/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/181104.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, November 4, 2018, Vol. 22, No. 307 Headlines AASET TRUST 2018-2: Fitch to Rate $51.4MM Class C Notes 'BBsf' ALLEGRO CLO IX: Moody's Rates $29.9MM Class E Notes 'Ba3' ARES LTD XXIX: Moody's Affirms Ba3 Rating on $29.4MM Class D Notes ASCENTIUM EQUIPMENT 2018-2: Moody's Rates Class E Notes 'Ba2' ASCENTIUM EQUIPMENT 2018-2: S&P Assigns BB Rating on Class E Notes BEAR STEARNS 2004-3: Moody's Hikes Class B Debt Rating to Ba3 BEAR STEARNS 2004-PWR5: Moody's Cuts Class X-1 Debt Rating to Caa3 BEAR STEARNS 2006-AQ1: Moody's Hikes I-1A-2 Debt Rating to Caa2 BEAR STEARNS 2006-PWR13: S&P Affirms B- Rating on Class D Certs BEAR STEARNS 2006-TOP22: Moody's Hikes Class H Certs Rating to Caa1 BEAR STEARNS 2007-TOP26: Fitch Affirms CC Rating on Class A-J Certs BLUEMOUNTAIN CLO 2016-3: S&P Assigns Prelim BB- Rating on E-R Notes BLUEMOUNTAIN CLO XXIII: S&P Assigns Prelim BB- Rating on E Notes BX TRUST 2017-CQHP: Moody's Affirms B3 Rating on Class F Certs CANTOR COMMERCIAL 2016-C3: Fitch Affirms BB+ Rating on 2 Tranches CARLYLE US 2018-3: Moody's Gives Rating to One Note Class CARLYLE US 2018-3: Moody's Rates $20.8MM Class D Notes 'Ba3' CIFC FUNDING 2014-IV-R: S&P Assigns B- Rating on Class E Notes CITIGROUP COMMERCIAL 2013-GCJ11: Fitch Affirms B on Cl. F Certs CITIGROUP COMMERCIAL 2015-101A: Fitch Affirms B- on Class F Certs COLUMBIA CENT CLO 27: S&P Assigns B- Rating on Class E Notes COMMERCIAL CAPITAL 3: Fitch Affirms BB Rating on Class 3F Certs CONNECTICUT AVENUE 2018-R07: Fitch to Rate 18 Tranches 'BB-' CREDIT SUISSE 2016-C7: Fitch Affirms B-sf Rating on 2 Tranches CROWN POINT 7: Moody's Assigns Ba3 Rating on $21.8MM Class E Notes CSAIL 2016-C7: DBRS Confirms BB Rating on Class X-F Certs CUTWATER LTD 2015-I: Moody's Assigns Ba3 Rating on Class E-R Notes DBGS 2018-C1: S&P Assigns B- Rating on Class 7E-C Certs DBGS COMMERCIAL 2018-C1: Fitch Assigns BB- Rating on Class F Certs DRYDEN 45: Moody's Assigns Ba3 Rating on $35.8MM Class E-R Notes EATON VANCE 2018-1: Moody's Assigns Ba3 Rating on Class E Notes EMAC OWNER 2000-1: Moody's Affirms Ca Rating on Class IO Certs EXETER AUTOMOBILE 2018-4: S&P Assigns BB Rating on Cl. E Notes FOURSIGHT CAPITAL 2018-2: Moody's Gives (P)B2 Rating on F Notes GERMAN AMERICAN 2016-CD2: Fitch Affirms BB- Rating on Cl. E Certs GOLDENTREE LOAN IX: S&P Assigns B- Rating on Class F-R-2 Notes GS MORTGAGE 2018-HART: S&P Assigns B+ Rating on Class F Certs HALCYON LTD 2005-2: S&P Withdraws D Rating on Class A Notes HILLMARK FUNDING: Moody's Raises Rating on Class D Notes to Ba1 IMSCI 2015-6: Fitch Affirms B Rating on CAD3.3MM Class G Certs JAY PARK: Moody's Rates $18.3MM Class D-R Notes 'Ba3' JP MORGAN 2003-ML1: Fitch Affirms BB Rating on Class L Notes JP MORGAN 2005-LDP1: Fitch Affirms BBsf Rating on Class G Certs JPMBB COMMERCIAL 2015-C33: DBRS Confirms B(low) Rating on G Certs MADISON PARK XXXI: S&P Assigns Prelim BB- Rating on Class E Notes MASTR ASSET 2004-3: S&P Lowers Rating on Class 1-A-1 Debt to B+ MCAP CMBS 2014-1: Fitch Affirms Bsf Rating on $2.8MM Class G Certs MERRILL LYNCH 2004-BPC1: S&P Raises Rating on Class E Certs to BB+ ML-CFC COMMERCIAL 2007-8: Fitch Affirms C Rating on $54.5MM AJ Debt MORGAN STANLEY 2016-C32: Fitch Affirms BB- Rating on Class E Debt MORGAN STANLEY 2016-UBS12: Fitch Affirms BB- Rating on 2 Tranches MORGAN STANLEY 2018-L1: DBRS Finalizes B Rating on Cl. H-RR Certs MSCCG TRUST 2018-SELF: Moody's Assigns B2 Rating on Class F Certs NELNET EDUCATION 2004-1: Fitch Lowers Ratings on 3 Tranches to Bsf NEUBERGER BERMAN XVIII: S&P Gives Prelim BB- Rating on D-R2 Notes NEW RESIDENTIAL 2015-2: Moody's Raises Class B-5 Debt Rating to Ba3 NEW RESIDENTIAL 2018-NQM1: Fitch Assigns B Rating on Cl. B-2 Notes OCEAN TRAILS V: S&P Assigns B- Rating on Class F-RR Notes PALMER SQUARE 2018-4: Fitch Assigns Bsf Rating on Class E Notes READYCAP COMMERCIAL 2014-1: DBRS Ups F Debt Rating to BB(high) REGATTA FUNDING XV: Moody's Rates $36MM Class D Notes 'Ba3' SDART 2018-5: Fitch Assigns BB-sf Rating on $115.3MM Class E1 Debt SKOPOS AUTO 2015-2: Moody's Confirms B Rating on Class D Debt TIAA BANK 2018-3: DBRS Assigns Prov. BB Rating on $1.8MM B-4 Certs TIAA BANK 2018-3: Moody's Assigns Ba1 Rating on Class B-4 Debt TOWD POINT 2018-6: DBRS Gives (P)BB Rating on $33.8MM Cl. B1 Notes TROPIC CDO IV: Fitch Affirms BBsf Rating on Class A-3L Notes VENTURE LTD 34: Moody's Assigns Ba3 Rating on $25MM Class E Notes VOYA CLO 2016-3: S&P Assigns BB- Rating on $24MM Class D-R Notes VOYA CLO 2016-3: S&P Assigns Prelim BB- Rating on Class D-R Notes VOYA CLO 2018-3: S&P Assigns BB-(sf) Rating on $24MM Class E Notes WACHOVIA BANK 2006-C27: Moody's Affirms Ca Rating on Class C Debt WELLS FARGO 2018-1: DBRS Finalizes BB Rating on Class B-4 Certs WELLS FARGO 2018-1: Fitch Assigns BB+sf Rating on Class B-4 Certs WELLS FARGO 2018-1: Moody's Assigns Ba1 Rating on Class B-4 Debt WELLS FARGO 2018-C47: DBRS Finalizes BB Rating on Class G-RR Certs WELLS FARGO 2018-C47: Fitch Assigns B-sf Rating on Cl. H-RR Certs WFRBS COMMERCIAL 2013-C11: S&P Affirms B+ Rating on Class F Certs WFRBS COMMERCIAL 2014-LC14: DBRS Confirms B Rating on Class F Certs WORLD OMNI 2018-1: Fitch to Rate $21MM Class E Notes BBsf [*] DBRS Reviews 13 Classes From 2 U.S. ABS Transactions [*] Moody's Takes Action on $261MM of RMBS Issued 2005-2007 [*] Moody's Takes Action on $49.3MM Alt-A RMBS Issued in 2004 [*] Moody's Takes Action on $76MM Subprime RMBS Issued 1997-2004 [*] S&P Cuts Ratings on 4 Classes From 4 U.S. CMBS Deals to Dsf [*] S&P Lowers Ratings on 13 Classes From 12 US RMBS Transactions [*] S&P Puts Ratings on 38 Classes From 12 CLOs on Watch Positive [*] S&P Takes Various Actions on 83 Classes From 23 US RMBS Deals [*] S&P Takes Various Actions on 98 Classes From 23 US RMBS Deals [*] S&P Takes Various Actions on 99 Classes From 17 US RMBS Deals ********* AASET TRUST 2018-2: Fitch to Rate $51.4MM Class C Notes 'BBsf' -------------------------------------------------------------- Fitch Ratings expects to assign the following ratings and Outlooks to the AASET 2018-2 Trust notes: -- $488,309,000 class A asset-backed notes 'Asf'; Outlook Stable; -- $73,430,000 class B asset-backed notes 'BBBsf'; Outlook Stable; -- $51,401,000 class C asset-backed notes 'BBsf'; Outlook Stable. The notes issued from AASET 2018-2 will be backed by lease payments and disposition proceeds on a pool of 35 mid- to end-of-life aircraft. Apollo Aviation Management Limited (AAML), a wholly-owned subsidiary of Apollo Aviation Holdings Limited (Apollo), will be the servicer. Note proceeds will finance the purchase of the aircraft from certain funds (SASOF funds) managed by affiliates of Apollo. AASET 2018-2 is the third AASET transaction rated by Fitch and will be the sixth aircraft ABS transaction to be sponsored and serviced by Apollo since 2014. Fitch does not rate Apollo or AAML. SASOF IV, the primary seller of the assets to AASET 2018-2, will retain a position as a beneficial holder of an E certificate, consistent with similar investments made by funds managed by affiliates of Apollo in prior AASET transactions. Therefore, Apollo will have a vested interest in performance of the transaction outside of merely collecting servicing fees due to the European-style waterfall in SASOF IV. Fitch views this positively since Apollo has a significant interest in generating positive cash flows through management of the assets over the life of the transaction. The aircraft in the pool will be transferred from SASOF IV to the aircraft owning entity (AOE) issuers during a delivery period ending 270 days after the closing of the transaction. However, there are certain aircraft in the pool that are currently not owned by SASOF IV or its affiliates that may be acquired by the AOE issuers from the third-party sellers after close. If aircraft in the pool (or replacement aircraft) are not transferred to the AOE issuers within 270 days of closing, the applicable amount attributable to each aircraft not transferred will be used to prepay the notes without premium, consistent with prior ASSET and other aircraft ABS transactions. Citibank, N.A. will act as trustee, security trustee and operating bank and Canyon Financial Services Limited will act as managing agent. KEY RATING DRIVERS Stable Asset Quality: The pool has a weighted average (WA) age of 13.9 years and contains 66.6% good quality A320 and B737 family current-generation aircraft, consistent with AASET 2018-1. Further, the pool features an improved mix of widebody aircraft relative to 2018-1. The WA remaining lease term is 3.6 years, and 55.6% of the pool is on lease until at least 2022, a positive for future cash flow generation. Weak Lessee Credits: Most of the 30 lessees in the pool are either unrated or speculative-grade credits, typical of aircraft ABS. Fitch assumed unrated lessees would perform consistent with either a 'B' or 'CCC' Issuer Default Rating (IDR) to reflect default risk in the pool. Ratings were further stressed during future recessions and once aircraft reach Tier 3 classification. Technological Risk Exists: The A320 and B737 current generation aircraft face replacement programs over the next decade from the A320neo and B737 MAX. The A330 family also faces future replacement and competition from the A330neo, B777X and A350. While new variants will pressure current aircraft values and lease rates, mitigants exist. Consistent Transaction Structure: Credit enhancement (CE) comprises overcollateralization (OC), a liquidity facility and a cash reserve. The initial loan to value (LTV) ratios for the class A, B and C notes are 66.5%, 76.5% and 83.5%, respectively, based on the average of maintenance-adjusted base values. These levels are in line with AASET 2018-1. Capable Servicing History and Experience: Fitch believes AAML has the ability to collect lease payments, remarket and repossess aircraft in an event of lessee default, and procure maintenance to retain values and ensure stable performance. Fitch considers AAML to be a capable servicer, as evidenced by prior securitization performance and its servicing experience of aviation assets and Apollo's managed aviation funds. Adequate Structural Protections: Each class of notes makes full payment of interest and principal in the primary scenarios commensurate with their expected ratings after applying Fitch's stressed asset and liability assumptions. Fitch also created multiple alternative cash flows to evaluate the structure sensitivity to different scenarios, detailed later in the report. High Industry Cyclicality: Commercial aviation has been subject to significant cyclicality due to macroeconomic and geopolitical events. Fitch's analysis assumes multiple periods of significant volatility over the life of the transaction. Asset Value and Lease Rate Volatility: Downturns are typically marked by reduced aircraft utilization rates, values and lease rates, as well as deteriorating lessee credit quality. Fitch employs aircraft value stresses in its analysis, which takes into account age and marketability to simulate the decline in lease rates expected over the course of an aviation market downturn, and the decrease to potential residual sales proceeds. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum cap of 'Asf' due to the factors detailed, and the potential volatility they produce. RATING SENSITIVITIES Due to the correlation between global economic conditions and the airline industry, the ratings may be affected by global macro-economic or geopolitical factors over the remaining term of the transaction. Therefore, Fitch evaluated various sensitivity scenarios that could affect future cash flows from the pool and recommended ratings for the notes. Fitch performed a sensitivity analysis assuming a 25% decrease to Fitch's lease rate factor curve to observe the impact of depressed lease rates on the pool. This scenario highlights the effect of increased competition in the aircraft leasing market, particularly for mid to end-of-life aircraft over the past few years, and stresses the pool to a higher degree by assuming lease rates well below observed market rates. Under this scenario, the A notes could be subject to a downgrade of one to two categories, the class B notes to one category, and the class C notes to two categories. Fitch evaluated a scenario in which all unrated airlines are assumed to carry a 'CCC' rating. This scenario mimics a prolonged recessionary environment in which airlines are susceptible to an increased likelihood of default. This would, in turn, subject the aircraft pool to more downtime and expenses as repossession and remarketing events would increase. Under this scenario, the notes show some sensitivity to the increase in expenses due to increased defaults. Under such a scenario, each class could possibly experience a downgrade of up to one category. Fitch created a scenario in which the A330-200s in the pool encounter a considerable amount of stress to their residual values. Fitch removed outlier appraisal values for each A330-200 in the pool and took the average of the lower two appraisals to determine maintenance-adjusted base values for modeling. All the A330-200s were assumed to be Tier 3 aircraft to stress recessionary value declines, and Fitch placed a higher 25% haircut on residual proceeds. Under this scenario the A330-200s are only granted part-out value at the end of their useful lives, and the notes show some sensitivity that could result in downgrades of up to one category. ALLEGRO CLO IX: Moody's Rates $29.9MM Class E Notes 'Ba3' --------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Allegro CLO IX, Ltd. Moody's rating action is as follows: US$352,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$41,965,000 Class B-1 Senior Secured Floating Rate Notes due 2031 (the "Class B-1 Notes"), Definitive Rating Assigned Aa2 (sf) US$17,985,000 Class B-2 Senior Secured Floating Rate Notes due 2031 (the "Class B-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$28,325,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$37,675,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$29,975,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE 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. Allegro IX is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 90% ramped as of the closing date. AXA Investment Managers, Inc. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $550,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2956 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. ARES LTD XXIX: Moody's Affirms Ba3 Rating on $29.4MM Class D Notes ------------------------------------------------------------------ Moody's Investors Service has upgraded the ratings on the following notes issued by Ares XXIX CLO Ltd.: US$45,000,000 Class A-2-R Senior Floating Rate Notes Due April 17, 2026, Upgraded to Aaa (sf); previously on February 16, 2017 Assigned Aa1 (sf) US$33,750,000 Class B-R Mezzanine Deferrable Floating Rate Notes Due April 17, 2026, Upgraded to Aa1 (sf); previously on February 16, 2017 Assigned A1 (sf) US$27,500,000 Class C Mezzanine Deferrable Floating Rate Notes Due April 17, 2026, Upgraded to Baa1 (sf); previously on February 23, 2017 Upgraded to Baa2 (sf) Moody's also affirmed the ratings on the following notes: US$325,000,000 Class A-1-R Senior Floating Rate Notes Due April 17, 2026 (current outstanding balance of $208,384,188.42), Affirmed Aaa (sf); previously on February 16, 2017 Assigned Aaa (sf) US$29,400,000 Class D Mezzanine Deferrable Floating Rate Notes Due April 17, 2026, Affirmed Ba3 (sf); previously on February 23, 2017 Affirmed Ba3 (sf) US$4,750,000 Class E Mezzanine Deferrable Floating Rate Notes Due April 17, 2026, Affirmed B2 (sf); previously on February 23, 2017 Affirmed B2 (sf) Ares XXIX CLO Ltd., issued in April 2014, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. Certain notes have refinanced in February 2017. The transaction's reinvestment period ended in April 2018. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization (OC) ratios since February 2018. The Class A-1-R notes have been paid down by approximately 36% or $116.6 million since February 2018. Based on Moody's calculation, the OC ratios for the Class A, Class B, Class C, and Class D notes are currently 153.26%, 135.24%, 123.42%, and 112.88% respectively, versus 132.86%, 121.75%, 113.99%, and 106.71% in February 2018, respectively. 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 $388.0 million, defaulted par of $0.6 million, a weighted average default probability of 22.27% (implying a WARF of 3063), a weighted average recovery rate upon default of 49.70%, a diversity score of 72 and a weighted average spread of 3.33%(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. 