 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; -- Erosion of or increases in credit support; -- Historical missed interest payments; -- Priority of principal payments; -- Expected duration; and -- Available subordination and/or overcollateralization. Rating Actions The ratings affirmations reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with its prior projections. A list of Affected Ratings can be viewed at: https://bit.ly/2JOywbF [*] S&P Takes Various Actions on 48 Classes From 18 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 48 classes from 18 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2008. All of these transactions are backed by subprime and alternative-A collateral. The review yielded 18 upgrades, two downgrades, 27 affirmations, and one withdrawal. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical interest shortfalls or missed interest payments; -- Small loan count; and -- Available subordination and/or overcollateralization. Rating Actions The affirmations of ratings reflect S&P's opinion that its projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. The upgrades on the majority of the classes that had ratings raised by three or more notches reflect an increase in credit support. These classes have benefitted from the failure of performance triggers and/or reduced subordinate principal distribution amounts, which has built their credit support. S&P believes that the increase in credit support for the affected classes will be sufficient to withstand a higher level of projected losses than previously anticipated. JPMorgan Alternative Loan Trust 2007-S1 received funds related to a July 2014 settlement regarding the alleged breach of certain representations and warranties in 330 JPMorgan Chase & Co. legacy RMBS trusts' governing agreements. Settlement proceeds for this transaction were distributed during the May 2018 remittance period. The trustee applied the settlement funds as subsequent recoveries and unscheduled principal payments. As a result, S&P raised its ratings on classes A1 and A2 from this transaction because their credit support sufficiently increased to cover its projected losses at higher rating levels. A list of Affected Ratings can be viewed at: https://bit.ly/2JOywbF [*] S&P Takes Various Actions on 59 Classes From US RMBS Deals -------------------------------------------------------------- S&P Global Ratings completed its review of 59 classes from 15 U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2004 and 2010. All of these transactions are backed by prime jumbo, Alternative-A, outside the guidelines, and option adjustable-rate mortgage collateral. The review yielded 15 upgrades, seven downgrades, and 37 affirmations. Analytical Considerations S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its 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: -- Underlying collateral performance/delinquency trends; -- Expected short duration; -- Priority of principal payments; -- Loan modification criteria; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The ratings affirmations reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We lowered our ratings on classes II-A2 and II-A3 from Jefferies Resecuritization Trust 2008-R3. These downgrades reflect the application of our loan modification criteria, which resulted in a maximum potential rating (MPR) lower than the previous rating on these classes. Based on our loan modification criteria, we apply an MPR cap to those classes of securities that are affected by reduced interest payments over time due to loan modifications and/or other credit-related events. Additionally, these classes have not received principal payments; as such, the 100% class factor on classes II-A2 and II-A3 further contributed to these classes' projected interest losses." A list of Affected Ratings can be viewed at: https://bit.ly/2A1IuGS ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. 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Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. 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