/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/181021.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, October 21, 2018, Vol. 22, No. 293 Headlines AMERICAN TIRE: Bank Debt Trades at 10% Off AMUR EQUIPMENT 2018-2: DBRS Gives Prov. B Rating on Class F Notes BANK OF AMERICA 2001-3: Fitch Affirms B Rating on Class M Certs BEAR STEARNS 2005-TOP18: Moody's Cuts Class X Debt Rating to Csf BENCHMARK 2018-B6: DBRS Finalizes B Rating on Class J-RR Certs BLUEMOUNTAIN CLO 2018-3: S&P Assigns B- Rating on $10MM Cl. F Notes CANYON CLO 2016-2: Moody's Assigns Ba3 Rating on Class E-R Notes CITI HELD 2016-PM1: Fitch Hikes Class C Debt Rating to BB-sf CITIGROUP 2014-GC19: Fitch Affirms B Rating on Class F Certs CITIGROUP 2016-C3: DBRS Confirms B(high) Rating on Class F Certs CITIGROUP MORTGAGE 2015-A: Moody's Hikes B-4 Debt Rating to Ba3 CPS AUTO 2018-D: S&P Assigns BB- Rating on Class E Notes CRESTLINE DENALI XVII: Moody's Rates $17MM Class E Notes 'Ba3' DBGS 2018-C1: DBRS Assigns Prov. B Rating on Class G-RR Certs DBUBS MORTGAGE 2011-LC3: Moody's Affirms B2 Rating on Class F Debt DT AUTO 2018-3: S&P Assigns BB Rating on $57.40MM Class D Notes ELEVATION CLO 2016-5: Moody's Rates $19.6MM Cl. E-R Notes 'Ba3' ETRADE RV 2004-1: Moody's Hikes Class D Debt Rating to Caa1 EXETER AUTOMOBILE 2018-4: S&P Assigns (P)BB Rating on E Notes FOURSIGHT CAPITAL 2018-1: Moody's Affirms B2 Rating on Cl. F Notes FREMF MORTGAGE 2011-K12: Moody's Affirms Ba2 Rating on X-2 Debt GALTON FUNDING 2018-2: S&P Gives Prelim. B-(sf) Rating on B5 Certs GOLUB CAPITAL 39(B): S&P Assigns BB- Rating on Class E Notes GREYWOLF CLO III: S&P Assigns Prelim. B-(sf) Rating on Cl. E Notes GS MORTGAGE 2006-GC8: Moody's Affirms C Rating on 5 Tranches GS MORTGAGE 2013-GCJ16: DBRS Confirms B Rating on Class X-C Certs HALCYON LOAN 2012-1: S&P Lowers Class D Notes Rating to 'B' HPS LOAN 13-2018: S&P Assigns B-(sf) Rating on $9.18MM Cl. F Notes HPS LOAN 5-2015: S&P Assigns B-(sf) Rating on Class F-RR Notes IMSCI 2016-7: Fitch Affirms B Rating on CAD4MM Class G Certs INSITE WIRELESS 2016-1: Fitch Affirms BB- Rating on Class C Notes JFIN CLO 2014-II: Moody's Affirms Ba3(sf) Rating on Class D Notes JP MORGAN 1999-C8: Moody's Affirms C Rating on Class X Certs JP MORGAN 2011-C4: S&P Affirms BB-(sf) Rating on Class G Certs JP MORGAN 2012-LC9: S&P Lowers Class G Certs Rating to 'B+(sf)' JP MORGAN 2014-C25: Fitch Affirms B-sf Rating on 2 Tranches JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on Class E Certs JPMBB COMM'L 2015-C32: DBRS Confirms B Rating on Class E Certs KAYNE CLO II: Moody's Assigns Ba3 Ratings on $24MM Class E Notes L STREET 2017-PM1: Fitch Rates 2 Tranches 'Bsf' LCM XXI: S&P Affirms BB- Rating on Class E-R Notes MELLO MORTGAGE 2018-MTG2: Moody's Gives (P)B1 Rating on B5 Debt MERRILL LYNCH 2004-BPC1: Fitch Hikes Class F Certs Rating to D ML-CFC COMMERCIAL 2006-4: Moody's Affirms C Rating on 2 Tranches ML-CFC COMMERCIAL 2007-5: Moody's Affirms C Rating on Class X Certs MORGAN STANLEY 2016-BNK2: Fitch Affirms B- Rating on Cl. EF Certs MORGAN STANLEY 2017-C34: Fitch Affirms B- Rating on Cl. X-F Certs MUSKOKA 2018-1: DBRS Finalizes BB Rating on Class D Notes NEUBERGER BERMAN XXII: S&P Assigns BB- Rating on E-R Notes NEUBERGER BERMAN XXIII: Moody's Rates $17MM Class E-R Notes Ba3(sf) NEW RESIDENTIAL 2018-4: Moody's Rates Class B-4 Notes 'Ba(sf)' NEW RESIDENTIAL 2018-NQM1: Fitch to Rate Cl. B-2 Notes Bsf NRMLT 2018-4: DBRS Finalizes B Rating on 10 Classes Notes OBX TRUST 2018-EXP2: Fitch to Rate Class B-5 Certs Bsf OCP CLO 2016-12: S&P Assigns BB Rating on Class D-R Notes PALMER SQUARE 2018-3: S&P Assigns B- Rating on $8MM Cl. E-R2 Notes PSMC TRUST 2018-4: Fitch Rates $791,000 Class B-5 Certs 'Bsf' RITE AID 1999-1: Moody's Lowers Rating on Class A-2 Certs to B3 RR 5 LTD: S&P Assigned BB- Rating on $18.50MM Class D Notes SIERRA TIMESHARE 2018-3: Fitch Assigns BB Rating on Cl. D Notes SIERRA TIMESHARE 2018-3: S&P Assigns BB Rating on $43MM Cl. D Notes SLM STUDENT 2003-12: Fitch Affirms BB Rating on Class B-1 Debt SYMPHONY CLO XIV: Moody's Lowers Rating on Class F Notes to Caa1 THL CREDIT 2014-3K: Moody's Rates $8MM Class F Notes B3(sf) THL CREDIT 2018-3: S&P Assigns Prelim BB- Rating on $18MM E Notes TIAA CHURCHILL I: S&P Assigns Prelim. B- Rating on F-R Notes TRALEE CLO V: S&P Assigns Prelim BB-(sf) Rating on Class E Notes UBS COMMERCIAL 201-C13: Fitch Assigns B- Rating on Cl. G-RR Certs VERUS SECURITIZATION 2018-3: S&P Gives (P)B+ Rating on M-5 Certs WACHOVIA BANK 2006-C25: Fitch Affirms B Rating on Class F Notes WELLS FARGO 2015-P2: Fitch Affirms BB Rating on Class E Certs WELLS FARGO 2018-1: DBRS Gives Prov. BB Rating on Class B-4 Certs ZAIS CLO 1: S&P Assigns B- Rating on $7.5MM Class E-R Notes [*] DBRS Reviews 36 Classes From 3 US RMBS Transactions [*] Moody's Hikes Ratings on 32 Tranches From 14 US RMBS Deal [*] Moody's Takes Action on $122MM Subprime RMBS Issued 2000-2004 [*] Moody's Takes Action on 25 Tranches From 12 US RMBS Deals [*] S&P Cuts Ratings on 37 Classes From 28 US RMBS Deals to D [*] S&P Takes Various Actions on 23 Classes From 8 US RMBS Deals ********* AMERICAN TIRE: Bank Debt Trades at 10% Off ------------------------------------------ Participations in a syndicated loan under which American Tire Distributors Inc. is a borrower traded in the secondary market at 90.31 cents-on-the-dollar during the week ended Friday, October 12, 2018, according to data compiled by LSTA/Thomson Reuters MTM Pricing. This represents an increase of 4.61 percentage points from the previous week. American Tire pays 425 basis points above LIBOR to borrow under the $72 million facility. The bank loan matures on October 1, 2021. Moody's withdrew the rating of the loan and Standard & Poor's gave a 'D' rating to the loan. The loan is one of the biggest gainers and losers among 247 widely quoted syndicated loans with five or more bids in secondary trading for the week ended Friday, October 12. AMUR EQUIPMENT 2018-2: DBRS Gives Prov. B Rating on Class F Notes ----------------------------------------------------------------- DBRS, Inc. discontinued-withdrew the existing provisional ratings on the following classes of equipment contract backed notes that were to be issued by Amur Equipment Finance Receivables VI LLC (the Issuer): -- $59,000,000 Series 2018-2, Class A-1 Notes at R-1 (high) (sf) -- $131,806,000 Series 2018-2, Class A-2 Notes at AAA (sf) -- $8,850,000 Series 2018-2, Class B Notes at AA (sf) -- $7,198,000 Series 2018-2, Class C Notes at A (sf) -- $9,558,000 Series 2018-2, Class D Notes at BBB (sf) -- $5,546,000 Series 2018-2, Class E Notes at BB (sf) -- $4,602,000 Series 2018-2, Class F Notes at B (sf) DBRS simultaneously assigned new provisional ratings to the following classes of equipment contract-backed notes to be issued by the Issuer: -- $64,000,000 Series 2018-2, Class A-1 Notes at R-1 (high) (sf) -- $147,341,000 Series 2018-2, Class A-2 Notes at AAA (sf) -- $9,803,000 Series 2018-2, Class B Notes at AA (sf) -- $7,973,000 Series 2018-2, Class C Notes at A (sf) -- $10,586,000 Series 2018-2, Class D Notes at BBB (sf) -- $6,143,000 Series 2018-2, Class E Notes at BB (sf) -- $5,098,000 Series 2018-2, Class F Notes at B (sf) The assignment of new provisional ratings is consistent with the cash flow assumptions for the respective rating categories. The new provisional ratings correspond to a larger structure that is based on a collateral pool that had been reviewed by DBRS. The provisional ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and sufficiency of available credit enhancement, which includes overcollateralization (OC), subordination and amounts held in the reserve account, to support the DBRS-projected cumulative net loss assumption under various stressed cash flow scenarios. -- The proposed concentration limits mitigating the risk of material migration in the collateral pool's composition during the approximately three-month prefunding period. -- The capabilities of Amur Equipment Finance, Inc. (AEF) with regard to originations, underwriting and servicing. DBRS has performed an operational review of AEF and considers the entity to be an acceptable originator and servicer of equipment-backed lease and loan contracts. In addition, Wells Fargo Bank, National Association (rated AA with a Stable trend by DBRS), an experienced servicer of equipment lease-backed securitizations, will be the back-up servicer for the transaction. -- The collateral pool primarily consists of essential-use equipment, with approximately 94.9% of the contracts supported by personal guarantees with a weighted-average non-zero guarantor FICO score of approximately 704. -- The legal structure and presence of legal opinions that will address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with AEF, that the trustee has a valid first-priority security interest in the assets and the consistency with the DBRS "Legal Criteria for U.S. Structured Finance." AEF (formerly known as Axis Capital, Inc.) is a privately owned commercial finance company providing equipment financing solutions to a broad range of small- to medium-sized businesses across all 50 states of the United States. The rating on the Class A-1 Notes reflects 76.76% of initial hard credit enhancement (as a percentage of collateral balance) provided by the subordinated notes in the pool (71.52%), the Reserve Account (1.25%) and OC (4.00%). The rating on the Class A-2 Notes reflects 20.40% of initial hard credit enhancement provided by the subordinated notes in the pool (15.15%), the Reserve Account (1.25%) and OC (4.00%). The ratings on the Class B, Class C, Class D, Class E and Class F Notes reflect 16.65%, 13.60%, 9.55%, 7.20% and 5.25% of initial hard credit enhancement, respectively. BANK OF AMERICA 2001-3: Fitch Affirms B Rating on Class M Certs --------------------------------------------------------------- Fitch Ratings has affirmed four classes of Bank of America, N.A. - First Union National Bank Commercial Mortgage Trust's commercial mortgage pass-through certificates series 2001-3. KEY RATING DRIVERS Stable Loss Expectations: Performance and expected losses on the two remaining loans remain stable from previous Fitch rating actions. Both loans, previously modified and extended, are collateralized by retail properties and continue to perform. High Credit Enhancement; Concentrated Pool: Although class M has high credit enhancement, the ratings are limited by concentration with only two loans remaining. Class M continues to be the most senior class and receives principal paydown each month. Since issuance, the transaction has been reduced by 99% to $11.6 million from $1.3 billion. Fitch reviewed the credit characteristics of the two remaining loans and continued to cap the rating of class M at 'Bsf'. While the loans continue to perform, given the upcoming maturity of the smaller of the two loans and overall property quality, higher ratings were not considered. The largest loan in the pool (69.2% of the pool) is secured by a 98,344-square foot (sf) retail property located in Las Vegas, NV. The property is roughly 2 miles from the Las Vegas Strip and is shadow-anchored by Smith's, a grocery store chain with 132 locations. The loan transferred to the special servicer in August 2011 due to a balloon payment default. However, after receiving a maturity date extension through November 2022, the loan was returned to the master servicer in August 2013 and has remained current. National tenants at the center include Chase Bank (ground lease), Jack in the Box, and Supercuts, but the majority of the tenants are local. Reported occupancy and DSCR as of year-end 2017 was 83% and 1.75x, respectively. The smaller of the two loans (31%) is secured by an 89,589-sf retail property located in Menasha, WI, which is approximately 35 miles southwest of Green Bay. This loan also received a maturity date extension after transferring to the special servicer in February 2011 for maturity default. As a result of the loan modification, the maturity date was extended to December 2018 and the loan was returned to the master servicer in January 2014. Xperience Fitness (42% of net rentable area, lease expiring 2022) occupies the anchor space, which was formerly leased to a grocery store. The property is shadow-anchored by ShopKo. Reported occupancy as of year-end 2017 was 58%; however, two tenants totaling 9% of the NRA had leases that expired in June and July 2018. While both stores appear to remain in their spaces, according to the servicer, the borrower has not responded to requests regarding the leasing or the upcoming maturity of the loan in December 2018. The reported year-end 2017 DSCR was 1.48x. RATING SENSITIVITIES Future rating changes to class M are unlikely given the concentrated pool. If the smaller of the two remaining loans refinances at maturity, the class may pay in full. If the loan defaults, losses are not expected to impact this class and downgrades are unlikely. Upgrades are not expected given the 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 affirms the following classes: -- $3.4 million class M at 'Bsf'; Outlook Stable; -- $8.5 million class N at 'Dsf'; RE 50%; -- $0 class O at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A-1, A-2, A-2F, B, C, D, E, F, G, H, J, K, L and XP certificates have paid in full. Fitch does not rate the class Q certificates or the subordinate component class V-1, V-2, V-3, V-4 and V-5 certificates. Fitch previously withdrew the rating on the interest-only class XC certificates. BEAR STEARNS 2005-TOP18: Moody's Cuts Class X Debt Rating to Csf ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes, affirmed the ratings on two classes and downgraded the rating on one class in Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Commercial Mortgage Pass-Through Certificates, Series 2005-TOP18 as follows: Cl. F, Upgraded to Aa3 (sf); previously on Jan 19, 2018 Affirmed A2 (sf) Cl. G, Upgraded to Ba1 (sf); previously on Jan 19, 2018 Affirmed B1 (sf) Cl. H, Affirmed Caa3 (sf); previously on Jan 19, 2018 Affirmed Caa3 (sf) Cl. J, Affirmed C (sf); previously on Jan 19, 2018 Affirmed C (sf) Cl. X, Downgraded to C (sf); previously on Jan 19, 2018 Affirmed Ca (sf) RATINGS RATIONALE The ratings on the principal and interest (P&I) classes, Cl. F and Cl. G were upgraded primarily due to an increase in credit support resulting from loan paydowns and amortization. The deal has paid down 28% since Moody's last review. The ratings on the P&I classes, Cl. H and Cl. J were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the interest only (IO) class, Cl. X was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. Moody's rating action reflects a base expected loss of 1.3% of the current pooled balance, compared to 1.1% at Moody's last review. Moody's base expected loss plus realized losses is now 2.2% of the original pooled balance, the same as at Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Cl. F, Cl. G, Cl. H, and Cl. J were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017. The methodologies used in rating Bear Stearns Commercial Mortgage Securities Trust 2005-TOP18, Cl. X were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the September 13, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $27.5 million from $1.12 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 29% of the pool, with the top ten loans (excluding defeasance) constituting 93% of the pool. One loan, constituting 5% 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 6, compared to 7 at Moody's last review. Two loans, constituting 4% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Sixteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $24.7 million (for an average loss severity of 12%). No loans are currently in special servicing. Moody's received full year 2017 operating results for 100% of the pool, and full or partial year 2018 operating results for 58% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 53%, compared to 67% 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 27% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.64X and 2.75X, respectively, compared to 1.56X and 2.16X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 55% of the pool balance. The largest loan is the Finisar Portfolio Loan ($8.1 million -- 29.4% of the pool), which is secured by two properties, an office building in Sunnyvale, California and an industrial building in Allen, Texas. The properties are 100% leased to the Finisar Corporation through February 2020. Due to the single tenant risk, Moody's valuation reflects a "lit/dark" analysis. The loan has amortized 52% since securitization and matures in March 2020. Moody's LTV and stressed DSCR are 30% and 3.44X, respectively, compared to 32% and 3.19X at the last review. The second largest loan is the Sheridan Shoppes Loan ($4.1 million -- 14.8% of the pool), which is secured by a 25,000 square feet (SF) unanchored retail property in Davie, Florida. The strip center is shadow anchored by Publix Super Market. The property has been 100% leased since 2014. The loan has amortized 23% since securitization and matures in April 2020. Moody's LTV and stressed DSCR are 81% and 1.24X, respectively, compared to 82% and 1.22X at the last review. The third largest loan is the Walgreens Greenville Loan ($3.0 million -- 10.9% of the pool), which is secured by a 14,560 SF single-tenant retail property in Greenville, North Carolina. The property is 100% leased to Walgreens through January 2030. The loan has an anticipated repayment date(ARD) in February 2020 and a final maturity date in Febraury 2035. Due to the single tenant risk, Moody's valuation reflects a "lit/dark" analysis. Moody's LTV and stressed DSCR are 119% and 0.84X, respectively, compared to 116% and 0.86X at the last review. BENCHMARK 2018-B6: DBRS Finalizes B Rating on Class J-RR Certs -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-B6 issued by Benchmark 2018-B6: -- 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-AB at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class X-D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at BB (sf) -- Class J-RR at B (sf) All trends are Stable. DBRS has withdrawn its provisional rating on the following class: -- Class X-B at A (high) (sf) Classes X-D, D, E-RR, F-RR, G-RR, NR-RR, VRR, S and R have been privately placed. The Class X-A and X-D balances are notional. The collateral consists of 55 fixed-rate loans, secured by 248 commercial and multifamily properties. The transaction is of a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. Trust assets contributed from six loans, representing 32.4% 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 32.4% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow and their respective actual constants, five loans, representing 4.1% of the total pool, had a DBRS Term Debt Service Coverage Ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance risk given the current low-interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 28 loans, representing 59.5% of the pool, having whole-loan refinance DSCRs below 1.00x and 19 loans, representing 44.1% of the pool, having whole-loan refinance DSCRs below 0.90x. Aventura Mall, Workspace and TriBeCa House Conduit, which represent 15.7% of the transaction balance and are three of the pool's loans with a DBRS Refinance (Refi) DSCR below 0.90x, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Six loans — Aventura Mall, Moffett Towers II, West Coast Albertsons Portfolio, 636 11th Avenue, Workspace and TriBeCa House Conduit — representing a combined 30.1% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Aventura Mall exhibits credit characteristics consistent with a BBB (high) shadow rating, Moffett Towers II exhibits credit characteristics consistent with a BBB shadow rating, West Coast Albertsons Portfolio exhibits credit characteristics consistent with an A (high) shadow rating, 636 11th Avenue exhibits credit characteristics consistent with a BBB (low) shadow rating, Workspace exhibits credit characteristics consistent with an AA (low) shadow rating and TriBeCa House Conduit exhibits credit characteristics consistent with a BBB (high) shadow rating. Nine loans, representing 26.4% of the pool, are located in urban and super-dense urban gateway markets with increased liquidity that benefit from consistent investor demand, even in times of stress. Urban markets represented in the deal include Chicago, San Francisco and New York. Furthermore, there is limited rural and tertiary concentration at only eight loans, representing 6.7% of the pool. Nine loans, representing 24.7% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes four of the largest 15 loans: Moffett Towers II, West Coast Albertsons Portfolio, 636 11th Avenue and 1800 Vine Street. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. The deal is concentrated by property type with 20 loans, representing 48.4% of the pool, secured by office properties. Of the office property concentration, 30.5% of the loans are located in urban and super-dense urban markets, and no loan secured by an office property is located in a tertiary or rural market. Two of these loans — Moffett Towers II and Workspace — representing 20.9% of the office concentration and 10.1% of the total pool balance, are shadow-rated investment grade by DBRS. The transaction's weighted-average (WA) DBRS Refi DSCR is 0.90x, indicating higher refinance risk on an overall pool level. In addition, 28 loans, representing 59.5% of the pool, have DBRS Refi DSCRs below 1.00x, including seven of the top ten loans and ten of the top 15 loans. Nineteen of these loans, comprising 44.1% of the pool, have DBRS Refi DSCRs less than 0.90x, including five of the top ten loans and eight of the top 15 loans. These credit metrics are based on whole-loan balances. When measured against A-note balances only, the pool WA DBRS Refi DSCR rises significantly to 0.99x. Three of the pool's loans with a DBRS Refi DSCR below 0.90x — Aventura Mall, Workspace and TriBeCa House Conduit — which represent 15.7% of the transaction balance, are shadow-rated investment grade by DBRS and have large pieces of subordinate mortgage debt outside the trust. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.76%, which implies an interest rate of 9.12%, amortizing on a 30-year schedule. This represents a significant stress of 4.48% over the WA contractual interest rate of the loans in the pool. Classes X-A, X-B and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. The provisional press release originally published on September 17, 2018, has been updated to reflect that at the time of assigning the provisional ratings, Class J-RR materially deviated from the rating implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology; in this case, the assigned rating reflects uncertain expected cash flow dispersion post-issuance. As of September 27, 2018, DBRS closed the request for comment period on its "North American CMBS Multi-borrower Rating Methodology," wherein the DBRS Multi-borrower Parameters were recategorized as an Analytical Tool. As a result, deviations, if any, from the Analytical Tool would not be subject to disclosure. As such, this final rating on Class J-RR is not considered a material deviation. BLUEMOUNTAIN CLO 2018-3: S&P Assigns B- Rating on $10MM Cl. F Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to BlueMountain CLO 2018-3 Ltd./BlueMountain CLO 2018-3 Ltd.'s floating-rate notes. This is a reissue of BlueMountain CLO 2014-3 Ltd., which was refinanced in April 2017, with the assets being transferred in the form of participations. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by broadly syndicated senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED BlueMountain CLO 2018-3 Ltd./BlueMountain CLO 2018-3 LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A-1 AAA (sf) 363.00 A-2 NR 24.00 B AA (sf) 69.00 C (deferrable) A (sf) 36.00 D (deferrable) BBB- (sf) 36.00 E (deferrable) BB- (sf) 21.00 F (deferrable) B- (sf) 10.00 Subordinated notes NR 51.20 NR--Not rated. CANYON CLO 2016-2: Moody's Assigns Ba3 Rating on Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Canyon CLO 2016-2, Ltd.: Moody's rating action is as follows: US$2,500,000 Class X-R Senior Secured Floating Rate Notes due 2031 (the "Class X-R Notes"), Assigned Aaa (sf) US$288,000,000 Class A-R Senior Secured Floating Rate Notes due 2031 (the "Class A-R Notes"), Assigned Aaa (sf) US$52,000,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned Aa2 (sf) US$21,650,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf) US$29,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf) US$23,350,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Canyon CLO Advisors LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 October 15, 2018 in connection with the refinancing of five classes of the secured notes previously issued on September 15, 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: $450,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2827 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 6.00% 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. CITI HELD 2016-PM1: Fitch Hikes Class C Debt Rating to BB-sf ------------------------------------------------------------ Fitch Ratings has upgraded the ratings for Citi Held for Asset Issuance 2016-PM3 and 2016-PM1 (CHAI 2015-PM3 and CHAI 2016-PM1), which are backed by marketplace loans originated via the Prosper Platform as follows: CHAI 2015-PM3 -- Class C to 'BBB-sf' from 'BB-sf'; Outlook Stable. CHAI 2016-PM1 -- Class C to 'BB-sf' from 'Bsf'; Outlook Stable. The upgrades reflect growth in hard credit enhancement (CE) available to the notes and stabilization of asset performance. Fitch maintained its lifetime gross default expectation of 13.7% and 15.0% for CHAI 2015-PM3 and CHAI 2016-PM1, respectively. Both transactions pass Fitch's cash flow modeling scenarios under the commensurate rating stresses. KEY RATING DRIVERS Collateral Quality: CHAI 2015-PM3 and 2016-PM1 currently have weighted average (WA) original FICO scores of 706, including 24.36% and 25.53% of non-prime borrowers with original FICO scores below 680, respectively, which is improved since closing. Asset Performance: Fitch's gross default assumptions for life of the collateral are 13.7% and 15.0% for CHAI 2015-PM3 and 2016-PM1, respectively, which translates to 12.0% and 13.8% of the current pools. These expectations are unchanged since the prior review. Fitch assumes a base case recovery rate of 7%. At the 'Asf' level, a default multiple of 3.0x and a recovery haircut of 30% are applied. Increasing Credit Enhancement: Hard CE for CHAI 2015-PM3 has grown since close to 22.7% from 12.0% for the class C notes. Likewise, hard CE for CHAI 2016-PM1 has grown since close to 20.3% from 12.0% for the class C notes. Overcollateralization (OC) for CHAI 2015-PM3 is at its floor level of 2% of the initial balance, which will grow as a percentage of the current balance (currently 18.54%) as the pool amortizes. OC for CHAI 2016-PM1 is equal to the release level of 16.5%, and will not grow until it hits its floor of 2% of the initial balance, which occurs at a 12.1% pool factor. Rating Cap at 'Asf': Fitch placed a rating cap on the notes at 'Asf' category, considering primarily the sector's untested performance throughout a full economic cycle. History for unsecured installment loans originated via online platforms such as Prosper only encompasses a benign macro environment. Further, underlying consumer loans are likely at or near the bottom of repayment priority for consumers, since repayment does not provide the consumer ongoing utility the way auto loans, credit cards and cellphone plans do. The cap does not currently constrain the ratings. Adequate Servicing Capabilities: Prosper will service the pool of loans and Citibank, N.A., the named backup, has committed to a transfer period of 30 business days. Fitch considers all parties to be adequate servicers for this pool based on prior experience and capabilities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults could produce loss levels higher than the base case and would likely result in declines of CE and remaining loss coverage levels available to the investments. Decreased CE may make certain ratings on the investments susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Rating sensitivities provide greater insight into the model-implied sensitivities the transaction faces when one or two risk factors are stressed while holding others equal. The modeling process first uses the estimation and stress of a base case loss assumption to reflect asset performance in a stressed environment. Second, structural protection was analyzed with Fitch's proprietary cash flow model. The results should only be considered as one potential outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. CHAI 2015-PM3 -- Default increase 10%: class C 'BB+sf'; -- Default increase 25%: class C 'BBsf'; -- Default increase 50%: class C 'BB-sf'; -- Recoveries decrease to 0%: class A 'Asf'; class B 'BBB-sf'. CHAI 2016-PM1 -- Defaults increase 10%: class C 'B+sf'; -- Default increase 25%: class C below 'CCCsf'; -- Default increase 50%: class C below 'CCCsf'; -- Recoveries decrease to 0%: class C 'B+sf'. To account for the short remaining life of the assets, Fitch modeled 18 month WAL default timing curves in three-month increments, which differs from the six-month increments described in the Global Consumer ABS Criteria. CITIGROUP 2014-GC19: Fitch Affirms B Rating on Class F Certs ------------------------------------------------------------ Fitch Ratings has upgraded five classes and affirmed eight classes of Citigroup Commercial Mortgage Trust 2014-GC19 pass-through certificates series 2014-GC19. KEY RATING DRIVERS Increased Credit Enhancement: The upgrade of classes B, C, PEZ, D and X-B are due to increased credit enhancement following a significant amount of paydown since the last rating action. The pool has experienced 21.7% collateral reduction since issuance. As of the September 2018 distribution, the pool's aggregate balance has been reduced to $795.2 million from $1.0 billion at issuance. This is largely attributable to two top-15 loans repaying since the last rating action. The largest loan and third-largest loan at issuance repaid in May 2018 and August 2018, respectively, ahead of their scheduled maturity dates. The repayment of these two loans contributed $163.0 million in unscheduled principal paydown. An additional four loans, representing 5.3% of the pool, are scheduled to mature in 2019, and these payoffs will further increase credit enhancement. Additional Stresses Applied: In its analysis of the pool, Fitch applied a more conservative cap rate, NOI haircut and refinance constant scenario than the default surveillance assumptions. Additionally, the minimum probability of loss for performing loans was increased to 5% from the default surveillance assumption of 2.5%. This set of conservative model stresses was applied to illustrate the durability of the pool's cash flow and to further justify the upgrades. Stable to Improving Performance: Fitch's loss expectations for the pool remain stable since the last rating action and since issuance. Overall performance is stable to improving. One loan, which was previously in special servicing, has been transferred back to the master servicer as a corrected loan. There are two Fitch Loans of Concern, both of which are outside the top 15 and indicate improving performance based on partial year 2018 financials. Nine loans representing 6.1% of the pool are fully defeased, up from five loans representing 2.8% of the pool at the last rating action. RATING SENSITIVITIES All Outlooks remain Stable given the pool's stable performance. Future upgrades are possible should loan performance continue to improve and additional deleveraging of the pool significantly increase credit enhancement. Downgrades, although considered unlikely, would be possible in the event of a material deterioration in the pool's performance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following ratings: -- $50.8 million class B to 'AAAsf' from 'AA-sf'; Outlook Stable; -- $50.8 million* class X-B to 'AAAsf' from 'AA-sf'; Outlook Stable; -- $50.8 million class C to 'Asf' from 'A-sf'; Outlook Stable; -- $0 class PEZ to 'Asf' from 'A-sf'; Outlook Stable; -- $54.6 million class D to 'BBBsf' from 'BBB-sf'; Outlook Stable. Fitch has affirmed the following ratings: -- $169.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $246.