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. ASCENTIUM EQUIPMENT 2018-2: Moody's Rates Class E Notes 'Ba2' ------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes issued by Ascentium Equipment Receivables 2018-2 Trust (ACER 2018-2), sponsored by Ascentium Capital LLC (unrated). The transaction is a securitization of contracts backed by small-ticket equipment used for commercial purposes in physician offices, gas stations, hotels and restaurants, among others. The complete rating actions are as follows: Issuer: Ascentium Equipment Receivables 2018-2 Trust Class A-2 Notes, Definitive Rating Assigned Aaa (sf) Class A-3 Notes, Definitive Rating Assigned Aaa (sf) Class B Notes, Definitive Rating Assigned Aa2 (sf) Class C Notes, Definitive Rating Assigned A1 (sf) Class D Notes, Definitive Rating Assigned Baa2 (sf) Class E Notes, Definitive Rating Assigned Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying equipment contracts and their expected performance, the strength of the capital structure, the experience and expertise of Ascentium Capital LLC as the servicer and the back-up servicing arrangement with U.S. Bank National Association (Aa1/P-1; stable). The definitive ratings for the Class C notes, A1 (sf) is one notch higher than its provisional ratings, (P)A2 (sf). This difference is the result of the transaction closing with a lower weighted average cost of funds (WAC) than Moody's modeled when the provisional ratings were assigned. The WAC assumptions as well as other structural features, were provided by the issuer. Moody's cumulative net loss expectation for the ACER 2018-2 transaction is 2.75% and loss at a Aaa stress is 23.00%. Moody's based its cumulative net loss expectation for the ACER 2018-2 transaction on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including the sponsor's previous securitizations' performance and its managed portfolio performance; the ability of Ascentium Capital LLC to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing the Class A, Class B, Class C, Class D, and Class E notes benefit from 23.00%, 17.40%, 12.40%, 8.48% and 5.45% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization of 4.20%, a 1.25% fully funded, non-declining reserve account and subordination, except for the Class E notes which do not benefit from subordination. The notes also benefit from excess spread. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Approach to Rating ABS Backed by Equipment Leases and Loans" published in December 2015. 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 equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US economy, the market for used equipment, 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 equipment securing an obligor's promise of payment. Portfolio losses also depend greatly on the US economy, the market for used equipment, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. ASCENTIUM EQUIPMENT 2018-2: S&P Assigns BB Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Ascentium Equipment Receivables 2018-2 Trust's receivables-backed notes. The note issuance is an asset-backed securities transaction backed by small-ticket equipment leases and loans, associated equipment, and special unit of beneficial interest in lease contracts and underlying vehicles. The ratings reflect: -- The availability of 22.4%, 16.9%, 12.1%, 8.3%, and 5.5% credit support to the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios. S&P said, "These credit support levels provide coverage--based on multiples in our equipment leasing criteria and, for ratings below the 'BBB' category, our securitized consumer receivables criteria--of our cumulative net loss range, which is consistent with the ratings. Our cumulative net loss ranges from 3.60% to 4.30% because it reflects our stressed recovery rate range of 15%-30%, with higher recovery rates assumed for lower rating categories." -- S&P said, "Our expectation that, under our credit stability analysis, in a moderate stress ('BBB') scenario, all else being equal, the ratings on the class A and B notes would not decline by more than one rating from our 'AAA (sf)' and 'AA (sf)' ratings, respectively, and the ratings on the class C, D, and E notes would not decline by more than two rating categories from our 'A (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively, in the first year. These potential rating movements are consistent with our credit stability criteria." -- S&P's expectation for the timely payment of periodic interest and principal by the final maturity date according to the transaction documents, based on stressed cash flow modeling scenarios that it believes are appropriate for the assigned rating categories. -- The collateral characteristics of the securitized pool of equipment leases and loans, including individual obligor concentrations of less than 1.50%, a high percentage of contracts with personal guarantees, and no residual values. The obligors represent primarily small and, to a lesser extent, medium-size businesses, and S&P's cumulative net loss assumption accounts for our stable outlook on this sector. While small business sentiment is near all-time highs (as reflected in the NFIB Small Business Optimism Index level of 107.2 for June 2018, for example), delinquencies are slightly increasing, and tariff and trade uncertainties remain as a tempering factor. -- Ascentium Capital LLC's (Ascentium's) historical recovery rates, which are generally higher than those of other small ticket commercial finance companies. S&P believes this results from the high percentage of personal guarantees and the servicer's pursuit of realizations on them. -- The presence of a backup servicer, U.S. Bank N.A. -- The transaction's legal structure. RATINGS ASSIGNED Ascentium Equipment Receivables 2018-2 Trust Class Rating Amount (mil. $) A-1 A-1+ (sf) 62.000 A-2 AAA (sf) 137.000 A-3 AAA (sf) 81.746 B AA (sf) 20.091 C A (sf) 17.939 D BBB (sf) 14.064 E BB (sf) 10.871 BEAR STEARNS 2004-3: Moody's Hikes Class B Debt Rating to Ba3 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 13 tranches from seven transactions, backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Bear Stearns ALT-A Trust 2004-3 Cl. B, Upgraded to Ba3 (sf); previously on Jan 11, 2018 Upgraded to B2 (sf) Cl. A-1, Upgraded to A1 (sf); previously on Feb 2, 2017 Upgraded to A3 (sf) Issuer: Bear Stearns ALT-A Trust 2004-4 Cl. M-2, Upgraded to B2 (sf); previously on Jan 11, 2018 Upgraded to Caa1 (sf) Issuer: Bear Stearns ALT-A Trust 2004-8 Cl. M-2, Upgraded to B2 (sf); previously on Jan 11, 2018 Upgraded to Caa1 (sf) Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-3 Cl. I-M-1, Upgraded to Caa2 (sf); previously on Mar 3, 2011 Downgraded to Ca (sf) Cl. I-A-5, Upgraded to A1 (sf); previously on Jan 22, 2018 Upgraded to A3 (sf) Underlying Rating: Upgraded to A1 (sf); previously on Jan 22, 2018 Upgraded to A3 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Cl. I-A-6, Upgraded to Aa3 (sf); previously on Jan 22, 2018 Upgraded to A1 (sf) Underlying Rating: Upgraded to Aa3 (sf); previously on Jan 22, 2018 Upgraded to A1 (sf) Financial Guarantor: Ambac Assurance Corporation (Segregated Account - Unrated) Issuer: GSAA Home Equity Trust 2004-7 Cl. AF-5, Upgraded to Aa2 (sf); previously on Jan 22, 2018 Upgraded to A2 (sf) Issuer: Impac CMB Trust Series 2003-4 Cl. 3-M-2, Upgraded to Baa1 (sf); previously on Jan 11, 2018 Upgraded to Ba1 (sf) 3-B-1, Upgraded to Baa3 (sf); previously on Jan 11, 2018 Upgraded to Ba3 (sf) Issuer: Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11 Cl. 2-A-1, Upgraded to B2 (sf); previously on Jan 25, 2017 Upgraded to Caa1 (sf) Cl. 1-A-1, Upgraded to Caa2 (sf); previously on Aug 12, 2013 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 12, 2013 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) Cl. 1-A-2, Upgraded to Caa2 (sf); previously on Aug 12, 2013 Confirmed at Caa3 (sf) Underlying Rating: Upgraded to Caa2 (sf); previously on Aug 12, 2013 Confirmed at Caa3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn Mar 25, 2009) RATINGS RATIONALE The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. The rating upgrades are primarily due to an increase in the credit enhancement available to the bonds. The rating upgrades for Cl. 1-A-1, Cl. 1-A-2, and Cl. 2-A-1 from Impac CMB Trust Series 2004-11 Collateralized Asset-Backed Bonds, Series 2004-11 are due to the 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. BEAR STEARNS 2004-PWR5: Moody's Cuts Class X-1 Debt Rating to Caa3 ------------------------------------------------------------------ Moody's Investors Service has affirmed the ratings on six classes, upgraded the ratings on two classes and downgraded the ratings on one class in Bear Stearns Commercial Mortgage Securities Trust 2004-PWR5, Commercial Mortgage Pass-Through Certificates, Series 2004-PWR5 as follows: Cl. F, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. G, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. H, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. J, Affirmed Aaa (sf); previously on Oct 27, 2017 Affirmed Aaa (sf) Cl. K, Affirmed Aaa (sf); previously on Oct 27, 2017 Upgraded to Aaa (sf) Cl. L, Upgraded to Aa2 (sf); previously on Oct 27, 2017 Upgraded to Baa1 (sf) Cl. M, Upgraded to A3 (sf); previously on Oct 27, 2017 Upgraded to Ba2 (sf) Cl. N, Affirmed Caa3 (sf); previously on Oct 27, 2017 Affirmed Caa3 (sf) Cl. X-1, Downgraded to Caa2 (sf); previously on Oct 27, 2017 Affirmed Caa1 (sf) RATINGS RATIONALE The ratings on five P&I classes, Cl. F, Cl. G, Cl. H, Cl. J, and Cl. K, were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on Cl. N was affirmed because the rating is consistent with Moody's expected loss plus realized losses. Cl. N has already experienced a 16% realized loss as result of previously liquidated loans. The ratings on two P&I classes, Cl. L and Cl. M, were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as Moody's expectation of additional increases in credit support resulting from the payoff of loans approaching maturity that are well positioned for refinance. The pool has paid down by 10% since Moody's last review. In addition, loans constituting 86% of the pool have either defeased or have amortized 90% or more from their securitization balance and are scheduled to mature within the next 12 months. The rating on the IO Class, Cl. X-1, 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 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 1.4% of the original pooled balance, the same as 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 Bear Stearns Commercial Mortgage Securities Trust 2004-PWR5, Cl. F, Cl. G, Cl. H, Cl. J, Cl. K, Cl. L, Cl. N, and Cl. M was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Bear Stearns Commercial Mortgage Securities Trust 2004-PWR5, Cl. X-1 were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the October 11, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 96% to $54 million from $1.23 billion at securitization. The certificates are collateralized by nine mortgage loans ranging in size from less than 1% to 69% of the pool. One loan, constituting 3% of the pool, has an investment-grade structured credit assessment and two loans, constituting 83% 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 4, the same as at Moody's last review. One loan, constituting less than 1% of the pool, is 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. Eight loans have been liquidated from the pool, resulting in an aggregate realized loss of $17.7 million (for an average loss severity of 46%). No loans are currently in special servicing. Moody's received full year 2017 operating results for 100% of the pool, and partial year 2018 operating results for 57% of the pool (excluding specially serviced and defeased loans). The loan with a structured credit assessment is the New Castle Marketplace Loan ($1.4 million -- 3% of the pool), which is secured by a retail property located in New Castle, Delaware. As of March 2018, the property was 100% leased. The loan is fully amortizing and has amortized by 91% since securitization. Moody's structured credit assessment and stressed DSCR are aaa (sca.pd) and greater than 4.00X, respectively. The top three non-defeased loans represent 13.8% of the pool balance. The largest loan is the Arcade Garage Loan ($3.5 million -- 6.5% of the pool), which is secured by a 617-space, nine level parking garage located in Providence, Rhode Island. The loan is fully amortizing and has already amortized by 55% since securitization. Moody's LTV and stressed DSCR are 32.5% and greater than 3.00X, respectively. The second largest loan is the 877 Post Road East Loan ($2.4 million -- 4.4% of the pool), which is secured by a 29,000 square foot (SF) mixed use property in Westport, Connecticut. The property was 100% leased as of March 2018, the same as at prior reviews. The loan is fully amortizing and has amortized by 57% since securitization. Moody's LTV and stressed DSCR are 36.1% and 2.70X, respectively. The third largest loan is the Herriman Crossroads Loan ($1.6 million -- 2.9% of the pool), which is secured by a 31,000 SF retail property located in Herriman, Utah. As of June 2018 the property was 96% leased, unchanged from December 2017. The loan is fully amortizing and has amortized by 57% since securitization. Moody's LTV and stressed DSCR are 30.0% and greater than 3.00X, respectively. BEAR STEARNS 2006-AQ1: Moody's Hikes I-1A-2 Debt Rating to Caa2 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of two tranches from Bear Stearns Asset Backed Securities I Trust 2006-AQ1, backed by subprime loans. Complete rating actions are as follows: Issuer: Bear Stearns Asset Backed Securities I Trust 2006-AQ1 Cl. I-1A-2, Upgraded to Caa2 (sf); previously on Aug 7, 2013 Confirmed at Caa3 (sf) Cl. I-1A-3, Upgraded to Caa3 (sf); previously on Aug 7, 2013 Downgraded to C (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating upgrades are also due to a correction to the cashflow model previously used to rate this transaction. In prior rating actions, realized loss was not allocated to CL. I-2A. This error has now been corrected, and the rating action reflects fewer realized losses having been allocated to CL. I-1A-3 and Cl. I-1A-2. 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. BEAR STEARNS 2006-PWR13: S&P Affirms B- Rating on Class D Certs --------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of commercial mortgage pass-through certificates from Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its rating on class D from the same transaction. For the upgrades and affirmation, S&P's expectation of credit enhancement was in line with the raised or affirmed rating levels. The upgrade also reflects the significant reduction in trust balance, primarily due to the resolution of three previously specially serviced assets, the magnitude of defeased loans remaining in the transaction (three; $46.7 million, 56.8%), and the classes' interest shortfall histories. S&P said, "While available credit enhancement levels suggest positive rating movement on class D, our analysis considered the volume of specially serviced assets (five; $16.9 million, 20.5%), two of which ($6.0 million, 7.2%) was recently transferred to special servicing in September 2018, and the class' susceptibility to reduced liquidity support from these specially serviced assets. In addition, we noted the refinancing concerns with three of the performing nondefeased loans totaling $6.1 million (7.5%) due mainly to reported declines in performance and/or tenant rollover risk." TRANSACTION SUMMARY As of the Oct. 11, 2018, trustee remittance report, the collateral pool balance was $82.2 million, which is 2.8% of the pool balance at issuance. The pool currently includes 12 loans and one real estate-owned asset, down from 303 loans at issuance. Five of these assets are with the special servicer, three loans are defeased, and one loan ($2.2 million, 2.6%) is on the master servicer's watchlist. Excluding the specially serviced assets and defeased loans, S&P calculated a 1.31x S&P Global Ratings weighted average debt service coverage (DSC) and 51.7% S&P Global Ratings weighted average loan-to-value ratio using a 7.86% S&P Global Ratings weighted average capitalization rate for the remaining performing loans. To date, the transaction has experienced $206.5 million in principal losses, or 7.1% of the original pool trust balance. S&P expects losses to reach approximately 7.2% of the original pool trust balance in the near term, based on losses incurred to date and additional losses S&P expects upon the eventual resolution of the five specially serviced assets. CREDIT CONSIDERATIONS As of the Oct. 11, 2018, trustee remittance report, five assets in the pool were with the special servicer, C-III Asset Management LLC (C-III). Details of the three largest specially serviced assets are as follows: -- The Bel Air Center loan ($5.5 million, 6.6%) is the second-largest nondefeased loan in the pool and has a total reported exposure of $6.4 million. The loan is secured by a 32,200-sq.-ft. retail property in Roseville, Calif. The loan was transferred to the special servicer on Aug. 10, 2016, due to maturity default as a result of a historical environmental issue. The loan matured on Aug. 1, 2016, and has a nonperforming matured balloon payment status. According to C-III, the borrower is working to remediate the environmental issue. S&P did not receive updated performance data. S&P expects a minimal loss (less than 25%) upon its eventual resolution. -- The Rite Aid-Flat Rock ($3.0 million, 3.7%) and the Rite Aid-Warren ($2.9 million, 3.6%) loans, the fourth- and fifth-largest nondefeased loans, respectively, in the pool were both transferred to the special servicer on Sept. 25, 2018, because the sole tenant at each property requested a rent reduction. The loans are each secured by 11,180-sq.-ft. retail property leased to Rite Aid Corp. in Flat Rock and Warren, Mich. The reported DSC and occupancy were 1.32x and 100.0%, respectively, for the six months ended June 30, 2018, for the Rite-Aid-Flat Rock loan and 1.33x and 100%, respectively, for the three months ended March 31, 2018, for the Rite-Aid-Warren loan. For each loan, S&P expects minimal losses upon their eventual resolution. The two remaining assets with the special servicer each have individual balances that represent less than 3.6% of the total pool trust balance. S&P estimated losses for the five specially serviced assets, arriving at a weighted-average loss severity of 18.4%. RATINGS RAISED Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13 Rating Class To From B AA+ (sf) AA (sf) C AA (sf) BB+ (sf) RATING AFFIRMED Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13 Class Rating D B- (sf) BEAR STEARNS 2006-TOP22: Moody's Hikes Class H Certs Rating to Caa1 ------------------------------------------------------------------- Moody's Investors Service has upgraded five classes, and affirmed the ratings on two classes in Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Commercial Pass-Through Certificates, Series 2006-TOP22: Cl. C, Affirmed Aaa (sf); previously on Jan 19, 2018 Affirmed Aaa (sf) Cl. D, Upgraded to Aaa (sf); previously on Jan 19, 2018 Upgraded to Aa2 (sf) Cl. E, Upgraded to A2 (sf); previously on Jan 19, 2018 Upgraded to Baa2 (sf) Cl. F, Upgraded to Baa1 (sf); previously on Jan 19, 2018 Upgraded to Ba1 (sf) Cl. G, Upgraded to Ba2 (sf); previously on Jan 19, 2018 Affirmed B1 (sf) Cl. H, Upgraded to Caa1 (sf); previously on Jan 19, 2018 Affirmed Caa2 (sf) Cl. J, Affirmed C (sf); previously on Jan 19, 2018 Affirmed C (sf) RATINGS RATIONALE The ratings on five P&I classes were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as the large portion of the deal that is currently defeased. The pool has paid down by 13% since Moody's last review and defeasance now represents nearly 43% of the pool. The rating on Cl. C was affirmed because the transaction's key metrics, including Moody's loan-to-value ratio, Moody's stressed debt service coverage ratio and the transaction's Herfindahl Index, are within acceptable ranges. The rating on Cl. J was affirmed because the ratings are consistent with Moody's expected loss plus realized loss. Cl. J has already experienced a 17% realized loss as a result of previously liquidated loans. Moody's rating action reflects a base expected loss of 1.0% of the current pooled balance, compared to 1.2% at Moody's last review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance, compared to 1.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the October 12, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $93 million from $1.70 billion at securitization. The deal is slightly under-collateralized by approximately $353,891. The certificates are collateralized by 15 mortgage loans ranging in size from less than 1% to 17% of the pool, with the top ten loans (excluding defeasance) constituting 57% of the pool. Five loans, constituting 43% 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 6, compared to 8 at Moody's last review. Six loans, constituting 24% 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. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $31.7 million (for an average loss severity of 47%). Moody's received full year 2017 operating results for 100% of the pool, and partial year 2018 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 73%, compared to 77% at Moody's last review. Moody's conduit component excludes loans with structured credit assessments, defeased and CTL loans, and specially serviced and troubled loans. Moody's net cash flow (NCF) reflects a weighted average haircut of 17% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.6%. Moody's actual and stressed conduit DSCRs are 2.21X and 2.00X, respectively, compared to 1.37X and 1.54X 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 34% of the pool balance. The largest loan is the Hopewell Crossing Shopping Center Loan ($16.1 million -- 17.3% of the pool), which is secured by a 109,000 square feet (SF) grocery anchored shopping center. The center is located approximately ten miles southeast of Princeton in Pennington, New Jersey. The property is anchored by a grocer tenant with a lease through May 2025. As of March 2018, the property was 97% leased, compared to 96% in September 2017. The loan has amortized 30% since securitization. Property performance dropped in 2017 due to an increase in expenses, resulting in part due to non-payment of sewer usage, which was back billed. Moody's LTV and stressed DSCR are 78% and 1.29X, respectively, compared to 76% and 1.29X at the last review. The second largest loan is the Webster Square Loan ($9.1 million -- 9.8% of the pool), which is secured by a 230,000 SF anchored retail center located eleven miles northeast of Rochester in Webster, New York. Major tenants include a BJ's Wholesale and Dollar Tree. BJ's Wholesale lease runs through November 2023. The former second largest tenant, Kmart, which occupied approximately 38% of the net rentable area (NRA), vacated their space in November 2017. As of June 2018, the property was 61% leased, unchanged from December 2017 and 100% in December 2016. The loan has amortized over 30% since securitization. Moody's LTV and stressed DSCR are 102% and 1.09X, respectively, unchanged from the prior review. The third largest loan is the 1312-1320 3rd Street Promenade Loan ($6.6 million -- 7.2% of the pool), which is secured by a 30,000 SF mixed use building, comprised of office and retail spaces located in Santa Monica, California. The property is approximately four blocks from the beach. As of March 2018, the property was 87% leased, unchanged from December 2017 and 2016. There is short-term lease rollover, with approximately 47% of the net rentable area (NRA) leases expiring by 2020. Performance dropped slightly in 2017 due to expenses increasing while revenue remained roughly flat. The loan has amortized over 21% since securitization. Moody's LTV and stressed DSCR are 51% and 2.02X, respectively, compared to 49% and 2.09X at the last review. BEAR STEARNS 2007-TOP26: Fitch Affirms CC Rating on Class A-J Certs ------------------------------------------------------------------- Fitch Ratings has upgraded one class and affirmed 14 classes of Bear Stearns Commercial Mortgage Securities Trust (BSCMS) commercial mortgage pass-through certificates, series 2007-TOP26. KEY RATING DRIVERS Increase in Credit Enhancement: Credit enhancement has improved since Fitch's last rating action due to amortization and two loan payoffs (totalling nearly $20 million). As of the October 2018 distribution date, the pool's aggregate principal balance has been reduced by 85.6% to $303.6 million from $2.11 billion at issuance. Credit enhancement for class A-M will continue to increase with amortization and liquidations of the specially serviced loans/assets. Of the performing loans, one loan (2.1%) matures in 2020, four loans (51.3%) mature in 2022 and one loan (0.8%) matures in 2027. Collateral Quality of Largest Loan: The upgrade to class A-M reflects the high quality and low leverage of the largest loan in the pool, One Hammarskjold Plaza (49.4%). The loan is secured by 807,661 square foot (sf) office tower located in Manhattan. According to media reports, the property is under contract for approximately $600 million ($742/sf). This compares to the outstanding debt of $150 million ($192/sf). The servicer has confirmed that the property is under contract with a closing in the first quarter of 2019; the loan is expected to be defeased at the closing date. The loan has an anticipated repayment date (ARD) of Feb. 1, 2022 and a final maturity date of Feb. 1, 2037. Occupancy as of June 2018 was reported to be 100%. Stable Loss Expectations / Concentration of Specially Serviced Assets: Loss expectations remain high due to the concentration of specially serviced assets. Five assets (45.8%) are currently with the special servicer, all of which are either REO or in the foreclosure process. The largest specially serviced asset is AT&T Center (35.3%), which is secured by a 1.46 million square foot (sf) office building located in St. Louis, MO. The property was previously fully-occupied by AT&T; however, the company vacated prior to its lease expiration in September 2017. The loan transferred to the special servicer in March 2017 and the trust took title to the property through foreclosure in August 2017. The servicer is pursuing leasing opportunities and plans to market the property for sale. Fitch expects significant losses on this asset and will continue to monitor the sale process. RATING SENSITIVITIES The Rating Outlook for class A-M remains stable based on continued transaction paydown, high quality and low leverage of the largest loan in the pool and the senior position of the class within the capital structure. Downgrades to the distressed classes are likely as losses are realized. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has upgraded the following class: -- $38.6 million class A-M to 'AAAsf' from 'Asf'; Outlook Stable. Fitch has affirmed the following classes: -- $160.6 million class A-J at 'CCsf'; RE 65%; -- $42.1 million class B at 'Csf'; RE 0%; -- $18.4 million class C at 'Csf'; RE 0%. -- $29 million class D at 'Csf'; RE 0%; -- $14.9 million class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class O at 'Dsf'; RE 0%. The class A-1, A-2, A-3, A-AB, A-4 and A-1A certificates have paid in full. Fitch does not rate the class P certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. BLUEMOUNTAIN CLO 2016-3: S&P Assigns Prelim BB- Rating on E-R Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class X, A-1R, B-R, C-R, D-R, and E-R replacement notes from BlueMountain CLO 2016-3 Ltd., a collateralized loan obligation (CLO) originally issued in September 2016 that is managed by BlueMountain Capital Management LLC. The deal is also expected to issue an A-2R note that S&P will not rate. The replacement notes will be issued via a proposed supplemental indenture The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Oct. 26, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Nov. 15, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." Based on provisions in the supplemental indenture: -- The class A notes will be split into class A-1R and A-2R notes. -- A class X note will be issued and is expected to paydown equally over eight periods, starting after the second payment date. -- The replacement class A-1R, B-R, C-R, D-R, and E-R notes are expected to be issued at lower spreads than the original notes. -- The replacement class A-2R notes are expected to be issued at a higher spread than the original class A notes. -- The non-call period will be extended to November 2020. -- The reinvestment period will be extended to November 2023. -- The maturity date will be extended to November 2030. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate, and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED BlueMountain CLO 2016-3 Ltd./BlueMountain CLO 2016-3 LLC Replacement class Rating Amount (mil. $) X AAA (sf) 2.70 A-1R AAA (sf) 280.25 A-2R NR 19.00 B-R AA (sf) 57.00 C-R (deferrable) A (sf) 36.80 D-R (deferrable) BBB- (sf) 24.95 E-R (deferrable) BB- (sf) 19.00 Subordinate notes (deferrable) NR 43.10 NR--Not rated. BLUEMOUNTAIN CLO XXIII: S&P Assigns Prelim BB- Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to BlueMountain CLO XXIII Ltd./BlueMountain CLO XXIII LLC'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 preliminary ratings are based on information as of Oct. 25, 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 BlueMountain CLO XXIII Ltd./BlueMountain CLO XXIII LLC Class Rating Amount (mil. $) A-1 AAA (sf) 291.000 A-2 NR 29.000 B AA (sf) 60.000 C (deferrable) A (sf) 28.750 D (deferrable) BBB- (sf) 31.000 E (deferrable) BB- (sf) 17.000 Subordinated notes NR 52.825 NR--Not rated. BX TRUST 2017-CQHP: Moody's Affirms B3 Rating on Class F Certs -------------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes of BX Trust 2017-CQHP, Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Dec 4, 2017 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 4, 2017 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 4, 2017 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 4, 2017 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Dec 4, 2017 Definitive Rating Assigned Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Dec 4, 2017 Definitive Rating Assigned B3 (sf) Cl. X-CP, Affirmed Baa2 (sf); previously on Dec 4, 2017 Definitive Rating Assigned Baa2 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on six P&I classes due to the transaction's key metrics, including Moody's loan-to-value (LTV) ratio and Moody's stressed debt service coverage ratio (DSCR), being within acceptable ranges. The rating on the IO class, Class X-CP, is affirmed based on the credit quality of the referenced classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns, an increase in defeasance or an improvement in loan performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the loan or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in rating BX Trust 2017-CQHP, Cl. A, Cl. B, Cl. C, Cl. D, Cl. E and Cl. F was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating BX Trust 2017-CQHP, Cl. X-CP were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the October 15, 2018 Payment Date, the transaction's aggregate certificate balance remains unchanged at $274 Million. The securitization is backed by a single floating rate loan collateralized by four Club Quarter hotels. The Portfolio totals 1,228 rooms, and includes the 346 room Club Quarters San Francisco, the 429 room Club Quarters Chicago Central Loop, the 178 room Club Quarters Boston, and the 275 room Club Quarters Philadelphia. The interest only loan's final maturity date is in November 2022. Club Quarters has 17 city-center locations in major markets in the U.S. and London, and the company drives corporate negotiated rate business through memberships with corporate clients that commit to a minimum number of room nights at a property annually. On weekends when corporate travel demand generally decreases, they cater to non-members and leisure travelers. The property's Net Cash Flow (NCF) for the trailing twelve months ending July 2018 was $28.1 Million, down from the trailing twelve months ending August 2017 NCF of $34.2 Million. Moody's stabilized NCF is $25.4 Million, the same as securitization. Moody's stressed LTV and stressed DSCR for the Mortgage are 121% and 1.00X, respectively. The trust has not incurred any losses or interest shortfalls as of the current Payment Date. CANTOR COMMERCIAL 2016-C3: Fitch Affirms BB+ Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 17 classes of Cantor Commercial Real Estate CFCRE 2016-C3 Mortgage Trust commercial mortgage pass-through certificates. KEY RATING DRIVERS Generally Stable Performance and Loss Expectations: The ratings reflect the generally stable performance of the majority of the pool. Current loss expectations are slightly lower than issuance; however, due to the potential outsized losses on the Empire Mall loan, Rating Outlooks for classes F and G as well as interest-only classes X-F and X-G have been revised to Negative from Stable. No loans have transferred to special servicing and there are currently four loans on the servicer's watchlist. Limited Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. As of the October 2018 distribution date, the pool's aggregate principal balance has been reduced by 1.81% to $690.8 million from $703.6 million at issuance. 12 loans (37.9% of the pool) are full term interest-only, eight loans (21.9% of the pool) are partial interest-only, and the remaining 17 loans (40.2% of the pool) are balloon. Fitch Loans of Concern; Alternative Loss Considerations: Two loans (12.81% of the pool) have been designated as Fitch Loans of Concern (FLOC). The first FLOC, Empire Mall (7.24%), is secured by a 1.1 million square foot superregional mall, located in Sioux Falls, SD. The mall 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. In addition, further occupancy declines may be possible given possible co-tenancy issues. 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 F, G, X-F, and X-G reflect this analysis. Fitch also designated the sixth largest loan, One Commerce Plaza (5.57%), as a FLOC. The FLOC, which is secured by a 746,052 square foot office property in Albany, NY, has a high concentration of month-to-month tenants as well as near-term lease rollover concern. RATING SENSITIVITIES The Rating Outlooks on classes F, G, and interest-only classes X-F and X-G have been revised to Negative from Stable. The Negative Outlooks reflect an additional sensitivity scenario, which reflects a potential outsized loss of 50% on the Empire Mall loan. Should the mall performance continue to decline or default, the classes may experience downgrades. Conversely, 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 are provided. The Rating Outlooks on classes A-1 through E remain Stable due to overall stable pool performance and loss expectations, as well as 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 the following ratings and Revised Outlooks on the following classes as indicated: -- $16.4 million class A-1 at 'AAAsf'; Outlook Stable; -- $200 million class A-2 at 'AAAsf'; Outlook Stable; -- $222.