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $74.5 million class A-AB at 'AAAsf'; Outlook Stable; -- $556.4 million* class X-A at 'AAAsf'; Outlook Stable; -- $66.1 million class A-S at 'AAAsf'; Outlook Stable; -- $21.6 million class E at 'BBsf'; Outlook Stable; -- $11.4 million class F at 'Bsf'; Outlook Stable. * Notional amount and interest-only Fitch does not rate the class G or X-D certificates. CITIGROUP 2016-C3: DBRS Confirms B(high) Rating on Class F Certs ---------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Citigroup Commercial Mortgage Trust 2016-C3 issued by Citigroup Commercial Mortgage Securities Inc.: -- 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-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class X-E at BB (high) (sf) -- Class E at BB (sf) -- Class X-F at BB (low) (sf) -- Class F at B (high) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction since issuance. The collateral consists of 44 loans secured by 72 commercial and multifamily properties. As of the September 2018 remittance, the pool had an aggregate trust balance of approximately $746.8 million, representing a collateral reduction of 1.3% since issuance due to scheduled loan amortization. To date, 94.6% of the pool is reporting year-end 2017 financials. Based on the most recent year-end financials, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 2.06 times (x) and 9.8%, respectively, compared with the WA DBRS Term DSCR and WA DBRS Debt Yield figures of 1.89x and 8.9% at issuance, respectively. The transaction is concentrated by loan size, as the largest 15 loans represent 71.5% of the current pool balance. Additionally, nine of these loans, representing 46.8% of the current pool balance, are encumbered with pari passu debt. However, the pool has benefited from stable cash flow performance, as the top 15 loans reported a WA DSCR of 2.11x (based on the most recent year-end financials), compared with the WA DBRS Term DSCR of 2.02x at issuance, representing a WA net cash flow (NCF) growth of 6.3%. As of the September 2018 remittance, there are two loans, representing 1.8% of the current pool balance, on the servicer's watch list. The larger of the two loans, The Bristol Hotel (Prospectus ID#20, representing 1.6% of the current pool balance), was flagged for a low year-end 2017 DSCR. However, the collateral hotel recently underwent a $5.5 million renovation between January 2017 and July 2017, with blocks of rooms' offline during that period. Now that all rooms are available for booking and the hotel has been improved significantly, the sponsor expects cash flows to stabilize through the near to medium term. At issuance, DBRS shadow-rated two loans, Potomac Mills (Prospectus ID#6, representing 4.6% of the current pool balance) and Quantum Park (Prospectus ID#8, representing 4.0% of the current pool balance), investment grade. With this review, DBRS confirms that the performance of both loans remains consistent with the investment-grade shadow rating. Classes X-A, X-B, X-D, X-E and X-F are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. CITIGROUP MORTGAGE 2015-A: Moody's Hikes B-4 Debt Rating to Ba3 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 11 tranches from three transactions issued by Citigroup Mortgage Loan Trust in 2015. The transactions are backed by seasoned performing and re-performing mortgage loans. Complete rating actions are as follows: Issuer: Citigroup Mortgage Loan Trust 2015-A Cl. B-1, Upgraded to Aaa (sf); previously on Jan 30, 2018 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jan 30, 2018 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Jan 30, 2018 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Ba3 (sf); previously on Jan 30, 2018 Assigned B2 (sf) Issuer: Citigroup Mortgage Loan Trust 2015-PS1 Cl. B-1, Upgraded to Aaa (sf); previously on Jan 30, 2018 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded to A1 (sf) Cl. B-3, Upgraded to Baa3 (sf); previously on Jan 30, 2018 Upgraded to Ba2 (sf) Issuer: Citigroup Mortgage Loan Trust 2015-RP2 Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 30, 2018 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jan 30, 2018 Upgraded to Baa3 (sf) Cl. B-4, Upgraded to Ba2 (sf); previously on Jan 30, 2018 Assigned B2 (sf) RATINGS RATIONALE The rating upgrades are driven by the strong performance of the underlying loans in the pools and the increase in percentage credit enhancement to the bonds. The actions reflect Moody's updated loss expectations on the pools, which incorporate its assessment of the representations and warranties framework of the transactions, the due diligence findings of the third party reviews received at the time of issuance, and the strength of Fay Servicing LLC as the transactions' servicer. The loans underlying the pools have fewer delinquencies and have prepaid at a faster rate than originally anticipated, resulting in an improvement in its future losses projection on the pools. Moreover, cumulative losses realized on the pools to date have been small. Moody's bases its expected losses on a pool of re-performing mortgage loans on its estimates of 1) the default rate on the remaining balance of the loans and 2) the principal recovery rate on the defaulted balances. Its estimates of defaults are driven by annual delinquency assumptions adjusted for roll-rates, prepayments and default burnout factors. In estimating defaults on these pools, Moody's used initial expected annual delinquency rates of 4% to 9% and expected prepayment rates of 10% to 12% based on the collateral characteristics of the individual pools. The transactions follow a shifting interest structure whereby senior bonds receive 100% of the unscheduled principal payments for the initial five years and pro-rata share of scheduled principal payments, with subordinate bonds receiving an increasing share of unscheduled payments after year five. Moreover, the deals feature credit enhancement floors to protect against tail risk ("risk of large defaults when few loans remain in the pools"). The methodologies used in these ratings were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016 and "US RMBS Surveillance Methodology" published in January 2017. 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 3.7% in September 2018 from 4.2% in September 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. CPS AUTO 2018-D: S&P Assigns BB- Rating on Class E Notes -------------------------------------------------------- S&P Global Ratings assigned its ratings to CPS Auto Receivables Trust 2018-D's asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 56.96%, 48.59%, 39.79%, 30.80%, and 24.42% of credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.10x, 2.60x, 2.10x, 1.60x, and 1.23x our 17.75%-18.75% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. Additionally, credit enhancement including excess spread for classes A, B, C, D, and E covers breakeven cumulative gross losses of approximately 92%, 78%, 66%, 51%, and 40%, respectively. -- S&P said, "Our expectation that, under a moderate stress scenario of 1.60x our expected net loss level all else equal, the ratings on the class A through C notes would remain within one rating category while they are outstanding, and the rating on the class D notes would not decline by more than two rating categories within its life. The rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 25%-47% of its principal. These rating migrations are consistent with our credit stability criteria." The rated notes' underlying credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread for the class A through E notes. -- The timely interest and principal payments made to the rated notes under S&P's stressed cash flow modeling scenarios, which it believes are appropriate for the assigned ratings. -- The transaction's payment and credit enhancement structure, which includes a non-curable performance trigger. RATINGS ASSIGNED CPS Auto Receivables Trust 2018-D Class Rating Amount (mil. $) A AAA (sf) 112.333 B AA (sf) 35.525 C A (sf) 31.850 D BBB (sf) 27.807 E BB- (sf) 26.215 CRESTLINE DENALI XVII: Moody's Rates $17MM Class E Notes 'Ba3' -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to five classes of notes issued by Crestline Denali CLO XVII, Ltd. Moody's rating action is as follows: US$254,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$50,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$20,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$26,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$17,000,000 Class E Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Crestline Denali XVII is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans , cash, and eligible investments, and up to 7.5% of the portfolio may consist of first-lien last-out loans, second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Crestline Denali Capital, L.P. (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2782 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. DBGS 2018-C1: DBRS Assigns Prov. B Rating on Class G-RR Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C1 to be issued by DBGS 2018-C1 Mortgage Trust: -- 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-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-B at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-D at BBB (sf) -- Class F at BB (low) (sf) -- Class X-F at BB (sf) -- Class G-RR at B (sf) All trends are Stable. The Class X-A, X-B, X-D and X-F balances are notional. The collateral consists of 37 fixed-rate loans secured by 102 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 (POD) within the term and its liquidity at maturity. Trust assets contributed from three loans, representing 36.1% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective rating within the pool. When the combined 36.1% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and their respective actual constants, four loans, representing 10.6% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance (refi) risk given the current low-interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 19 loans, representing 58.3% of the pool, having refinance DSCRs below 1.00x and 12 loans, representing 37.7% of the pool, having refinance DSCRs below 0.90x. Nine loans, representing 38.2% of the DBRS sample, have favorable property quality. Four loans (Pier 70, TripAdvisor HQ, Moffett Towers II – Building 1 and GSK North American HQ), representing 17.8% of the sample in aggregate, received Above Average property quality and the remaining five loans, representing 20.3% of the sample in aggregate, received Average (+) property quality. Additionally, no loans received Below Average or Poor property quality grades. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in more stable performance. Nine loans (Moffett Towers – Buildings E, F, G, Christiana Mall, Aventura Mall, 90-100 John Street, Carolinas 7-Eleven Portfolio, The Gateway, 601 McCarthy, West Coast Albertsons Portfolio and Moffett Towers II – Building 1), representing a combined 36.1% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Moffett Towers – Buildings E, F, G exhibits credit characteristics consistent with a BBB (low) (sf) shadow rating, Christiana Mall exhibits credit characteristics consistent with an A (sf) shadow rating, Aventura Mall exhibits credit characteristics consistent with a BBB (high) (sf) shadow rating, 90-100 John Street exhibits credit characteristics consistent with an A (sf) shadow rating, Carolinas 7-Eleven Portfolio exhibits credit characteristics consistent with a BBB (high) (sf) shadow rating, The Gateway exhibits credit characteristics consistent with an A (sf) shadow rating, 601 McCarthy exhibits credit characteristics consistent with an A (low) (sf) shadow rating, West Coast Albertsons Portfolio exhibits credit characteristics consistent with an A (high) (sf) shadow rating and Moffett Towers II – Building 1 exhibits credit characteristics consistent with a BBB (sf) shadow rating. Seven loans, representing 28.0% of the pool, are located in super-dense urban and urban markets with increased liquidity that benefits from consistent investor demand, even in times of stress. Urban markets represented in the deal include San Francisco, New York and Los Angeles. Term default risk is moderate as indicated by the relatively strong DBRS Term DSCR of 1.76x. In addition, 17 loans, representing 55.6% of the pool, have a DBRS Term DSCR above 1.50x. Even when excluding the three investment-grade shadow-rated loans, the deal exhibits a favorable DBRS Term DSCR of 1.47x. None of the loans in the pool are secured by hotels. Hotels have the highest cash flow volatility of all major 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 as a result of high operating leverage. The pool is highly concentrated by property type as office concentration is 45.0%. While the transaction is concentrated by property type, 36.1% of the transaction balance and 28.2% of the office concentration are shadow-rated investment grade by DBRS. Additionally, 38.7% of the office concentration is located in urban markets with the remainder located in suburban markets. The pool is assessed with a concentration penalty, which is partly a result of property-type concentration that increases pool-wide POD. Seventeen loans, representing 60.6% of the pool, including 11 of the largest 15 loans, are structured with full-term interest-only (IO) payments. An additional 15 loans, comprising 28.5% of the pool, have partial-IO periods ranging from 12 months to 60 months. As a result, the transaction's scheduled amortization by maturity is only 4.7%, which is generally below other recent conduit securitizations. The DBRS Term DSCR is calculated using the amortizing debt service obligation and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines POD based on the lower of term or refinance DSCRs; therefore, loans that lack amortization are treated more punitively. Six of the full-term IO loans, representing 42.4% of the full-IO concentration in the transaction, are located in urban or super-dense urban markets. Additionally, eight of the full-IO loans (Moffett Towers – Buildings E, F, G, Christiana Mall, Aventura Mall, 90-100 John Street, Carolinas 7-Eleven Portfolio, The Gateway, 601 McCarthy and West Coast Albertsons Portfolio), representing 55.6% of the full-IO concentration, are shadow-rated investment grade by DBRS. Ten loans, representing 32.6% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes five of the largest 15 loans. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an EOD. DBRS applied a penalty for single-tenant properties that resulted in higher loan-level credit enhancement. Amazon.com, Inc. has fully executed leases for six office towers in the larger Moffett Place office campus, including the subject buildings (Moffett Towers – Buildings E, F, G and Moffett Towers II – Building 1), and views the entire campus as mission critical. The transaction's weighted-average (WA) DBRS Refi DSCR is 0.95x, indicating higher refinance risk on an overall pool level. In addition, 19 loans, representing 58.3% of the pool, have DBRS Refi DSCRs below 1.00x, including ten of the top 15 loans. Twelve of these loans, comprising 37.7% of the pool, have DBRS Refi DSCRs below 0.90x, including six of the top 15 loans. These credit metrics are based on whole-loan balances. Three of the pool's loans with a DBRS Refi DSCR below 0.90x (Christiana Mall, Aventura Mall and The Gateway), which represent 12.9% of the transaction balance, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal's WA DBRS Refi DSCR improves to 1.03x and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 46.0% and 24.8%, respectively. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.80%, which implies an interest rate of 9.17% amortizing on a 30-year schedule. This represents a significant stress of 4.51% over the WA contractual interest rate of the loans in the pool. Classes X-A, X-B, X-D, and X-F 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. Notes: All figures are in U.S. dollars unless otherwise noted. DBUBS MORTGAGE 2011-LC3: Moody's Affirms B2 Rating on Class F Debt ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on nine classes of DBUBS 2011-LC3 Mortgage Trust as follows: Cl. A-4, Affirmed Aaa (sf); previously on Oct 5, 2017 Affirmed Aaa (sf) Cl. A-M, Affirmed Aaa (sf); previously on Oct 5, 2017 Affirmed Aaa (sf) Cl. B, Affirmed Aaa (sf); previously on Oct 5, 2017 Affirmed Aaa (sf) Cl. C, Affirmed Aa3 (sf); previously on Oct 5, 2017 Affirmed Aa3 (sf) Cl. D, Affirmed Baa1 (sf); previously on Oct 5, 2017 Affirmed Baa1 (sf) Cl. E, Affirmed Ba1 (sf); previously on Oct 5, 2017 Affirmed Ba1 (sf) Cl. F, Affirmed B2 (sf); previously on Oct 5, 2017 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Oct 5, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Oct 5, 2017 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on seven P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two IO classes, Cl. X-A and Cl. X-B, were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 4.2% of the current pooled balance, compared to 2.1% at Moody's last review. Moody's base expected loss plus realized losses is now 1.6% of the original pooled balance, compared to 0.8% 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 DBUBS 2011-LC3 Mortgage Trust Cl. A-M, Cl. B, Cl. C, Cl. D, Cl. E, Cl. F, and Cl. A-4 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 DBUBS 2011-LC3 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" methodology published in June 2017. DEAL PERFORMANCE As of the September 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 62.9% to $519 million from $1.40 billion at securitization. The certificates are collateralized by 23 mortgage loans ranging in size from less than 1% to 19.9% of the pool, with the top ten loans (excluding defeasance) constituting 69.6% of the pool. Five loans, constituting 21.0% 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 seven, compared to nine at Moody's last review. Six loans, constituting 19.0% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans are currently in special servicing, however, Moody's has assumed a high default probability for two poorly performing loans, constituting 6.5% of the pool. Moody's received full year 2017 operating results for 100% of the pool, and partial year 2018 operating results for 81% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, 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 25% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.4%. Moody's actual and stressed conduit DSCRs are 1.35X and 1.07X, respectively, compared to 1.46X and 1.15X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans represent 45% of the pool balance. The largest loan is the Quadrus Office Park Loan ($103.2 million -- 19.9% of the pool), which is secured by nine Class A office properties located on Sand Hill Road in Menlo Park, California. As of June 2018 the properties were 92% leased, up from 89% as of December 2017. Moody's LTV and stressed DSCR are 90% and 1.05X, respectively, compared to 92% and 1.03X at the last review. The second largest loan is the Dover Mall and Commons Loan ($84.1 million -- 16.2% of the pool), which is secured by an approximately 554,000 square foot (SF) component of a 886,000 SF single-level enclosed super-regional mall located in Dover, Delaware. Mall anchors include Macy's, Boscov's (non-collateral), and JC Penney (non-collateral). Sears, a former anchor representing 20% of the NRA, closed its store at this location in August 2018. As of March 2018, the collateral was 95% leased, however, Sears represented 20% of the NRA. Moody's LTV and stressed DSCR are 121% and 0.90X, respectively, compared to 105% and 0.98X at the last review. The third largest loan is the Providence Place Mall ($45.8 million A note -- 8.8% of the pool), which is secured by a 980,000 SF portion of a 1.2 million SF regional mall in downtown Providence, Rhode Island. The property anchors include Macy's (non-collateral) and Nordstrom. This loan has non-pooled debt, some of which is held as rake bonds in this deal (not rated by Moody's). Of the rake bonds, one -- the A-2 note -- is pari-passu with the A note for Providence Place Mall. As of June 2017, the collateral was 88% leased, compared to 92% at the prior review. Nordstrom, the largest anchor tenant at the property, announced plans to close its location in January 2018. However, Boscov's department store plans to backfill the Nordstrom space. Moody's A note LTV and stressed DSCR are 42% and 2.34X, respectively, compared to 41% and 2.38X at the last review. The fourth largest loan is the Albany Mall ($26.0 million A note -- 5.0% of the pool), which is secured by a 447,900 SF component of a 756,300 SF regional mall in Albany, Georgia. Non-collateral anchor tenants at the property include Dillard's, J.C. Penney, and Belk. One former anchor, Sears, closed its store at this location in March 2017. As of June 2018, total mall occupancy was 84%, compared to 74% as of December 2017. Performance has deteriorated since securitization as revenue has declined by more than 10% from underwritten levels. Additionally, renewing tenants have generally signed leases at the similar or lower rents due to a lack of sales growth at the property. Due to the declines in financial performance, Moody's has identified this as a troubled loan. The property is located in an area affected by Hurricane Michael and Moody's will continue to monitor the loan as more information becomes available. DT AUTO 2018-3: S&P Assigns BB Rating on $57.40MM Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to DT Auto Owner Trust 2018-3's asset-backed notes series 2018-3. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 64.2%, 58.9%, 50.6%, 41.7% and 36.9% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide approximately 2.20x, 2.00x, 1.65x, 1.35x, and 1.20x coverage of our expected net loss range of 28.50%-29.50% for the class A, B, C, D, and E notes, respectively. Credit enhancement also covers cumulative gross losses of approximately 91.7%, 84.2%, 72.3%, 59.6%, and 52.7%, respectively, assuming a 30% recovery rate. -- The timely interest and principal payments by the legal final maturity dates made under stressed cash flow modeling scenarios that S&P deems appropriate for the assigned ratings. -- S&P said, "Our expectation that under a moderate ('BBB') stress scenario, the ratings on the class A, B, and C notes would likely not be lowered, and the class D notes would likely remain within one category of our 'BBB (sf)' rating, all else being equal. The rating on class E would remain within two rating categories of our 'BB (sf)' rating during the first year, though it would ultimately default in the moderate ('BBB') stress scenario with approximately 70% principal repayment. These potential rating movements are consistent with our credit stability criteria." -- The collateral characteristics of the subprime pool being securitized, including a high percentage (approximately 75%) of obligors with higher payment frequencies (more than once a month), which S&P expects will result in a somewhat faster paydown on the pool. -- The transaction's sequential-pay structure, which builds credit enhancement (on a percentage-of-receivables basis) as the pool amortizes. RATINGS ASSIGNED DT Auto Owner Trust 2018-3 Class Rating Amount (mil. $) A AAA (sf) 282.10 B AA (sf) 65.80 C A (sf) 76.30 D BBB (sf) 90.31 E BB (sf) 57.40 ELEVATION CLO 2016-5: Moody's Rates $19.6MM Cl. E-R Notes 'Ba3' --------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Elevation CLO 2016-5, Ltd. : Moody's rating action is as follows: US$4,100,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$224,000,000 Class A-R Senior Secured Floating Rate Notes due 2031 (the "Class A-R Notes"), Assigned Aaa (sf) US$40,600,000 Class B-R Senior Secured Floating Rate Notes due 2031 (the "Class B-R Notes"), Assigned Aa2 (sf) US$16,450,000 Class C-R Secured Deferrable Floating Rate Notes due 2031 (the "Class C-R Notes"), Assigned A2 (sf) U.S.$21,350,000 Class D-R Secured Deferrable Floating Rate Notes due 2031 (the "Class D-R Notes"), Assigned Baa3 (sf) US$19,600,000 Class E-R Secured Deferrable Floating Rate Notes due 2031 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. ArrowMark Colorado Holdings LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 October 15, 2018 in connection with the refinancing of all classes of the secured notes previously issued on June 28, 2016 . On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. The subordinated notes that were issued on the Original Closing Date are not being refinanced and such subordinated notes will remain outstanding on the Refinancing Date. 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: $350,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2765 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ETRADE RV 2004-1: Moody's Hikes Class D Debt Rating to Caa1 ----------------------------------------------------------- Moody's Investors Service upgraded two tranches issued from E*Trade RV and Marine Trust 2004-1, a transaction backed by recreational vehicle and marine installment sales contracts. The complete rating actions are as follows Issuer: E*Trade RV and Marine Trust 2004-1 Cl. C, Upgraded to Aa3 (sf); previously on Feb 15, 2018 Upgraded to Baa1 (sf) Cl. D, Upgraded to Caa1 (sf); previously on Feb 15, 2018 Upgraded to Caa2 (sf) RATINGS RATIONALE The upgrades resulted from the build-up of credit enhancement due to subordination and stable performance of the underlying collateral over the past several years. While the build-up of credit enhancement due to the sequential pay deal structure as well as stable performance supports rating upgrades for the most senior tranches, cumulative losses on the underlying collateral have depleted the reserve account and eroded the credit enhancement available to the securities. The transaction is currently under-collateralized by approximately $3.7 million or 83% of the unrated Class E principal balance, which is currently protecting the remaining tranches from the adverse effects of under-collateralization. The Caa1 (sf) rating of the Class D notes reflects the recovery rate that Moody's expects for the tranche. Unlike other vehicle-backed ABS, the impact of the weakened economy on RV transactions was more severe and long lasting due to the non-essential nature of the underlying collateral and the longer financing terms, which on average range between 170 and 185 months at closing. As a result, the transaction has experienced an economic downturn during its life. Here are key performance metrics (as of the September 2018 distribution date). Performance metrics include pool factor, which is the ratio of the current collateral balance to the original collateral balance at closing; total credit enhancement, which typically consists of subordination, overcollateralization, reserve fund; and excess spread. Issuer: E*Trade RV and Marine Trust 2004-1 Pool factor -- 3.87% Total credit enhancement (excluding excess spread): Class C -- 65.66%, Class D—6.56%. Class E Balance - $4,540,760 Overcollateralization - $(3,757,122) Excess spread per annum -- Approximately 1.6% PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are greater than necessary to protect investors against current expectations of loss could lead to an upgrade of the rating. Moody's current expectations of loss may be better than its original expectations because of lower frequency of default by the underlying obligors or appreciation in the value of the recreational vehicles and boats that secure the obligor's promise of payment. The US job market and the market for used recreational vehicles and boats are primary drivers of performance. Other reasons for better performance than Moody's expected include changes in servicing practices to maximize collections on the loans or refinancing opportunities that result in a prepayment of the loan. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could lead to a downgrade of the ratings. Moody's current expectations of loss may be worse than its original expectations because of higher frequency of default by the underlying obligors of the loans or a deterioration in the value of the recreational vehicles and boats that secure the obligor's promise of payment. The US job market and the market for used recreational vehicles and boats are primary drivers of performance. Other reasons for worse performance than Moody's expected include poor servicing, error on the part of transaction parties, lack of transactional governance and fraud. EXETER AUTOMOBILE 2018-4: S&P Assigns (P)BB Rating on E Notes ------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Exeter Automobile Receivables Trust 2018-4's automobile receivables-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Oct. 18, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 60.3%, 53.4%, 44.4%, 34.3%, and 30.1% credit support for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios (including excess spread). This credit support provides coverage of approximately 2.85x, 2.50x, 2.05x, 1.55x, and 1.27x S&P's 20.50%-21.50% expected cumulative net loss range. These break-even scenarios withstand cumulative gross losses of approximately 92.8%, 82.2%, 71.0%, 54.9%, and 48.2%, respectively. -- The timely interest and principal payments that S&P believes will be made to the preliminary rated notes under stressed cash flow modeling scenarios, which, in its view, are appropriate for the assigned preliminary ratings. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario (1.55x our expected loss level), all else being equal, our ratings on the class A will remain at the assigned preliminary 'AAA (sf)' rating; the class B and C notes will remain within one rating category of the assigned preliminary 'AA (sf)' and 'A (sf)' ratings, respectively, for the deal's life; and the class D notes to remain within two rating categories of the assigned preliminary 'BBB (sf)' rating over the deal's life. We expect the class E notes to remain within two rating categories of the assigned preliminary 'BB (sf)' rating over the first year, but we expect them to eventually default under this stress scenario." These rating movements are within the limits specified by our credit stability criteria. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED Exeter Automobile Receivables Trust 2018-4 Class Rating Amount (mil. $) A AAA (sf) 254.09 B AA (sf) 76.95 C A (sf) 82.76 D BBB (sf) 92.93 E BB (sf) 43.27 FOURSIGHT CAPITAL 2018-1: Moody's Affirms B2 Rating on Cl. F Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the rating of one class of notes and has affirmed the rating of six classes of notes issued by Foursight Capital Automobile Receivables Trust 2018-1. The notes are backed by a pool of retail automobile loan contracts originated by Foursight Capital LLC, who is also the servicer for the transaction. The complete rating actions are as follows: Issuer: Foursight Capital Automobile Receivables Trust 2018-1 Class A-2 Notes, Affirmed Aaa (sf); previously on Mar 21, 2018 Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Affirmed Aaa (sf); previously on Mar 21, 2018 Definitive Rating Assigned Aaa (sf) Class B Notes, Upgraded to Aa1 (sf); previously on Mar 21, 2018 Definitive Rating Assigned Aa2 (sf) Class C Notes, Affirmed A2 (sf); previously on Mar 21, 2018 Definitive Rating Assigned A2 (sf) Class D Notes, Affirmed Baa2 (sf); previously on Mar 21, 2018 Definitive Rating Assigned Baa2 (sf) Class E Notes, Affirmed Ba2 (sf); previously on Mar 21, 2018 Definitive Rating Assigned Ba2 (sf) Class F Notes, Affirmed B2 (sf); previously on Mar 21, 2018 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The actions reflect the build-up of credit enhancement as a result of the sequential pay structure, overcollateralization and non-declining reserve account, and the correction of an error in the rating action taken at closing in March 2018. The model output for the initial ratings assignment at closing in March 2018 was based on an incorrect initial pool balance, resulting in incorrect tranche sizes in the model for all of the rated notes, and a higher than appropriate credit enhancement on all of the notes except for the Class F notes. The error has now been corrected, and the actions reflect this change. The CNL lifetime expectation remains unchanged at 9.25%. Here are key performance metrics (as of September 2018 distribution date) and credit assumptions for the affected transactions. The credit assumptions are Moody's expected lifetime CNL expectation (expressed as a percentage of the original pool balance), Moody's lifetime remaining CNL expectation and Moody's Aaa Level (expressed as a percentage of the current pool balance). The Aaa Level is the level of credit enhancement that would be consistent with a Aaa (sf) rating for the given asset pool. Performance metrics include pool factor, which is the ratio of the current collateral balance and the original collateral balance at closing; total credit enhancement (expressed as a percentage of the outstanding collateral pool balance), which typically consists of subordination, overcollateralization, reserve fund. Issuer - Foursight Capital Automobile Receivables Trust 2018-1 Lifetime CNL expectation - 9.25%, ; prior expectation (March 2018) -9.25% Lifetime Remaining CNL expectation - 9.95% Aaa (sf) level - 40.0% Pool factor - 86.61% Total Hard credit enhancement - Class A Notes 43.18%, Class B Notes 30.24%, Class C Notes 22.74%, Class D Notes 18.12%, Class E Notes 13.51%, Class F Notes 7.5% Excess Spread per annum -- Approximately 7.19% PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in October 2016. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with higher ratings. In sequential pay structures, such as the one in this transaction, credit enhancement grows as a percentage of the collateral balance as collections pay down senior notes. Prepayments and interest collections directed toward note principal payments will accelerate this build of enhancement. Moody's expectation of pool losses could decline as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and changes in servicing practices. Down Moody's could downgrade the notes if, given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if excess spread is not sufficient to cover losses in a given month. Moody's expectation of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. FREMF MORTGAGE 2011-K12: Moody's Affirms Ba2 Rating on X-2 Debt --------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in FREMF Mortgage Trust 2011-K12 as follows: Cl. B, Affirmed Aa3 (sf); previously on Oct 13, 2017 Affirmed Aa3 (sf) Cl. X-2, Affirmed Ba3 (sf); previously on Oct 13, 2017 Affirmed Ba3 (sf) RATINGS RATIONALE The rating on the principal and interest (P&I) class, Cl. B was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the interest only (IO) class, Cl. X-2 was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 0.7% of the current pooled balance, compared to 0.9% at Moody's last review. Moody's base expected loss plus realized losses is now 0.9% of the original pooled balance, compared to 1.0% 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 FREMF Mortgage Trust 2011-K12 Cl. B 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 FREMF Mortgage Trust 2011-K12 Cl. X-2 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 September 25, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 13% to $1.1 billion from $1.2 billion at securitization. The certificates are collateralized by 67 mortgage loans ranging in size from less than 1% to 9% of the pool, with the top ten loans (excluding defeasance) constituting 38% of the pool. Twenty-three loans, constituting 34% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 18, compared to 21 at Moody's last review. There is one loan currently on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. One loan has been liquidated from the pool, resulting in an aggregate realized loss of $2.8 million (for an average loss severity of 50%). There are no loans currently in special servicing. Moody's received full year 2017 operating results for 95% of the pool, and partial year 2018 operating results for 41% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 68%, compared to 70% 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 8.6%. Moody's actual and stressed conduit DSCRs are 1.89X and 1.51X, respectively, compared to 1.86X and 1.45X 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 8.75% stress rate the agency applied to the loan balance. The top three conduit loans represent 22.1% of the pool balance. The largest loan is the 200 Water Street Loan ($94.3 million -- 8.9% of the pool), which is secured by a 576-unit multifamily high-rise located in the Financial District of Lower Manhattan, New York City. The property was 93% leased as of December 2017 compared to 95% as of June 2016. This property was damaged during Hurricane Sandy, but is now fully operational. Moody's LTV and stressed DSCR are 74% and 1.16X, respectively, compared to 76% and 1.13X at the last review. The second largest loan is the Mid-America Portfolio Loan ($75.9 million -- 7.2% of the pool), which is secured by four cross-collateralized and cross-defaulted multifamily loans located in Tennessee, Florida and South Carolina. The portfolio contains 1,312 units in the aggregate, represented by one, two and three-bedroom floor plans. The portfolio was 97% leased as of December 2017, the same as at the last review. Moody's LTV and stressed DSCR are 60% and 1.66X, respectively, compared to 65% and 1.55X at the last review. The third largest loan is the Summer House Apartments Loan ($63.4 million -- 6.0% of the pool), which is secured by a 615-unit garden-style multifamily property located in Alameda, California. The property was 94% occupied as of May 2018, compared to 97% as of December 2016. Moody's LTV and stressed DSCR are 49% and 1.97X, respectively, compared to 53% and 1.85X at the last review. GALTON FUNDING 2018-2: S&P Gives Prelim. B-(sf) Rating on B5 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to 50 classes from Galton Funding Mortgage Trust 2018-2's mortgage pass-through certificates. The note issuance is an RMBS transaction backed by first-lien, fixed-rate, and adjustable-rate mortgage loans secured by one- to four-family residential properties, condominiums, and planned-unit developments to primarily prime borrowers. The preliminary ratings are based on information as of Oct. 16, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The 100% due diligence sampling results, which is consistent with the represented loan characteristics; -- The representation and warranty (R&W) framework for this transaction; and -- The transaction's associated structural mechanics. PRELIMINARY RATINGS ASSIGNED Galton Funding Mortgage Trust 2018-2 Class Rating Amount ($) A11 AA+ (sf) 411,471,000 AX11 AA+ (sf) 411,471,000(i) A12 AA+ (sf) 411,471,000 AX12 AA+ (sf) 411,471,000(i) A13 AA+ (sf) 411,471,000 AX13 AA+ (sf) 411,471,000(i) A21 AAA (sf) 362,132,000 AX21 AAA (sf) 362,132,000(i) A22 AAA (sf) 362,132,000 AX22 AAA (sf) 362,132,000(i) A23 AAA (sf) 362,132,000 AX23 AAA (sf) 362,132,000(i) A31 AA+ (sf) 49,339,000 AX31 AA+ (sf) 49,339,000(i) A32 AA+ (sf) 49,339,000 AX32 AA+ (sf) 49,339,000(i) A33 AA+ (sf) 49,339,000 AX33 AA+ (sf) 49,339,000(i) A41 AAA (sf) 289,705,600 AX41 AAA (sf) 289,705,600(i) A42 AAA (sf) 289,705,600 AX42 AAA (sf) 289,705,600(i) A43 AAA (sf) 289,705,600 AX43 AAA (sf) 289,705,600(i) A51 AAA (sf) 72,426,400 AX51 AAA (sf) 72,426,400(i) A52 AAA (sf) 72,426,400 AX52 AAA (sf) 72,426,400(i) A53 AAA (sf) 72,426,400 AX53 AAA (sf) 72,426,400(i) A61 AAA (sf) 54,319,800 AX61 AAA (sf) 54,319,800(i) A62 AAA (sf) 54,319,800 AX62 AAA (sf) 54,319,800(i) A63 AAA (sf) 54,319,800 AX63 AAA (sf) 54,319,800(i) A71 AAA (sf) 18,106,600 AX71 AAA (sf) 18,106,600(i) A72 AAA (sf) 18,106,600 AX72 AAA (sf) 18,106,600(i) A73 AAA (sf) 18,106,600 AX73 AAA (sf) 18,106,600(i) AX AA+ (sf) 411,471,000(i) B1 AA- (sf) 7,017,000 BX1 AA- (sf) 7,017,000(i) B2 A- (sf) 13,353,000 BX2 A- (sf) 13,353,000(i) B3 BBB- (sf) 9,054,000 B4 BB- (sf) 4,979,000 B5 B- (sf) 3,847,000 B6 NR 2,943,294 XS NR 452,664,294.13(i) R NR 0 LT-R NR 0 (i)Notional balance. NR--Not rated. GOLUB CAPITAL 39(B): S&P Assigns BB- Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Golub Capital Partners CLO 39(B) Ltd./Golub Capital Partners CLO 39(B) LLC's fixed- and floating-rate notes. The note issuance is a CLO transaction backed by broadly syndicated speculative-grade senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Golub Capital Partners CLO 39(B) Ltd./Golub Capital Partners CLO 39(B) LLC Class Rating Amount (mil. $) A-1 AAA (sf) 250.00 A-2 NR 14.00 B AA (sf) 38.00 C A (sf) 25.00 D BBB- (sf) 22.00 E BB- (sf) 12.60 Subordinated notes NR 48.00 NR--Not rated. GREYWOLF CLO III: S&P Assigns Prelim. B-(sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Greywolf CLO III Ltd./Greywolf CLO III LLC's floating- and fixed-rate notes. This is a proposed reissue of Greywolf CLO III Ltd., which was refinanced in July 2017. The note issuance is a collateralized loan obligation (CLO) transaction backed by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Oct. 16, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Greywolf CLO III Ltd./Greywolf CLO III LLC Class Rating Amount (mil. $) X AAA (sf) 6.20 A-1 AAA (sf) 320.00 A-2 AA (sf) 53.70 B A (sf) 36.30 C BBB- (sf) 27.50 D BB- (sf) 21.90 E B- (sf) 9.20 Subordinated notes NR 56.70 NR--Not rated. GS MORTGAGE 2006-GC8: Moody's Affirms C Rating on 5 Tranches ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on six classes in GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8 as follows: Cl. A-J, Affirmed Caa1 (sf); previously on Oct 27, 2017 Downgraded to Caa1 (sf) Cl. B, Affirmed C (sf); previously on Oct 27, 2017 Downgraded to C (sf) Cl. C, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) Cl. D, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) Cl. E, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) Cl. X, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings on the P&I classes were affirmed because the ratings are consistent with Moody's expected loss. The rating on the IO class, Cl. X, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 54.3% of the current pooled balance, compared to 53.5% at Moody's last review. Moody's base expected loss plus realized losses is now 13.7% of the original pooled balance, essentially unchanged from 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 GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8 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 GS Mortgage Securities Corporation II, Commercial Mortgage Pass-Through Certificates, Series 2006-GG8 Cl. X 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 49% of the pool is in special servicing and Moody's considers the remainder of the pool troubled. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class(es) and the recovery as a pay down of principal to the most senior class(es). DEAL PERFORMANCE As of the September 2018 distribution date, the transaction's aggregate certificate balance has decreased by 92% to $326 million from $4.24 billion at securitization. The certificates are collateralized by four mortgage loans. Forty-five loans have been liquidated from the pool, contributing to an aggregate realized loss of $404 million (for an average loss severity of 51%). Three loans, constituting 49% of the pool, are currently in special servicing. The largest specially serviced loan is the Fair Lakes Office Park Loan ($111 million -- 34% of the pool), which represents a participation interest in a $254 million senior mortgage loan. The loan is secured by a suburban office park in Fairfax, Virginia which at securitization consisted of nine properties totaling 1.3 million square feet. The loan transferred to special servicing in June 2015 for imminent default. The servicer subsequently pursued foreclosure and the collateral is currently REO. The servicer has sold and released three of the properties, leaving six properties as the remaining loan collateral. The second largest specially serviced loan is the Algonquin Center Loan ($29 million -- 9% of the pool), which is secured by a 207,000 square foot retail community center in Algonquin, Illinois, approximately 45 miles northwest of Chicago. The property anchors include Kohl's, HomeGoods, and Michael's. The center is shadow-anchored by a Target. The property was 96% leased as of July 2018, unchanged from Moody's prior review. The loan originally transferred to special servicing due to maturity default. The borrower was granted a one-year maturity extension in order to secure refinancing, however, the loan was not repaid and re-entered special servicing in August 2017. The servicer has pursued foreclosure and the property is currently REO. The third specially serviced loan is the Gateway Mall Loan ($21 million -- 6% of the pool), which is secured by a 132,000 square foot retail community center located in Machesney Park, Illinois. The property is shadow anchored by a Target and a Home Depot. The former anchor tenant Gordman's filed for bankruptcy and vacated in early 2017. The loan transferred to special servicing in October 2016 ahead of the anchor departure and the property is now REO. The servicer identified a backfill tenant for the anchor space and the new anchor is open and operational. Moody's estimates an aggregate $104 million loss for the specially serviced loans (65% expected loss on average). Moody's has also assumed a high default probability for the remaining loan, which is discussed in detail. As of the September 2018 remittance statement, cumulative interest shortfalls for the outstanding classes were $11.2 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. The largest loan in the pool is the CA Headquarters Loan ($166 million -- 51% of the pool), which is secured by a 778,000 square foot suburban office property in Islandia, New York. The property is fully leased to CA Technologies (formerly Computer Associates) until August 2021. The loan transferred to special servicing ahead of the August 2016 maturity date when the borrower was unable to refinance. The loan was later returned to the master servicer in May 2017 with a maturity date extension until October 2020 with an option to further extend maturity to August 2021. Due to the single tenant exposure, Moody's analysis incorporates a lit/dark analysis. The loan is on the master servicer's watchlist and Moody's considers this a troubled loan and assumes an elevated probability of default. GS MORTGAGE 2013-GCJ16: DBRS Confirms B Rating on Class X-C Certs ----------------------------------------------------------------- DBRS Limited upgraded the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2013-GCJ16 (the Certificates) issued by GS Mortgage Securities Trust 2013-GCJ16 (the Trust): -- Class X-B to AAA (sf) from AA (high) (sf) -- Class B to AA (high) (sf) from AA (sf) -- Class C to A (high) (sf) from A (sf) -- Class PEZ to A (high) (sf) from A (sf) -- Class D to BBB (high) (sf) from BBB (sf) DBRS also confirmed the ratings on the following classes: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-AB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class F at BB (low) (sf) -- Class X-C at B (sf) -- Class G at B (low) (sf) DBRS has changed the trend on Classes F, G and X-C to Positive. All other trends are Stable. The Class A-S, Class B and Class C Certificates may be exchanged for the Class PEZ Certificates (and vice versa). These rating upgrades and Positive trend assignments on three Classes reflect the strong overall performance of the transaction, which has benefited from a collateral reduction of 24.2% since issuance, with 65 of the original 77 loans remaining in the pool as of the September 2018 remittance report. One loan, University Tower (Prospectus ID #10, 3.0% of the pool) was scheduled to mature in October 2018, and DBRS expects that loan will successfully repay with the next remittance. In addition, nine loans, representing 7.4% of the pool, are fully defeased. Loans representing 90.6% of the pool reported year-end (YE) 2017 financials, with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.75 times (x) and 12.1%, respectively. Based on the servicer's most recent reporting, the 15 largest loans, which represent 60.4% of the pool, reported a WA net cash flow (NCF) growth of 22.3% over the DBRS issuance figures, with a WA DSCR and debt yield of 1.76x and 12.0%, respectively. As of the September 2018 remittance report, there are six loans, representing 11.6% of the pool, on the servicer's watch list, and one loan, representing 1.4% of the pool, in special servicing. Only one loan, Holiday Inn Express, Muncie (Prospectus ID #61, 0.5% of the pool) is being monitored for performance issues. The remaining loans are being monitored for deferred maintenance and, as previously mentioned, upcoming maturity. It is noteworthy that the pool has a significant concentration of retail properties, which represented 42.5% of the pool balance as of the September 2018 remittance. In general, these loans are performing as expected, with WA NCF growth of 11.6% over the DBRS NCF figures derived at issuance, and a WA in-place DSCR of 1.56x. The Park 41 Evansville loan (Prospectus ID #29, 1.4% of the pool), which is secured by a Class B, multi-tenant industrial building located in Evansville, Indiana, transferred to special servicing in March 2018 due to imminent monetary default. Over the last three years, loan payments have been frequently late but received within the grace period. In January and February 2018, payments were 30 to 59 days delinquent. As of the September 2018 remittance, the loan was current. According to special servicer commentary in September 2018, a forbearance agreement was executed in July 2018 with the loan expected to defease by September 14, 2018. DBRS has requested confirmation that the defeasance was executed. The concerns with this loan are generally sponsor-related, as the sponsor, Kunkel Group (Kunkel), a design-build architecture firm based out of Evansville, has been involved in several legal issues over the past few years. DBRS located articles online suggesting ongoing legal battles between Kunkel and a utility service provider over the discharge of water into city sewers without proper permits at another Evansville property owned by the firm. It is also notable that the sponsor has another CMBS loan securitized in the COMM 2014-CCRE17 transaction that has been in special servicing since July 2017. Tenancy at the property is concentrated between the four largest tenants, which collectively occupy 63.0% of the net rentable area (NRA). The two largest tenants, Park 41 Logistic (27.8% of NRA) and SRG Global (16.5% of NRA) have lease expiration dates that are set to expire in Q4 2018. Notably, Park 41 Logistic is a sponsor-owned entity. The loan reported an annualized Q3 2017 DSCR of 2.35x, which is an increase from the YE2016 DSCR of 1.81x and the DBRS Term DSCR derived at issuance of 1.63x. In the analysis for this loan, DBRS applied a stressed cash flow scenario as well as a sponsor strength penalty to increase the probability of default to reflect the increased risks in the late payments and legal issues surrounding Kunkel in recent years. For additional information on this loan, please see the loan commentary on the DBRS Viewpoint platform, for which information is provided below. Classes X-A, X-B and X-C are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. All ratings will be subject to ongoing surveillance, which could result in ratings being upgraded, downgraded, placed under review, confirmed or discontinued by DBRS. The rating assigned to Class F and Class G are different than that implied by the analysis within the DBRS North American Direct Sizing Hurdles because of the loan-level event risk posed by the uncertainty surrounding the resolution of the specially serviced loan, Park 41 Evansville; however, the Positive trends assigned to those classes reflect the increased credit support since issuance, as well as the overall healthy performance of the pool. Notes: All figures are in U.S. dollars unless otherwise noted. HALCYON LOAN 2012-1: S&P Lowers Class D Notes Rating to 'B' ----------------------------------------------------------- S&P Global Ratings raised its ratings on the class B notes from Halcyon Loan Advisors Funding (Halcyon) 2012-1 Ltd. and the class A-2A, A-2B, B, and C notes from Halcyon 2013-1. S&P said, "At the same time, we affirmed our ratings on the class A-1, A-2, and C notes from Halcyon 2012-1 and the class A-1 notes from Halcyon 2013-1. We also lowered our ratings on the class D notes from both transactions and removed them from CreditWatch, where we placed them with negative implications on April 20, 2018." S&P said, "The rating actions follow our review of the transaction's performance using data from the September 2018 trustee reports for both transactions. "The upgrades to Halcyon 2012-1 reflect $74.28 million in paydowns to the class A-1 notes since our Nov. 10, 2017, rating actions." These paydowns resulted in the remaining outstanding balance on the senior notes falling to only 7.29% of their original balance and improved reported overcollateralization (O/C) ratios for all classes except class D since the Oct. 5, 2017, trustee report, which S&P used for its last rating actions: -- The class A O/C ratio improved to 233.53% from 158.16%. -- The class B O/C ratio improved to 144.59% from 127.16%. -- The class C O/C ratio improved to 121.46% from 115.81%. -- The class D O/C ratio declined to 104.71% from 106.32%. The upgrades to Halcyon 2013-1 reflect $201.26 million in paydowns to the class A-1 notes since our June 6, 2016, rating actions. These paydowns resulted in improved reported O/C ratios for all classes except class D since the April 5, 2016 trustee report, which S&P used for its last rating actions: -- The class A O/C ratio improved to 153.19% from 130.27%. -- The class B O/C ratio improved to 128.55% from 119.45%. -- The class C O/C ratio improved to 115.17% from 112.68%. -- The class D O/C ratio declined to 105.70% from 107.45%. The upgrades reflect the improved credit support at the prior rating levels; the affirmations reflect our view that the credit support available is commensurate with the current rating level. S&P said, "On a standalone basis, the results of the cash flow analysis indicated a lower rating on the class D notes from Halcyon 2012-1; however, in our view, this class does not currently meet our definition of 'CCC' credit risk because we believe that it is not currently vulnerable to non-payment or dependent on favorable market conditions to pay timely interest and ultimate principal. The overall credit quality has deteriorated, and the portfolio now has higher concentrations of both 'CCC'-rated collateral obligations and defaulted assets, though there has been some decline in the total 'CCC' par amount. As a result of the increased concentration, the 'CCC' bucket now accounts for approximately 14.8% of the total portfolio, and only 51 performing obligors remain. In addition, this transaction has some exposure to distressed assets and has incurred par losses. The O/C test, as seen above, has declined since our last rating action for the class D notes, though it has improved since the time of our CreditWatch placement when it was breaching its trigger. The transaction has also experienced a decline in the weighted average spread of the portfolio, which is down to 3.78% from 4.23% at the time of our last rating action. While this decline in spread has not yet affected the current interest due to this class, the class D interest coverage (I/C) test is breaching its trigger and interest proceeds are being diverted to pay down the principal balance of the class A-1 notes. These factors, combined, indicate that the class does not have sufficient credit support at the prior rating level; thus, we are lowering our rating to 'B (sf)' from 'BB (sf)'. "On a standalone basis, the results of the cash flow analysis indicated a higher rating on the class C notes and an affirmation of the rating on the class D notes from Halcyon 2013-1. However, we considered that the transaction currently has higher exposure to 'CCC'-rated collateral obligations, exposure to distressed assets, and that the portfolio's weighted average spread has declined to 3.97% from 4.58% at the time of our last rating actions. Our rating actions on these two classes reflect additional sensitivity runs that considered the above and additional cushion to offset future potential credit migration in the underlying collateral. "Our review of these transactions included a cash flow analysis, based on the portfolios and transactions' as reflected in the aforementioned trustee reports, 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 transactions' ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary." RATINGS RAISED Halcyon Loan Advisors Funding 2012-1 Ltd. Rating Class To From B AA+ (sf) AA- (sf) Halcyon Loan Advisors Funding 2013-1 Ltd. Rating Class To From A-2A AAA (sf) AA (sf) A-2B AAA (sf) AA (sf) B AA+ (sf) A (sf) C BBB+ (sf) BBB (sf) RATINGS LOWERED AND REMOVED FROM CREDITWATCH Halcyon Loan Advisors Funding 2012-1 Ltd. Rating Class To From D B (sf) BB (sf)/Watch Neg Halcyon Loan Advisors Funding 2013-1 Ltd. Rating Class To From D BB- (sf) BB (sf)/Watch Neg RATINGS AFFIRMED Halcyon Loan Advisors Funding 2012-1 Ltd. Class Rating A-1 AAA (sf) A-2 AAA (sf) C BBB+ (sf) Halcyon Loan Advisors Funding 2013-1 Ltd. Class Rating A-1 AAA (sf) HPS LOAN 13-2018: S&P Assigns B-(sf) Rating on $9.18MM Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned ratings to HPS Loan Management 13-2018 Ltd./HPS Loan Management 13-2018 LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED HPS Loan Management 13-2018 Ltd./HPS Loan Management 13-2018 LLC Class Rating Amount (mil. $) X AAA (sf) 4.10 A1 AAA (sf) 303.00 A2 NR 28.50 B AA (sf) 47.69 C A (sf) 35.45 D BBB- (sf) 31.37 E BB- (sf) 18.25 F B- (sf) 9.18 Subordinated notes NR 41.52 NR--Not rated. HPS LOAN 5-2015: S&P Assigns B-(sf) Rating on Class F-RR Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X-RR, A1-RR, B-1-RR, B-2-RR, C-RR, D-RR, E-RR, and F-RR replacement notes from HPS Loan Management 5-2015 Ltd./HPS Loan Management 5-2015 LLC, a collateralized loan obligation (CLO) originally issued in in January 2015 and refinanced in June 2017 that is managed by HPS Investment Partners LLC. S&P withdrew its ratings on the original class A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1-R, D-2-R, E, and F notes following payment in full on the Oct. 16, 2018, refinancing date. On the Oct. 16, 2018, refinancing date, the issuer's name changed to HPS Loan Management 5-2015 Ltd. from Highbridge Loan Management 5-2015 Ltd., and the co-issuer's name changed to HPS Loan Management 5-2015 LLC from Highbridge Loan Management 5-2015 LLC. And the proceeds from the class X-RR, A1-RR, B-1-RR, B-2-RR, C-RR, D-RR, E-RR, and F-RR replacement note issuances were used to redeem the original class A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1-R, D-2-R, E, and F notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption and assigned ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary." RATINGS ASSIGNED HPS Loan Management 5-2015 Ltd./HPS Loan Management 5-2015 LLC Replacement class Rating Amount (mil. $) X-RR AAA (sf) 4.50 A1-RR AAA (sf) 295.00 A2-RR NR 30.00 B-1-RR AA (sf) 26.25 B-2-RR AA (sf) 25.00 C-RR (deferrable) A (sf) 33.75 D-RR (deferrable) BBB- (sf) 27.50 E-RR (deferrable) BB- (sf) 20.00 F-RR (deferrable) B- (sf) 8.75 Subordinated notes NR 46.25 RATINGS WITHDRAWN Highbridge Loan Management 5-2015 Ltd./Highbridge Loan Management 5-2015 LLC Rating Original class To From A-R NR AAA (sf) B-1-R NR AA (sf) B-2-R NR AA (sf) C-1-R NR A (sf) C-2-R NR A (sf) D-1-R NR BBB (sf) D-2-R NR BBB (sf) E NR BB (sf) F NR B (sf) NR--Not rated. IMSCI 2016-7: Fitch Affirms B Rating on CAD4MM Class G Certs ------------------------------------------------------------ Fitch Ratings has affirmed eight classes of Institutional Mortgage Securities Canada Inc.'s (IMSCI) 2016-7 commercial mortgage pass-through certificates. All currencies are denominated in Canadian dollars (CAD). KEY RATING DRIVERS Overall Stable Performance and Limited Change to Loss Expectations from Issuance: 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 64.4% of the loans feature full or partial recourse to the borrowers and/or sponsors. Currently, there are no delinquent or specially serviced loans. There are two loans (6.5%) on the servicer's watch list due to vacancy; however, these loans either have satisfactory recourse or credit enhancement to prevent future losses. There is one loan of concern, Innovation Portfolio (4.8%), due to large tenant rollover uncertainty; however, due to its low leverage and its cross collateralization Fitch does not anticipate losses at this time. Fitch is monitoring the number one loan in the pool, Portage Place (7.9%), which has been categorized as 30 days delinquent twice in 2018: once in September and once in January. Both times, the loan became current the following month. As of YE 2017, the property is 100% occupied and the reported debt service coverage ratio (DSCR) was 1.27x which is a decline from 1.79x at YE 2016. The drop in revenue is due to occupancy fluctuating over 2017. Additionally, Goodlife Fitness' (11% of gross annual rent) lease is expiring at the end of November 2018 and Fitch has not received information on a renewal or potential replacements. In addition, the servicer has not responded to requests regarding the past delinquencies. However, the loan has full recourse and significant losses are not considered likely. Limited Change to Credit Enhancement Since Issuance: As of the September 2018 distribution date, the pool's aggregate principal balance has been reduced 7.2% from $352.4 million at issuance to $327 million with 37 loans remaining. There are no full or partial interest only loans in the pool. There are no defeased loans. Loan Concentration: The top 10 and 15 loans (including crossed loans) account for 55% and 72% of the pool, respectively. Retail properties represent 28.8% of the pool while industrial properties comprise 25.8% of the pool. The pool has 16 properties (61%) located in Ontario; however, Ontario is Canada's most populous province and accounts for approximately 40% of the country's population and GDP. The pool has no Alberta energy market exposure. Fitch Loan of Concern: Innovation Portfolio, a crossed loan (5050 Innovation and 4000 Innovation) and the third largest loan in the pool (4.8%) has an upcoming tenant rollover in May of 2019 for the sole occupant of its 4000 Innovation building. The tenant, Blackberry, represents 47% of the two building total NRA and pays $13 PSF annually slightly below the Ottawa suburban submarket at $16 PSF. Blackberry's lease includes a five year extension option; however, there is uncertainty on whether they will exercise the extensions. As a result, Fitch conducted a dark value analysis at issuance and updated it for this review given the upcoming lease expiration. The valuation did not impact the ratings given the low leverage and that two properties are cross collateralized and cross defaulted. In addition, RBC provided a letter of credit at issuance to secure the Blackberry lease. At issuance the letter of credit was $9.5 million, reduced to $7.1 million in November 2017, $4.8 million in May 2018 and will be lowered to $2.4 million in November 2018. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable due to overall stable pool performance and expected continued paydown. Future rating upgrades may occur with improved pool performance and additional defeasance or paydown. Rating downgrades to the classes are possible should overall pool performance decline. 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: -- $162.