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $40.5 million class A-SB at 'AAAsf'; Outlook Stable; -- $36.1 million class A-M at 'AAAsf'; Outlook Stable; -- $37.8 million class B at 'AA-sf'; Outlook Stable; -- $37.8 million class C at 'A-sf'; Outlook Stable; -- $41.3 million class D at 'BBB-sf'; Outlook Stable; -- $10.6 million class E at 'BB+sf'; Outlook Stable; -- $515.8 million* class X-A at 'AAAsf'; Outlook Stable; -- $37.8 million* class X-B at 'AA-sf'; Outlook Stable; -- $41.3 million* class X-D at 'BBB-sf'; Outlook Stable; -- $10.6 million* class X-E at 'BB+sf'; Outlook Stable; -- $8.8 million class F at 'BB-sf'; Outlook to Negative from Stable; -- $7.9 million class G at 'B-sf'; Outlook to Negative from Stable; -- $8.8 million* class X-F at 'BB-sf'; Outlook to Negative from Stable; -- $7.9 million* class X-G at 'B-sf'; Outlook to Negative from Stable. * Notional amount and interest only. Fitch does not rate the class H or class X-H certificates. Fitch previously withdrew the rating on the class X-C certificate. CARLYLE US 2018-3: Moody's Gives Rating to One Note Class --------------------------------------------------------- Moody's Investors Service has assigned a rating to one class of notes issued by Carlyle US CLO 2018-3 (Secured Note), LLC. Moody's rating action is as follows: US$116,456,838 Class A Secured Notes due 2030 (the "Class A Secured Notes"), Assigned Baa2 (sf) with respect to the ultimate cash receipt of the Class A Secured Note Balance (as defined in the transaction's indenture). The Class A Secured Notes are composed of the following components that were issued by Carlyle US CLO 2018-3, Ltd. on October 29, 2018: US$31,840,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$20,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$25,400,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$20,800,000 Class D Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) US$20,527,500 Subordinated Notes (the "Subordinated Notes") The Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes, and the Subordinated Notes are referred to herein, collectively as the "CLO Notes." The Secured Note Issuer was created solely to issue secured notes. The secured notes' structure includes several notable features. The Class A Secured Notes promise the repayment of the Class A Secured Note Balance and do not bear a stated rate of interest. In addition to the Class A Secured Notes, the Secured Notes Issuer issued Class B Secured Notes. Any proceeds from the CLO Notes will be first applied to the payment of principal of the Class A Secured Notes until its principal is reduced to zero and Class A is retired completely, and second, distributed to the Class B Secured Notes. While the Class A Secured Notes are outstanding, the CLO Notes will not be refinanced. The rating reflects the risks due to defaults on the CLO Issuer's underlying portfolio of assets, the transaction's legal structure, and the characteristics of the CLO Issuer's underlying assets. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1, Section 3.4 and Appendix 14 ("Approach to Rating Instruments that Are Backed by CLO Secured Debt Tranches and Equity, and CLO Instruments with non-Standard Promises") 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 for the CLO Issuer's portfolio: Par amount: $400,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2775 Weighted Average Spread (WAS): 3.05% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 9.0 years The CLO Issuer is a managed cash flow CLO. The issued notes of the CLO Issuer are collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, and up to 10% of the portfolio may consist of second lien loans and senior unsecured loans. Carlyle CLO Management L.L.C. directs the selection, acquisition and disposition of the assets on behalf of the CLO Issuer and may engage in trading activity, including discretionary trading, during the CLO Issuer's five year reinvestment period. Methodology Underlying the Rating Action: The principal methodology used in this rating 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 Rating: The performance of the Class A Secured Notes is subject to uncertainty. The performance of the Class A Secured Notes is sensitive to the performance of the CLO Notes and the CLO Issuer's portfolio, which in turn depend on economic and credit conditions that may change. The CLO Manager's investment decisions and management of the CLO Issuer will also affect the performance of the Class A Secured Notes. The rating on the Class A Secured Notes, which combines cash flows from the CLO Notes, is subject to a higher degree of volatility than the rated notes of the CLO Issuer, primarily due to the uncertainty of cash flows from the Subordinated Notes. Moody's applied haircuts to the cash flows from the Subordinated Notes based on the target rating of the Class A Secured Notes. Actual distributions from the Subordinated Notes that differ significantly from Moody's assumptions can lead to a faster (or slower) speed of reduction in the Class A Secured Note Balance, thereby resulting in better (or worse) ratings performance than previously expected. CARLYLE US 2018-3: Moody's Rates $20.8MM Class D Notes 'Ba3' ------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by Carlyle US CLO 2018-3, Ltd. Moody's rating action is as follows: US$244,000,000 Class A-1a Senior Secured Floating Rate Notes due 2030 (the "Class A-1a Notes"), Definitive Rating Assigned Aaa (sf) US$18,000,000 Class A-1b Senior Secured Floating Rate Notes due 2030 (the "Class A-1b Notes"), Definitive Rating Assigned Aaa (sf) Us$39,800,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf) US$20,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned A2 (sf) US$25,400,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned Baa3 (sf) US$20,800,000 Class D Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE 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. Carlyle 2018-3 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 up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Carlyle CLO Management L.L.C. 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): 2775 Weighted Average Spread (WAS): 3.05% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. CIFC FUNDING 2014-IV-R: S&P Assigns B- Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to CIFC Funding 2014-IV-R Ltd.'s floating-rate notes. This is a reissue of CIFC Funding 2014-IV Ltd., which closed in September 2014 and S&P Global Ratings did not rate. The note issuance is a collateralized loan obligation transaction backed by primarily broadly-syndicated, speculative-grade, senior-secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly-syndicated, speculative-grade, senior-secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED CIFC Funding 2014-IV-R Ltd. Class Rating Amount (mil. $) X AAA (sf) 6.00 A-1a AAA (sf) 386.75 A-1b NR 12.00 A-2 AA (sf) 53.50 B (deferrable) A (sf) 41.60 C (deferrable) BBB- (sf) 29.75 D (deferrable) BB- (sf) 23.80 E (deferrable) B- (sf) 12.00 Subordinated notes NR 62.68 NR--Not rated. CITIGROUP COMMERCIAL 2013-GCJ11: Fitch Affirms B on Cl. F Certs --------------------------------------------------------------- Fitch Ratings upgrades one and affirms 10 classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2013-GCJ11. KEY RATING DRIVERS Increased Credit Enhancement: The upgrade of classes B is due to increased credit enhancement following a significant amount of paydown since the last rating action. Thirteen loans have paid in full since the prior rating action, and as a result, the pool has paid down by $276.8 million, contributing to the rise in credit enhancement. As of the October 2018 distribution date, the pool's aggregate principal balance paid down by 31.2% to $830.2 million from $1.2 billion at issuance. Additionally, 11 loans (12.7% of the remaining pool balance) are fully defeased. One loan (0.6%) is full-term, interest only, and no loans have a partial interest-only components remaining, compared with 30.2% of the original pool at issuance. Stable Loss Projections: Fitch's loss expectations remain relatively stable since the last rating action and since issuance. As of year-end 2017, aggregate pool-level NOI dropped by 1% from 2016 for non-defeased loans reporting full-year 2016 and 2017 financials. No loans are delinquent or in special servicing and there have been no realized losses since issuance. Fitch Loans of Concern: Five loans (13.6%), including three loans (12.3%) in the top 15, have been designated as Fitch Loans of Concern (FLOCs) for declining cash flow and increased vacancy. The largest FLOC is the Empire Hotel & Retail (8.3%), a mixed use hotel/retail property on the Upper West Side of Manhattan. Per the borrower, cash flow at the property has declined due to renovations that took half the hotel rooms off line through YE 2016 and the soft hotel market in New York City. Per the 2Q 2018 TTM financials, NOI DSCR was 1.03x and the property was 83% occupied. Other FLOCs include 9440 Santa Monica (2.1%), an office property in Beverly Hills, CA where Bank of America (8.9% NRA) reduced its footprint by approximately 19,000 sf, resulting in occupancy declining to 73%; Renaissance Center (1.8%), a mixed use property in Raleigh, NC where Babies R Us (19.6% NRA) vacated prior to lease expiration; Fairfield Inn - Anchorage (1.1%), a 106-key limited service hotel in Anchorage, AK with low DSCR due to oil and gas exposure; and 903 Peachtree Street (0.2%), a retail property in Atlanta, GA where occupancy dropped to 77% after a major tenant vacated prior to lease expiration. ADDITIONAL CONSIDERATIONS High Hotel Concentration: Loans accounting for 25.6% of the pool are collateralized by hotels or mixed use properties with a significant hotel component. Two of these loans (9.4%) are FLOCs, and three (16.7%) are in the top 15. Additionally, 20.7% of the pool is collateralized by office properties. Maturity Concentration: The maturity concentration for the pool is as follows: two loans (7.0%) in 2022 and 57 (93.0%) loans in 2023. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable due to overall stable performance of the pool and improved credit enhancement. Upgrades are possible with additional paydown, defeasance or stabilization of the larger FLOCs. Downgrades are possible if the performance of the FLOCs deteriorates or loans transfer to special servicing. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch has upgraded the following rating: -- $75.4 million class B to 'AAsf' from 'AA-sf'; Outlook Stable. Fitch has affirmed the following ratings: -- $148.0 million class A-3 at 'AAAsf'; Outlook Stable; -- $236.2 million class A-4 at 'AAAsf'; Outlook Stable; -- $83.9 million class A-AB at 'AAAsf'; Outlook Stable; -- $104.1 million class A-S at 'AAAsf'; Outlook Stable; -- $572.3 million* class X-A at 'AAAsf'; Outlook Stable; -- $42.2 million class C at 'A-sf'; Outlook Stable; -- $117.7 million* class X-B at 'A-sf'; Outlook Stable; -- $58.8 million class D at 'BBB-sf'; Outlook Stable; -- $21.1 million class E at 'BBsf'; Outlook Stable; -- $18.1 million class F at 'Bsf'; Outlook Stable. * Notional amount and interest-only. Classes A-1 and A-2 have been paid in full. Fitch does not rate the class G certificates. CITIGROUP COMMERCIAL 2015-101A: Fitch Affirms B- on Class F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Citigroup Commercial Mortgage Trust 2015-101A, commercial mortgage pass-through certificates series 2015-101A. KEY RATING DRIVERS Stable Performance and Cash Flow: Performance of the property is stable as exhibited by strong occupancy and limited near-term rollover. As of year-end 2017, the NOI debt service coverage ratio (DSCR) was 2.18x, compared with 2.05x at issuance. Occupancy has improved to 99.7% as of August 2018 from 94.5% at issuance. High-Quality Manhattan Asset: The certificates represent the beneficial ownership in the issuing entity, the primary asset of which is one loan secured by the leasehold interest in the 101 Avenue of the Americas office property in New York, NY. The 23-story, class A office building is located within the South Broadway/Hudson Square submarket in Manhattan. The property was gut renovated between 2011 and 2013 including upgraded building systems as well as a new lobby, restrooms, and green roof terrace. The building is LEED Silver certified. The two largest tenants, NY Genome Center (38.5% of total square footage) and Two Sigma (32.3%) occupy approximately 71% of the property. Other major tenants include Digital Ocean (10.3%) and REGUS (7.3%). Limited Near-Term Rollover: The property has limited rollover in 2019 when 3.6% of leases expire. An additional 7.3% expires in 2023. The majority of the building rollover is associated with the two largest tenants, which both roll prior to the loan's maturity date in January 2035. The largest tenant (38.5%) has lease expiration in 2033 and the second largest tenant (32.3%) expires in 2029. Concentrated Tenancy: Tenancy in the building is concentrated with the five largest tenants representing 94% of the gross leasable area (GLA). The majority of the building is comprised of the two largest tenants representing 71% of the GLA, both of which are on long-term leases. Leasehold Interest: The property is subject to a 99-year ground lease that expires in December 2088. The loan is structured with monthly reserves for all payments associated with the ground lease and is recourse to the borrower and guarantor for termination of the ground lease. Interest Only Loan: The loan is interest only (annual interest rate of 4.65%) for the entire 20-year term. RATING SENSITIVITIES The Rating Outlook for all classes remains Stable. No rating actions are anticipated unless there are material changes in property occupancy or cash flow. The property performance is consistent with issuance. Fitch has affirmed the following classes: -- $96,000,000 class A at 'AAAsf'; Outlook Stable; -- $96,000,000 class X-A* at 'AAAsf'; Outlook Stable; -- $30,000,000 class X-B* at 'A-sf'; Outlook Stable; -- $16,000,000 class B at 'AA-sf'; Outlook Stable; -- $14,000,000 class C at 'A-sf'; Outlook Stable; -- $20,000,000 class D at 'BBB-sf'; Outlook Stable; -- $31,000,000 class E at 'BB-sf'; Outlook Stable; -- $19,000,000 class F at 'B-sf'; Outlook Stable. * Interest-only class X-A is equal to the notional balance of class A. Interest-only class X-B is equal to the notional balance of class B and class C. Fitch does not rate the class G certificates. COLUMBIA CENT CLO 27: S&P Assigns B- Rating on Class E Notes ------------------------------------------------------------ S&P Global Ratings assigned its ratings to Columbia Cent CLO 27 Ltd./Columbia Cent CLO 27 LLC's floating- and fixed-rate notes. This is a reissue of Cent CLO 20 Ltd., which was refinanced on April 25, 2017.S&P is withdrawing its ratings on Cent CLO 20 Ltd. The note issuance is a collateralized debt obligation (CDO) transaction backed by a revolving pool consisting primarily of broadly syndicated senior secured 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 Columbia Cent CLO 27 Ltd./Columbia Cent CLO 27 LLC Class Rating Amount (mil. $) X AAA (sf) 4.30 A-1 AAA (sf) 265.60 A-2a AA (sf) 29.80 A-2b AA (sf) 20.00 B (deferrable) A (sf) 27.00 C (deferrable) BBB- (sf) 22.00 D (deferrable) BB- (sf) 19.10 E (deferrable) B- (sf) 7.45 Subordinated notes NR 44.75 RATINGS WITHDRAWN Cent CLO 20 Ltd./Cent CLO 20 Corp. Rating Original class To From A-R NR AAA (sf) B-1-R NR AA (sf) B-2-R NR AA (sf) C-R NR A (sf) D NR BBB (sf) E NR BB (sf) NR--Not rated. COMMERCIAL CAPITAL 3: Fitch Affirms BB Rating on Class 3F Certs --------------------------------------------------------------- Fitch Ratings has affirmed two classes of Commercial Capital Access One, Series 3 commercial mortgage pass-through certificates. KEY RATING DRIVERS Increased Credit Enhancement; Loan Payoff: The Rating Outlook revision to Stable from Negative on class 3F reflects increased credit enhancement since Fitch's last rating action due to the payoff of the Pembroke Meadows Shopping Center loan and continued scheduled loan amortization. The Pembroke Meadows Shopping Center loan, which had represented 23.3% of the last rating action pool balance, was prepaid on Oct. 1, 2018, ahead of its August 2023 scheduled maturity. As of the October 2018 distribution date, the pool's aggregate principal balance has been reduced by 98.8% to $5.3 million from $433.7 million at issuance. Realized losses to date totaled 7.4% of the original pool balance. Stable Loss Expectations: Overall pool performance and loss expectations remain stable since the last rating action. There are no delinquent or specially-serviced loans. The largest loan, NetScout Building (41.1% of pool), is secured by a 97,500 sf single-tenant office property located in Westford, MA. The single tenant, Sonus Networks, Inc., extended its lease for an additional 10 years through the end of August 2028, which is beyond the loan's May 2023 maturity. The loan is fully amortizing. YE 2017 NOI DSCR was 2.30x, compared to 2.31x at YE 2016 and 2.35x at YE 2015. Fitch Loans of Concern: Fitch designated two loans (58.9% of pool) as Fitch Loans of Concern (FLOCs). The Olympic Alzheimer's Residence loan (30.1%) is secured by a 61,718 sf, 60-bed, assisted living, healthcare facility located in Gig Harbor, WA. Although property occupancy has improved to 95% as of June 2018 from 87% at YE 2016 and 90% at YE 2015, operating expenses have increased significantly. Operating expenses were up 19% between 2016 and TTM June 2018 and 29% between 2015 and TTM June 2018, largely due to payroll and benefits. Per the master servicer, these increased operating expenses were not one time occurrences and are expected to continue. Fitch considers assisted living properties to be more volatile due to the required operating and management expertise. The property is located in a secondary market and faces immediate competition from other assisted living facilities. YE 2017 NOI DSCR was 1.12x compared to 1.11x at YE 2016. The Berkley Medical Building loan (28.7%) is secured by a 32,184 sf suburban medical office property located in Berkley, MI (part of the Detroit MSA). Property occupancy has plummeted to 54% as of June 2018 from 57% at YE 2017 and 83% at YE 2016. The master servicer indicated there has been no positive leasing momentum at the property, largely due to the consolidation of the Michigan health care industry. In addition, the property faces significant upcoming lease rollover concerns, including 45.5% of the NRA rolling in 2019 and an additional 3.1% currently on month-to-month leases. In-place rents at the property are above the submarket's average asking rents. YE 2017 NOI DSCR has dropped to 0.45x from 1.25x at YE 2016. Concentrated Pool; Alternative Loss Considerations: Due to the highly concentrated nature of the pool with only three loans remaining, Fitch performed an additional sensitivity scenario, which assumed a potential outsized loss of 50% on the Olympic Alzheimer's Residence loan and a 100% loss on the Berkley Medical Building loan. The rating of class 3F was capped at 'BBsf' due to the highly concentrated nature of the pool and the adverse selection of the remaining pool. ADDITIONAL CONSIDERATIONS Loan Maturities: All three remaining loans mature in 2023. RATING SENSITIVITIES The Stable Outlook on class 3F reflects increased credit enhancement and expected continued amortization. A future upgrade is unlikely, but may occur with additional paydown and/or defeasance. A downgrade may be possible should performance of the FLOCs decline significantly and/or losses exceed Fitch's expectations. 