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $117.2 million class A-2 at 'AAAsf'; Outlook Stable; -- $8.8 million class B at 'AAsf'; Outlook Stable; -- $9.7 million class C at 'Asf'; Outlook Stable; -- $9.7 million class D at 'BBBsf'; Outlook Stable; -- $3.5 million class E at 'BBB-sf'; Outlook Stable; -- $4.8 million class F at 'BBsf'; Outlook Stable; -- $4.0 million class G at 'Bsf'; Outlook Stable. Fitch does not rate the class H and class X certificates. INSITE WIRELESS 2016-1: Fitch Affirms BB- Rating on Class C Notes ----------------------------------------------------------------- Fitch Ratings has affirmed InSite Wireless Group, LLC and InSite Secured Cellular Site Revenue Notes Series 2013-1 and 2016-1 as follows: -- $116.8 million 2013-1 class A at 'Asf'; Outlook Stable; -- $39.6 million 2013-1 class B at 'BBB-sf'; Outlook Stable; -- $14 million 2013-1 class C at 'BB-sf'; Outlook Stable; -- $210.5 million 2016-1 class A at 'Asf'; Outlook Stable; -- $21 million 2016-1 class B at 'BBB-sf'; Outlook Stable; -- $70 million 2016-1 class C at 'BB-sf'; Outlook Stable. The series 2016-1 class A is pari passu with the series 2013-1 class A; the series 2016-1 class B is pari passu with the series 2013-1 class B; and the series 2016-1 class C is pari passu with the series 2013-1 class C. KEY RATING DRIVERS Fitch Cash Flow and Leverage: Fitch's net cash flow (NCF) on the pool is $58.6 million, which equates to a Fitch DSCR of 1.33x. The debt multiple relative to Fitch's NCF would be 8.0x, which equates to a debt yield of 12.4%. Leases to Strong Tower Tenants: As of the July, 2018 data tape, there are 3,103 wireless tenant leases, an increase from 2,775 when the Series 2016-1 notes were issued. Telephony and data tenants represent 74.6% of annualized run rate revenue (ARRR), and 61.0% of the ARRR is from investment-grade tenants. Tenant leases on the cellular sites have average annual escalators of approximately 3.0% and an average final remaining term (including renewals) of approximately 22.5 years. Reasonable Diversification: There are 1,363 sites and 25 DAS sites spanning 47 states, Canada (147 sites), the U.S. Virgin Islands (eight sites) and Puerto Rico (59 sites). The largest state (Texas) represents approximately 11.4% of ARRR. The top 10 states (including Ontario and Puerto Rico) represent 59.4% of ARRR. According to the borrower, few towers were impacted by the hurricanes in Puerto Rico, and the few towers affected were quickly online. Given the company's responsiveness, Puerto Rico exposure was viewed as a strength by management, as it generated additional leasing interest in these towers. There were 1,196 sites and 19 DAS sites at the issuance of the Series 2016-1 notes. DAS Networks: The collateral pool contains 25 DAS networks representing approximately 10.3% of the ARRR (8.4% of the issuer NCF). DAS sites are located within buildings or other structures or venues for which an asset entity has rights under a lease or license to install and operate a DAS on the premises or to manage a DAS network on the premises. Fitch did not give credit for the five sites where InSite has a management contract to manage a DAS network owned by the DAS venue; these sites contribute 0.8% of ARRR. Additionally, Fitch limited proceeds from the DAS networks to the 'BBsf' category (i.e. applied a 'BBsf' rating cap), based on the uncertainty surrounding the licensing agreements in a venue-bankruptcy scenario and the limited history of these networks. Additional Debt: The transaction allows for the issuance of additional notes. Such additional notes may rank pari passu with or subordinate to the outstanding notes. The additional notes will be pari passu with and be rated the same as any class of notes bearing the same alphabetical class designation. Additional notes may be issued without the benefit of additional collateral, provided the post-issuance DSCR is not less than 2.0x. As Fitch monitors the transaction, the possibility of upgrades may be limited due to the provision that allows additional debt and cash flow deterioration. Risk of Technological Obsolescence: The notes have a rated final payment date of 30 years after closing, and the long-term tenor of the notes increases the risk that an alternative technology will be developed, rendering obsolete the current transmission of wireless signals through cellular or DAS networks, Currently, WSPs depend on towers or DAS to transmit signals and continue to invest in the technology. RATING SENSITIVITIES Fitch does not foresee negative ratings migration unless a material economic or asset level event changes the transaction's portfolio-level metrics. The class ratings are expected to remain stable based on anticipated cash flow growth due to annual rent escalations, tenant renewals and acquired sites during the site acquisition period. Upgrades could be limited due to the allowance for additional notes without the benefit of additional collateral, the specialized nature of the collateral and the potential for changes in technology to affect long-term demand for wireless tower space. JFIN CLO 2014-II: Moody's Affirms Ba3(sf) Rating on Class D Notes ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by JFIN CLO 2014-II Ltd.: US$52,700,000 Class A-2A-R Senior Secured Floating Rate Notes Due 2026, Upgraded to Aaa (sf); previously on July 20, 2017 Assigned Aa1 (sf) US$10,000,000 Class A-2B-R Senior Secured Fixed Rate Notes Due 2026, Upgraded to Aaa (sf); previously on July 20, 2017 Assigned Aa1 (sf) US$25,000,000 Class B-1-R Senior Secured Deferrable Floating Rate Notes Due 2026, Upgraded to Aa2 (sf); previously on July 20, 2017 Assigned A1 (sf) US$2,500,000 Class B-2-R Senior Secured Deferrable Fixed Rate Notes Due 2026, Upgraded to Aa2 (sf); previously on July 20, 2017 Assigned A1 (sf) US$34,800,000 Class C Senior Secured Deferrable Floating Rate Notes Due 2026, Upgraded to Baa1 (sf); previously on July 20, 2017 Upgraded to Baa2 (sf) Moody's also affirmed the ratings on the following notes: US$312,000,000 Class A-1A-R Senior Secured Floating Rate Notes Due 2026, Affirmed Aaa (sf); previously on July 20, 2017 Assigned Aaa (sf) US$31,750,000 Class A-1B-R Senior Secured Fixed Rate Notes Due 2026, Affirmed Aaa (sf); previously on July 20, 2017 Assigned Aaa (sf) US$33,900,000 Class D Senior Secured Deferrable Floating Rate Notes Due 2026, Affirmed Ba3 (sf); previously on July 20, 2017 Affirmed Ba3 (sf) US$4,600,000 Class E Senior Secured Deferrable Floating Rate Notes Due 2026, Affirmed B2 (sf); previously on July 20, 2017 Affirmed B2 (sf) JFIN CLO 2014-II Ltd., originally issued in July 2014, is a collateralized loan obligation (CLO) backed primarily by a portfolio of senior secured loans. Certain classes of notes were subsequently refinanced in July 2017. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE These rating actions reflect the benefit of the end of the deal's reinvestment period in July 2018. In light of the reinvestment restrictions during the amortization period, and therefore the limited ability of the manager to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will maintain a positive buffer relative to certain covenant requirements. In particular, Moody's assumed that the deal will benefit from lower weighted average rating factor (WARF) and higher diversity levels compared to their covenant levels. Moody's modeled a WARF and diversity of 2859 and 78, respectively, compared to the covenant levels 3000 and 70, respectively. 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. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $536.2 million, defaulted par of $5.7 million, a weighted average default probability of 21.01% (implying a WARF of 2859), a weighted average recovery rate upon default of 47.82%, a diversity score of 78 and a weighted average spread of 3.62% (before accounting for LIBOR floors). Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Weighted Average Spread (WAS): CLO performance can be sensitive to WAS, which is a key factor driving the amount of excess spread available as credit enhancement when a deal fails its over-collateralization or interest coverage tests. A decrease in excess spread, including as a result of losing the net interest benefit of LIBOR floors, or because market conditions make it difficult for the deal to source assets of appropriate credit quality in order to maintain its WAS target, would reduce the effective credit enhancement available for the notes. JP MORGAN 1999-C8: Moody's Affirms C Rating on Class X Certs ------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on two classes in J.P. Morgan Commercial Mortgage Finance Corp 1999-C8, Mortgage Pass-Through Certificates, Series 1999-C8 as follows: Cl. H, Affirmed Ca (sf); previously on Oct 27, 2017 Affirmed Ca (sf) Cl. X, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. H was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Class H has already experienced a 46% realized loss as result of previously liquidated loans. The rating on the IO class, Cl. X, was affirmed based on the credit quality of its referenced class. 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 7.5% of the original pooled balance, the same at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating J.P. Morgan Commercial Mortgage Finance Corp 1999-C8, Cl. H was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating J.P. Morgan Commercial Mortgage Finance Corp 1999-C8, Cl. X 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 September 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99.9% to $636 thousand from $731.5 million at securitization. The certificates are collateralized by two mortgage. Seventeen loans have been liquidated from the pool, resulting in an aggregate realized loss of $54.9 million (for an average loss severity of 46.3%). There are currently no loans in special servicing. The largest remaining loan is the Ridge Terrace Health Care Ctr. Loan ($456,324 -- 71.7% of the pool), which is secured by a 120-bed health care center located in Lantana, Florida. The loan is on the servicer's watchlist due to low DSCR. Performance has been very weak due to a significant increase in expenses, however, the loan remains current. The loan is fully amortizing and has amortized 91% since securitization. The loan is scheduled to mature in March 2019. Moody's LTV and stressed DSCR are 29.3% and greater than 4.00X, respectively. The other remaining loan is the Mobilelodge of Milpitas Loan ($179,733 -- 28.3% of the pool), which is secured by an 145 unit, senior (55+ age restricted), mobile home park community. The property is located in Milpitas, CA, approximately ten miles north of downtown San Jose. The property was 100% leased as of June 2017. The loan is fully amortizing and has amortized 91% since securitization. The loan is scheduled to mature in April 2019. Moody's LTV and stressed DSCR are 4.5% and greater than 4.00X, respectively. JP MORGAN 2011-C4: S&P Affirms BB-(sf) Rating on Class G Certs -------------------------------------------------------------- S&P Global Ratings raised its ratings on four classes of commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on six other classes from the same transaction. For the upgrades and affirmations on the principal- and interest-paying certificates, S&P's credit enhancement expectation was generally in line with the raised or affirmed rating levels. The upgrades also reflect the significant reduction in trust balance. While available credit enhancement levels suggest further positive rating movements on classes C, D, and E and positive rating movements on classes F, G, and H, our analysis also considered this deal's significant retail exposure (66.5%), of which a large proportion is single-tenant, as well as the fact that the remaining nondefeased performing loans have a 2021 anticipated repayment date or final maturity date. S&P affirmed its 'AAA (sf)' rating on the class X-A interest-only (IO) certificates based on its criteria for rating IO securities, in which the ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-A references classes A-4 and A-SB. TRANSACTION SUMMARY As of the Sept. 17, 2018, trustee remittance report, the collateral pool balance was $506.6 million, which is 34.4% of the pool balance at issuance. The pool currently includes 21 loans, down from 42 loans at issuance. No loans are with the special servicer or on the master servicer's watchlist, and two ($6.5 million, 1.3%) are defeased. To date, the transaction has experienced no principal losses. S&P calculated a 1.74x S&P Global Ratings weighted average debt service coverage (DSC) and 59.2% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.29% S&P Global Ratings weighted average capitalization rate for the performing nondefeased loans. The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $435.9 million (86.1%). Adjusting the servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.74x and 57.6%, respectively, for the top 10 nondefeased loans. RATINGS RAISED J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4 Commercial mortgage pass-through certificates Rating Class To From B AAA (sf) AA+ (sf) C AA- (sf) A (sf) D A+ (sf) A- (sf) E BBB+ (sf) BBB (sf) RATINGS AFFIRMED J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C4 Commercial mortgage pass-through certificates Class Rating A-4 AAA (sf) A-SB AAA (sf) F BB+ (sf) G BB- (sf) H B (sf) X-A AAA (sf) JP MORGAN 2012-LC9: S&P Lowers Class G Certs Rating to 'B+(sf)' --------------------------------------------------------------- S&P Global Ratings lowered its rating on the class G commercial mortgage pass-through certificates from J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9, a U.S. commercial mortgage-backed securities (CMBS) transaction. At the same time, S&P affirmed its ratings on 13 other classes from the same transaction. S&P said, "The downgrade on class G reflects the credit support erosion we anticipate will occur upon the eventual resolution of the Salem Center real-estate-owned (REO) asset ($30.6 million or 3.8% of the pool balance) with the special servicer. "For the affirmations on the principal- and interest-paying certificates, our expectation of credit enhancement was in line with the affirmed rating levels. Notably, included in the transaction is the class EC certificates, which is exchangeable and convertible for a portion of the class A-S, B, and C certificates; and classes A-S, B, and C may be exchanged and converted for class EC. According to the Sept. 17, 2018, trustee remittance report, no certificates have been exchanged or converted to date. "We affirmed our 'AAA (sf)' and 'A+ (sf)' ratings on the class X-A and X-B interest-only (IO) certificates, respectively, based on our criteria for rating IO securities, in which the rating on the IO security would not be higher than that of the lowest-rated reference class. Class X-A's notional amount equals the aggregate of classes A-1, A-2, A-3, A-4, A-5, A-SB, and A-S, and class X-B's equals classes B and C." TRANSACTION SUMMARY As of the Sept. 17, 2018, trustee remittance report, the collateral pool balance was $813.4 million, which is 75.9% of the pool balance at issuance. The pool currently includes 36 loans and one REO asset, down from 45 loans at issuance. One asset is with the special servicer, no loans are reported on the master servicer's watchlist, and two loans ($7.9 million, 1.0%) are defeased. S&P calculated a 1.76x S&P Global Ratings weighted average debt service coverage (DSC) and 77.3% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.78% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the sole specially serviced asset and two defeased loans. The top 10 assets have an aggregate outstanding pool trust balance of $563.5 million (69.3%). Adjusting the servicer-reported numbers, S&P calculated an S&P Global Ratings weighted average DSC and LTV of 1.68x and 78.8%, respectively, for nine of the top 10 assets. The remaining asset is specially serviced and discussed below. To date, the transaction has not experienced any principal losses. S&P expects losses to be approximately 1.1% of the original pool trust balance in the near term upon the eventual resolution of the sole specially serviced asset. CREDIT CONSIDERATIONS As of the Sept. 17, 2018, trustee remittance report, the Salem Center REO asset, the 10th-largest nondefeased asset in the trust, is the sole asset with the special servicer, Rialto Capital Advisors LLC. The asset is a 212,007-sq.-ft. retail property in Salem, Ore., with a reported total exposure of $32.7 million. The loan was transferred to the special servicer on Aug. 15, 2017, due to maturity default and the property became REO on Aug. 30, 2018. An appraisal reduction amount of $10.1 million is in effect against this asset. As of Dec. 31, 2017, the reported DSC and occupancy were 1.36x and 79.1%, respectively. S&P expects a moderate loss upon this asset's eventual resolution. RATING LOWERED J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 Commercial mortgage pass-through certificates series 2012-LC9 Rating Class To From G B+ (sf) BB- (sf) RATINGS AFFIRMED J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 Commercial mortgage pass-through certificates series 2012-LC9 Class Rating A-3 AAA (sf) A-4 AAA (sf) A-5 AAA (sf) A-SB AAA (sf) A-S AAA (sf) B AA (sf) C A+ (sf) EC A+ (sf) D A- (sf) E BBB (sf) F BB+ (sf) X-A AAA (sf) X-B A+ (sf) JP MORGAN 2014-C25: Fitch Affirms B-sf Rating on 2 Tranches ----------------------------------------------------------- Fitch Ratings has affirmed 19 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust Commercial mortgage Pass-Through Certificates Series 2014-C25. KEY RATING DRIVERS Stable Loss Expectations: The rating affirmations reflect the majority of the loans in the pool exhibiting stable performance with loss expectations in line with issuance expectations. There have been no realized losses to date. Nine loans (9.5%) have been designated Fitch Loans of Concern (FLOCs), including four specially serviced loans (1.6%), three of which (1.2%) transferred within the past year. The largest FLOC is the Hilton Houston Post Oak (3.8%) loan, which is secured by the leasehold interest in a 15-story, 448-key full-service hotel located in downtown Houston, TX, that experienced a performance decline related to the slumping Houston energy sector and the softened lodging market in the aftermath of Hurricane Harvey, which made landfall in August 2017. The other FLOCs include a shopping center in Hummelstown, PA, that is losing its largest tenant, Kmart (47.4% of NRA), in March 2019, a shopping center in Decatur, IL, that experienced significant occupancy decline following the loss of several tenants, a portfolio of two hotels near Corpus Christi, TX, that were heavily damaged from Hurricane Harvey and remain closed, and a flex/R&D property in Tulsa, OK, with significant imminent lease roll. The four loans in special servicing include three loans secured by hotels that suffered deteriorating performance due to the declining Houston energy sector or flag-related issues, as well as a shopping center that lost its grocery anchor. Fitch Ratings will continue to monitor all FLOCs. Minimal Change to Credit Enhancement: As of the September 2018 distribution date, the pool's aggregate principal balance was reduced by only 2.7% to $1.152 billion from $1.184 billion at issuance. No loans have paid off since issuance. Four loans (7.1%) are fully defeased, including two loans in the top 15 (4.9%). Eight loans (25.3% of current pool), including three loans in the top five, are full-term interest-only, while 10 loans (23.6%) remain in partial interest-only periods. Based on the scheduled balance at maturity, the pool will pay down by 10.6%, which is below the average for transactions of a similar vintage. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario, which assumed a potential outsized loss of 25% on the Mall at Barnes Crossing and Market Center Tupelo loan, while also factoring in the expected paydown of the transaction from defeased loans. The rating affirmations incorporate this scenario analysis. ADDITIONAL CONSIDERATIONS Pool Concentrations: The largest property type concentration is office (40.9%), followed by retail (26.7%), multifamily (11.7%) and hotel (10.6%) properties. Loans backed by retail properties include four loans (15.8%) in the top 15, two of which are regional malls (12.0%): the third largest loan, Grapevine Mills (6.3%), which is secured by a 1.3 million-sf super regional mall located in Grapevine, TX, and the fourth largest loan, Mall at Barnes Crossing and Market Center Tupelo (5.7%), which is secured by a 629,757-sf regional mall and strip shopping center located in Tupelo, MS, that has had weak tenant sales. Performance at these malls has been relatively in line with issuance expectations; however, Fitch continues to monitor this asset type in light of changing consumer trends and continued store closures. In addition, three loans (5.2%) secured by Texas hotel properties have been designated FLOCs due to deteriorating performance caused by the declining energy sector (4.4%) or significant damage from Hurricane Harvey (0.8%). Maturity Schedule: Loan maturities are concentrated in 2024 (87.3%), with limited maturities scheduled in 2019 (10.3%), 2021 (1.3%) and 2025 (1.1%). RATING SENSITIVITIES The Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's portfolio-level metrics. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the following classes: -- $6.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $109.5 million class A-2 at 'AAAsf'; Outlook Stable; -- $14.4 million class A-3 at 'AAAsf'; Outlook Stable; -- $190.0 million class A-4A1 at 'AAAsf'; Outlook Stable; -- $85.0 million class A-4A2 at 'AAAsf'; Outlook Stable; -- $307.9 million class A-5 at 'AAAsf'; Outlook Stable; -- $84.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $90.3 million class A-S at 'AAAsf'; Outlook Stable; -- $51.8 million class B at 'AA-sf'; Outlook Stable; -- $42.9 million class C at 'A-sf'; Outlook Stable; -- $185.0 million class EC at 'A-sf'; Outlook Stable; -- $78.5 million class D at 'BBB-sf'; Outlook Stable; -- $28.1 million class E at 'BB-sf'; Outlook Stable; -- $11.8 million class F at 'B-sf'; Outlook Stable; -- $887.5 million class X-A* at 'AAAsf'; Outlook Stable; -- $51.8 million class X-B* 'AA-sf'; Outlook Stable; -- $78.5 million class X-D* at 'BBB-sf'; Outlook Stable; -- $28.1 million class X-E* at 'BB-sf'; Outlook Stable; -- $11.8 million class X-F* at 'B-sf'; Outlook Stable. * Notional amount and interest-only. The class A-S, B, and C certificates may be exchanged for class EC certificates, and the class EC certificates may be exchanged for up to the full certificate principal amount of the class A-S, B and C certificates. The class A-4A2, D, E, F, NR and BNB certificates and the interest-only class X-C, X-D, X-E, X-F and X-NR certificates are privately placed and pursuant to Rule 144A. The rating on the interest-only class X-C certificates was previously withdrawn. Fitch does not rate the class NR or the interest-only class X-NR certificates. Fitch also does not rate the rake class BNB certificates, which will only receive distributions from, and will only incur losses with respect to, the non-pooled component of the BankNote Building mortgage loan. JP MORGAN 2017-FL11: DBRS Confirms BB(low) Rating on Class E Certs ------------------------------------------------------------------ DBRS Limited changed the trends to Positive from Stable on Commercial Mortgage Pass-Through Certificates, Series 2017-FL11, Class B and Commercial Mortgage Pass-Through Certificates, Series 2017-FL11, Class C issued by J.P. Morgan Chase Commercial Mortgage Securities Trust 2017-FL11. DBRS also confirmed the ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-FL11 as follows: -- Class A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (sf) -- Class D at BBB (high) (sf) -- Class E at BB (low) (sf) All trends are Stable, with the exceptions of Classes B and C. The rating confirmations reflect the overall stable performance exhibited since issuance; the Positive trends for Classes B and C reflect the increased credit support to the bonds as a result of successful loan repayment. As of the September 2018 remittance, five of the original six loans remain in the trust with an aggregate principal balance of $386.6 million, representing a collateral reduction of 22.2% since issuance due to loan repayment. With the August 2018 remittance, the largest loan at issuance, the Eagle Hotel Portfolio (22.2% of the issuance trust balance), repaid in full with principal proceeds of $110.0 million to the trust. To date, all loans have reported updated net cash flow (NCF) figures since issuance, with the most recent figures ending in either Q1 2018 or Q2 2018. However, only two of the loans (44.7% of the current pool balance) reported full-year financials, while the remaining three loans (55.3% of the current pool balance) reported partial-year financials. Generally, performance has been positive, with the most recent financials reflecting weighted-average (WA) NCF growth of 13.1% over the WA DBRS NCF figure derived at issuance. In addition to being concentrated by loan size, the pool is also concentrated by property type, as two loans (44.7% of the current pool balance) are secured by hotel properties, while the remaining three loans (55.3% of the current pool balance) are secured by office properties. However, all loans benefit from properties located in core suburban markets. As of the September 2018 remittance, there was one loan, representing 17.7% of the current pool balance, on the servicer's watch list. The Hyatt Regency Jacksonville Riverfront loan (Prospectus ID#5) was added to the watch list in January 2018, as the property was affected by Hurricane Irma in September 2017. DBRS was aware that the property was closed at issuance; however, the property has since reopened and recently reported a Q1 2018 trailing 12 months NCF in line with the DBRS NCF derived at issuance. At issuance, DBRS shadow-rated one loan, Cooper Hotel Portfolio (Prospectus ID#2; representing 28.4% of the current pool balance), investment grade. With this review, DBRS confirms that the performance of the loan remains consistent with the investment-grade shadow rating. JPMBB COMM'L 2015-C32: DBRS Confirms B Rating on Class E Certs -------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2015-C32 issued by JPMBB Commercial Mortgage Securities Trust 2015-C32: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (sf) -- Class B at AA (low) (sf) -- Class X-C at A (sf) -- Class C at A (low) (sf) -- Class EC at A (low) (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (sf) -- Class G at B (low) (sf) All trends are Stable. The rating confirmations reflect the overall performance of the transaction, which has remained in line with DBRS's expectations since issuance. As of the September 2018 remittance, there has been a collateral reduction of 3.9% as a result of scheduled amortization. There are two loans that are fully defeased, representing 3.2% of the current pool balance. Loans representing 95.2% of the current pool balance have reported year-end (YE) 2017 financials, and according to those statements, those loans had a weighted-average (WA) debt-service coverage ratio (DSCR) and WA debt yield of 1.45 times (x) and 10.0%, respectively. Comparatively, the DBRS WA DSCR and WA debt yield for the pool at issuance were 1.37x and 8.8%, respectively. The largest 15 loans, excluding defeasance collateral, represent 53.1% of the current pool balance. Based on the YE2017 financials, those loans reported a WA net cash flow growth of 3.4% over the DBRS issuance figures, and a WA DSCR and WA debt yield of 1.31x and 8.86%, respectively. At issuance, DBRS shadow-rated the U-Haul Portfolio Loan (Prospectus ID#5, 3.4% of the current pool balance) as investment grade. DBRS confirmed that the performance of the loan remains consistent with investment-grade loan characteristics. As of the September 2018 remittance, there are ten loans on the servicer's watch list, representing 16.4% of the current pool balance, including two loans in the top 15. Prospectus ID#1 – Hilton Suites Chicago Magnificent Mile (6.7% of the current pool balance) was flagged for a depressed DSCR as a result of ongoing renovations at the subject that were anticipated at issuance; however, an increase in supply in the market likely has had a negative effect on performance as well. The majority of the watch listed loans are being monitored for performance-related reasons, driven by cash flow declines, and DBRS applied a stressed cash flow to reflect the current performance of the subject properties as deemed appropriate. There are no loans in special servicing. Classes X-A, X-B, X-C and X-D are interest-only (IO) certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. KAYNE CLO II: Moody's Assigns Ba3 Ratings on $24MM Class E Notes ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Kayne CLO II, Ltd. Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$43,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$20,600,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$24,400,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$24,000,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned Ba3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Kayne CLO II is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 95.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 5.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 75% ramped as of the closing date. Kayne Anderson Capital Advisors, L.P. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2809 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% 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. L STREET 2017-PM1: Fitch Rates 2 Tranches 'Bsf' ----------------------------------------------- Fitch Ratings has rated PennyMac's L Street Securities, Series 2017-PM1 as follows: -- $111,287,000 class M-1 notes 'BBBsf'; Outlook Stable; -- $445,150,000 class M-2 notes 'Bsf'; Outlook Stable; -- $89,030,000 class M-2A exchangeable notes 'BBB-sf'; Outlook Stable; -- $189,189,000 class M-2B exchangeable notes 'BBsf'; Outlook Stable; -- $166,931,000 class M-2C exchangeable notes 'Bsf'; Outlook Stable. Fitch does not rate the following classes: -- $21,478,492,526 class A-H reference tranche; -- $111,288,000 class B-1 certificates; -- $111,287,682 class B-2 certificates; -- $22,257,505,209 class X-IO notional certificates. Fitch Ratings has rated the class M-1, and M-2 notes, for PennyMac's first rated credit-risk transfer (CRT) transaction, L Street Securities, Series 2017-PM1 (LSS 2017-PM1). Fitch also has rated the M-2A, M-2B and M-2C exchangeable classes, which are described in more detail in Appendix D. This transaction will be issued by PMTT4. This transaction is similar to JPMorgan Chase's L Street Securities, Series 2015-CH1 program, in which private investors share credit risk with Fannie Mae. Fitch rated two of JPMorgan's private label CRT transactions in 2014 and 2015. The transaction will simulate the behavior of an approximately $22.26 billion pool of PennyMac-originated agency mortgage loans that will secure multiple Fannie Mae-guaranteed mortgage-backed securities (MBS). The bonds are issued from a special-purpose trust whose security interest consists of the cash collateral account (CCA), an interest account and a retained interest-only (IO) strip. Interest will be paid from the interest account as well as the IO strip, while principal will be paid from the CCA. Payments will be made to Fannie Mae when certain recourse events occur, which are defined. Upon the occurrence of a recourse event, a payment will be made to Fannie Mae from amounts in the CCA, based on a fixed Loss Severity (LS) schedule, until cumulative losses from recourse obligations total 3.50% of the initial mortgage pool balance. If losses exceed this 3.50% threshold, Fannie Mae will absorb any subsequent losses. The notes will be issued as LIBOR-based floaters, subject to an available funds cap, and carry a 10-year legal final maturity. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high-quality mortgage loans originated by PennyMac between May 1, 2016 and May 1, 2018 and sold to Fannie Mae. The reference pool consists of two groups of loans, with group I consisting of loans with loan-to-value (LTV) ratios greater than or equal to 60% and less than or equal to 80%, and group II consisting of loans with LTV ratios greater than 80% and less than or equal to 97%. Overall, the reference pool's collateral characteristics are consistent with those referenced in Fannie Mae's credit risk transfer transactions. Fixed Loss Severity Schedule (Positive): The transaction's fixed LS schedule is a positive feature as it reduces uncertainty that may be driven by future changes in Fannie Mae's loss mitigation or loan modification policies and offers investors greater protection against natural disaster events where properties are severely damaged and there is limited or no recourse to insurance. If the actual loan loss severity is above the set schedule, Fannie Mae absorbs the higher losses. Both group I and group II have a distinct fixed LS schedule. Ratings Linked to Counterparty (Neutral): Principal will be paid to the M-1 and M-2 notes (class M Notes), and to the B-1 and B-2 certificates from amounts on deposit in the CCA, which will be established by the issuer, PMTT4. The initial balance of the CCA will equal the initial unpaid principal balance (UPB) of the class M-1 and M-2 notes and the initial UPB of the B-1 and B-2 certificates, and will be held in cash at an eligible account in Wells Fargo Bank, N.A. (Wells Fargo; AA-/Stable). Due to the dependence of the funds in the account to make payments on the bonds, there is excessive counterparty risk that results in a credit linkage between Fitch's ratings on the bonds and the long-term IDR of Wells Fargo, the account bank holder. In addition, because the retained IO strip is secured by g-fee payments made by Fannie Mae, the ratings of the notes are linked to that of Fannie Mae (AAA/Stable). Given the structure and counterparty dependence on Fannie Mae and Wells Fargo (the account bank holder), Fitch's ratings on the M-1 and M-2 notes are based on the lower of: the quality of the reference pool and CE available through subordination; Fannie Mae's Issuer Default Rating (IDR) (AAA/Stable); or Wells Fargo's IDR. Fitch will monitor the counterparty risk as part of its periodic surveillance reviews of the transaction. Hazard Risk and Disaster Areas (Neutral): Fannie Mae will provide relief for properties affected by hurricanes and natural disasters and therefore, loans will not be deemed a credit event if granted hurricane relief unless the mortgage becomes 180 days delinquent after a period of time following relief. As of the cut-off date, 43 loans in the pool have been granted hurricane relief related to hurricanes Harvey and Irma. 10-Year Maturity (Positive): The class M notes and class B certificates benefit from a 10-year legal final maturity. As a result, any collateral losses on the mortgage pool that occur beyond year 10 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 10-year hard maturity window in its default analysis and applied a reduction to its lifetime default expectations. Sequential Pay Structure (Positive): Monthly payments of principal to the class M notes will simulate the behavior and credit risk of the loans sold to and collateralizing the Fannie Mae MBS with principal paid on a sequential-pay basis (full lockout to the most subordinated class outstanding of both scheduled and unscheduled principal). Proceeds from the CCA will be released to make principal payments to the class M notes while interest payments will be made from monthly payments received on the retained IO Strip (class X-IO) and other amounts available in the Interest Account. The retained IO Strip is the redirected Fannie Mae guarantee-fee (g-fee) of 30.5 basis points (bps). The pledged g-fee will be used to pay interest on the bonds with the remainder distributed to the class B-2 certificates prior to the 10-year legal maturity, and then to the class X-IO holder at the bottom of the waterfall. Any excess interest is maintained and invested in the interest account. The Class X-IO certificates will not be entitled to any interest accrual or payments until after the maturity of the notes and B certificates and will not be entitled to payments of principal. Recourse Events and Write-Downs (Neutral): The CCA will be pledged to secure recourse payments to Fannie Mae up to a recourse obligation of 3.50% of the original UPB. Funds will be available to pay principal payments on the class M notes sequentially, to the extent available, after recourse event payments are made to Fannie Mae. Once losses from recourse obligations exceed 3.50% of the original UPB, Fannie Mae will absorb any subsequent losses. None of the retained IO strip or interest account will be pledged or available to Fannie Mae to satisfy the recourse obligation. Write-downs to the bonds as a result of recourse event losses (until the 3.50% threshold is breached) will reduce the balance of the notes and certificates, in reverse order of the priority of payments, sequentially, with the class B-2 certificates taking losses first. Solid Lender Review and Acquisition Processes (Positive): PennyMac is seen as meeting industry standards needed to aggregate and securitize residential mortgage loans, and has an 'Average' aggregator assessment from Fitch. The assessment reflects PennyMac's experienced leadership team that has substantial experience operating large mortgage platforms, its robust technology and risk management framework, and aggressive growth. Low Operational Risk (Positive): Operational risk is well-controlled for in this transaction. All of the loans in the securitization pool were originated to safe harbor QM rules (GSE patch) and reviewed for eligibility through both PennyMac's and Fannie Mae's processes. PennyMac has an effective review process for these loans and this is coupled with Fannie Mae's best-in-class operational framework and controls. The due diligence sample of 15% is significantly higher than other GSE CRT transactions, and the results of the review confirm high origination quality. The transaction is supported by Fannie Mae's standard representation and warranty and enforcement (RW&E) requirements contained in its mortgage selling and servicing contracts and selling and servicing guides. PennyMac's financial condition was reviewed by Fitch and no adjustment was made to Fitch's expected loss levels. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected sMVD of 8.1% at the base case. As shown in the table to the right, the analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton Services, LLC. The third-party due diligence described in Form 15E focused on a compliance review, credit review and valuation review. The due diligence company performed a review on a sample of 12,977 loans (approximately 15% of the pool). Fitch believes the overall results of the review generally reflected strong underwriting controls. LCM XXI: S&P Affirms BB- Rating on Class E-R Notes -------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class C-R and D-R replacement notes from LCM XXI L.P./LCM XXI LLC, a collateralized loan obligation (CLO) originally issued in 2016 that is managed by LCM Asset Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The currently outstanding class A-R, B-R, and E-R notes are unaffected by this proposed amendment. The preliminary ratings are based on information as of Oct. 17, 2018 and reflect S&P's opinion that the credit support available is commensurate with the associated rating level. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 22, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original class C and D notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original refinanced notes and assigning ratings to the new replacement notes, as well as affirming our rating on the class A-R, B-R, and E-R notes. However, if the refinancing doesn't occur, we may affirm the ratings on the existing notes and withdraw our preliminary ratings on the replacement notes." CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate (%) (%) (%) (%) C-R 28.00 LIBOR + 2.00 59.28 48.14 11.14 D-R 18.90 LIBOR + 2.80 53.80 42.49 11.31 BDR--Break-even default rate. SDR--Scenario default rate. 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 rating assigned to the note remains consistent with the credit enhancement available to support it, and we will take further rating action as we deem necessary." PRELIMINARY RATINGS ASSIGNED LCM XXI L.P./LCM XXI LLC Replacement class Rating Amount (mil. $) C-R A (sf) 28.00 D-R BBB (sf) 18.90 OTHER OUTSTANDING RATINGS LCM XXI L.P./LCM XXI LLC Class Rating A-R AAA (sf) B-R AA (sf) E-R BB- (sf) Subordinate notes NR NR--Not rated. MELLO MORTGAGE 2018-MTG2: Moody's Gives (P)B1 Rating on B5 Debt --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to residential mortgage-backed securities issued by Mello Mortgage Capital Acceptance 2018-MTG2. The ratings range from (P)Aaa (sf) to (P)B1 (sf). MELLO 2018-MTG2 is the second transaction entirely backed by loans originated by loanDepot.com, LLC (loanDepot). MELLO 2018-MTG2 consists of prime jumbo loans underwritten to loanDepot's underwriting guidelines and high balance GSE-eligible loans underwritten to Freddie Mac or Fannie Mae guidelines with loanDepot overlays. All of the loans are designated as qualified mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to- Repay (ATR) rules. Cenlar FSB will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. loanDepot will be the servicing administrator and responsible for servicer advances, with the master servicer stepping in if loanDepot cannot fulfill its obligation to advance scheduled principal and interest. MELLO 2018-MTG2 is a securitization of 396 first-lien, 30-year, fixed-rate prime residential mortgage loans. The pool consists of 111 GSE-eligible high balance (20.9% by loan balance) and 285 prime jumbo (79.1% by loan balance) mortgage loans. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. The complete rating actions are as follows: Issuer: Mello Mortgage Capital Acceptance 2018-MTG2 Cl. A1, Assigned (P)Aaa (sf) Cl. A2, Assigned (P)Aaa (sf) Cl. A3, Assigned (P)Aaa (sf) Cl. A4, Assigned (P)Aaa (sf) Cl. A5, Assigned (P)Aaa (sf) Cl. A6, Assigned (P)Aaa (sf) Cl. A7, Assigned (P)Aaa (sf) Cl. A8, Assigned (P)Aaa (sf) Cl. A9, Assigned (P)Aa1 (sf) Cl. A10, Assigned (P)Aa1 (sf) Cl. A11, Assigned (P)Aaa (sf) Cl. A12, Assigned (P)Aaa (sf) Cl. A13, Assigned (P)Aaa (sf) Cl. A14, Assigned (P)Aaa (sf) Cl. A15, Assigned (P)Aaa (sf) Cl. A16, Assigned (P)Aaa (sf) Cl. A17, Assigned (P)Aaa (sf) Cl. A18, Assigned (P)Aaa (sf) Cl. A19, Assigned (P)Aaa (sf) Cl. A20, Assigned (P)Aaa (sf) Cl. A21, Assigned (P)Aaa (sf) Cl. A22, Assigned (P)Aaa (sf) Cl. A23, Assigned (P)Aaa (sf) Cl. A24, Assigned (P)Aaa (sf) Cl. A25, Assigned (P)Aaa (sf) Cl. A26, Assigned (P)Aaa (sf) Cl. B1, Assigned (P)Aa3 (sf) Cl. B2, Assigned (P)A2 (sf) Cl. B3, Assigned (P)Baa2 (sf) Cl. B4, Assigned (P)Ba2 (sf) Cl. B5, Assigned (P)B1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.40% in a base scenario and reaches 5.75% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Its final loss estimates also incorporate adjustments for origination quality and the financial strength of Representation & Warranty (R&W) provider. Moody's bases its provisional ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the originator, the servicer and the master servicer, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description MELLO 2018-MTG2 is a securitization of a pool of 396 fully-amortizing mortgage loans with a total balance of $293,293,147 as of the cut-off date, with a weighted average (WA) original term to maturity of 360 months, and a WA seasoning of 2 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA primary borrower original FICO score is 775 and the WA original combined loan-to-value ratio (CLTV) is 73.5%. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed by 30-year mortgage loans that Moody's has rated. Third-party Review and Reps & Warranties Two third party review (TPR) firms, Clayton Services LLC and Opus Capital Markets Consultants LLC, verified the accuracy of the loan-level information that the sponsor gave us. These firms conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no material appraisal defects. Moody's increased its loss levels to account for weakness in the overall R&W framework due to the financial weakness of the R&W provider and the lack of a repurchase mechanism for loans experiencing an early payment default. The R&W provider and the guarantor are both loanDepot entities, which may not have the financial wherewithal to purchase defective loans. Moreover, unlike other prime jumbo transactions that Moody's has rated, the R&W framework for this transaction does not include a mechanism whereby loans that experience an early payment default (EPD) are repurchased. However, the results of the independent due diligence review revealed a high level of compliance with underwriting guidelines and regulations, as well as overall strong valuation quality. These results give us a clear indication that the loans most likely do not breach the R&Ws. Also, the transaction benefits from unqualified R&Ws and an independent breach reviewer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a credit enhancement floor of 2.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. The subordinate bonds also benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to 1.50% of the initial pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Exposure to Extraordinary Expenses Certain extraordinary trust expenses (such as fees paid to the reviewer, servicing transfer costs) in the MELLO 2018-MTG2 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $350,000 per year) are deducted from the available distribution amount. Moody's believes there is a very low likelihood that the rated certificates in MELLO 2018-MTG2 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. Furthermore, the issuer has disclosed the results of a credit, valuation and compliance review covering all of the mortgage loans by an independent third party. Finally, Moody's sized its credit enhancement assuming some losses on the collateral owing to extraordinary expenses. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. MERRILL LYNCH 2004-BPC1: Fitch Hikes Class F Certs Rating to D -------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed nine classes of Merrill Lynch Mortgage Trust (MLMT), commercial mortgage pass-through certificates, series 2004-BPC1. KEY RATING DRIVERS Increased Credit Enhancement: The upgrade of class E reflects increased credit enhancement as a result of continued loan amortization. As of the October 2018 distribution date, the pool's aggregate principal balance has been reduced by 98.7% to $15.7 million from $1.24 billion at issuance. Stable Performance: Pool performance has remained stable since Fitch's last rating action. Fitch does not expect the remaining three loans in the pool to incur losses due to their low leverage. The largest loan, Courtyard Dulles Town Center (51.1% of pool), is secured by a 157-key limited service hotel property located in Sterling, VA. The property recently completed a $1.6 million room and corridor refresh/renovation project in December 2017. As of the August 2018 STR report, the property reported an occupancy, average daily rate (ADR) and revenue per available room (RevPAR) of 73.3%, $114.84 and $84.17, respectively for the 12 months ending Aug. 31, 2018. The property outperforms its competitive set in terms of ADR and RevPAR with penetration rates of 109.6% and 103.5%, respectively. The servicer-reported year-end (YE) 2017 net operating income debt service coverage ratio (NOI DSCR) was 1.29x, compared with 1.35x at YE 2016. The outstanding loan per key is low at $51,204. The second largest loan, Villas del Lago (47%), is secured by a 288-unit multifamily property located in Miami, FL. While property-level NOI has declined year-over-year since 2013 due to increasing expenses, occupancy has remained strong. Occupancy as of June 2018 increased to 100% from 98.6% in July 2017. YE 2017 NOI DSCR was 1.53x, compared with 1.60x at YE 2016. The outstanding loan per unit is low at $25,753. The smallest loan, Wesco Air Industrial Building (2%), is secured by a single-tenanted industrial property located in Valencia, CA that has been fully occupied by Wesco Aircraft Hardware Corp. since issuance. Although the single tenant's lease expires at the end of September 2019, which is co-terminous with the loan's Oct. 1, 2019 maturity, the outstanding loan psf is only $2. Significant Upcoming Loan Maturities: Two loans representing 53% of the pool are scheduled to mature in 2019. The largest loan, Courtyard Dulles Town Center (51% of pool) matures in September 2019 and the smallest loan, Wesco Air Industrial Building (2%) matures in October 2019. The remaining loan (47%), Villas del Lago, matures in October 2022. Concentrated Pool: The pool is highly concentrated with only three loans remaining. The rating of class E was capped at 'BBBsf' to reflect the pool concentration and the collateral quality of the remaining loans. RATING SENSITIVITIES No further rating changes are expected due to the concentrated nature and collateral quality of the remaining pool. The Stable Outlook for class E reflects expected continued paydowns from continued loan amortization and two upcoming 2019 loan maturities 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 upgraded the following class: -- $8.7 million class E to 'BBBsf' from 'Bsf'; Outlook Stable. Fitch has affirmed the following classes: -- $7.0 million class F at 'Dsf'; RE 100%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%. The class A1 through D certificates have paid in full. Fitch does not rate the class Q certificates. Fitch previously withdrew the ratings on the interest-only class XC and XP certificates. ML-CFC COMMERCIAL 2006-4: Moody's Affirms C Rating on 2 Tranches ---------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on three classes in ML-CFC Commercial Mortgage Trust 2006-4, Commercial Mortgage Pass-Through Certificates, Series 2006-4 as follows: Cl. C, Affirmed Caa2 (sf); previously on Oct 27, 2017 Affirmed Caa2 (sf) Cl. D, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) Cl. XC, Affirmed C (sf); previously on Oct 27, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings on the P&I Classes, Cl. C and Cl. D, were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. The rating on the IO class, Cl. XC, was affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 51.8% of the current pooled balance, compared to 35.3% at Moody's last review. Moody's base expected loss plus realized losses is now 9.7% of the original pooled balance, compared to 9.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating ML-CFC Commercial Mortgage Trust 2006-4, Cl. C and Cl. D was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating ML-CFC Commercial Mortgage Trust 2006-4, Cl. XC were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 91% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the October 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $55.7 million from $4.52 billion at securitization. The certificates are collateralized by eight mortgage loans ranging in size. Sixty-four loans have been liquidated from the pool with losses, resulting in an aggregate realized loss of $408 million (for an average loss severity of 47%). Five loans, constituting 91.2% of the pool, are currently in special servicing. The largest specially serviced loan is the Elm Ridge Center loan ($28.7 million -- 51.5% of the pool), which is secured by 481,000 square feet (SF) anchored retail center located in Greece, New York. The loan is in the foreclosure process and had an original maturity date in May 2016. The property is currently only 40% occupied, compared to 67% in August 2017. The anchor Sam's Club (27% of NRA) closed in January 2018. As of March 2018, the property was apprised for $13.5 million and the servicer has recognized a $17.2 million appraisal reduction. The second largest specially serviced loan is the Prospect Square Loan ($13.5 million -- 24.4% of the pool), which is secured by a leasehold interest in a mixed-use property consisting of 12,040 SF of office and 21,285 SF of retail space located in San Diego, California. The asset transferred to special servicing in November 2016 due to imminent maturity default (the original maturity date was December 2016). The Borrower indicated they were unable to refinance due to the underlying ground lease that runs through August 2037. The loan current status is in foreclosure. The property was 77.6% occupied as of June 2018 , compared to 81.5% in July 2017. As of March 2018, the property was apprised for $11.8 million and the servicer has recognized $4.5 million appraisal reduction. The remaining three specially serviced loans are secured by a mix of property types. Moody's estimates an aggregate $28.9 million loss for the specially serviced loans (57% expected loss on average). The three performing loans represent 8.8% of the pool balance. The largest performing loan the Superior Super Warehouse - Chino Loan ($2.2 million -- 3.9% of the pool), which is secured by a free standing retail property located in Chino, California, approximately 35 miles east of downtown Los Angeles. The property was 100% occupied as of March 2018, the same as of June 2017. The loan is fully-amortizing, has amortized by 70% since securitization and matures in October 2021. Moody's LTV and stressed DSCR are 23% and greater than 4.00X, respectively. The second largest performing loan is the Stone Ridge Apartments Loan ($1.6 million -- 2.8% of the pool), which is secured by a 70-unit garden style multifamily located in Chattanooga, Tennessee. The property was 89% occupied as of June 2018 compared to 97% as of September 2015. The loan has amortized 18% since securitization and matures in September 2024. Moody's LTV and stressed DSCR are 90% and 1.11X, respectively. The third largest performing loan is the Superior Super Warehouse - Corona Loan ($1.2 million -- 2.1% of the pool), which is secured by a free standing retail property located in Corona, California. The property has been 100% occupied since securitization. The loan is fully-amortizing, has amortized by 70% since securitization and matures in October 2021. Moody's LTV and stressed DSCR are 23% and greater than 4.00X, respectively. ML-CFC COMMERCIAL 2007-5: Moody's Affirms C Rating on Class X Certs ------------------------------------------------------------------- Moody's Investors Service has affirmed the rating on three classes in ML-CFC Commercial Mortgage Trust 2007-5, Commercial Mortgage Pass-Through Certificates, 2007-5 as follows: Cl. AJ, Affirmed Caa2 (sf); previously on Oct 5, 2017 Downgraded to Caa2 (sf) Cl. AJ-FL, Affirmed Caa2 (sf); previously on Oct 5, 2017 Downgraded to Caa2 (sf) Cl. X, Affirmed C (sf); previously on Oct 5, 2017 Affirmed C (sf) RATINGS RATIONALE The ratings on Cl. AJ and Cl. AJ-FL, were affirmed because the ratings are consistent with Moody's expected loss plus realized losses. These pro-rata classes have each experienced realizes losses of 6.1% as a result of previously liquidated loans. The rating on the IO class, Cl. X, was affirmed based on the credit quality of its referenced classes. Moody's rating action reflects a base expected loss of 45.0% of the current pooled balance, compared to 34.3% at Moody's last review. Moody's base expected loss plus realized losses is now 13.0% of the original pooled balance. 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 ML-CFC Commercial Mortgage Trust 2007-5, Cl. AJ and Cl. AJ-FL was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating ML-CFC Commercial Mortgage Trust 2007-5, Cl. X 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 93% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the September 14, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 97% to $118.4 million from $4.42 billion at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from less than 1% to 24% of the pool. There are currently no loans on the master servicer's watchlist. Seventy three loans have been liquidated from the pool, resulting in an aggregate realized loss of $521 million (for an average loss severity of 58%). Eight loans, constituting 93.0% of the pool, are currently in special servicing. The largest specially serviced loan is the Woodhill Circle Plaza Loan ($28.6 million -- 24.1% of the pool), which is secured by a 342,000 square foot (SF) retail property located in Lexington, Kentucky. The property was 82% occupied as of August 2018. The occupancy had been in the 90% range from 2013 to 2015 until the move-theater operator Cinemark vacated in 2016. The loan transferred to special servicing in October 2015 due to imminent monetary default. The loan matured in March 2017 and foreclosure was completed in November 2017. The second largest specially serviced loan is the Renaissance Victorville Shopping Center II Loan ($21.2 million -- 17.9% of the pool), which is secured by a 133,000 SF retail property located in Victorville, California approximately 40 miles north of San Bernardino. The property is anchored by Food 4 Less, 24-Hour Fitness, and Rite Aid and was 89% leased as of August 2018 compared to 100% leased as of August 2017. The loan transferred to special servicing in May 2017 due to maturity default. The loan is in the foreclosure process and the borrower filed Chapter 11 bankruptcy protection in May 2018. The third largest specially serviced loan is the 3191 Broadbridge Avenue Loan ($15.7 million -- 13.3% of the pool), which is secured by a 141,000 SF office building located in Stratford, Connecticut. Current occupancy as of August 2018 was only 3%. The occupancy level had been stable around 93% until the largest tenant (124,941 SF) vacated in September 2017 at their lease expiration. The loan became REO in April 2018. The remaining specially serviced loans are secured by a mix of office and retail properties. Moody's estimates an aggregate $50 million loss for the specially serviced loans (45% expected loss on average). There are only four non-specially serviced loans, representing 7.0% of the pool. The largest performing loan is the Coca-Cola Distribution Center Loan ($5.3 million -- 4.5% of the pool), which is secured by a 75,000 SF single-story industrial warehouse property located in Sarasota, Florida. This property is 100% occupied by the Coca-Cola Company on a long term triple-net lease with a lease expiration in September 2021. The loan was initially interest only but passed its anticipated repayment date (ARD) in March 2017. The loan has now amortized by 7.7% since securitization. Due to the single tenant exposure, Moody's value incorporated a dark/lit analysis. Moody's LTV and stressed DSCR are 105% and 0.93X, respectively, compared to 111% and 0.88X at the last review. MORGAN STANLEY 2016-BNK2: Fitch Affirms B- Rating on Cl. EF Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2016-BNK2. KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the overall stable performance and loss expectations with no material changes to pool metrics since issuance. There are no delinquent loans and no loans have transferred to special servicing. Fitch designated one loan (10.1% of pool), the largest loan, as a Fitch Loan of Concern due to a recent tenant vacancy. Minimal Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. As of the September 2018 distribution date, the pool's aggregate balance has been reduced by 1.4% to $715.1 million from $725.6 million at issuance. All original 40 loans remain in the pool. ADDITIONAL CONSIDERATIONS Fitch Loan of Concern: The largest loan, 101 Hudson Street (10.1% of pool), which is secured by a 1.3 million sf office property located in downtown Jersey City, NJ, was designated a FLOC due to significant occupancy declines since issuance. The property was 68.6% occupied as of May 2018, down from 85.1% (although 98.3% leased) in September 2016, around the time of issuance. Fitch's analysis at issuance accounted for two tenants with partial dark space at the property, including the second-largest tenant, National Union Fire Insurance (previously 20% NRA), which subsequently vacated at its April 2018 lease expiration. Per servicer updates, the borrower is actively marketing the vacant space. Retail Concentration: Loans secured by retail properties comprise 41% of the pool, including two of the three largest loans in the pool. Harlem USA (9.5% of pool), the second-largest loan in the pool, is secured by a 245,849 sf retail property located on West 125th Street between St. Nicholas Avenue and Frederick Douglas Boulevard in Harlem. Larger tenants include a nine-screen Magic Johnson Theater (27.7% NRA), Old Navy (14.2% NRA), and K&G Fashion Superstore (9.5% NRA). Performance has been relatively in-line with issuance levels. Cole Retail Portfolio (6.5% of pool), the third-largest loan in the pool, is secured by a portfolio of three cross-collateralized power centers totaling 544,503 sf; Lawton Marketplace located in Lawton, OK; Shops at Abilene located in Abilene, TX and Houma Crossing located in Houma, LA. Larger tenants in the portfolio include Academy Sports (11.4% portfolio NRA), which is located at Lawton Marketplace, Hobby Lobby (10.4% portfolio NRA), which is located at Houma Crossing and Kohl's (10.2% portfolio NRA), which is also located at Houma Crossing. Portfolio performance continues to be in-line with issuance levels. Pool/Maturity Concentration: The top-10 loans comprise 60.3% of the pool. Based on the loans' scheduled maturity balances, the pool is expected to amortize 11.5% during the term. Loan maturities are concentrated in 2026 (92.3%). Eight loans (37.2% of pool) are full-term, interest-only and nine loans (23.1%) have a partial-term, interest-only component, of which two have begun to amortize. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to relatively stable performance with no material changes to pool metrics since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes: -- $21.5 million class A-1 at 'AAAsf'; Outlook Stable; -- $45.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $50.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $160 million class A-3 at 'AAAsf'; Outlook Stable; -- $194.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $52.6 million class A-S at 'AAAsf'; Outlook Stable; -- $32.7 million class B at 'AA-sf'; Outlook Stable; -- $31.9 million class C at 'A-sf'; Outlook Stable; -- $37.1 million class D at 'BBB-sf'; Outlook Stable; -- $18.1 million class E at 'BB-sf'; Outlook Stable; -- $6.9 million class F at 'B-sf'; Outlook Stable; -- $9 million class E-1 at 'BB+sf'; Outlook Stable; -- $9 million class E-2 at 'BB-sf'; Outlook Stable -- $25 million class EF at 'B-sf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- Interest-only class X-B at 'AA-sf'; Outlook Stable; -- Interest-only class X-D at 'BBB-sf'; Outlook Stable. Fitch does not rate the class G, H, F-1, F-2, G-1, G-2, H-1, H-2, EFG and RRI certificates. MORGAN STANLEY 2017-C34: Fitch Affirms B- Rating on Cl. X-F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Performance and Loss Expectations: Loss expectations remain stable, given stable pool-level performance. Collateral level performance remains in line with issuance expectations. As there have been no material changes to the pool since issuance, the original rating analysis was considered in affirming this transaction. Limited Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. The pool was securitized in October 2017 and has amortized by only 0.41%. Thirteen loans representing 42.5% of the pool are full interest-only loans and 16 loans representing 32.5% of the pool are partial interest-only loans. ADDITIONAL CONSIDERATIONS Delinquent Loan: One loan (0.54%), Philmont Industrial Building, a 122,670 sf industrial building located in Huntingdon Valley, PA is 30+ days delinquent. Per servicer reports, the borrower has made 3 delinquent payments in the last 12 months and is currently delinquent on the June and July 2018 payments. Fitch will continue to monitor the situation and provide any updates as received. Watchlisted Loans: Two loans (1.66%) are on the servicer's watchlist. The previously mentioned Philmont Industrial Building and the Harbor Walk Office Building, a 61,465 sf office building located in Fort Lauderdale, FL. The loan is on the watchlist due to its largest tenant (31% NRA), The Art Institute of Fort Lauderdale planning on vacating its space. Investment-Grade Credit Opinion Loan: The third largest loan in the pool, 237 Park Avenue (6.7% of the pool), had an investment-grade credit opinion of 'BBBsf' on a stand-alone basis at issuance. High Office Concentration: The largest property-type concentration is office at 44.6% of the pool, followed by retail at 25.2% and hospitality at 9.5%. The pool's office concentration is above historical averages for the similar vintage. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following classes and Outlooks: -- $21.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $47 million class A-2 at 'AAAsf'; Outlook Stable; -- $61.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $250 million class A-3 at 'AAAsf'; Outlook Stable; -- $313.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $77.2 million class A-S at 'AAAsf'; Outlook Stable; -- $48.6 million class B at 'AA-sf'; Outlook Stable; -- $46.1 million class C at 'A-sf'; Outlook Stable; -- $56 million class D at 'BBB-sf'; Outlook Stable; -- $24.9 million class E at 'BB-sf'; Outlook Stable; -- $11.2 million class F at 'B-sf'; Outlook Stable. -- $693.2a million class X-A at 'AAAsf'; Outlook Stable; -- $171.8a million class X-B at 'A-sf'; Outlook Stable; -- $56a million class X-D at 'BBB-sf'; Outlook Stable; -- $24.9a million class X-E at 'BB-sf'; Outlook Stable; -- $11.2 million class X-F at 'B-sf'; Outlook Stable. Fitch does not rate the class G, X-G or class VRR interest. (a) Notional amount and interest-only. MUSKOKA 2018-1: DBRS Finalizes BB Rating on Class D Notes --------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Muskoka Series 2018-1 Class B Guarantee Linked Notes (the Class B Notes), the Muskoka Series 2018-1 Class C Guarantee Linked Notes (the Class C Notes) and the Muskoka Series 2018-1 Class D Guarantee Linked Notes (the Class D Notes; and together with the Class B Notes and Class C Notes, the Notes) issued by Manitoulin USD Limited (Manitoulin or the Issuer) referencing the executed Junior Loan Portfolio Financial Guarantee (the Financial Guarantee) dated as of September 27, 2018, between Manitoulin as Guarantor and the Bank of Montreal (rated AA with a Stable trend by DBRS) as Beneficiary with respect to a portfolio of primarily U.S. and Canadian senior secured and senior unsecured loans: -- Class B Notes at A (sf) -- Class C Notes at BBB (low) (sf) -- Class D Notes at BB (sf) The ratings on the Notes address the timely payment of interest and ultimate payment of principal on or before the Scheduled Termination Date (as defined in the Financial Guarantee). The payment of the interest due to the Notes is subject to the Beneficiary's ability to pay the Guarantee Fee Amount (as defined in the Financial Guarantee). To assess portfolio credit quality, for each corporate obligor in the portfolio, DBRS relies on DBRS ratings and public ratings from other rating agencies or DBRS may provide a credit estimate, internal assessment or ratings mapping of the Beneficiary's internal ratings model. Credit estimates, internal assessments and ratings mappings are not ratings; rather, they represent an abbreviated analysis, including model-driven or statistical components of default probability for each obligor that is used in assigning a rating to the facility sufficient to assess portfolio credit quality. On the Effective Date (as defined in the Financial Guarantee), the Issuer will utilize the proceeds of the issue of the Notes to make a deposit into the Cash Deposit Accounts with the Cash Deposit Bank. DBRS may review the ratings on the Notes in the event of a downgrade of the Cash Deposit Bank below certain thresholds, as defined in the transaction documents. Following the delivery of an Enforcement Notice (as defined in the Terms and Conditions of the Notes), amounts payable will be applied in accordance with the Post-Enforcement Priority of Payments (as defined in the Terms and Conditions of the Notes), which could affect DBRS's ratings of the Notes at that time. The ratings reflect the following: (1) The Financial Guarantee dated as of September 27, 2018. (2) The integrity of the transaction structure. (3) DBRS's assessment of the portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates. Notes: The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit and Mapping Financial Institution Internal Ratings to DBRS Ratings for Global Structured Credit Transactions. NEUBERGER BERMAN XXII: S&P Assigns BB- Rating on E-R Notes ---------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, B-R, C-R, D-R, and E-R replacement notes and the new class X-R notes from Neuberger Berman CLO XXII Ltd./Neuberger Berman CLO XXII LLC, a collateralized loan obligation (CLO) originally issued in 2016 that is managed by Neuberger Berman Investment Advisers LLC. S&P withdrew its ratings on the original class A notes following payment in full on the Oct. 17, 2018, refinancing date. On the Oct. 17, 2018, refinancing date, the proceeds from the issuance of the replacement notes were used to redeem the original notes. Therefore, S&P withdrew its ratings on the original class A notes in line with their full redemption and assigned ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED Neuberger Berman CLO XXII Ltd./Neuberger Berman CLO XXII LLC Replacement class Rating Amount (mil. $) X-R AAA (sf) 3.00 A-1-R AAA (sf) 246.00 A-2-R NR 10.00 B-R AA (sf) 42.00 C-R (deferrable) A (sf) 30.00 D-R (deferrable) BBB- (sf) 24.00 E-R (deferrable) BB- (sf) 16.00 Subordinated notes NR 41.00 RATINGS WITHDRAWN Neuberger Berman CLO XXII Ltd./Neuberger Berman CLO XXII LLC Class Rating To From A NR AAA (sf) NEUBERGER BERMAN XXIII: Moody's Rates $17MM Class E-R Notes Ba3(sf) ------------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the following notes issued by Neuberger Berman CLO XXIII, Ltd. : Moody's rating actions are as follows: US$248,000,000 Class A-R Senior Secured Floating Rate Notes due 2027 (the "Class A-R Notes"), Definitive Rating Assigned Aaa (sf) US$52,000,000 Class B-R Senior Secured Floating Rate Notes due 2027 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$26,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) US$25,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2027 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$17,000,000 Class E-R Junior Secured Deferrable Floating Rate Notes due 2027 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The Refinancing Notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Neuberger Berman Investment Advisers LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 October 17, 2018 in connection with the refinancing all classes of secured notes previously issued on November 29, 2016. On the Refinancing Date, the Issuer will use the 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 non-call period; changes to certain collateral quality test and certain concentration limits; and changes to collateral quality matrix and modifiers. 