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 Outlook on the following classes as indicated: -- $2.8 million class 3F at 'BBsf'; Outlook to Stable from Negative; -- $2.5 million class 3G at 'Dsf'; RE 5%. The class 3A-1, 3A-2, 3X, 3B, 3C, 3D, and 3E certificates have paid in full. Fitch does not rate the class 3H certificates. CONNECTICUT AVENUE 2018-R07: Fitch to Rate 18 Tranches 'BB-' ------------------------------------------------------------ Fitch Ratings expects to assign the following ratings and Rating Outlooks to Fannie Mae's risk transfer transaction, Connecticut Avenue Securities Trust, series 2018-R07: -- $149,807,000 class 1M-1 notes 'BBB-sf'; Outlook Stable; -- $199,742,000 class 1M-2A notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1M-2B notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1M-2C notes 'Bsf'; Outlook Stable; -- $599,226,000 class 1M-2 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1A-I1 notional exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1A-I2 notional exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1A-I3 notional exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1A-I4 notional exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1E-A1 exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1E-A2 exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1E-A3 exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1E-A4 exchangeable notes 'BBsf'; Outlook Stable; -- $199,742,000 class 1B-I1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1B-I2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1B-I3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1B-I4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1E-B1 exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1E-B2 exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1E-B3 exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1E-B4 exchangeable notes 'BB-sf'; Outlook Stable; -- $199,742,000 class 1C-I1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1C-I2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1C-I3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1C-I4 notional exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1E-C1 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1E-C2 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1E-C3 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1E-C4 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1E-D1 exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1E-D2 exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1E-D3 exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1E-D4 exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1E-D5 exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1E-F1 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1E-F2 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1E-F3 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1E-F4 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1E-F5 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1-J1 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1-J2 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1-J3 exchangeable notes 'Bsf'; Outlook Stable; -- $199,742,000 class 1-J4 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-K1 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-K2 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-K3 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-K4 exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-X1 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1-X2 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1-X3 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1-X4 notional exchangeable notes 'BB-sf'; Outlook Stable; -- $399,484,000 class 1-Y1 notional exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-Y2 notional exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-Y3 notional exchangeable notes 'Bsf'; Outlook Stable; -- $399,484,000 class 1-Y4 notional exchangeable notes 'Bsf'; Outlook Stable; -- $599,226,000 class 1M-2Y exchangeable notes 'Bsf'; Outlook Stable; -- $599,226,000 class 1M-2X notional exchangeable notes 'Bsf'; Outlook Stable. Fitch will not be rating the following classes: -- $23,168,555,759 class 1A-H reference tranche; -- $7,884,741 class 1M-1H reference tranche; -- $10,513,654 class 1M-AH reference tranche; -- $10,513,654 class 1M-BH reference tranche; -- $10,513,654 class 1M-CH reference tranche; -- $172,854,000 class 1B-1 notes; -- $9,098,009 class 1B-1H reference tranche; -- $121,301,339 class 1B-2H reference tranche; -- $31,540,962 class 1M-2H reference tranche; -- $172,854,000 class 1B-1Y exchangeable notes; -- $172,854,000 class 1B-1X notional exchangeable notes. The notes are issued from a bankruptcy remote vehicle and are subject to the credit and principal payment risk of the mortgage loan reference pools of certain residential mortgage loans held in various Fannie Mae-guaranteed MBS. The 'BBB-sf' rating for the 1M-1 notes reflects the 3.85% subordination provided by the 0.87% class 1M-2A, the 0.87% class 1M-2B, the 0.87% class 1M-2C, the 0.75% class 1B-1 and their corresponding reference tranches as well as the 0.50% 1B-2H reference tranche. Connecticut Avenue Securities Trust series 2018-R07 (CAS 2018-R07) is Fannie Mae's 30th risk transfer transaction issued as part of the Federal Housing Finance Agency's Conservatorship Strategic Plan for 2013 to 2018 for each of the government-sponsored enterprises (GSEs) to demonstrate the viability of multiple types of risk transfer transactions involving single-family mortgages. The CAS 2018-R07 transaction includes one loan group that will consist of loans with loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%. This is the first risk transfer transaction Fannie Mae is issuing in which the notes are not general, senior unsecured obligations of Fannie Mae but are instead issued as a REMIC from a Bankruptcy Remote Trust. Similarly to the prior transactions however, the notes are still subject to the credit and principal payment risk of a pool of certain residential mortgage loans (reference pool) held in various Fannie Mae-guaranteed MBS. While the transaction structure simulates the behavior and credit risk of traditional RMBS mezzanine and subordinate securities, the bond payments are not made directly from the reference pool of loans. Principal payments are made from a release of collateral deposited into a segregated account as of the closing date. Interest payments on the bonds are made from a combination of interest accrued on the eligible investments in the CCA and certain interest amounts received from the Designated Q-REMIC Interests on certain designated loans acquired by Fannie Mae during the given acquisition period. Fannie Mae acts as ultimate backstop with regard to the portion of interest applicable to LIBOR in the event the money from earnings on the CCA is insufficient. Given the structure and counterparty dependence on Fannie Mae, Fitch's ratings on the 1M-1 and 1M-2 notes will be based on the lower of: the quality of the mortgage loan reference pool and credit enhancement (CE) available through subordination, or Fannie Mae's Issuer Default Rating (IDR). While this transaction reduces counterparty exposure to Fannie Mae compared with prior transactions, there is still a reliance on them to cover potential interest shortfalls or principal losses on eligible investments. The notes will be issued as uncapped LIBOR-based floaters and carry a 12.5-year legal final maturity. This will be an actual loss risk transfer transaction in which losses borne by the noteholders will not be based on a fixed loss severity (LS) schedule. The notes in this transaction will experience losses realized at the time of liquidation or modification that will include both lost principal and delinquent or reduced interest. Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in Fannie Mae's current rating. However, if at some point, Fitch observes that support is reduced and receivership likely, Fannie Mae's ratings could be downgraded and the 1M-1, 1M-2A, 1M-2B and 1M-2C notes' ratings of each group affected. The 1M-1, 1M-2A, 1M-2B, 1M-2C and 1B-1 notes will be issued as LIBOR-based floaters. Should the one-month LIBOR rate fall below the applicable negative LIBOR trigger value described in the offering memorandum, the interest payment on the interest-only notes will be capped at the excess of: (i) the interest amount payable on the related class of exchangeable notes for that payment date over (ii) the interest amount payable on the class of floating-rate related combinable and recombinable (RCR) notes included in the same combination for that payment date. If there are no floating-rate classes in the related exchange, then the interest payment on the interest-only notes will be capped at the aggregate of the interest amounts payable on the classes of RCR notes included in the same combination that were exchanged for the specified class of interest-only RCR notes for that payment date. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The reference mortgage loan pool consists of high-quality mortgage loans acquired by Fannie Mae between April 1, 2018 and June 30, 2018. The reference pool will consist of loans with loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%. Overall, the reference pool's collateral characteristics reflect the strong credit profile of post-crisis mortgage originations. Strong Lender Review and Acquisition Processes (Positive): Fitch found that Fannie Mae has a well-established and disciplined process in place for the purchase of loans and views its lender approval and oversight processes for minimizing counterparty risk and ensuring sound loan quality acquisitions as positive. Loan quality control (QC) review processes are thorough and indicate a tight control environment that limits origination risk. Fitch has determined Fannie Mae to be an above-average aggregator for its 2013 and later product. Fitch accounted for the lower risk by applying a lower default estimate for the reference pool. Collateral Drift (Negative): While the credit attributes remain significantly stronger than any pre-crisis vintage, the CAS credit attributes are weakening relative to CAS transactions issued several years ago. Compared with the earlier post-crisis vintages, this reference pool consists of weaker FICO scores and debt-to-income (DTI) ratios. The credit migration has been a key driver of Fitch's rising loss expectations, which have moderately increased over time. 12.5-Year Hard Maturity (Positive): The notes benefit from a 12.5-year legal final maturity. Thus, any credit or modification events on the reference pool that occur beyond year 12.5 are borne by Fannie Mae and do not affect the transaction. Fitch accounted for the 12.5-year hard maturity in its default analysis and applied a reduction to its lifetime default expectations. Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will retain credit risk in the transaction by holding the 1A-H senior reference tranche, which has an initial loss protection of 4.50%, as well as the first loss 1B-2H reference tranche, sized at 0.50%. Fannie Mae is also retaining a vertical slice or interest of at least 5% in each reference tranche (1M-1H, 1M-AH, 1M-BH, 1M-CH and 1B-1H). Limited Size and Scope of Third-Party Diligence (Neutral): Fitch received third-party due diligence on a loan production basis, as opposed to a transaction-specific review. Fitch believes that regular, periodic third-party reviews (TPRs) conducted on a loan production basis are sufficient for validating Fannie Mae's quality control processes. Fitch views the results of the due diligence review as consistent with its opinion of Fannie Mae as an above-average aggregator; as a result, no adjustments were made to Fitch's loss expectations based on due diligence. HomeReady Exposure (Negative): Approximately 2.5% of the reference pool was originated under Fannie Mae's HomeReady program, which targets low- to moderate-income homebuyers or buyers in high-cost or underrepresented communities and provides flexibility for a borrower's LTV, income, downpayment and mortgage insurance coverage requirements. Fitch anticipates higher default risk for HomeReady loans due to measurable attributes (such as FICO, LTV and property value), which is reflected in increased credit enhancement (CE). Move to REMIC Structure (Neutral): This is Fannie Mae's first credit risk transfer transaction being issued as a REMIC from a bankruptcy remote trust. The change limits the transaction's dependency on Fannie Mae for payments of principal and interest helping mitigate potential rating caps in the event of a downgrade of Fannie Mae's counterparty rating. Under the current structure, Fannie Mae still acts as a final backstop with regard to payments of LIBOR on the bonds as well as potential investment losses of principal. As a result, ratings may still be limited in the future by Fannie Mae's rating but to a lesser extent than in previous transactions as there are now other recourses to investors for payments. Indemnification for Potential Hurricane Related Defaults (Positive): Fannie Mae will not remove loans in counties designated as natural disaster areas by the Federal Emergency Management Agency (FEMA) as of the closing date. However, to the extent any loans are in areas that were declared by FEMA to be a major disaster area, and in which FEMA has authorized individual assistance to homeowners in such county as a result of Hurricane Florence or Hurricane Michael and are delinquent as of the February 2019 reporting period, Fannie Mae will remove them at that time. 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 metropolitan statistical area (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. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model projected sMVD. It indicates there is some potential rating migration with higher MVDs, compared with the model projection. Fitch also conducted defined rating sensitivities that determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 12%, 12% and 32% would potentially reduce the 'BBB-sf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with due diligence information from Adfitech, Inc. (Adfitech). The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Adfitech examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certification indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certification also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on the analysis. While Fitch was provided due diligence from a third-party, Form 15E was not provided to or reviewed by Fitch in relation to this rating action. CREDIT SUISSE 2016-C7: Fitch Affirms B-sf Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Credit Suisse Commercial Mortgage Trust 2016-C7 Pass-Through Certificates. KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect the overall stable pool performance and loss expectations since issuance. Two loans (1.6% of pool) are in special servicing and three additional loans (13.2%) have been identified as Fitch Loans of Concern. The pool has experienced no realized losses since issuance. Minimal Changes in Credit Enhancement: As of the October 2018 distribution date, the pool's aggregate principal balance has paid down by 2.7% to $747.0 million from $767.6 million at issuance. Two loans (8.8% of pool) are interest-only loans, 14 loans (38.7%) still have a remaining partial interest-only period and 36 loans (52.5%) are balloon loans with loan terms of five to 10 years. Based on the loans' scheduled balances at maturity, the pool is expected to pay down 16.2% during the term. Fitch Loans of Concern: Fitch designated five loans (14.8% of pool) as Fitch Loans of Concern, one of which is secured by a regional mall property with declining occupancy and declining sales trends since issuance and two are specially serviced loans (1.6%). The Gurnee Mills loan (9.2%) is secured by a 1.7 million sf portion of a 1.9 million sf regional mall located in Gurnee, IL, approximately 45 miles north of Chicago. Non-collateral anchors include Burlington Coat Factory, Marcus Cinema and Value City Furniture. Collateral anchors include Macy's, Bass Pro Shops, Kohl's and a vacant anchor box that was previously occupied by Sears. Collateral occupancy has declined in 2018 to approximately 77% from 88% in December 2017 and 91% at issuance. Sears vacated during second quarter 2018 (2Q18) and Last Call Neiman Marcus vacated during 1Q18. Both tenants vacated prior to their scheduled April 2019 and January 2020 lease expirations, respectively. Additionally, in-line tenant sales have dropped to $319 psf as of YE 2017 from $347 psf around the time of issuance (as of TTM July 2016). Additional Loss Consideration: Fitch ran an additional sensitivity scenario for the Gurnee Mills loan, which assumed a 20% loss severity to reflect the potential for outsized losses given additional vacancy and decline in sales. The Negative Outlooks on classes F and X-F reflect this analysis. ADDITIONAL CONSIDERATIONS Pool Concentrations: Loans secured by retail properties represent 40.4% of the pool, including six of the top 15 loans (34.3%), two of which are secured by regional mall properties (12.9%). Loans located in Florida represent 30% of the pool, followed by 14.3% in Georgia. No Upcoming Maturities: Only 2.1% of the pool is scheduled to mature in 2022. The majority of the pool matures in 2025 and 2026 (97.9%). RATING SENSITIVITIES The Negative Rating Outlooks for classes F and X-F reflect potential rating downgrades due to performance concerns on the Gurnee Mills loan. Rating downgrades are possible if the performance of this property continues to decline or with limited positive leasing momentum. Fitch's additional sensitivity scenario incorporates an additional 20% loss on the Gurnee Mills loan to reflect the potential for outsized losses. The Rating Outlooks for classes A-1 through E remain Stable due to overall stable performance and continued amortization. Upgrades may occur with improved pool performance and additional paydown or defeasance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed and revised Rating Outlooks to the following ratings: -- $19,901,139 class A-1 at 'AAAsf'; Outlook Stable; -- $5,938,000 class A-2 at 'AAAsf'; Outlook Stable; -- $15,900,000 class A-3 at 'AAAsf'; Outlook Stable; -- $163,000,000 class A-4 at 'AAAsf'; Outlook Stable; -- $246,354,000 class A-5 at 'AAAsf'; Outlook Stable; -- $65,656,000 class A-SB at 'AAAsf'; Outlook Stable; -- $52,774,000 class A-S at 'AAAsf'; Outlook Stable; -- $29,746,000 class B at 'AA-sf'; Outlook Stable; -- $37,422,000 class C at 'A-sf'; Outlook Stable; -- $45,098,000 class D at 'BBB-sf'; Outlook Stable; -- $23,029,000 class E at 'BB-sf'; Outlook Stable; -- $9,595,000 class F at 'B-sf'; Outlook to Negative from Stable; -- $569,523,139* class X-A at 'AAAsf'; Outlook Stable; -- $29,746,000* class X-B at 'AA-sf'; Outlook Stable; -- $23,029,000* class X-E at 'BB-sf'; Outlook Stable; -- $9,595,000* class X-F at 'B-sf'; Outlook to Negative from Stable. * Notional amount and interest only. Fitch does not rate Class X-NR and NR. CROWN POINT 7: Moody's Assigns Ba3 Rating on $21.8MM Class E Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to five classes of notes issued by Crown Point CLO 7 Ltd. Moody's rating action is as follows: US$288,000,000 Class A Senior Secured Floating Rate Notes Due 2031 (the "Class A Notes"), Definitive Rating Assigned Aaa (sf) US$54,000,000 Class B Senior Secured Floating Rate Notes Due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$24,300,000 Class C Secured Deferrable Mezzanine Floating Rate Notes Due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$25,875,000 Class D Secured Deferrable Mezzanine Floating Rate Notes Due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$21,825,000 Class E Secured Deferrable Junior 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. Crown Point 7 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of senior secured loans, and up to 10% of the portfolio may consist of second lien loans, first lien last out loans and unsecured loans. The portfolio is approximately 80% ramped as of the closing date. Pretium Credit Management, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2651 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.5% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. CSAIL 2016-C7: DBRS Confirms BB Rating on Class X-F Certs --------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-C7 issued by CSAIL 2016-C7 Commercial Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class B at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class C at AA (low) (sf) -- Class D at BBB (high) (sf) -- Class X-E at BBB (low) (sf) -- Class E at BB (high) (sf) -- Class X-F at BB (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained generally in line with DBRS's expectations since issuance. This transaction closed in November 2016 with 53 loans secured by 199 commercial properties, and as of the October 2018 remittance, 52 loans remain in the pool with an aggregate principal balance of $747.0 million, representing a collateral reduction of 2.7% since issuance. At issuance, the transaction had a DBRS Term debt service coverage ratio (DSCR) and DBRS Debt Yield of 1.54x and 8.7%, respectively. As of the October 2018 remittance, 51 loans (98.7% of the pool) have reported updated financials since issuance. For those loans reporting, the weighted-average (WA) in-place DSCR and debt yield are 1.64x and 8.7%, respectively. The largest 15 loans represent 65.5% of the pool balance and reported a WA DSCR at YE2017 of 1.74x and WA cash flow growth of 12.8% over the DBRS issuance figures. It is noteworthy that this pool has a high concentration of retail properties, which make up over 40% of the pool, including three regional malls in the top 15. Overall, these properties are performing in line with DBRS expectations, with only one mall affected by the recent Sears bankruptcy and closing announcements in Gurnee Mills (Prospectus ID #2, 9.8% of the pool). The Sears Grand store at that property was announced to be closed in June 2018, prior to the Sears bankruptcy filing, with the store representing 12.0% of the property net rentable area (NRA). As of October 2018, the space remains vacant, but there have been additions to the property since issuance in The Room Place and Dick's Sporting Goods, which combine for 4.5% of the NRA and serve to offset some of the Sears vacancy. For additional information on this property, please see the loan commentary in the DBRS Viewpoint platform, for which information has been provided, below. There are challenges in two loans in special servicing and four loans on the servicer's watch list, which represent 1.6% and 4.1% of the current pool balance, respectively. The watch listed loans are generally performing, with only one loan being monitored for cash flow declines. One of the loans in special servicing, The Registry Apartments (Prospectus ID #33, 0.9% of the pool), was transferred to special servicing for delinquency in June 2018, but has since been brought current and DBRS expects the loan will be returned to the master servicer in the near term. The other specially serviced loan, Holiday Inn Express & Suites Warrenton (Prospectus ID #37, 0.8% of the pool), was transferred after the hotel franchisor issued a default letter to the borrower for missed franchise payments. As of the October 2018 remittance, the loan was 14 months delinquent and the special servicer is pursuing foreclosure. A June 2018 appraisal obtained by the special servicer is reflective of a 26.5% value decline from issuance, and as such, DBRS assumes a loss will be incurred for this loan at resolution. Classes X-A, X-B, 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. CUTWATER LTD 2015-I: Moody's Assigns Ba3 Rating on Class E-R Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to the following notes issued by Cutwater 2015-I, Ltd.: Moody's rating actions are as follows: US$292,500,000 Class A-R Senior Secured Floating Rate Notes due 2029 (the "Class A-R Notes"), Assigned Aaa (sf) US$49,500,000 Class B-R Senior Secured Floating Rate Notes due 2029 (the "Class B-R Notes"), Assigned Aa2 (sf) US$24,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2029 (the "Class C-R Notes"), Assigned A2 (sf) US$27,400,000 Class D-R Secured Deferrable Floating Rate Notes due 2029 (the "Class D-R Notes"), Assigned Baa3 (sf) US$18,400,000 Class E-R Secured Deferrable Floating Rate Notes due 2029 (the "Class E-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The Refinancing Notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. Insight North America LLC, as successor by merger to Cutwater Investor Services Corp. 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 30, 2018 in connection with the refinancing all classes of secured notes previously issued on June 3, 2015. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes and additional subordinated 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 and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $450,000,000 Diversity Score: 67 Weighted Average Rating Factor (WARF): 2998 Weighted Average Spread (WAS): 3.9% Weighted Average Recovery Rate (WARR): 46.55% Weighted Average Life (WAL): 7.00 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. DBGS 2018-C1: S&P Assigns B- Rating on Class 7E-C Certs ------------------------------------------------------- S&P Global Ratings assigned its ratings to DBGS 2018-C1 Mortgage Trust's $1.066 billion commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities transaction backed by 37 commercial mortgage loans with an aggregate principal balance of $1,065,682,359.00 secured by the fee and leasehold interests in 102 properties across 23 states and Cuautitlan Izcalli, Mexico. The ratings reflect the credit support provided by the transaction's structure, our view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and our overall qualitative assessment of the transaction. RATINGS ASSIGNED DBGS 2018-C1 Mortgage Trust Class Rating(i) Amount (mil. $) A-1 AAA (sf) 14,440,000 A-2 AAA (sf) 87,090,000 A-SB AAA (sf) 29,104,000 A-3 AAA (sf) 83,000,000 A-4 AAA (sf) 504,969,000 X-A NR 836,659,000(ii) A-M NR 118,056,000 B NR 41,063,000 C NR 41,063,000 X-B(iii) NR 82,126,000(ii) X-D(iii) NR 47,479,000(ii) X-F(iii) NR 19,249,000(ii) D(iii) NR 26,948,000 E(iii) NR 20,531,000 F(iii) NR 19,249,000 G-RR(iii) NR 10,265,000 H-RR(iii) NR 30,798,079 7E-A(iv) BBB- (sf) 5,486,000 7E-B(iv) BB- (sf) 8,216,000 7E-C(iv) B- (sf) 7,954,000 7E-D(iv) NR 11,594,000 7E-RR(iv) NR 1,750,000 (i) The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii) Notional balance. (iii) Non-offered pooled certificates. (iv) Non-offered loan-specific certificates tied to Carolinas 7-Eleven Portfolio. NR -- Not rated. DBGS COMMERCIAL 2018-C1: Fitch Assigns BB- Rating on Class F Certs ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Rating Outlooks to DBGS Commercial Mortgage Trust 2018-C1 commercial mortgage pass-through certificates, series 2018-C1: -- $14,440,000 class A-1 'AAAsf'; Outlook Stable; -- $87,090,000 class A-2 'AAAsf'; Outlook Stable; -- $29,104,000 class A-SB 'AAAsf'; Outlook Stable; -- $83,000,000 class A-3 'AAAsf'; Outlook Stable; -- $504,969,000 class A-4 'AAAsf'; Outlook Stable; -- $836,659,000a class X-A 'AAAsf'; Outlook Stable; -- $118,056,000 class A-M 'AAAsf'; Outlook Stable; -- $41,063,000 class B 'AA-sf'; Outlook Stable; -- $41,063,000 class C 'A-sf'; Outlook Stable; -- $47,479,000ab class X-D 'BBB-sf'; Outlook Stable; -- $19,249,000ab class X-F 'BB-sf'; Outlook Stable; -- $26,948,000b class D 'BBBsf'; Outlook Stable; -- $20,531,000b class E 'BBB-sf'; Outlook Stable; -- $19,249,000b class F 'BB-sf'; Outlook Stable; -- $10,265,000bc class G-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $82,126,000ab class X-B; -- $30,798,079c class H-RR; -- $23,471,068.35d class RR; -- The transaction includes five classes of non-offered loan-specific certificates (non-pooled rake classes) related to the companion loan of the Carolinas 7-Eleven Portfolio. Classes 7E-A, 7E-B, 7E-C, 7E-D, and 7E-HRR are all not rated by Fitch. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit-risk retention interest. (d) Vertical credit-risk retention interest. The retaining sponsors, Deutsche Bank AG, acting through its New York Branch (DBNY) and Goldman Sachs Mortgage Company, will retain a proportionate amount of the VRR Interest. Since Fitch published its expected ratings on Oct. 10, 2018, the balances for class A-3 and class A-4 were finalized. At the time that expected ratings were assigned, the class A-3 and class A-4 balances were estimated at $157,000,000 and $430,969,000, respectively. The final class sizes for class A-3 and class A-4 were $83,000,000 and $504,969,000, respectively. The classes reflect the final ratings and deal structure. Additionally, based on final pricing of the certificates, both class B and class C are WAC classes thereby providing no excess cash flow that would affect the payable interest on the class X-B certificates. Fitch's rating on class X-B has been withdrawn reflecting the final deal structure whereby no interest will be payable to class X-B. Lastly, Fitch's rating of the $15,635,211 RR Interest class has been withdrawn due to changes in the deal structure The certificates represent the beneficial ownership interest in the trust, primary assets of which are 37 loans secured by 102 commercial properties having an aggregate principal balance of $1,065,682,359 as of the cutoff date. The loans were contributed to the trust by German American Capital Corporation and Goldman Sachs Mortgage Company. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 76.7% of the properties by balance, cash flow analysis of 91.0% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Lower Fitch Leverage: The pool's leverage is slightly lower than that of recent Fitch-rated multiborrower transactions. The pool's Fitch loan-to-value (LTV) of 94.3% is below the YTD average of 102.7% for Fitch-rated conduit multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.23x is in line with the YTD 2018 average of 1.23x for Fitch-rated conduit multiborrower transactions. Credit Opinion Loans: Seven loans, representing 29.4% of the pool, are credit assessed. This is significantly higher than the 2017 and YTD 2018 averages of 11.7% and 12.3%, respectively. Moffett Towers - Buildings E, F, G (7.5% of pool), 90-100 John Street (3.9% of pool) and Moffett Towers II - Building 1 (2.3% of pool) each received stand-alone credit opinions of 'BBB-sf*'. Christiana Mall (5.0% of pool) received a stand-alone credit opinion of 'AA-sf*'. Aventura Mall (4.4% of pool) received a stand-alone credit opinion of 'Asf*'. The Gateway (3.5% of pool) received a stand-alone credit opinion of 'BBBsf*'. West Coast Albertsons Portfolio (2.7% of pool) received a stand-alone credit opinion of 'BBB+sf*'. Property Type Concentration; No Hotels: Loans collateralized by office properties compose 44.0% of the pool, which is above the 2017 and YTD 2018 averages of 39.8% and 31.3%, respectively. Loans collateralized by retail properties represent 30.2%, which is above the 2017 and YTD 2018 averages of 24.8% and 28.1%, respectively. No loans are collateralized by hotel properties, which is well below the 2017 and YTD 2018 averages of 15.8% and 14.1%, respectively. Additionally, no loans are collateralized by self-storage properties, which is below the 2017 and YTD 2018 averages of 4.7% and 3.9%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 13.5% 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 DBGS 2018-C1 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A-sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with Form ABS Due Diligence-15E. The report was prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in the Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loans and related mortgaged properties in the data file. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. DRYDEN 45: Moody's Assigns Ba3 Rating on $35.8MM Class E-R Notes ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to seven classes of CLO refinancing notes issued by Dryden 45 Senior Loan Fund: Moody's rating action is as follows: US$401,375,000 Class A-1-R Senior Secured Floating Rate Notes due 2030 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$14,625,000 Class A-2-R Senior Secured Floating Rate Notes due 2030 (the "Class A-2-R Notes"), Definitive Rating Assigned Aaa (sf) US$79,300,000 Class B-R Senior Secured Floating Rate Notes due 2030 (the "Class B-R Notes"), Definitive Rating Assigned Aa2 (sf) US$29,900,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C-R Notes"), Definitive Rating Assigned A2 (sf) US$37,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D-R Notes"), Definitive Rating Assigned Baa3 (sf) US$35,800,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class E-R Notes"), Definitive Rating Assigned Ba3 (sf) US$7,500,000 Class F-R Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class F-R Notes"), Definitive Rating Assigned B3 (sf) The Issuer is a managed cash flow collateralized loan obligation. The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. PGIM, Inc. 