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: $399,879,431 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2812 Weighted Average Spread (WAS): 3.0% Weighted Average Recovery Rate (WARR): 48.5% Weighted Average Life (WAL): 7.25 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. NEW RESIDENTIAL 2018-4: Moody's Rates Class B-4 Notes 'Ba(sf)' -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 29 classes of notes issued by New Residential Mortgage Loan Trust 2018-4. The NRMLT 2018-4 transaction is a $599.7 million securitization of first lien, seasoned performing and re-performing adjustable rate mortgage loans with weighted average seasoning of 161 months, a weighted average updated LTV ratio of 54.1% and a weighted average updated FICO score of 739. Based on the OTS methodology, 96.0% of the loans by scheduled balance have been current every month in the past 24 months. Additionally, 2.2% of the loans in the pool have been previously modified. New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing, Nationstar Mortgage LLC (Nationstar Mortgage), Wells Fargo Bank, N.A., TIAA, FSB (TIAA), Ocwen Loan Servicing LLC, and Specialized Loan Servicing, LLC will act as primary servicers. Nationstar Mortgage will act as master servicer and successor servicer and Shellpoint will act as the special servicer. Since the provisional ratings were issued, the issuer has made the following structural updates: (1) the Class A-1 and Class A-IO notes were divided into two sets of notes, the super senior Class A-1S and A1-IOS notes and senior support Class A-1M and A1-IOM notes, (2) the following exchangeable notes were removed: Class A-1A, Class A-1B, Class A-1C, Class A1-IOA, Class A1-IOB, Class A1-IOC, Class A-2, and Class A-3, and in accordance with this change the Class A-4 note was renamed Class A-2, the Class A-5 note was renamed Class A-3, and the Class A-6 note was renamed Class A-4, (3) the subordination floor increased from 1.25% to 1.75%, and (4) the note rates for certain tranches were adjusted. The complete rating action is as follows: Issuer: New Residential Mortgage Loan Trust 2018-4 Cl. A-1M, Assigned Aaa (sf) Cl. A-1S, Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aa1 (sf) Cl. A-4, Definitive Rating Assigned A1 (sf) Cl. B-1, Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Definitive Rating Assigned Aa2 (sf) Cl. B-2, Definitive Rating Assigned A1 (sf) Cl. B-2A, Definitive Rating Assigned A1 (sf) Cl. B-2B, Definitive Rating Assigned A1 (sf) Cl. B-2C, Definitive Rating Assigned A1 (sf) Cl. B-2D, Definitive Rating Assigned A1 (sf) Cl. B-3, Definitive Rating Assigned A3 (sf) Cl. B-3A, Definitive Rating Assigned A3 (sf) Cl. B-3B, Definitive Rating Assigned A3 (sf) Cl. B-3C, Definitive Rating Assigned A3 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-4A, Definitive Rating Assigned Ba1 (sf) Cl. B-4B, Definitive Rating Assigned Ba1 (sf) Cl. B-4C, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) Cl. B-5A, Definitive Rating Assigned B3 (sf) Cl. B-5B, Definitive Rating Assigned B3 (sf) Cl. B-5C, Definitive Rating Assigned B3 (sf) Cl. B-5D, Definitive Rating Assigned B3 (sf) Cl. B-7, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Its losses on the collateral pool equal 1.50% in an expected scenario and reach 9.40% at a stress level consistent with the Aaa ratings on the senior classes. Moody's based its expected losses for the pool on its estimates of (1) the default rate on the remaining balance of the loans and (2) the principal recovery rate on the defaulted balances. The final expected losses for the pool reflect the third party review (TPR) findings and its assessment of the representations and warranties (R&Ws) framework for this transaction. Also, the transaction contains a mortgage loan sale provision, the exercise of which is subject to potential conflicts of interest. As a result of this provision, Moody's increased its expected losses for the pool. To estimate the losses on the pool, Moody's used an approach similar to its surveillance approach. Under this approach, Moody's applies expected annual delinquency rates, conditional prepayment rates (CPRs), loss severity rates and other variables to estimate future losses on the pool. Its assumptions on these variables are based on the observed performance of seasoned modified and non-modified loans, the collateral attributes of the pool including the percentage of loans that were delinquent in the past 36 months, and the observed performance of recent New Residential Mortgage Loan Trust issuances rated by Moody's. For this pool, Moody's used default burnout assumptions similar to those detailed in its "US RMBS Surveillance Methodology" for Alt-A loans originated before 2005. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Collateral Description NRMLT 2018-4 is a securitization of seasoned performing and re-performing residential mortgage loans which the seller, NRZ Sponsor V LLC, has primarily purchased in connection with the termination of various securitization trusts. Unlike prior NRMLT transactions Moody's has rated, a significant percentage of the collateral, 42.8% based on total balance, was sourced from a portfolio acquisition rather than from terminated securitizations. The transaction is comprised of 3,356 ARM loans. For the loans in the pool, 97.8% by balance have never been modified and have been performing while 2.2% of the loans were previously modified but are now current and cash flowing. The updated value of properties in this pool were provided by a third party firm using a home data index (HDI) and/or an updated broker price opinion (BPO). BPOs were provided for a sample of 1,430 out of the 3,356 properties contained within the securitization. HDI values were provided for 3,345 of the properties contained within the securitization. The weighted average updated LTV ratio on the collateral is 54.1%, implying an average of 45.9% borrower equity in the properties. The LTV is calculated using the lower of the updated BPO and HDI when both values are available. Third-Party Review and Representations & Warranties Two third party due diligence providers, AMC and Recovco, conducted a compliance review on a sample of 871 and 174 seasoned mortgage loans respectively for the securitization pool. The regulatory compliance review consisted of a review of compliance with the federal Truth in Lending Act (TILA) as implemented by Regulation Z, the federal Real Estate Settlement Procedures Act (RESPA) as implemented by Regulation X, the disclosure requirements and prohibitions of Section 50(a)(6), Article XVI of the Texas Constitution, federal, state and local anti-predatory regulations, federal and state specific late charge and prepayment penalty regulations, and document review. AMC found that 829 out of 871 loans had compliance exceptions with 186 having rating agency grade C or D level exceptions. Recovco identified 154 mortgage loans with grade B exceptions and no loans with grade C or grade D exceptions in its review of 174 loans. Also, based on information provided by the seller, there were additional loans were dropped from the securitization due to compliance exceptions. The C or D level exceptions broadly fell into four categories: missing final HUD-1 settlement statements/HUD errors, Texas (TX50(a)(6)) cash-out loan violations, other state compliance exceptions (including North Carolina CHL Tangible Net Benefit violations), and missing documents or missing information. Moody's applied a small adjustment to its loss severities to account for the C or D level missing final HUD-1 settlement statement and HUD errors. For these types of issues, borrowers can raise legal claims in defense against foreclosure as a set off or recoupment and win damages that can reduce the amount of the foreclosure proceeds. Such damages can include up to $4,000 in statutory damages, borrowers' legal fees and other actual damages. Moody's also applied small adjustments to loss severities for TX50(a)(6) violations, North Carolina CHL Tangible Net Benefit exceptions, and other state law compliance exceptions. Moody's did not apply an adjustment for missing documents or missing information identified by the diligence provider in part because Moody's separately received and assessed a title report and a custodial report for the mortgage loans in the pool. AMC and Recovco reviewed the findings of various title search reports covering 490 and 168 mortgage loans respectively in the preliminary sample population in order to confirm the first lien position of the related mortgages. Overall, AMC's review confirmed that 434 mortgages were in first lien position. For 52 of the remaining loans reviewed by AMC, proof of first lien position could only be confirmed using the final title policy as of loan origination. For four loans, first lien position could not be confirmed. These loans were removed from the pool. Recovco reported that 140 mortgage loans reviewed were in first-lien position. For the 28 remaining loans reviewed by Recovco, proof of first lien position could only be confirmed using the final title policy as of loan origination. Due to the title/lien results and because the title/lien review was only conducted on a sample of the whole-loan purchased loans in the pool, Moody's applied an adjustment to losses in its analysis. The seller, NRZ Sponsor V LLC, is providing a representation and warranty for missing mortgage files. To the extent that the indenture trustee, master servicer, related servicer or depositor has actual knowledge of a defective or missing mortgage loan document or a breach of a representation or warranty regarding the completeness of the mortgage file or the accuracy of the mortgage loan documents, and such missing document, defect or breach is preventing or materially delaying the (a) realization against the related mortgaged property through foreclosure or similar loss mitigation activity or (b) processing of any title claim under the related title insurance policy, the party with such actual knowledge will give written notice of such breach, defect or missing document, as applicable, to the related seller, indenture trustee, depositor, master servicer and related servicer. Upon notification of a missing or defective mortgage loan file, the related seller will have 120 days from the date it receives such notification to deliver the missing document or otherwise cure the defect or breach. If it is unable to do so, the related seller will be obligated to replace or repurchase the mortgage loan. Moody's did not apply an adjustment for missing documents or missing information identified by AMC in part because Moody's separately received and assessed a title report and a custodial report for the mortgage loans in the pool. Moody's reviewed a draft of the custodial report and identified three loans with note instrument issues. Even though this exception and the missing file exceptions noted in the compliance review are protected by the R&W framework, Moody's assumed that 0.1% (three out of 3,359) of the projected defaults will have missing document breaches that will not be effectively remedied and will result in higher loss severities. This adjustment is due in part to its view of the financial strength of the R&W provider. Trustee, Custodian, Paying Agent, Servicers, Master Servicer, Successor Servicer and Special Servicer The transaction indenture trustee is Wilmington Trust, National Association. The custodian functions will be performed by Wells Fargo Bank, N.A., The Bank of New York Mellon Trust Company, N.A., and U.S. Bank National Association. The paying agent and cash management functions will be performed by Citibank, N.A. In addition, Nationstar Mortgage, as master servicer, is responsible for servicer oversight, termination of servicers, and the appointment of successor servicers. Having Nationstar Mortgage as a master servicer mitigates servicing-related risk due to the performance oversight that it will provide. Nationstar Mortgage will serve as the designated successor servicer for the transaction and Shellpoint will serve as the special servicer. As the special servicer, Shellpoint will be responsible for servicing mortgage loans that become 60 or more days delinquent. Shellpoint (43.1%), Nationstar Mortgage (30.4%), Wells Fargo (14.9%), TIAA (6.1%), Ocwen (2.9%), and SLS (2.5%) will act as the primary servicers of the collateral pool. Transaction Structure The transaction cash flows follow a shifting interest structure that allows subordinated bonds to increasingly receive principal prepayments after an initial lock-out period of five years, provided two performance tests are met. To pass the first test, the delinquent and recently modified loan balance cannot exceed 50% of the subordinate bonds outstanding. To pass the second test, cumulative losses cannot exceed certain thresholds that gradually increase over time. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to tail risk, i.e., risk of back-ended losses when fewer loans remain in the pool. The transaction provides for a subordination floor that helps to reduce this tail risk. Specifically, the subordination floor prevents subordinate bonds from receiving any principal if the amount of subordinate bonds outstanding falls below 1.75% of the closing principal balance. There is also a provision that prevents subordinate bonds from receiving principal if the credit enhancement for the Class A-1M Note falls below its percentage at closing, 11.4%. These provisions mitigate tail risk by protecting the senior bonds from eroding credit enhancement over time. Other Considerations The transaction contains a mortgage loan sale provision, the exercise of which is subject to potential conflicts of interest. The servicers in the transaction may sell mortgage loans that become 60 or more days delinquent according to the MBA methodology to any party in the secondary market in an arms-length transaction and at a fair market value. For such sale to take place, the servicer must determine, in its reasonable commercial judgment, that such sale would maximize proceeds on a present value basis. If the sponsor or any of its subsidiaries is the purchaser, the servicers must obtain at least two additional independent bids. The transaction documents provide little detail on the method of receipt of bids and there is no set minimum sale price. Such lack of detail creates a risk that the independent bids could be weak bids from purchasers that do not actively participate in the market. Furthermore, the transaction documents provide little detail regarding how servicers should conduct present value calculations when determining if a note sale should be pursued. The special servicer and the largest servicer in the transaction, Shellpoint, is an affiliate of the sponsor. The second largest servicer in the transaction, Nationstar Mortgage, has a commercial relationship with the sponsor outside of the transaction. These business arrangements could lead to conflicts of interest. Moody's took this into account and adjusted its losses accordingly. 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 indenture trustee would be subject to lawsuits from investors for a failure to adequately enforce the R&Ws against the seller. Moody's believes that NRMLT 2018-4 is adequately protected against such risk primarily because the loans in this transaction are highly seasoned with a weighted average seasoning is approximately 13 years. Although some loans in the pool were previously delinquent and modified, the loans all have a substantial history of payment performance. This includes payment performance during the recent recession. As such, if loans in the pool were materially defective, such issues would likely have been discovered prior to the securitization. Furthermore, third party due diligence was conducted on a significant random sample of the loans for issues such as data integrity, compliance, and title. As such, Moody's did not apply adjustments in this transaction to account for indemnification payment risk. 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 loss could drive the ratings up. Losses could decline from its original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above its original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. NEW RESIDENTIAL 2018-NQM1: Fitch to Rate Cl. B-2 Notes Bsf ---------------------------------------------------------- Fitch Ratings expects to rate New Residential Mortgage Loan Trust 2018-NQM1 as follows: -- $210,684,000 class A-1 notes 'AAAsf'; Outlook Stable; -- $21,131,000 class A-2 notes 'AAsf'; Outlook Stable; -- $39,154,000 class A-3 notes 'Asf'; Outlook Stable; -- $14,605,000 class M-1 notes 'BBBsf'; Outlook Stable; -- $10,721,000 class B-1 notes 'BBsf'; Outlook Stable; -- $7,613,000 class B-2 notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $6,836,719 class B-3 notes; -- $310,744,719 class XS-1 notional notes; -- $310,744,719 class XS-2 notional notes; -- $310,744,719 class A-IO-S notional notes. The 'AAAsf' for NRMLT 2018-NQM1 reflects the satisfactory operational review conducted by Fitch of the originator, 100% loan-level due diligence review with no material findings, a Tier 2 representation and warranty framework, and the transaction's structure. TRANSACTION SUMMARY Fitch expects to rate the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2018-NQM1 (NRMLT 2018-NQM1) as indicated. The notes are supported by 581 loans with a balance of $310.74 million as of the cutoff date. This will be the first Fitch-rated transaction consisting of loans solely originated by New Penn Financial, LLC (New Penn) since 2013. The notes are secured mainly by nonqualified mortgages (NQMs) as defined by the Ability to Repay (ATR) Rule. Approximately 74% of the pool are designated as NQM and 1.7% as Safe Harbor QM (SHQM), while the remaining 24.5% are investor properties and, thus, not subject to the ATR Rule. Initial credit enhancement (CE) for the class A-1 notes of 32.20% is higher than Fitch's 'AAAsf' rating stress loss of 20.50%. The additional initial CE is primarily driven by the pro rata principal distribution between the A-1, A-2 and A-3 notes, which will result in a significant reduction of the class A-1 subordination over time through principal payments to the A-2 and A-3. KEY RATING DRIVERS Near Prime Credit Quality (Positive): The pool has a weighted average (WA) model credit score of 731 and WA original combined loan to value ratio (CLTV) of 72.8%. While about 54% of the loans were underwritten to a bank statement program, Fitch considers the pool to be near prime credit quality. Only 3.3% had a prior credit event in the past seven years, which is lower than that observed in other Fitch-rated NQM transactions. The pool comprises 100% New Penn-originated collateral. Fitch views New Penn as an 'Average' originator. Bank Statement Loans Included (Negative): Approximately 54% of loans (283 loans) were made to self-employed borrowers underwritten to a bank statement program (48.9% were underwritten to a 12- to 23-month bank statement program, and 5.2% to at least 24 months of bank statements) to verify income in accordance with New Penn's guidelines, which is not consistent with Appendix Q standards or Fitch's view of a full documentation program. This is the highest concentration of bank statement loans that Fitch has seen in its rated NQM/nonprime pools. While employment is fully verified and assets partially confirmed, the limited income verification resulted in application of a probability of default (PD) penalty of approximately 1.5x for the bank statement loans at the 'AAAsf' rating category. Additionally, Fitch's assumed probability of ATR claims was doubled, which increased the loss severity. Limited NQM Track Record (Neutral): Although this is New Residential Investment Corp.'s (NRZ) first rated NQM issuance, Fitch believes NRZ has solid experience in RMBS and views the company as an 'Acceptable' aggregator of RPL collateral. Since 2014, NRZ has issued 19 seasoned/RPL transactions, one of which was rated by Fitch. Fitch met with NRZ and New Penn's team in September 2018 to discuss their quality control and risk management of NQM products. Fitch also reviewed New Penn's NQM program guidelines; Fitch views them as comparable to those of other programs in the industry. Modified Sequential Payment Structure (Neutral): The structure distributes collected principal pro rata among the class A notes while shutting out the subordinate bonds from principal until all three classes are reduced to zero. To the extent that either the cumulative loss trigger event or the delinquency trigger event occurs in a given period, principal will be distributed sequentially to the class A-1, A-2 and A-3 bonds until they are reduced to zero. Low Operational Risk (Mixed): Operational risk is well controlled for in this transaction. New Penn, a wholly owned subsidiary of NRZ, employs a robust sourcing and underwriting process. Third-party due diligence was performed by AMC Diligence, LLC, which Fitch views as a Tier 1 diligence firm, on 100% of the pool, with results showing strong loan quality. While the representation and warranty (R&W) framework is viewed by Fitch as Tier 2, the issuer's retention of at least 5% of each class of bonds helps to ensure an alignment of interest between issuer and investor. R&W Framework (Negative): The seller, NRZ Sponsor VI LLC, a subsidiary of NRZ, will provide loan-level R&Ws to loans in the trust. While the loan-level reps for this transaction are substantially consistent with a Tier I framework, the lack of an automatic review for loans (other than those with an ATR realized loss or a TRID violation loan) resulted in a Tier 2 framework. While NRZ Sponsor VI LLC is not rated by Fitch, its parent, NRZ has an internal credit opinion by Fitch. Through an agreement, NRZ will ensure its subsidiary will meet its obligations and remain financially viable. As a result, Fitch relied on NRZ's internal credit opinion which increased Fitch's loss expectations 77bps at the 'AAAsf' rating category to mitigate the limitations of the Tier 2 framework and the counterparty risk. Due Diligence Review Results (Positive): A third-party due diligence review was completed on 100% of the loans in this transaction, and the scope was consistent with Fitch's criteria. The diligence results indicated low operational risk. Approximately 20% of the loans (or 120 loans) reviewed were assigned a 'B' grade for credit. There are no 'C' grades in this transaction; Fitch did not make adjustments to its loss expectations based on loan-level diligence findings. Servicing and Master Servicer (Neutral): Shellpoint Mortgage Servicing (Shellpoint), rated 'RPS3+'/Outlook Stable by Fitch, will be the primary servicer for the loans. Nationstar Mortgage, LLC (Nationstar/Mr. Cooper), rated 'RMS2+'/Outlook Stable, will act as master servicer. Delinquent principal and interest (P&I) advances required but not paid by Shellpoint will be paid by Nationstar, and if Nationstar is unable to advance, advances will be made by Citibank, N.A., the transaction's paying agent. The servicer will be responsible for advancing P&I for 180 days of delinquency. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Two sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the model projected 6.9% at the base case. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC (AMC). The third-party due diligence described in Form 15E focused on three areas: a compliance review; a credit review; and a valuation review; and was conducted on 100% of the loans in the pool. Fitch considered this information in its analysis and believes the overall results of the review generally reflected strong underwriting controls. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with its published standards for reviewing loans and in accordance with the independence standards outlined in its criteria. NRMLT 2018-4: DBRS Finalizes B Rating on 10 Classes Notes --------------------------------------------------------- DBRS, Inc. discontinued the existing provisional ratings on the following classes of notes that were to be issued by New Residential Mortgage Loan Trust 2018-4 (NRMLT or the Trust): -- $531.3 million Class A-1 at AAA (sf) -- $531.3 million Class A-IO at AAA (sf) -- $531.3 million Class A-1A at AAA (sf) -- $531.3 million Class A-1B at AAA (sf) -- $531.3 million Class A-1C at AAA (sf) -- $531.3 million Class A1-IOA at AAA (sf) -- $531.3 million Class A1-IOB at AAA (sf) -- $531.3 million Class A1-IOC at AAA (sf) -- $546.6 million Class A-5 at AA (sf) -- $559.8 million Class A-6 at A (sf) DBRS simultaneously assigned new ratings to the following classes of notes to be issued by the Trust: -- $479.8 million Class A-1S at AAA (sf) -- $479.8 million Class A1-IOS at AAA (sf) -- $51.6 million Class A-1M at AAA (sf) -- $51.6 million Class A1-IOM at AAA (sf) DBRS, Inc. (DBRS) finalized provisional ratings on the following Mortgage-Backed Notes, Series 2018-4 (the Notes) to be issued by the Trust: -- $531.3 million Class A-2 at AAA (sf) -- $546.6 million Class A-3 at AA (sf) -- $559.8 million Class A-4 at A (sf) -- $559.8 million Class IO at A (sf) -- $15.3 million Class B-1 at AA (sf) -- $15.3 million Class B1-IO at AA (sf) -- $15.3 million Class B-1A at AA (sf) -- $15.3 million Class B-1B at AA (sf) -- $15.3 million Class B-1C at AA (sf) -- $15.3 million Class B-1D at AA (sf) -- $15.3 million Class B1-IOA at AA (sf) -- $15.3 million Class B1-IOB at AA (sf) -- $15.3 million Class B1-IOC at AA (sf) -- $13.2 million Class B-2 at A (sf) -- $13.2 million Class B2-IO at A (sf) -- $13.2 million Class B-2A at A (sf) -- $13.2 million Class B-2B at A (sf) -- $13.2 million Class B-2C at A (sf) -- $13.2 million Class B-2D at A (sf) -- $13.2 million Class B2-IOA at A (sf) -- $13.2 million Class B2-IOB at A (sf) -- $13.2 million Class B2-IOC at A (sf) -- $28.5 million Class B-IO at A (sf) -- $12.9 million Class B-3 at BBB (sf) -- $12.9 million Class B-3A at BBB (sf) -- $12.9 million Class B-3B at BBB (sf) -- $12.9 million Class B-3C at BBB (sf) -- $12.9 million Class B3-IOA at BBB (sf) -- $12.9 million Class B3-IOB at BBB (sf) -- $12.9 million Class B3-IOC at BBB (sf) -- $9.3 million Class B-4 at BB (sf) -- $9.3 million Class B-4A at BB (sf) -- $9.3 million Class B-4B at BB (sf) -- $9.3 million Class B-4C at BB (sf) -- $9.3 million Class B4-IOA at BB (sf) -- $9.3 million Class B4-IOB at BB (sf) -- $9.3 million Class B4-IOC at BB (sf) -- $7.2 million Class B-5 at B (sf) -- $7.2 million Class B-5A at B (sf) -- $7.2 million Class B-5B at B (sf) -- $7.2 million Class B-5C at B (sf) -- $7.2 million Class B-5D at B (sf) -- $7.2 million Class B5-IOA at B (sf) -- $7.2 million Class B5-IOB at B (sf) -- $7.2 million Class B5-IOC at B (sf) -- $7.2 million Class B5-IOD at B (sf) -- $16.5 million Class B-7 at B (sf) Classes A1-IOS, A1-IOM, IO, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B-IO, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC and B5-IOD are interest-only notes. The class balances represent notional amounts. Classes A-2, A-3, A-4, IO, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-IO, B-3A, B-3B, B-3C, B3-IOA, B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 11.40% of credit enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 8.85%, 6.65%, 4.50%, 2.95% and 1.75% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 3,356 loans with a total principal balance of $599,699,369 as of the Cut-Off Date (September 1, 2018). The loans are significantly seasoned with a weighted-average age of 161 months. As of the Cut-Off Date, 97.3% of the pool is current, 2.4% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 0.3% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 86.2% and 89.1% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. Of the loans in the portfolio, 2.2% are modified. The modifications happened more than two years ago for 94.5% of the modified loans. As a result of the seasoning of the collateral, none of the loans are subject to the Consumer Financial Protection Bureau Ability-to-Repay/Qualified Mortgage rules. The Seller, NRZ Sponsor V LLC (NRZ), acquired the loans prior to the Closing Date in connection with the termination of various securitization trusts. Upon acquiring the loans from the securitization trusts, NRZ, through an affiliate, New Residential Funding 2018-4 LLC (the Depositor), will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-Off Date, 43.1% of the pool is serviced by Shellpoint Mortgage Servicing (SMS), 30.4% by Nationstar Mortgage LLC (Nationstar) and 14.9% by Wells Fargo Bank, N.A. (DBRS Ratings: AA/R-1 (middle), Stable trend). Nationstar will also act as the Master Servicer and SMS will act as the Special Servicer. The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any real estate owned property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date. Unlike other seasoned re-performing loan securitizations, the Servicers in this transaction will advance principal and interest on delinquent mortgages to the extent such advances are deemed recoverable. The transaction employs a senior-subordinate, shifting interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets that have significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, NRMLT securitizations have historically exhibited fast voluntary prepayment rates. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien, payment history and data integrity. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes the risk of impeding or delaying foreclosure is remote. OBX TRUST 2018-EXP2: Fitch to Rate Class B-5 Certs Bsf ------------------------------------------------------ Fitch Ratings expects to rate OBX 2018-EXP2 Trust as follows: -- $134,754,000 class 1-A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $33,688,000 class 1-A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $168,442,000 class 1-A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $4,260,000 class 1-A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $172,702,000 class 1-A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $134,754,000 class 1-A-IO1 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $33,688,000 class 1-A-IO2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $168,442,000 class 1-A-IO3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $4,260,000 class 1-A-IO4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $172,702,000 class 1-A-IO5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $172,702,000 class 1-A-IO6 notional certificates 'AAAsf'; Outlook Stable; -- $134,754,000 class 1-A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $33,688,000 class 1-A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $168,442,000 class 1-A-8 certificates 'AAAsf'; Outlook Stable; -- $4,260,000 class 1-A-9 certificates 'AAAsf'; Outlook Stable; -- $172,702,000 class 1-A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $157,982,000 class 2-A-1 certificates 'AAAsf'; Outlook Stable; -- $126,386,000 class 2-A-1A exchangeable certificates 'AAAsf'; Outlook Stable; -- $31,596,000 class 2-A-1B exchangeable certificates 'AAAsf'; Outlook Stable; -- $3,995,000 class 2-A-2 certificates 'AAAsf'; Outlook Stable; -- $161,977,000 class 2-A-IO notional certificates 'AAAsf'; Outlook Stable; -- $161,977,000 class 2-A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $1,344,000 class B1-A exchangeable certificates 'AAsf'; Outlook Stable; -- $1,344,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $1,344,000 class B1-IO notional certificates 'AAsf'; Outlook Stable; -- $23,042,000 class B2-A exchangeable certificates 'Asf'; Outlook Stable; -- $23,042,000 class B-2 certificates 'Asf'; Outlook Stable; -- $23,042,000 class B2-IO notional certificates 'Asf'; Outlook Stable; -- $10,561,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $6,336,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $3,264,000 class B-5 certificates 'Bsf'; Outlook Stable; The following class will not be rated by Fitch: -- $4,801,255 class B-6 certificates; The notes are supported by 603 loans with a total unpaid principal balance of approximately $384.0 million as of the cut-off date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management, Inc. from various originators. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, shifting-interest Y-structure. The 'AAAsf' rating on the class A notes reflects the 12.85% subordination provided by the 0.35% class B-1, 6.00% class B-2, 2.75% class B-3, 1.65% class B-4, 0.85% class B-5 and 1.25% class B-6 notes. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists primarily of 30-year fixed-rate and adjustable-rate fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of 12 months. The pool has a weighted average (WA) model FICO score of 751, high average balance of $636,861 and a low sustainable loan-to-value (sLTV) ratio of 68.6%. However, the pool also contains a meaningful amount of investor properties (31%), non-qualified mortgage (non-QM) or higher-priced qualified mortgage (HPQM) loans (56%), and non-full documentation loans (51%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity adjustments for potential ability-to-repay (ATR) challenges. Operational Risk (Mixed): The operational risk in this transaction is generally well controlled despite the expanded prime credit quality of the securitization loan pool. Annaly carries an 'Average' aggregator assessment from Fitch and the issuer's retention of at least 5% of the bonds helps ensure an alignment of interest between issuer and investor. The due diligence resulted in one of the highest percentages of credit exception 'B' grades that Fitch has evaluated. Given that many of the exceptions were either accounted for in Fitch's loan loss model or had strong mitigating factors, no additional adjustment was made to the expected losses. Additionally, the representation and warranty framework (classified by Fitch as Tier 2), despite having certain weaknesses, also has mitigating factors. Representation and Warranty Framework (Negative): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier 2 quality. The RW&Es will be provided by Onslow Bay Financial, LLC, which does not have a financial credit opinion or public rating from Fitch. As a result of the Tier 2 RW&E framework and unrated counterparty, the pool received an expected loss penalty of 78 basis points at the 'AAAsf' level Annaly as Aggregator (Neutral): Annaly is the largest mortgage REIT in the U.S., managing approximately $100 billion in assets and approximately $14 billion in capital, as of Q1 2018. Fitch conducted a review of Annaly's aggregation processes and believes that Annaly meets industry standards needed to aggregate seasoned and re-performing loans (RPLs) for private-label residential mortgage-backed securitization. Servicing Advancing (Neutral): Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency to the extent such advances are deemed recoverable. Quicken will be responsible for advancing delinquent P&I for the loans serviced by Quicken. For the loans serviced by Specialized Loan Servicing LLC (SLS) and Select Portfolio Servicing, Inc. (SPS), P&I advances will be made from amounts on deposit for future distribution, the excess servicing strip fee that would otherwise be allocable to the class A-IO-S notes and the P&I advancing party fee. If such amounts are insufficient, the P&I advancing party (Onslow Bay Financial LLC) will be responsible for any remaining amounts. In the event the underlying obligations are not fulfilled, Wells Fargo Bank, N.A. (Wells Fargo), as master servicer, will be required to made advances. High California Concentration (Negative): Approximately 62% of the pool is located in California, which is higher than other recent Fitch-rated transactions. In addition, the metropolitan statistical area (MSA) concentration is large, as the top three MSAs (Los Angeles, San Francisco and New York) account for 51.1% of the pool. As a result, a geographic concentration penalty of 1.11x was applied to the probability of default (PD). In addition to the economic risk associated with a high concentration in a select number of MSAs, Fitch increased its expected losses by 25bps at all investment-grade categories to protect against potential loss caused by natural disasters that may be common in these areas. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocations are based on a traditional senior-subordinate, shifting-interest Y-structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 2.5% of the original balance will be maintained for the notes. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the notes. Furthermore, the expenses to be paid from the trust are capped at $275,000 per annum, which can be carried over each year, subject to the cap until paid in full. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0%, and 30.0%, in addition to the model-projected 7.5%. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC Diligence, LLC and Clayton Services LLC. A third-party diligence review was completed on 100% of the loans in this transaction and the scope was consistent with Fitch's criteria. Loan-level adjustments were made on a small subset of the pool as a result of the due diligence findings. Three loans were found to have TRID-related issues and an additional $15,500 was added to the LS for each loan to account for potential TRID-related legal costs. For four loans, the lower value of the original and secondary valuation was used as the secondary valuation was outside of the 10% tolerance threshold. OCP CLO 2016-12: S&P Assigns BB Rating on Class D-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from OCP CLO 2016-12 Ltd., a U.S. collateralized loan obligation (CLO) that is managed by Onex Credit Partners 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 Oct. 18, 2018, refinancing date. On the Oct. 18, 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 class A-1, A-2, B, C, and D notes in line with their full redemption, and it is assigning a final rating to replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned rating reflects our opinion that the credit support available is commensurate with the associated rating level. "We will continue to review whether, in its view, the rating assigned to the note remains consistent with the credit enhancement available to support it and take rating action as it deems necessary." RATINGS ASSIGNED OCP CLO 2016-12 Ltd. Replacement class Rating Amount (mil $) A-1-R AAA (sf) 341.00 A-2-R AA (sf) 71.50 B-R A (sf) 38.50 C-R BBB (sf) 27.50 D-R BB (sf) 22.00 Subordinated notes NR 57.25 RATINGS WITHDRAWN OCP CLO 2016-12 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. PALMER SQUARE 2018-3: S&P Assigns B- Rating on $8MM Cl. E-R2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-1a-2, A2-R2, B-R2, C-R2, D-R2, and E-R2 replacement notes from Palmer Square CLO 2018-3 Ltd., a collateralized loan obligation (CLO) originally issued in 2013, formerly known as Palmer Square CLO 2013-2 Ltd., that is managed by Palmer Square Capital Management LLC. We withdrew our ratings on the original class A-1a-R, A-1b-R, A-2-R, B-R, C-R, D-R, and E-R notes following payment in full on the Oct. 17, 2018, refinancing date. On the Oct. 17, 2018, refinancing date, the proceeds from the class A-1a-2, A-1b-2, A2-R2, B-R2, C-R2, D-R2, and E-R2 replacement note issuances were used to redeem the original class A-1a-R, A-1b-R, A-2-R, B-R, C-R, D-R, and E-R 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: -- The replacement class A-1a-2, A-1b-2, A2-R2, B-R2, C-R2, D-R2, and E-R2 notes are issued at lower spreads over LIBOR than the original notes. -- The non-call period is reestablished and will end in October 2020. -- The stated maturity, weighted average life test, and reinvestment period each are extended by four years. 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 Palmer Square CLO 2018-3 Ltd. Replacement class Rating Amount (mil $) A-1a-2 AAA (sf) 280.10 A-1b-2 NR 10.20 A-2-R2 AA (sf) 51.40 B-R2 A (sf) 27.20 C-R2 BBB- (sf) 22.50 D-R2 BB- (sf) 22.50 E-R2 B- (sf) 8.00 Subordinated notes NR 35.40 RATINGS WITHDRAWN Palmer Square CLO 2018-3 Ltd. Rating Original class To From A-1a-R NR AAA (sf) A-1b-R NR AAA (sf) A-2-R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) E-R NR B- (sf) NR--Not rated. PSMC TRUST 2018-4: Fitch Rates $791,000 Class B-5 Certs 'Bsf' ------------------------------------------------------------- Fitch Ratings has rated American International Group, Inc.'s (AIG) PSMC 2018-4 Trust as follows: -- $336,348,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $336,348,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $252,261,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $252,261,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $16,817,000 class A-5 certificates 'AAAsf'; Outlook Stable; -- $16,817,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $67,270,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $67,270,000 class A-8 exchangeable certificates 'AAAsf'; Outlook Stable; -- $36,207,000 class A-9 certificates 'AAAsf'; Outlook Stable; -- $36,207,000 class A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $269,078,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $84,087,000 class A-12 exchangeable certificates 'AAAsf'; Outlook Stable; -- $269,078,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $84,087,000 class A-14 exchangeable certificates 'AAAsf'; Outlook Stable; -- $372,555,000 class A-15 exchangeable certificates 'AAAsf'; Outlook Stable; -- $372,555,000 class A-16 exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,452,000 class A-17 exchangeable certificates 'AAAsf'; Outlook Stable; -- $16,818,000 class A-18 exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,452,000 class A-19 certificates 'AAAsf'; Outlook Stable; -- $16,818,000 class A-20 certificates 'AAAsf'; Outlook Stable; -- $218,626,000 class A-21 certificates 'AAAsf'; Outlook Stable; -- $33,635,000 class A-22 certificates 'AAAsf'; Outlook Stable; -- $218,626,000 class A-23 exchangeable certificates 'AAAsf'; Outlook Stable; -- $33,635,000 class A-24 exchangeable certificates 'AAAsf'; Outlook Stable; -- $117,722,000 class A-25 exchangeable certificates 'AAAsf'; Outlook Stable; -- $117,722,000 class A-26 exchangeable certificates 'AAAsf'; Outlook Stable; -- $372,555,000 class A-X1 notional certificates 'AAAsf'; Outlook Stable; -- $336,348,000 class A-X2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $252,261,000 class A-X3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $16,817,000 class A-X4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $67,270,000 class A-X5 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $36,207,000 class A-X6 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $372,555,000 class A-X7 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $50,452,000 class A-X8 notional certificates 'AAAsf'; Outlook Stable; -- $16,818,000 class A-X9 notional certificates 'AAAsf'; Outlook Stable; -- $218,626,000 class A-X10 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $33,635,000 class A-X11 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $7,914,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $5,935,000 class B-2 certificates 'Asf'; Outlook Stable; -- $4,946,000 class B-3 certificates 'BBBsf'; Outlook Stable; -- $2,177,000 class B-4 certificates 'BBsf'; Outlook Stable; -- $791,000 class B-5 certificates 'Bsf'; Outlook Stable. Fitch does not be rate the following class: -- $1,385,685 class B-6 certificates. The notes are supported by one collateral group that consists of 614 prime fixed-rate mortgages (FRMs) acquired by subsidiaries of AIG from various mortgage originators with a total balance of approximately $395.70 million as of the cut-off date. The 'AAAsf' rating on the class A notes reflects the 5.85% subordination provided by the 2.00% class B-1, 1.50% class B-2, 1.25% class B-3, 0.55% class B-4, 0.20% class B-5 and 0.35% class B-6 notes. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists of high-quality, 30-year fixed-rate fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of three months. The pool has a weighted average (WA) original FICO score of 776, which is indicative of very high credit-quality borrowers. Approximately 84.0% of the borrowers have original FICO scores above 750. In addition, the original WA combined loan-to-value (CLTV) ratio of 73.7% represents substantial borrower equity in the property and reduced default probability. AIG as Aggregator (Neutral): AIG is a global insurance corporation that has issued five previous RMBS transactions to date. The first two transactions were issued in 2017 under Credit Suisse's CSMC shelf, and the remaining three transactions were issued in 2018 using their recently created depositor, Pearl Street Mortgage Company (PSMC). This will be the fourth transaction issued under the PSMC shelf. In 2013, AIG established the Residential Mortgage Lending (RML) group to establish relationships with mortgage originators and acquire prime jumbo loans on behalf of funds owned by AIG. Fitch conducted a full review of AIG's aggregation processes and believes that AIG is an above-average aggregator of mortgages for residential mortgage-backed securitizations. In addition to the satisfactory operational assessment, a due diligence review was completed on 100% of the pool. Third-Party Due Diligence Results (Positive): A loan-level due diligence review was conducted on 100% of the pool in accordance with Fitch's criteria and focused on credit, compliance and property valuation. 25.7% of the loans received an 'A' grade, and the remainder were graded 'B' (74.3%). No loans were graded 'C' or 'D.' In Fitch's view, the results of the diligence indicate acceptable controls and adherence to underwriting guidelines, and no adjustment was made to the expected losses. Top Tier Representation and Warranty Framework (Positive): Fitch considers the transaction's representation, warranty, and enforcement (RW&E) mechanism framework to be consistent with Tier I quality. As a result of the Tier I RW&E framework and the 'A' Fitch-rated counterparty supporting the repurchase obligations of the RW&E providers, the pool's 'AAAsf' expected loss was reduced by 22 bps. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.00% of the original balance will be maintained for the certificates. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Geographic Concentration (Neutral): Approximately 38.0% of the pool is located in California, which is in line with or slightly lower than other recent Fitch-rated transactions. In addition, the Metropolitan Statistical Area (MSA) concentration is minimal, as the top-three MSAs account for only 26.3% of the pool. The largest MSA concentration is in the Los Angeles MSA (10.9%), followed by the San Francisco MSA (9.9%) and the Atlanta MSA (5.5%). As a result, no geographic concentration penalty was applied. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the certificates. Furthermore, the expenses to be paid from the trust are capped at $300,000 per annum, which can be carried over each year, subject to the cap until paid in full. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. Fitch conducted sensitivity analysis determining how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 8.6%. The analysis indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted sensitivities to determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. RITE AID 1999-1: Moody's Lowers Rating on Class A-2 Certs to B3 --------------------------------------------------------------- Moody's Investors Service has downgraded the rating of Rite Aid Pass-Through Trust Certificates, Series 1999-1: Cl. A-2, Downgraded to B3; previously on Aug 13, 2018 B2 Placed Under Review for Possible Downgrade RATINGS RATIONALE The rating for this CTL lease transaction Cl. A-2 was downgraded primarily due to downgrade Rite Aid Corporation senior unsecured rating to Caa1/Caa2. The rating of Cl. A-2 also incorporates the support provided by a residual value insurance policy issued by a rated entity and the value of the real estate collateral relative to the outstanding loan balance. The transaction balance has decreased aproximatly 55% since securitization. This concludes a review which was initiated on August 13, 2018 due to Rite Aid Corporation senior unsecured rating being placed on review for possible downgrade. On October 15, 2018, Rite Aid Corporation senior unsecured rating was downgraded to Caa1/Caa2 from B3/Caa1 with negative outlook. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: The ratings of Credit Tenant Lease (CTL) deals are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a lower loan to dark value ratio. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant or the residual insurance provider. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings" published in October 2016. No model was used in this review. DEAL PERFORMANCE As of the October 2, 2018 distribution date, the transaction's aggregate Certificate balance has decreased by approximately 55% to $74.6 million from $167.6 million at securitization. The Class A-1 certificate with the original balance of $75 million has paid off in full, The remaining Class A-2 balance has decreased by 19% to $74.6 million from $92.6 million at securitization and will have a balloon payment of $54 million that is protected by residual insurance. This credit-tenant lease transaction is supported by a mortgage on a portfolio of 53 drug stores with a total of 841,411 square feet located in 14 states and the District of Columbia. Each property is subject to a fully bondable, triple net lease guaranteed by Rite Aid Corporation. Residual insurance covers 51 of the 53 properties and is provided by Hartford Fire Insurance Company (Moody's insurance financial strength rating of A1) of The Hartford Financial Services Group (Moody's senior unsecured debt rating of Baa1; stable outlook). Hartford Fire Insurance Company is now evaluated on a consolidated basis as part of the Hartford P&C Insurance Group. The two properties not covered by the residual insurance secure loans fully amortize by the lease expiration. RR 5 LTD: S&P Assigned BB- Rating on $18.50MM Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to RR 5 Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED RR 5 Ltd. Class Rating Amount (mil. $) X AAA (sf) 4.60 A-1 AAA (sf) 300.00 A-2 AA (sf) 52.50 B (deferrable) A (sf) 54.50 C (deferrable) BBB- (sf) 32.00 D (deferrable) BB- (sf) 18.50 Subordinated notes NR 43.00 NR--Not rated. SIERRA TIMESHARE 2018-3: Fitch Assigns BB Rating on Cl. D Notes --------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Outlooks to notes issued by Sierra Timeshare 2018-3 Receivables Funding LLC: -- $142,860,000 class A timeshare loan backed notes 'AAAsf'; Outlook Stable; -- $90,540,000 class B timeshare loan backed notes 'Asf'; Outlook Stable; -- $73,570,000 class C timeshare loan backed notes 'BBBsf'; Outlook Stable; -- $43,030,000 class D timeshare loan backed notes 'BBsf'; Outlook Stable. KEY RATING DRIVERS Stable Collateral Quality: Approximately 70.3% of Sierra 2018-3 consists of WVRI-originated loans; the remainder are WRDC loans. Fitch has determined that, on a like-for-like FICO basis, WRDC's receivables perform better than WVRI's. The weighted average (WA) original FICO score of the pool is 723. Overall, based on individual FICO bands, the 2018-3 pool shows moderate negative shifts relative to the 2018-2 transaction that are reflected in the slight increase in the base case cumulative gross defaults (CGD) proxy for 2018-3. Weakening CGD Performance: Similar to other timeshare originators, Wyndham Destinations' delinquency and default performance exhibited notable increases in the 2007 - 2008 vintages, stabilizing in 2009 and thereafter. However, more recent vintages, from 2014 - 2016, have begun to show increasing gross defaults versus vintages back to 2009, partially driven by increased paid product exits (PPEs). Fitch's CGD proxy for this pool is 19.40% (up from 19.30% in 2018-2). Furthermore, given the expected stable economic conditions, no adjustments were made to Fitch's CGD proxy. Higher CE Structure: Initial hard credit enhancement (CE) is expected to be 62.50%, 37.15%, 16.55% and 4.50% for class A, B, C and D notes, respectively, which represents an increase for class A, B and C from Series 2018-2. Hard CE is comprised of overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 9.17% per annum. Quality of Origination/Servicing: Wyndham Destinations has demonstrated sufficient abilities as an originator and servicer of timeshare loans. This is evidenced by the historical delinquency and loss performance of securitized trusts and of the managed portfolio. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of Wyndham Destinations and Wyndham Consumer Finance, Inc. (WCF) would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults could produce CGD levels higher than the base case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Decreased default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Thus, Fitch conducts sensitivity analysis by stressing a transaction's initial base case CGD to the level required to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf'. Fitch also stresses base prepayment assumptions by 1.5x and 2.0x and examines the rating implications on all classes of issued notes. The 1.5x and 2.0x increases of the prepayment assumptions represent moderate and severe stresses, respectively, and are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. SIERRA TIMESHARE 2018-3: S&P Assigns BB Rating on $43MM Cl. D Notes ------------------------------------------------------------------- S&P Global Ratings assigned its ratings to Sierra Timeshare 2018-3 Receivables Funding LLC's $350 million timeshare loan-backed notes. The note issuance is an asset-backed securities transaction backed by vacation ownership interval (timeshare) loans. The ratings reflect S&P Global Ratings' opinion of the credit enhancement available in the form of overcollateralization, a reserve account, available excess spread, and subordination of the class D notes for the class A, B, and C notes' benefit. The ratings also reflect S&P's view of Wyndham Consumer Finance Inc.'s servicing ability and experience in the timeshare market. RATINGS ASSIGNED Sierra Timeshare 2018-3 Receivables Funding LLC Class Rating Amount (mil. $) A AAA (sf) 142.860 B A (sf) 90.540 C BBB (sf) 73.570 D BB (sf) 43.030 SLM STUDENT 2003-12: Fitch Affirms BB Rating on Class B-1 Debt -------------------------------------------------------------- Fitch Ratings has affirmed SLM Student Loan Trust 2003-12 as follows: -- Class A-6 at 'AAsf'; Outlook Stable; -- Class B-1 at 'BBsf'; Outlook Stable. Although Fitch's cash flow model indicated a higher rating for the class A-6 notes, the affirmation is due to the counterparty risk introduced by the cross-currency swap. Swap documents do not contemplate swap counterparty replacement, or the appointment of a guarantor following the downgrade of the swap counterparty below minimum ratings expected by Fitch's counterparty criteria. Fitch believes that counterparty replacement, or the appointment of a guarantor, are the only viable longer-term options for a counterparty of a continuation type derivative with deteriorating creditworthiness. The assessment of the materiality of the inconsistencies against any available mitigants, which included sufficient collateral posting and replacement provisions delinked from Fitch's ratings, suggested that contractual provisions could support ratings up to 'AAsf'. Although Fitch's cash flow model indicated a higher rating for the class B-1 notes when using standard Fitch's FFELP Criteria fees, Fitch considered the rating impact of the higher actual contractual fees to be material and has therefore incorporated actual fees in its modeling, which resulted in model-implied ratings at the 'BBsf' level. KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Based on transaction specific performance to date, Fitch assumes a base case cumulative default rate of 15.00% and a 45.00% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 2.4% and a sustainable constant prepayment rate (voluntary and involuntary) of 8.5% in cash flow modeling. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM average of deferment, forbearance, and income-based repayment (prior to adjustment) are 3.6%, 8.2%, and 15.2%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.20%, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of August 2018 collection date, approximately 12.5% of the FFELP loans have SAP indexed to 91-day T-Bill, with the remaining indexed to one-month LIBOR. Class B-1 notes are indexed to three-month U.S. LIBOR while class A-6 notes are indexed to three-month GBP LIBOR swapped into U.S. LIBOR through a cross-currency swap. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. As of September 2018 distribution date, senior and total effective parity ratios (including the reserve) are 105.6% and 100.6%, respectively. Liquidity support is provided by a reserve account currently sized at its floor of $3,759,518. The transaction will continue to release cash as long as the current 100% total parity (excluding the reserve) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. CRITERIA VARIATION Swap documents for SLM 2003-12 do not contemplate any counterparty replacement, or the appointment of a guarantor, following downgrade of the swap counterparty below the minimum ratings expected by Fitch's counterparty criteria. In addition, collateralization criteria are broadly in line with Fitch's expectation, in spite of lower volatility cushions than expected and no adjustments for liquidity and FX risk in collateral valuation. Fitch assessed the materiality of the inconsistencies against the available mitigants, which included sufficient collateral posting, and concluded that contractual provisions can support ratings up to 'AAsf'; this represents a criteria variation from Fitch's counterparty criteria to take into account the partial compliance of the swap documents with Fitch's criteria. Should Fitch not have applied this criteria variation, the ratings of the A-6 notes would be capped at the rating of the swap counterparty. RATING SENSITIVITIES 'AAAsf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating, given the strong linkage to the U.S. sovereign by nature of the reinsurance and SAP provided by ED. Sovereign risks are not addressed in Fitch's sensitivity analysis. Fitch conducted a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A-6 'AAAsf'; class B-1 'BBsf'; -- Default increase 50%: class A-6 'AAAsf'; class B-1 'Bsf'; -- Basis Spread increase 0.25%: class A-6 'AAAsf'; class B-1 'CCCsf'; -- Basis Spread increase 0.5%: class A-6 'Asf'; class B-1 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A-6 'AAAsf'; class B-1 'BBBsf'; -- CPR decrease 50%: class A-6 'AAAsf'; class B-1 'BBBsf'; -- IBR Usage increase 25%: class A-6 'AAAsf'; class B-1 'BBBsf'; -- IBR Usage increase 50%: class A-6 'AAAsf'; class B-1 'BBBsf'. Stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. SYMPHONY CLO XIV: Moody's Lowers Rating on Class F Notes to Caa1 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by Symphony CLO XIV, Ltd.: US$25,000,000 Class C-1-R Deferrable Mezzanine Floating Rate Notes Due July 14, 2026, Upgraded to A1 (sf); previously on January 17, 2017 Assigned A2 (sf) US$15,000,000 Class C-2-R Deferrable Mezzanine Fixed Rate Notes Due July 14, 2026, Upgraded to A1 (sf); previously on January 17, 2017 Assigned A2 (sf) US$26,000,000 Class D-1 Deferrable Mezzanine Floating Rate Notes Due July 14, 2026, Upgraded to Baa2 (sf); previously on May 29, 2014 Definitive Rating Assigned Baa3 (sf) US$26,000,000 Class D-2 Deferrable Mezzanine Floating Rate Notes Due July 14, 2026, Upgraded to Baa2 (sf); previously on May 29, 2014 Definitive Rating Assigned Baa3 (sf) Moody's also downgraded the rating on the following notes: US$16,000,000 Class F Deferrable Mezzanine Floating Rate Notes Due July 14, 2026, Downgraded to Caa1 (sf); previously on May 29, 2014 Definitive Rating Assigned B3 (sf) In addition, Moody's affirmed the ratings on the following notes: US$250,000,000 Class A-1-R Senior Floating Rate Notes Due July 14, 2026, Affirmed Aaa (sf); previously on January 17, 2017 Assigned Aaa (sf) US$236,000,000 Class A-2-R Senior Floating Rate Notes Due July 14, 2026, Affirmed Aaa (sf); previously on January 17, 2017 Assigned Aaa (sf) US$10,000,000 Class A-3-R Senior Fixed Rate Notes Due July 14, 2026, Affirmed Aaa (sf); previously on January 17, 2017 Assigned Aaa (sf) US$73,000,000 Class B-1-R Senior Floating Rate Notes Due July 14, 2026, Affirmed Aa1 (sf); previously on January 17, 2017 Assigned Aa1 (sf) US$35,000,000 Class B-2-R Senior Fixed Rate Notes Due July 14, 2026, Affirmed Aa1 (sf); previously on January 17, 2017 Assigned Aa1 (sf) US$48,000,000 Class E Deferrable Mezzanine Floating Rate Notes Due July 14, 2026, Affirmed Ba3 (sf); previously on May 29, 2014 Definitive Rating Assigned Ba3 (sf) Symphony CLO XIV, Ltd., issued in May 2014, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE The upgrade and affirmation actions reflect the end of the deal's reinvestment period in July 2018, and the expectation that deleveraging will commence shortly. On the other hand, the downgrade rating action on the Class F notes primarily reflects the specific risks to the junior notes posed by spread compression and par loss observed in the underlying CLO portfolio. Based on the trustee's September 2018 report, the weighted average spread (WAS) of the portfolio is reported at 3.11%, versus 3.45% in September 2017. Additionally, based on Moody's calculation, the total collateral par balance, including expected recoveries on current defaults, is $795 million which is $5 million less than the $800 million initial par amount targeted during the deal's ramp-up. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. In its base case, Moody's analyzed the collateral pool as having a performing par and principal proceeds balance of $790.1 million, defaulted par of $10.0 million, a weighted average default probability of 20.80% (implying a WARF of 2810), a weighted average recovery rate upon default of 48.47%, a diversity score of 67 and a weighted average spread of 3.15% (before accounting for LIBOR floors). Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: This transaction is subject to a number of factors and circumstances that could lead to either an upgrade or downgrade of the ratings: 1) Macroeconomic uncertainty: CLO performance is subject to uncertainty about credit conditions in the general economy. 2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities. 3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance of the collateral can have adverse consequences for CLO performance. 4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will commence and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority. 5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets could result in volatility in the deal's overcollateralization levels. Further, the timing of recovery realization and whether the Manager decides to work out or sell defaulted assets create additional uncertainty. Realization of recoveries that are either materially higher or lower than assumed in Moody's analysis would impact the CLO positively or negatively, respectively. 6) Post-Reinvestment Period Trading: Subject to certain requirements, the deal can reinvest certain proceeds after the end of the reinvestment period, and as such the manager has the ability to erode some of the collateral quality metrics to the covenant levels. Such reinvestment could affect the transaction either positively or negatively. In particular, Moody's tested for a possible extension of the actual weighted average life in its analysis given that the post-reinvestment period reinvesting criteria has loose restrictions on the weighted average life of the portfolio. 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. THL CREDIT 2014-3K: Moody's Rates $8MM Class F Notes B3(sf) ----------------------------------------------------------- Moody's Investors Service has assigned ratings to seven classes of notes issued by THL Credit WR 2014-3K CLO Ltd. Moody's rating action is as follows: US$246,000,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$18,000,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$40,000,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$20,800,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$25,400,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$17,800,000 Class E Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) US$8,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class F Notes"), Definitive Rating Assigned B3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE 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. THL Credit WR 2014-3K is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 87.5% ramped as of the closing date. THL Credit Advisors LLC (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2837 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 48.00% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. THL CREDIT 2018-3: S&P Assigns Prelim BB- Rating on $18MM E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to THL Credit Wind River 2018-3 CLO Ltd./THL Credit Wind River 2018-3 CLO LLC's floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The preliminary ratings are based on information as of Oct. 17, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED THL Credit Wind River 2018-3 CLO Ltd./THL Credit Wind River 2018-3 CLO LLC Class Rating Amount (mil. $) A-1 AAA (sf) 299.50 A-2 NR 23.00 B AA (sf) 57.50 C (deferrable) A (sf) 30.00 D (deferrable) BBB- (sf) 30.00 E (deferrable) BB- (sf) 18.00 Subordinated notes NR 50.75 NR--Not rated. TIAA CHURCHILL I: S&P Assigns Prelim. B- Rating on F-R Notes ------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to TIAA Churchill Middle Market CLO I Ltd./TIAA Churchill Middle Market CLO I LLC's floating-rate notes. This is a proposed refinancing of TIAA Churchill Middle Market CLO I Ltd., which S&P Global Ratings did not rate. The note issuance is a collateralized loan obligation transaction backed primarily by middle-market senior secured term loans. The preliminary ratings are based on information as of Oct. 11, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of middle-market speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED TIAA Churchill Middle Market CLO I Ltd./TIAA Churchill Middle Market CLO I LLC Class Rating Amount (mil. $) A-R AAA (sf) 217.50 B-R AA (sf) 37.50 C-R (deferrable) A (sf) 26.25 D-R (deferrable) BBB- (sf) 24.38 E-R (deferrable) BB- (sf) 24.38 F-R (deferrable) B- (sf) 11.75 Subordinate notes NR 40.44 NR--Not rated. TRALEE CLO V: S&P Assigns Prelim BB-(sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Tralee CLO V Ltd./Tralee CLO V LLC's floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated secured term loans. The preliminary ratings are based on information as of Oct. 18, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Tralee CLO V Ltd./Tralee CLO V LLC Class Rating Amount (mil. $) A-X AAA (sf) 4.00 A-1 AAA (sf) 256.00 B AA (sf) 50.00 C (deferrable) A (sf) 25.00 D (deferrable) BBB- (sf) 20.00 E (deferrable) BB- (sf) 17.00 Subordinated notes NR 36.00 NR--Not rated. UBS COMMERCIAL 201-C13: Fitch Assigns B- Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following final ratings and Rating Outlooks to UBS Commercial Mortgage Trust 2018-C13 Commercial Mortgage Pass-Through Certificates, Series 2018-C13: -- $19,987,000 class A-1 'AAAsf'; Outlook Stable; -- $97,922,000 class A-2 'AAAsf'; Outlook Stable; -- $38,766,000 class A-SB 'AAAsf'; Outlook Stable; -- $120,000,000 class A-3 'AAAsf'; Outlook Stable; -- $223,741,000 class A-4 'AAAsf'; Outlook Stable; -- $500,416,000b class X-A 'AAAsf'; Outlook Stable; -- $128,678,000b class X-B 'A-sf'; Outlook Stable; -- $62,552,000 class A-S 'AAAsf'; Outlook Stable; -- $34,850,000 class B 'AA-sf'; Outlook Stable; -- $31,276,000 class C 'A-sf'; Outlook Stable; -- $16,442,000ab class X-D 'BBBsf'; Outlook Stable. -- $16,442,000a class D 'BBBsf'; Outlook Stable; -- $19,302,000ac class D-RR 'BBB-sf'; Outlook Stable; -- $8,936,000ac class E-RR 'BB+sf'; Outlook Stable; -- $7,149,000ac class F-RR 'BB-sf'; Outlook Stable; -- $8,042,000ac class G-RR 'B-sf'; Outlook Stable. The following class is not rated: -- $25,915,367ac class NR-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. The horizontal risk retention is represented by the D-RR, E-RR, F-RR, G-RR and NR-RR classes. The ratings are based on information provided by the issuer as of Oct. 10, 2018. Since Fitch published its expected ratings on Sept. 17, 2018, class X-D increased in size from $16,414,000 to $16,442,000, class D increased in size from $16,414,000 to $16,442,000, class D-RR decreased in size from $19,330,000 to $19,302,000, class A-3 increased in size from $110,000,000 to $120,000,000 and class A-4 decreased in size from $233,741,000 to $223,741,000. The classes reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 53 loans secured by 68 commercial properties having an aggregate principal balance of $714,880,368 as of the cutoff date. The loans were contributed to the trust by UBS AG, Societe Generale, Natixis Real Estate Capital LLC, Rialto Mortgage Finance LLC, Cantor Commercial Real Estate Lending, L.P. and CIBC, Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 62.9% of the properties by balance, cash flow analysis of 79.7% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Debt Service Coverage (DSCR) is Lower Than Recent Transactions: The pool's Fitch DSCR of 1.19x is lower than the 2017 and 2018 YTD averages of 1.26x and 1.23x, respectively. However, the pool's LTV of 100.0% is comparable to the 2017 and 2018 YTD averages of 101.6% and 102.9%, respectively. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.14x and 106.9%, respectively. Investment-Grade Credit Opinion Loans: Three loans representing 14.8% of the pool have investment-grade credit opinions, which is above the 2017 average of 11.7% and 2018 YTD average of 11.9%. 1670 Broadway (6.7% of the pool) and Wyvernwood Apartments (3.9% of the pool) both have investment-grade credit opinions of 'BBB-sf*'. Christiana Mall (4.2% of the pool) has an investment-grade credit opinion of 'AA-sf*'. Combined, the three loans have a weighted average (WA) Fitch DSCR and LTV of 1.47x and 60.6%, respectively. Diverse Pool: The pool is more diverse than recent Fitch-rated transactions. The top 10 loans comprise 42.4% of the pool balance, less than the 2017 average of 53.1% and the 2018 YTD average of 51.4%. The pool's average loan size of $13.5 million is lower than the average of $20.2 million for 2017 and $18.3 million for 2018 YTD. The concentration results in an LCI of 292, less than the 2017 average of 398 and the 2018 YTD average of 381. RATING SENSITIVITIES For this transaction, Fitch's NCF was 10.1% below the most recent year's NOI for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the UBS 2018-C13 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. VERUS SECURITIZATION 2018-3: S&P Gives (P)B+ Rating on M-5 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2018-3's $430.384 million mortgage pass-through certificates. The note issuance is a residential mortgage-backed securities transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Oct. 18, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator, Invictus Capital Partners. PRELIMINARY RATINGS ASSIGNED Verus Securitization Trust 2018-3 Class Rating(i) Amount (mil. $) A AAA (sf) 304,093,000 M-1 AA (sf) 20,567,000 M-2 A (sf) 37,376,000 M-3 BBB- (sf) 43,347,000 M-4 BB- (sf) 23,001,000 M-5 B+ (sf) 2,000,000 M-6 NR 11,933,117 A-IO-S NR Notional(ii) XS NR Notional(ii) P NR 100 R NR N/A (i)The collateral and structural information in this report reflect the term sheet dated Oct. 15, 2018; the preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' stated principal balance. N/A--Not applicable. NR--Not rated. WACHOVIA BANK 2006-C25: Fitch Affirms B Rating on Class F Notes --------------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Wachovia Bank Commercial Mortgage Trust 2006-C25 commercial mortgage pass-through certificates. KEY RATING DRIVERS Stable Loss Expectations: Fitch's expected losses for the trust remain stable since the last rating action. The two remaining loans were the only outstanding loans at the last rating action and have exhibited stable performance. The largest loan is Shoppes at North Village (92% of the pool) and is backed by a 226,160 square foot, open-air shopping center built in 2005 and located in Saint Joseph, Missouri. Year-over-year performance has improved and the asset is well occupied. Fitch's analysis of this loan includes a range of conservative NOI haircuts due to upcoming concentrated tenant roll. The other loan is also backed by a retail asset and is fully amortizing through February 2026. Minimal Change to Credit Enhancement: Although the senior class continues to pay down as expected, there is minimal change in credit enhancement given the concentrated nature of the pool and the amortization terms of the outstanding loans. The largest loan in the pool (92% of the pool) is hyperamortizing and the other remaining loan in the pool is fully amortizing. Amortization from these loans has paid down 2.48% of the pool balance since the last rating action. Since issuance, the pool has experienced 98.9% of collateral reduction. Pool Concentration: The pool is highly concentrated with only two of the original 153 loans remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that included multiple NOI stresses of 30%, 50% and 65% on the largest loan. Based on this sensitivity test, expected losses are contained to Class G, which has already realized a partial loss and is currently rated 'Dsf'. RATING SENSITIVITIES The outlook for class F remains Stable based on continued stable performance and amortization of the remaining loans. Class F could be downgraded if Shoppes at North Village experiences significant performance declines or defaults. Upgrades to Class F are possible with positive renewal and leasing activity at Shoppes at North Village. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch has affirmed the following classes: -- $12,033,480 class F notes at 'Bsf'; Outlook Stable; -- $18,302,791 class G notes at 'Dsf'; RE 75%; -- $0 class H notes at 'Dsf'; RE 0%; -- $0 class J notes at 'Dsf'; RE 0%; -- $0 class K notes at 'Dsf'; RE 0%; -- $0 class L notes at 'Dsf'; RE 0%; -- $0 class M notes at 'Dsf'; RE 0%; -- $0 class N notes at 'Dsf'; RE 0%; -- $0 class O notes at 'Dsf'; RE 0%; -- $0 class P notes at 'Dsf'; RE 0%; -- $0 class Q notes at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-PB1, A-PB2, A-4, A-5, A-1A, A-M, A-J, B, C, D and E certificates have been paid in full. Fitch previously withdrew the rating on the interest-only class IO certificates. Fitch does not rate the class S certificates. WELLS FARGO 2015-P2: Fitch Affirms BB Rating on Class E Certs ------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2015-P2. KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall performance and loss expectations for the majority of the pool remain stable since issuance. There have been no specially serviced loans since issuance. Minimal Changes to Credit Enhancement Since Issuance: As of the September 2018 distribution date, the pool's aggregate principal balance has been paid down by 1.1% to $990.7 million from $1.0 billion at issuance. The pool is scheduled to amortize by 9.1% of the initial pool balance prior to maturity. Nineteen loans (28.8% of the current pool) are full-term, interest-only. Twenty loans (33%) still have a partial interest-only component during its remaining loan term, compared with 27 loans (48% of the original pool at issuance). Fitch Loan of Concern; Alternative Loss Considerations: Fitch designated the second largest loan, Empire Mall (7.6% of current pool balance), as a Fitch Loan of Concern (FLOC). The FLOC is secured by a 1.1 million square foot superregional mall located in Sioux Falls, SD. The collateral recently experienced a significant drop in occupancy to 75.5% as of September 2018 from 96.5% at year-end (YE) 2017, mainly due to two anchors, Younkers and Sears, as well as Toys R Us vacating prior to their scheduled lease expiration. Younkers closed on August 29th, 2018 and Sears closed on September 2nd, 2018. Fitch's inquiry to the master servicer regarding any potential co-tenancy clause violations and updates on leasing status remains outstanding. In addition, no updated sales information has been provided since issuance. Fitch performed an additional sensitivity scenario, which assumed a potential outsized loss of 50% on the Empire Mall loan, given the limited updates on replacement tenancy and potential co-tenancy violations after the loss of two anchors, the lack of updated sales information, as well as the mall's secondary location. The Negative Outlooks on classes E and F reflect this analysis. ADDITIONAL CONSIDERATIONS Pool and Property Type Concentrations: The top 10 loans comprise 50.5% of the pool. Loans secured by retail properties comprise 25.8% of the current pool balance, followed by multifamily at 19.3% and industrial at 9.6%. Upcoming Loan Maturities: Four loans (15.4% of the current pool) mature in 2020. RATING SENSITIVITIES The Negative Rating Outlooks on classes E and F reflects an additional sensitivity scenario, which reflects a potential outsized loss of 50% on the Empire Mall loan. These Rating Outlooks may be revised to Stable with positive leasing momentum of the vacant anchor spaces and/or when further clarity of redevelopment plans by the sponsor is provided. The Rating Outlooks on classes A-1 through D remain Stable due to overall stable pool performance and loss expectations, as well as expected continued paydowns. Rating upgrades may occur with improved pool performance and/or additional defeasance or paydown. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed and revised Rating Outlooks on the following classes as indicated: -- $17.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $70 million class A-2A at 'AAAsf'; Outlook Stable; -- $82.5 million class A-2B at 'AAAsf'; Outlook Stable; -- $209 million class A-3 at 'AAAsf'; Outlook Stable; -- $253.8 million class A-4 at 'AAAsf'; Outlook Stable; -- $57.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $47.6 million class A-S at 'AAAsf'; Outlook Stable; -- $737.6 million* class X-A at 'AAAsf'; Outlook Stable; -- $61.4 million class B at 'AA-sf'; Outlook Stable; -- $61.4 million* class X-B at 'AA-sf'; Outlook Stable; -- $50.1 million class C at 'A-sf'; Outlook Stable; -- $56.4 million class D at 'BBB-sf'; Outlook Stable; -- $56.4 million* class X-D at 'BBB-sf'; Outlook Stable; -- $22.6 million class E at 'BBsf'; Outlook to Negative from Stable; -- $11.3 million class F at 'Bsf'; Outlook to Negative from Stable. * Notional amount and interest only. Fitch does not rate the class G certificates. WELLS FARGO 2018-1: DBRS Gives Prov. BB Rating on Class B-4 Certs ----------------------------------------------------------------- DBRS, Inc. assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2018-1 (the Certificates) issued by Wells Fargo Mortgage Backed Securities 2018-1 Trust (the Trust): -- $375.0 million Class A-1 at AAA (sf) -- $375.0 million Class A-2 at AAA (sf) -- $281.3 million Class A-3 at AAA (sf) -- $281.3 million Class A-4 at AAA (sf) -- $93.8 million Class A-5 at AAA (sf) -- $93.8 million Class A-6 at AAA (sf) -- $225.0 million Class A-7 at AAA (sf) -- $225.0 million Class A-8 at AAA (sf) -- $150.0 million Class A-9 at AAA (sf) -- $150.0 million Class A-10 at AAA (sf) -- $56.3 million Class A-11 at AAA (sf) -- $56.3 million Class A-12 at AAA (sf) -- $46.9 million Class A-13 at AAA (sf) -- $46.9 million Class A-14 at AAA (sf) -- $46.9 million Class A-15 at AAA (sf) -- $46.9 million Class A-16 at AAA (sf) -- $44.2 million Class A-17 at AAA (sf) -- $44.2 million Class A-18 at AAA (sf) -- $419.2 million Class A-19 at AAA (sf) -- $419.2 million Class A-20 at AAA (sf) -- $419.2 million Class A-IO1 at AAA (sf) -- $375.0 million Class A-IO2 at AAA (sf) -- $281.3 million Class A-IO3 at AAA (sf) -- $93.8 million Class A-IO4 at AAA (sf) -- $225.0 million Class A-IO5 at AAA (sf) -- $150.0 million Class A-IO6 at AAA (sf) -- $56.3 million Class A-IO7 at AAA (sf) -- $46.9 million Class A-IO8 at AAA (sf) -- $46.9 million Class A-IO9 at AAA (sf) -- $44.2 million Class A-IO10 at AAA (sf) -- $419.2 million Class A-IO11 at AAA (sf) -- $8.2 million Class B-1 at AA (sf) -- $4.9 million Class B-2 at A (high) (sf) -- $4.2 million Class B-3 at BBB (sf) -- $1.8 million Class B-4 at BB (sf) Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10 and A-IO11 are interest-only certificates. The class balance represents a notional amount. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-11, A-13, A-15, A-17, A-19, A-20, A-IO2, A-IO3, A-IO4, A-IO6 and A-IO11 are exchangeable certificates. These classes can be exchanged for a combination of initial exchangeable certificates as specified in the offering documents. Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15 and A-16 are super senior certificates. These classes benefit from additional protection from senior support certificates (Class A-17 and A-18) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 5.00% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (high) (sf), BBB (sf) and BB (sf) ratings reflect 3.15%, 2.05%, 1.10% and 0.70% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages. The Certificates are backed by 660 loans with a total principal balance of $441,253,347 as of the Cut-off Date (October 1, 2018). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of 17 months. These loans are 100% current and have never been delinquent. Wells Fargo Bank, N.A. (Wells Fargo or the Bank) is the Originator and Servicer of the mortgage loans as well as the Mortgage Loan Seller and Sponsor of the transaction. Wells Fargo will also act as the Master Servicer, Securities Administrator and Custodian. DBRS rates Wells Fargo's Long-Term Issuer and Long-Term Senior Debt rating at AA with a Stable trend and its Short-Term Instruments at R-1 (high) with a Stable trend. Wilmington Savings Fund Society, FSB will serve as Trustee. Opus Capital Markets Consultants, LLC (Opus) will act as the Representation and Warranty (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets with clean payment histories, well-qualified borrowers, a highly-rated R&W provider and satisfactory third-party due diligence. Although Wells Fargo had been a prolific RMBS issuer pre-crisis, the company is re-entering the securitization market with its first prime jumbo transaction after an extensive hiatus. As a result, Wells Fargo has limited publicly available performance history on securitized loans. Mitigating factors include robust performance on Wells Fargo's non-agency originations since 2011, satisfactory operational risk assessments and a comprehensive due diligence review. In addition, this transaction has a R&W framework that contains certain weaknesses, including knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to six years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses, DBRS reduced the originator score in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. Notes: All figures are in U.S. dollars unless otherwise noted. ZAIS CLO 1: S&P Assigns B- Rating on $7.5MM Class E-R Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1A-R, A-1B-R, A-2A-R, A-2B-R, B-R, C-R, D-R, and E-R replacement notes from Zais CLO 1 Ltd./Zais CLO 1 LLC, a collateralized loan obligation (CLO) originally issued in March 2014 that is managed by ZAIS Leveraged Loan Manager LLC. At the same time, S&P withdrew its ratings on the original class A-1, A-2, B, C, D, E, and combination notes following payment in full on the Oct. 15, 2018, refinancing date. S&P said, "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "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 Zais CLO 1 Ltd./Zais CLO 1 LLC Replacement class Rating Amount (mil. $) A-1A-R AAA (sf) 290.00 A-1B-R AAA (sf) 25.00 A-2A-R AA (sf) 40.00 A-2B-R AA (sf) 30.00 B-R (deferrable) A (sf) 30.00 C-R (deferrable) BBB- (sf) 25.00 D-R (deferrable) BB- (sf) 17.25 E-R (deferrable) B- (sf) 7.50 Subordinated notes NR 70.00 RATINGS WITHDRAWN Zais CLO 1 Ltd./Zais CLO 1 LLC 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) E NR B (sf) Combination notes NR AA (sf) NR--Not rated. [*] DBRS Reviews 36 Classes From 3 US RMBS Transactions ------------------------------------------------------- DBRS, Inc. reviewed 36 classes from three U.S. residential mortgage-backed securities (RMBS) transactions and has confirmed all 36 ratings reviewed. For each of the ratings confirmed, current asset performance and credit support levels are consistent with the current ratings. The confirmations are the result of DBRS's application of "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology," published on September 27, 2018. The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of prime and subprime 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 actual deal or tranche performance that is not fully reflected in the projected cash flows or model output. -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-5 -- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-6 -- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-8 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AIII-3 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-4 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-5 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-6 -- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-7 Notes: All figures are in U.S. dollars unless otherwise noted. The Affected Ratings is available at https://bit.ly/2OZ9nla [*] Moody's Hikes Ratings on 32 Tranches From 14 US RMBS Deal ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 32 tranches from 14 transactions backed by Subprime mortgage loans. Complete rating actions are as follows: Issuer: ABFC Asset Backed Certificates, Series 2005-WF1 Cl. M-5, Upgraded to Ba1 (sf); previously on Feb 3, 2017 Upgraded to Ba3 (sf) Cl. M-6, Upgraded to Ba1 (sf); previously on Jan 26, 2018 Upgraded to Ba3 (sf) Cl. M-7, Upgraded to Ba1 (sf); previously on Jan 26, 2018 Upgraded to B1 (sf) Cl. M-8, Upgraded to B1 (sf); previously on Jan 26, 2018 Upgraded to Caa1 (sf) Cl. M-9, Upgraded to Caa2 (sf); previously on Jan 26, 2018 Upgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R5 Cl. M-5, Upgraded to B1 (sf); previously on Mar 10, 2016 Upgraded to Caa2 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FF12 Cl. M-1, Upgraded to Aa2 (sf); previously on Jan 31, 2018 Upgraded to A3 (sf) Cl. M-2, Upgraded to Caa2 (sf); previously on Aug 18, 2016 Upgraded to Ca (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH3 Cl. M-2, Upgraded to Ba1 (sf); previously on Nov 19, 2014 Upgraded to Ba2 (sf) Cl. M-4, Upgraded to B1 (sf); previously on Jan 5, 2018 Upgraded to Caa1 (sf) Issuer: First Franklin Mortgage Loan Trust 2005-FFH4 Cl. M-1, Upgraded to Ba1 (sf); previously on Nov 19, 2014 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to Caa1 (sf); previously on Jan 5, 2018 Upgraded to Caa2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF10 Cl. A1, Upgraded to B1 (sf); previously on Feb 24, 2017 Upgraded to Caa1 (sf) Cl. A4, Upgraded to Aaa (sf); previously on Feb 24, 2017 Upgraded to Aa2 (sf) Cl. A5, Upgraded to Ba2 (sf); previously on Feb 24, 2017 Upgraded to B3 (sf) Cl. A7, Upgraded to Aaa (sf); previously on Feb 24, 2017 Upgraded to Aa2 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF11 Cl. I-A-1, Upgraded to Baa3 (sf); previously on Jan 5, 2018 Upgraded to Ba3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF14 Cl. A5, Upgraded to Baa2 (sf); previously on Jan 30, 2018 Upgraded to Ba1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF4 Cl. A-2, Upgraded to Aa1 (sf); previously on Jan 5, 2018 Upgraded to A3 (sf) Cl. A-3, Upgraded to A2 (sf); previously on Jan 5, 2018 Upgraded to Baa3 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF5 Cl. I-A, Upgraded to Aaa (sf); previously on Jan 5, 2018 Upgraded to A1 (sf) Cl. II-A-3, Upgraded to Baa3 (sf); previously on Jan 5, 2018 Upgraded to Ba1 (sf) Cl. II-A-4, Upgraded to Ba1 (sf); previously on Jan 5, 2018 Upgraded to B1 (sf) Cl. II-A-5, Upgraded to Baa3 (sf); previously on Jan 5, 2018 Upgraded to Ba1 (sf) Issuer: First Franklin Mortgage Loan Trust 2006-FF6 Cl. A-4, Upgraded to Baa1 (sf); previously on Jan 5, 2018 Upgraded to B1 (sf) Issuer: GSAA Home Equity Trust 2006-2 Cl. 1A1, Upgraded to Aaa (sf); previously on Feb 17, 2017 Upgraded to A2 (sf) Cl. 1A2, Upgraded to Baa1 (sf); previously on Jan 26, 2018 Upgraded to Ba2 (sf) Cl. 2A4, Upgraded to A1 (sf); previously on Jan 26, 2018 Upgraded to Baa1 (sf) Cl. 2A5, Upgraded to Baa2 (sf); previously on Jan 26, 2018 Upgraded to Ba3 (sf) Issuer: MASTR Asset Backed Securities Trust 2007-HE1 Cl. A-4, Upgraded to Caa1 (sf); previously on Jan 30, 2018 Upgraded to Caa2 (sf) Issuer: Newcastle Mortgage Securities Trust 2007-1 Cl. 1-A-1, Upgraded to Ba1 (sf); previously on Jan 30, 2018 Upgraded to B1 (sf) Cl. 2-A-2, Upgraded to A2 (sf); previously on Jan 30, 2018 Upgraded to Baa3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations 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 these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in September 2018 from 4.2% in September 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on $122MM Subprime RMBS Issued 2000-2004 ----------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 16 tranches and downgraded the ratings of five tranches from seven transactions, backed by Subprime loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Conseco Finance Home Equity Loan Trust 2001-D Cl. B-1, Upgraded to Ba3 (sf); previously on Feb 8, 2017 Upgraded to B1 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Apr 17, 2015 Upgraded to Baa3 (sf) Issuer: Conseco Finance Home Equity Loan Trust 2002-B Cl. B-1, Upgraded to Ba1 (sf); previously on Feb 8, 2017 Upgraded to Ba2 (sf) Cl. B-2, Upgraded to B1 (sf); previously on Jan 26, 2018 Upgraded to B2 (sf) Cl. M-2, Upgraded to Baa1 (sf); previously on Apr 7, 2015 Upgraded to Baa3 (sf) Issuer: CWABS, Inc., Asset-Backed Certificates, Series 2004-BC1 Cl. M-2, Upgraded to B2 (sf); previously on Feb 17, 2017 Upgraded to Caa1 (sf) Cl. M-3, Upgraded to Caa1 (sf); previously on Mar 17, 2011 Downgraded to Ca (sf) Issuer: MASTR Asset Backed Securities Trust 2004-OPT2 Cl. A-1, Downgraded to Aa3 (sf); previously on Mar 11, 2011 Downgraded to Aa2 (sf) Cl. A-2, Downgraded to Aa3 (sf); previously on Mar 11, 2011 Downgraded to Aa1 (sf) Cl. M-1, Upgraded to Ba1 (sf); previously on Jan 30, 2018 Upgraded to Ba3 (sf) Cl. M-3, Upgraded to B3 (sf); previously on Jan 30, 2018 Upgraded to Caa1 (sf) Issuer: NovaStar Mortgage Funding Trust, Series 2003-2 Cl. B-1, Upgraded to Aa3 (sf); previously on Jan 30, 2018 Upgraded to A3 (sf) Cl. M-1, Upgraded to Aaa (sf); previously on Jan 30, 2018 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to Aa1 (sf); previously on Jan 30, 2018 Upgraded to A1 (sf) Cl. M-3, Upgraded to Aa2 (sf); previously on Jan 30, 2018 Upgraded to A2 (sf) Issuer: Renaissance Home Equity Loan Trust 2004-4 Cl. AF-4, Upgraded to Aaa (sf); previously on Jan 30, 2018 Upgraded to Aa1 (sf) Cl. AF-5, Upgraded to A1 (sf); previously on Jan 30, 2018 Upgraded to Baa2 (sf) Cl. AF-6, Upgraded to Aa3 (sf); previously on Jan 30, 2018 Upgraded to A2 (sf) Cl. MV-2, Downgraded to C (sf); previously on Mar 7, 2011 Downgraded to Ca (sf) Issuer: Sovereign Bank Home Equity Loan Trust 2000-1 Cl. A-5, Downgraded to Ca (sf); previously on Mar 24, 2011 Downgraded to Caa3 (sf) Cl. A-7, Downgraded to Ca (sf); previously on Mar 24, 2011 Downgraded to Caa3 (sf) RATINGS RATIONALE The rating upgrades are primarily due to an increase in the credit enhancement available to the bonds. Additionally, the rating upgrades from NovaStar Mortgage Funding Trust reflect the bonds' sequential principal payment by the trustee despite the transaction passing its trigger events. 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 also reflect the recent performance and Moody's updated loss expectations on the underlying pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in September 2018 from 4.2% in September 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] Moody's Takes Action on 25 Tranches From 12 US RMBS Deals ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 25 tranches from 12 transactions backed by Scratch and Dent mortgage loans. Complete rating actions are as follows: Issuer: Aames Mortgage Investment Trust 2005-3 Cl. M4, Upgraded to Ba1 (sf); previously on Feb 4, 2013 Affirmed Ba3 (sf) Cl. M5, Upgraded to Ba1 (sf); previously on Feb 4, 2013 Affirmed B1 (sf) Cl. M6, Upgraded to Ba2 (sf); previously on May 18, 2016 Upgraded to B1 (sf) Issuer: Bayview Financial Mortgage Pass-Through Trust 2006-A Cl. M-2, Upgraded to Aaa (sf); previously on Feb 20, 2018 Upgraded to Aa2 (sf) Cl. M-3, Upgraded to A1 (sf); previously on Feb 20, 2018 Upgraded to A3 (sf) Cl. M-4, Upgraded to Baa3 (sf); previously on Feb 20, 2018 Upgraded to Ba1 (sf) Cl. B-1, Upgraded to B3 (sf); previously on Feb 20, 2018 Upgraded to Caa1 (sf) Issuer: Bear Stearns Asset Backed Securities Trust 2006-2 Cl. M-5, Upgraded to B1 (sf); previously on Feb 18, 2018 Upgraded to Caa1 (sf) Cl. M-6, Upgraded to Caa3 (sf); previously on Feb 4, 2013 Affirmed C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1 Cl. B-2, Upgraded to B2 (sf); previously on Feb 20, 2018 Upgraded to Caa3 (sf) Cl. B-3, Upgraded to Caa3 (sf); previously on Apr 24, 2009 Downgraded to C (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP2 Cl. A-4, Upgraded to Aaa (sf); previously on Feb 20, 2018 Upgraded to A1 (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1 Cl. A-2, Upgraded to Baa3 (sf); previously on Feb 18, 2018 Upgraded to Ba1 (sf) Cl. A-3, Upgraded to Ba1 (sf); previously on Feb 18, 2018 Upgraded to B1 (sf) Cl. A-4, Upgraded to B1 (sf); previously on Aug 11, 2014 Downgraded to Caa2 (sf) Issuer: Credit Suisse Mortgage Capital Trust 2006-CF1 Cl. B-1, Upgraded to B1 (sf); previously on Mar 15, 2017 Upgraded to B2 (sf) Cl. B-2, Upgraded to B1 (sf); previously on Feb 20, 2018 Upgraded to B3 (sf) Cl. B-3, Upgraded to B2 (sf); previously on Feb 20, 2018 Upgraded to Caa2 (sf) Issuer: CS Mortgage-Backed Pass-Through Certificates, Series 2006-CF2 Cl. M-1, Upgraded to A3 (sf); previously on Aug 14, 2014 Upgraded to Baa2 (sf) Issuer: RAAC Series 2006-SP4 Trust Cl. M-1, Upgraded to Aaa (sf); previously on Feb 20, 2018 Upgraded to Aa3 (sf) Cl. M-2, Upgraded to A3 (sf); previously on Feb 20, 2018 Upgraded to Baa2 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Mar 17, 2017 Upgraded to Caa1 (sf) Issuer: RAAC Series 2007-SP1 Trust Cl. M-1, Upgraded to A1 (sf); previously on Feb 20, 2018 Upgraded to A3 (sf) Issuer: RAAC Series 2007-SP3 Trust Cl. A-1, Upgraded to Aaa (sf); previously on Feb 20, 2018 Upgraded to Aa3 (sf) Issuer: Truman Capital Mortgage Loan Trust 2006-1 Cl. A, Upgraded to Baa1 (sf); previously on Feb 20, 2018 Upgraded to Baa3 (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The rating upgrades are a result of the improving performance of the related pools or an increase in credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in September 2018 from 4.2% in September 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. [*] S&P Cuts Ratings on 37 Classes From 28 US RMBS Deals to D ------------------------------------------------------------- S&P Global Ratings lowered its ratings to 'D (sf)' on 37 classes of mortgage pass-through certificates from 28 U.S. residential mortgage-backed securities (RMBS) transactions issued between 1996 and 2007. The transactions in this review are backed by a mix of fixed- and adjustable-rate mortgage loans, which are secured primarily by first liens on one- to four-family residential properties. The downgrades reflect its assessment of the principal writedowns' impact on the affected classes during recent remittance periods. All but two of the classes were rated either 'CCC (sf)' or 'CC (sf)' before the rating actions. Classes A-1 and M-1 from RFMSI Series 2003-S15 Trust were rated 'B- (sf)'. The 37 defaulted classes consist of the following: -- 13 from Alternative-A transactions (35.14%); -- 12 from prime jumbo transactions (32.43%); -- Six from negative amortization transactions (16.22%); -- Four from subprime transactions; One from outside-the-guidelines transactions; and -- One from Federal Housing Administration/Veterans Affairs transactions. All of the transactions in this review receive credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). A list of Affected Ratings can be viewed at: https://bit.ly/2OmNuwu [*] S&P Takes Various Actions on 23 Classes From 8 US RMBS Deals ---------------------------------------------------------------- S&P Global Ratings completed its review of 23 classes from eight U.S. residential mortgage-backed securities (RMBS) resecuritized real estate mortgage investment conduit (re-REMIC) transactions issued between 2005 and 2010. These transactions are backed by various collateral types, including Alternative-A, prime jumbo, and subprime. The review yielded three upgrades, 15 affirmations, and five discontinuances. 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, -- Historical interest shortfalls, -- Priority of principal payments, -- Loan modification criteria, and -- Available subordination and/or overcollateralization. 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