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 24, 2018 in connection with the refinancing of all classes of the secured notes previously issued on September 14, 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: $648,042,503 Defaulted par: $1,957,497 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2831 Weighted Average Spread (WAS): 3.00% Weighted Average Recovery Rate (WARR): 47.5% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. EATON VANCE 2018-1: Moody's Assigns Ba3 Rating on Class E Notes --------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to six classes of notes issued by Eaton Vance CLO 2018-1, Ltd. Moody's rating action is as follows: US$276,750,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$15,750,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Definitive Rating Assigned Aaa (sf) US$49,500,000 Class B Senior Secured Floating Rate Notes due 2030 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$26,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$27,250,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$18,250,000 Class E Secured Deferrable Floating Rate Notes due 2030 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE 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. Eaton Vance CLO 2018-1 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Eaton Vance Management will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $450,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2698 Weighted Average Spread (WAS): 3.10% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. EMAC OWNER 2000-1: Moody's Affirms Ca Rating on Class IO Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the ratings of notes issued by EMAC Owner Trust 2000-1. The deal was sponsored by Enterprise Mortgage Acceptance Company LLC. The complete rating actions are as follows: Issuer: EMAC Owner Trust 2000-1 Class A-1, Affirmed Caa3 (sf); previously on Feb 19, 2014 Downgraded to Caa3 (sf) Class A-2, Affirmed Caa3 (sf); previously on Feb 19, 2014 Downgraded to Caa3 (sf) Class IO Certificates, Affirmed Ca (sf); previously on Jun 9, 2017 Downgraded to Ca (sf) RATINGS RATIONALE The affirmation action reflects the stable performance of the transactions. To date, the recognized write-downs to the Class A-1 and A-2 notes are approximately 21% and 27%, respectively, and have remained about the same since its last rating action in 2014. There is no available credit enhancement from subordination, overcollateralization or cash reserves. As of the October 15, 2018 payment date, there are 20 loans outstanding with zero delinquencies. The loans are expected to mature by end of 2019. METHODOLOGY Since the last rating actions on these notes, Moody's has updated its approach to rating franchise loans and currently assigns and monitors such ratings using Moody's Global Approach to Rating SME Balance Sheet Securitizations. The principal methodology used in rating EMAC Owner Trust 2000-1 Class A-1 and Class A-2 was "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in August 2017. The methodologies used in rating EMAC Owner Trust 2000-1 Class IO Certificates were "Moody's Global Approach to Rating SME Balance Sheet Securitizations" published in August 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: An increase or decrease in delinquencies or losses that differs from recent performance. Loss and Cash Flow Analysis: The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. EXETER AUTOMOBILE 2018-4: S&P Assigns BB Rating on Cl. E Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2018-4's automobile receivables-backed notes. The note issuance is an asset-backed securities (ABS) transaction backed by subprime auto loan receivables. The 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 rated notes under stressed cash flow modeling scenarios, which, in S&P's view, are appropriate for the assigned 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 'AAA (sf)' rating; the class B and C notes will remain within one rating category of the assigned '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 'BBB (sf)' rating over the deal's life. We expect the class E notes to remain within two rating categories of the assigned '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. 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 2018-2: Moody's Gives (P)B2 Rating on F Notes --------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by Foursight Capital Automobile Receivables Trust 2018-2. This is the second auto loan transaction of the year for Foursight Capital LLC (Foursight; unrated) and the second rated by Moody's. The notes will be backed by a pool of retail automobile loan contracts originated by Foursight, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: Foursight Capital Automobile Receivables Trust 2018-2 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2 Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa2 (sf) Class C Notes, Assigned (P)A2 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of Foursight as the servicer and administrator and the backup servicing arrangement. Moody's cumulative net loss expectation for the 2018-2 pool is 9.00% and the loss at a Aaa stress is 40%. The cumulative net loss expectation of 9.00% is lower than the 9.25% initial expected loss for the 2018-1 transaction driven by improved collateral characteristics as well as the improved managed portfolio performance. Moody's based its cumulative net loss expectation and loss at a Aaa stress on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Foursight to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A notes, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes are expected to benefit from 36.25%, 28.05%, 22.55%, 16.05%, 10.55% and 5.35% of hard credit enhancement respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and subordination, except for the Class F notes, which do not benefit from subordination. The notes may also benefit from excess spread. 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. Additionally, Moody's could downgrade the Class A-1 short-term rating following a significant slowdown in principal collections that could result from, among other things, high delinquencies or a servicer disruption that impacts obligor's payments. GERMAN AMERICAN 2016-CD2: Fitch Affirms BB- Rating on Cl. E Certs ----------------------------------------------------------------- Fitch Ratings has affirmed all classes of German American Capital Corp.'s CD 2016-CD2 mortgage trust commercial mortgage pass-through certificates, series 2016-CD2. 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. One loan, 229 West 43rd Street Retail Condo (7.7%), was on the servicer watchlist due to performance related issues but was not considered a Fitch Loan of Concern. Occupancy at the 248,457 SF retail condominium located in New York, NY declined to 88% at YE 2017 from 100% at issuance following the loss of two smaller tenants. However, the majority of this space has been re-leased and occupancy has since rebounded to 95% as of June 2018. Limited Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. As of the October 2018 distribution date, the pool's aggregate balance has been reduced by 0.39% to $971.6 million from $975.4 million at issuance. All original 30 loans remain in the pool. Twelve loans (62% of the pool) are full term interest-only, 11 loans (12% of the pool) are amortizing and the remaining seven loans (26% of the pool) are currently in their partial interest-only period. Based on the scheduled balance at maturity, the pool will pay down by only 5.5%. ADDITIONAL CONSIDERATIONS Pool Concentrations: The top 10 loans represent 67.2% of the pool. The largest property type in the transaction is office, representing 35.8% of the pool, followed by retail and mixed use at 23.5% each, industrial at 13.8%, hotel properties at 2.6% and self-storage at 0.8%. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable given the relatively stable performance of the transaction 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 ratings: -- $13,638,456 class A-1 at 'AAAsf'; Outlook Stable; -- $69,061,053 class A-2 at 'AAAsf'; Outlook Stable; -- $34,742,105 class A-SB at 'AAAsf'; Outlook Stable; -- $252,631,579 class A-3 at 'AAAsf'; Outlook Stable; -- $308,873,684 class A-4 at 'AAAsf'; Outlook Stable; -- $717,962,666b class X-A at 'AAAsf'; Outlook Stable; -- $39,015,789 class A-M at 'AAAsf'; Outlook Stable; -- $10,870,004c class V1-A at 'AAAsf'; Outlook Stable; -- $76,811,579ab class X-B at 'AA-sf'; Outlook Stable; -- $76,811,579 class B at 'AA-sf'; Outlook Stable; -- $1,162,932c class V1-B at 'AA-sf'; Outlook Stable; -- $42,673,684 class C at 'A-sf'; Outlook Stable; -- $646,082c class V1-C at 'A-sf'; Outlook Stable; -- $57,304,211ab class X-D at 'BBB-sf'; Outlook Stable; -- $57,304,211a class D at 'BBB-sf'; Outlook Stable; -- $867,589ac class V1-D at 'BBB-sf'; Outlook Stable; -- $28,043,158ab class X-E at 'BB-sf'; Outlook Stable; -- $28,043,158a class E at 'BB-sf'; Outlook Stable; -- $10,972,632ab class X-F at 'B-sf'; Outlook Stable; -- $10,972,632a class F at 'B-sf'; Outlook Stable. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest only. (c) Exchangeable certificates. A vertical credit risk retention interest representing 5% of each class is retained as part of risk retention compliance. Fitch does not rate the $37,797,120 class X-G, the $37,797,120 class G, the $1,162,952 class V1-E or the $33,868,694 class V2. GOLDENTREE LOAN IX: S&P Assigns B- Rating on Class F-R-2 Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Goldentree Loan Opportunities IX Ltd./Goldentree Loan Opportunities IX LLC's $588.55 million floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Goldentree Loan Opportunities IX Ltd./Goldentree Loan Opportunities IX LLC Class Rating Amount (mil. $) X-R-2 AAA (sf) 8.30 A-R-2 AAA (sf) 402.25 A-J-R2 NR 27.25 B-R-2 AA (sf) 61.00 C-R-2 A (sf) 41.50 D-R-2 BBB- (sf) 39.25 E-R-2 BB- (sf) 25.75 F-R-2 B- (sf) 10.50 Subordinated notes NR 57.00 NR--Not rated. GS MORTGAGE 2018-HART: S&P Assigns B+ Rating on Class F Certs ------------------------------------------------------------- S&P Global Ratings assigned its ratings to GS Mortgage Securities Corp. Trust 2018-HART's $259.0 million commercial mortgage pass-through certificates series 2018-HART. The certificate issuance is a commercial mortgage-backed securities transaction backed by the fee interest in 39 office, retail, and industrial properties totaling 5.8 million sq. ft. located across Dallas/Fort Worth, Houston, and San Antonio, Texas. The ratings reflect S&P's view of the collateral's historical and projected performance, the sponsor's and manager's experience, the trustee-provided liquidity, the loan's terms, and the transaction's structure. RATINGS ASSIGNED GS Mortgage Securities Corp. Trust 2018-HART Class Rating(i) Amount (mil. $) A AAA (sf) 128,965,000 X-CP(ii) BBB- (sf) 205,485,000(iii) X-NCP(ii) BBB- (sf) 205,485,000(iii) B AA- (sf) 28,659,000 C A- (sf) 21,494,000 D BBB- (sf) 26,367,000 E BB- (sf) 35,824,000 F B+ (sf) 4,741,000 VRR NR 12,950,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Interest only. (iii)Notional balance. The notional amount of the class X-CP and X-NCP certificates will equal the aggregate balance of the class A, B, C, and D certificates. NR--Not rated. HALCYON LTD 2005-2: S&P Withdraws D Rating on Class A Notes ----------------------------------------------------------- S&P Global Ratings lowered its rating to 'D (sf)' from 'CCC- (sf)' on the class A notes from Halcyon 2005-2 Ltd., a synthetic collateralized debt obligation transaction backed by commercial mortgage-backed securities. The downgrade reflects interest shortfalls on the notes based on recent trustee reports. S&P subsequently withdrew the 'D (sf)' rating. HILLMARK FUNDING: Moody's Raises Rating on Class D Notes to Ba1 --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on the following notes issued by HillMark Funding Ltd.: US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due May 21, 2021 (current outstanding balance of $15,433,693.55), Upgraded to Aaa (sf); previously on May 10, 2018 Upgraded to A2 (sf) US$15,250,000 Class D Secured Deferrable Floating Rate Notes due May 21, 2021 (current outstanding balance of $9,334,570.94), Upgraded to Ba1 (sf); previously on May 10, 2018 Affirmed Ba3 (sf) HillMark Funding Ltd., issued in November 2006, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in November 2013. RATINGS RATIONALE These rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization ratios since May 2018. The Class B notes have been paid down completely with approximately $14.4 million and the Class C notes have been paid down by approximately 38% or $9.6 million since that time. Based on Moody's calculation, the OC ratios for the Class C and Class D notes are currently 189.38% and 118.00%, respectively, versus 138.21% and 111.75% in May 2018, respectively. The deal has also benefited from an improvement in the credit quality of the portfolio since May 2018. Based on Moody's calculation, the weighted average rating factor is currently 4205 compared to 4716 in May 2018. The portfolio also includes a number of investments in securities that mature after the notes do. Based on Moody's calculation, securities that mature after the notes do currently make up approximately 8.2% or $2.3 million of the portfolio. These investments could expose the notes to market risk in the event of liquidation when the notes mature. 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 $29.2 million, defaulted par of $0.7 million, a weighted average default probability of 20.03% (implying a WARF of 4205), a weighted average recovery rate upon default of 49.23%, a diversity score of 13 and a weighted average spread of 3.66% (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 continue 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) Long-dated assets: The presence of assets that mature after the CLO's legal maturity date exposes the deal to liquidation risk on those assets. This risk is borne first by investors with the lowest priority in the capital structure. Moody's assumes that the terminal value of an asset upon liquidation at maturity will be equal to the lower of an assumed liquidation value (depending on the extent to which the asset's maturity lags that of the liabilities) or the asset's current market value. 7) Exposure to assets with low credit quality and weak liquidity: The historical default rate of assets rated Caa3 with a negative outlook, Caa2 or Caa3 on review for downgrade or the worst Moody's speculative grade liquidity (SGL) rating, SGL-4, is higher than the average. Exposure to such assets subject the notes to additional risks if these assets default. Due to the deal's exposure to such assets, which constitute around $3.1 million of par, Moody's ran a sensitivity case defaulting those assets. IMSCI 2015-6: Fitch Affirms B Rating on CAD3.3MM Class G Certs -------------------------------------------------------------- Fitch Ratings has affirmed eight classes of Institutional Mortgage Securities Canada Inc.'s commercial mortgage pass-through certificates, series 2015-6. 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, 63.1% of the loans feature full or partial recourse to the borrowers and/or sponsors. The affirmations reflect stable loss expectations since issuance. With the exception of the one designated Fitch Loan of Concern (FLOC; 3.8% of pool), the remainder of the pool continues to perform within Fitch's expectations at issuance. Increasing Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs and continued amortization. Since Fitch's last rating action, one loan (St. Laurent Industrial; CAD5.0 million) was repaid at its July 2018 scheduled maturity date. As of the October 2018 distribution date, the pool's aggregate principal balance has paid down by 11.2% to CAD288.8 million from CAD325.4 million at issuance. The pool has a weighted average amortization term of 25.7 years, which represents faster amortization than U.S. conduit loans. There are no partial or full interest-only loans. ADDITIONAL CONSIDERATIONS Fitch Loans of Concern: Fitch has designated one loan, Comfort Inn & Suites Airdrie (3.8% of pool), as a FLOC. The loan, which is secured by a 103-room limited service hotel located in Airdrie, AB, has been on the servicer's watchlist since February 2017 due to low reported net cash flow (NCF) debt service coverage ratio (DSCR). The property has been negatively affected by weakness in the overall energy sector and the impact of lower oil prices. Both cash flow and occupancy have declined significantly since issuance. The servicer-reported NCF DSCR was 0.67x as of year-end (YE) 2017, compared with 0.64x at YE 2016 and 1.21x at YE 2015. The hotel reported trailing twelve-month (TTM) February 2018 occupancy of 53.2%, up slightly from 50.5% at YE 2016, yet below 63.6% at YE 2015 and 81% for TTM September 2014 around the time of issuance. The loan was modified in May 2018 with a 24-month interest-only period commencing in June 2018. Although the greater Calgary hotel market remains weak, the hotel continues to outperform its competitive set in terms of occupancy and RevPAR, and management has been working to increase business from leisure travelers. The loan remains current and has full recourse to the borrower. Upcoming Loan Maturities: Three loans (13.1% of pool) mature in August and September 2019, two loans (1.6%) mature in 2020 and the remainder of the pool (85.4%) matures between 2021 and 2035. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to overall stable performance of the pool 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 ratings: -- CAD172.3 million class A-1 at 'AAAsf'; Outlook Stable; -- CAD73.8 million class A-2 at 'AAAsf'; Outlook Stable; -- CAD7.3 million class B at 'AAsf'; Outlook Stable; -- CAD8.9 million class C at 'Asf'; Outlook Stable; -- CAD9.4 million class D at 'BBBsf'; Outlook Stable; -- CAD4.1 million class E at 'BBB-sf'; Outlook Stable; -- CAD3.7 million class F at 'BBsf'; Outlook Stable; -- CAD3.3 million class G at 'Bsf'; Outlook Stable. Fitch does not rate the interest-only class X or the CAD6.1 million non-offered class H. JAY PARK: Moody's Rates $18.3MM Class D-R Notes 'Ba3' ----------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the following notes issued by Jay Park CLO, Ltd.: US$307,200,000 Class A-1-R Senior Secured Floating Rate Notes due 2027 (the "Class A-1-R Notes"), Definitive Rating Assigned Aaa (sf) US$59,400,000 Class A-2-R Senior Secured Floating Rate Notes due 2027 (the "Class A-2-R Notes"), Definitive Rating Assigned Aa1 (sf) US$45,600,000 Class B-R Secured Deferrable Floating Rate Notes due 2027 (the "Class B-R Notes"), Definitive Rating Assigned A2 (sf) US$29,400,000 Class C-R Secured Deferrable Floating Rate Notes due 2027 (the "Class C-R Notes"), Definitive Rating Assigned Baa3 (sf) US$18,300,000 Class D-R Secured Deferrable Floating Rate Notes due 2027 (the "Class D-R Notes"), Definitive Rating Assigned Ba3 (sf) US$7,000,000 Class E-R Secured Deferrable Floating Rate Notes due 2027 (the "Class E-R Notes"), Definitive Rating Assigned B2 (sf) The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of senior secured, broadly syndicated corporate loans. GSO / Blackstone Debt Funds Management LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE Moody's ratings on the Refinancing Notes 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 31, 2018 in connection with the refinancing of all classes of secured notes previously issued on the Original Closing Date. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. 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 and changes to certain collateral quality tests. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score, weighted average recovery rate, and weighted average spread, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $499,417,803 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2812 (corresponding to a weighted average default probability of 24.85%) Weighted Average Spread (WAS): 3.20% Weighted Average Recovery Rate (WARR): 47.50% Weighted Average Life (WAL): 7.0 years The definitive rating for the Class E-R Notes, B2 (sf), is one notch higher than its provisional rating, (P)B3 (sf). This difference is a result of considering the final collateral quality test matrix and modifiers and other structural features that were provided to us by the Issuer as of the Refinancing Date. Methodology Used for 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. JP MORGAN 2003-ML1: Fitch Affirms BB Rating on Class L Notes ------------------------------------------------------------ Fitch Ratings has affirmed three classes of J.P. Morgan Chase Commercial Mortgage Securities Corp., commercial mortgage pass through certificates, series 2003-ML1 (JPMCC 2003-ML1) and revised the Rating Outlook to Stable from Negative on class L. KEY RATING DRIVERS Specially Serviced Loan: The pool is highly concentrated with only five of the original 123 loans remaining, the largest of which (69.9% of the pool) remains in special servicing and is currently REO. The asset is a 264,560 sf community shopping center located in Racine, WI. The loan was transferred to special servicing in December 2012 due to the borrower's request for loan modification stemming from cash flow issues. The asset became REO in February 2015. As of the June 2018 rent roll, the asset was 42% occupied by only one tenant, Home Depot. Home Depot recently exercised its five-year renewal option through April 2024. The servicer reported NOI decreased 33% from YE 2016 to YE 2017 and has continued to decline through June 2018 due to the lease expiration of a previous tenant Kmart in January 2018, which vacated its space in August 2017 and stopped paying rent shortly before vacating its space. The NOI DSCR decreased to 0.62x at YE 2017 from 0.93x at YE 2017 with additional declines expected. The property is not currently listed for sale at this time. Fitch performed a sensitivity analysis with regard to this loan, given the pool's concentration. Assuming a full loss to this loan class L would not experience a loss.. Increased Credit Enhancement: Offsetting some of the concern regarding exposure to the largest loan, credit enhancement has increased due to paydown and amortization. Six loans (46.7% of the balance at the last rating action) have disposed since the last rating action, including one loan that was previously a Fitch Loan of Concern. Given this, the recommendation includes a revision of the Outlook on class L to Stable from Negative. Since issuance, the transaction has paid down 98.5%. Defeasance and Fully Amortizing Loans: One loan (10.8% of the pool balance) is fully defeased with a maturity date in 2020 and an additional three loans (21.6% of the pool) are fully amortizing. Approximately 45.9% of the balance of class L is covered by fully defeased collateral, while repayment of the remainder of class L is reliant on proceeds from the low-leverage, fully amortizing loans. Stable Loss Expectations: Fitch's expected losses for the trust remain stable since the last rating action with the largest loan in the pool being the primary contributor to loss expectations. This loan was in special servicing at the last rating action and remains the only loan in special servicing. The loan's current occupancy of 42% remains unchanged from the last rating action. RATING SENSITIVITIES The Outlook for class L has been revised to Stable from Negative based on increased credit enhancement due to paydown and amortization, including the disposition of one loan that was previously a Fitch Loan of Concern. Approximately 45.9% of this class is covered by fully defeased collateral, while repayment of the remainder of the class balance is reliant on low-leverage, fully amortizing loans. In the unlikely event that the specially serviced loan experiences a loss greater than 100%, class L could be downgraded. 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: -- $3,239,237 class L notes at 'BBsf'; Outlook revised to Stable from Negative; -- $6,974,000 class M notes at 'Csf'; RE 50%; -- $3,534,896 class N notes at 'Dsf'; RE 0%. The class A-1, A-2, B, C, D, E F, G, H, J, K, and X-2 certificates have been paid in full. Fitch previously withdrew the rating on the interest-only class X-1 certificates. Fitch does not rate the class NR certificates. JP MORGAN 2005-LDP1: Fitch Affirms BBsf Rating on Class G Certs --------------------------------------------------------------- Fitch Ratings has affirmed eight classes of J.P. Morgan Chase Commercial Mortgage Securities Corp, commercial mortgage pass-through certificates, series 2005-LDP1. KEY RATING DRIVERS Stable Loss Expectations: Pool performance and loss expectations have remained stable since Fitch's last rating action. Two loans/assets (45.4% of pool), including the largest loan and one real-estate owned (REO) asset, have been designated as Fitch Loans of Concern (FLOCs). The remaining loans in the pool are current and have low leverage. Increased Credit Enhancement: Credit enhancement has increased since the last rating action due to continued loan amortization. All 11 of the performing loans (86.2%) are amortizing, six of which are fully amortizing (22.5%). As of the October 2018 remittance report, the pool's aggregate principal balance has been reduced by 98.6% to $41.1 million from $2.9 billion at issuance. The transaction has experienced realized losses totaling $113.5 million (3.9% of original pool balance). Cumulative interest shortfalls totaling $4.9 million are currently affecting the class H and K through NR certificates. Concentrated Pool; Alternative Loss Consideration: The pool remains highly concentrated with only 12 loans/assets remaining. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance, then ranked them by their perceived likelihood of repayment. The rating of class G was capped at 'BBsf' to reflect this analysis. Class G is partially reliant on proceeds from the largest loan, which is a FLOC. Fitch Loans of Concern: The largest loan, Golf Glen Mart Plaza (31.7%), is secured by a 234,816 square foot (sf) anchored community shopping center in Niles, IL. The grocery anchor tenant, Meijer (44.8% of NRA), vacated in June 2016, which was prior to its December 2024 lease expiration. This space remains dark and the tenant continues to pay rent per its lease agreement. There is no co-tenancy clauses related to Meijer. The property was 47.7% occupied as of June 2018. The loan has a balloon payment of $12.6 million at its December 2019 maturity. The REO asset, South Park Business Center (13.7%), is secured by a 167,309 sf suburban office property in Greenwood, Indiana. The loan transferred to special servicing in January 2015 due to a maturity default. Since 2011, the property has suffered from low occupancy resulting from high tenant turnover. The property was 73.7% occupied as of August 2018. Per the special servicer, they are currently working on lease renewals with three smaller tenants (4% NRA). ADDITIONAL CONSIDERATIONS Loan Maturities: Upcoming maturities include two loans (51.4%), including the FLOC, in December 2019 and two loans (3.5%) in January 2020. The remaining maturities are December 2022 (5%) and between February 2023 and March 2030 (26.4%). RATING SENSITIVITIES A future upgrade of class G is possible with positive leasing momentum and/or further clarity on the loan repayment of the Golf Glen Mart Plaza loan and/or with better than expected recoveries on the REO asset, but may be limited due to pool concentration and adverse selection of the remaining collateral. A downgrade is possible if performance of the FLOCs significantly deteriorate. 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: -- $25.1 million class G at 'BBsf'; Outlook Stable; -- $16.0 million class H at 'Dsf'; RE 70%; -- $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 A-1, A-1A, A-2, A-3, A-4, A-SB, A-J, A-JFL, B, C, D, E and F certificates have paid in full. Fitch does not rate the class NR certificates. Fitch previously withdrew the ratings on the interest-only class X-1 and X-2 certificates. JPMBB COMMERCIAL 2015-C33: DBRS Confirms B(low) Rating on G Certs ----------------------------------------------------------------- DBRS Limited confirmed the Commercial Mortgage Pass-Through Certificates, Series 2015-C33 (the Certificates), issued by JPMBB 2015-C33 Commercial Mortgage Trust as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class X-C at A (sf) -- Class C at A (low) (sf) -- Class D-1 at BBB (sf) -- Class X-D at BBB (sf) -- Class D at BBB (low) (sf) -- Class D-2 at BBB (low) (sf) -- Class E at BB (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable. The Classes D-1 and D-2 may be exchanged for the Class D certificates (and vice versa). The rating confirmations reflect the overall stable performance exhibited by the transaction since issuance. As of the October 2018 remittance, 63 of the 64 loans remain in the pool with an aggregate principal balance of $743.1 million, representing a collateral reduction of 2.5% since issuance as the result of scheduled loan amortization and the prepayment of one loan. At issuance, the weighted-average (WA) DBRS Term debt service coverage ratio (DSCR) and DBRS debt yield were 1.60 times (x) and 8.7%, respectively. Based on YE2017 financials for the underlying loans, the pool reported a WA DSCR and WA debt yield of 1.83x and 10.2%, respectively. The YE2017 figures are reflective of a WA net cash flow (NCF) growth of 15.7% over the DBRS NCF figures at issuance. The largest fifteen loans in the pool, which represent 60.7% of the pool, reported a YE2017 WA DSCR and WA debt yield of 1.87x and 10.1%, respectively, experiencing a WA NCF growth of 12.8% over the DBRS issuance figures, ranging from -26.9% to +59.3%. As of the October 2018 remittance, there were six loans, representing 8.3% of the pool, on the servicer's watch list. The 1106 South Euclid Apartments loan (Prospectus ID #37, 0.8% of the pool) is being monitored for a DSCR below 1.10x as performance of the loan has declined due to an oversupply in the student housing market, resulting in concessions being given by the borrower to incoming tenants in order to maintain occupancy. The loan reported a YE2017 DSCR of 0.99x, compared with the DBRS Term DSCR at issuance of 1.14x. The Holiday Inn Express & Suites Meadowlands loan (Prospectus ID #26, 1.3% of the pool) is also being monitored for its depressed performance and recently transferred to the servicer's watch list with the October 2018 remittance. The servicer noted that demand within the market is soft due to oversupply of inventory and as such, the borrower is offering competitive pricing to increase its occupancy rate. In addition, the surrounding area has been undergoing substantial development for the opening of American Dream Meadowlands, a retail and entertainment complex that is slated to open by YE2018. The remaining watch listed loans are being monitored for deferred maintenance issues. 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. MADISON PARK XXXI: S&P Assigns Prelim BB- Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Madison Park Funding XXXI Ltd.'s floating-rate notes. The note issuance is a collateralized loan obligation transaction backed by primarily of broadly syndicated speculative-grade senior secured term loans. The preliminary ratings are based on information as of Oct. 30, 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 Madison Park Funding XXXI Ltd. Class Rating Amount (mil. $) X AAA (sf) 3.00 A-1 AAA (sf) 456.00 A-2A NR 45.00 A-2B NR 15.00 B AA (sf) 88.00 C (deferrable) A (sf) 48.00 D (deferrable) BBB- (sf) 50.00 E (deferrable) BB- (sf) 30.00 Subordinated notes NR 81.70 NR--Not rated. MASTR ASSET 2004-3: S&P Lowers Rating on Class 1-A-1 Debt to B+ --------------------------------------------------------------- S&P Global Ratings completed its review of five classes from three U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2005. All of these transactions are backed by prime jumbo collateral. The review yielded five downgrades. Analytical Considerations The lowered ratings are based on the implementation of our tail risk analysis per our criteria, "U.S. RMBS Surveillance Credit And Cash Flow Analysis For Pre-2009 Originations," published March 2, 2016. S&P applies this analysis when the transaction contains fewer than 100 loans on the structure level or on the group level (group level analysis is performed only if the transaction has multiple groups and cross-subordination is depleted). As RMBS transactions become more seasoned, the number of outstanding mortgage loans backing them declines as loans are prepaid and default. As a result, a liquidation and subsequent loss on one or a small number of remaining loans at the tail end of a transaction's life may have a disproportionate impact on remaining credit enhancement, which could result in a level of credit instability that is inconsistent with high ratings. According to S&P's criteria, additional minimum loss projection estimations are calculated at each rating category based on a certain number of loans defaulting and liquidating. To address the potential that greater losses could result if the loans with higher balances were to default, the criteria use the largest liquidation amounts for each rating category. S&P said, "If the transaction's structure contains multiple collateral groups and cross-subordination remains outstanding, we will apply our tail risk analysis on the structure level since cross-subordination is shared among all groups. In this situation, we would calculate tail risk caps using the structure level loan count irrespective of the groups' loan counts. "If the transaction's structure contains multiple collateral groups and cross-subordination no longer remains outstanding, we will apply our tail risk analysis on the respective group since group level losses are not absorbed from cross-subordination. In this situation, we would calculate tail risk caps using the group level loan count irrespective of the structure loan count." RATINGS LOWERED MASTR Asset Securitization Trust 2004-3 Rating Series Class CUSIP To From 2004-3 1-A-1 55265K7K9 B+ (sf) BB+ (sf) Merrill Lynch Mortgage Investors Inc. Rating Series Class CUSIP To From 2003-A2 II-A-2 589929M96 BB+ (sf) BBB+ (sf) 2003-A2 II-A-4 589929N53 BB+ (sf) BBB+ (sf) Sequoia Mortgage Trust 2005-4 Rating Series Class CUSIP To From 2005-4 2-A1 81744FJG3 BBB+ (sf) A+ (sf) 2005-4 2-A2 81744FJH1 B- (sf) B+ (sf) MCAP CMBS 2014-1: Fitch Affirms Bsf Rating on $2.8MM Class G Certs ------------------------------------------------------------------ Fitch Ratings has affirmed seven classes of MCAP CMBS Issuer Corporation's commercial mortgage pass-through certificates, series 2014-1. 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, 83.3% of the loans feature full or partial recourse to the borrowers and/or sponsors. The affirmations reflect stable loss expectations since issuance. With the exception of the five designated Fitch Loans of Concern (FLOCs; 22.3% of pool), the remainder of the pool continues to perform within Fitch's expectations at issuance. Increasing Credit Enhancement: Credit enhancement has increased since issuance due to loan payoffs and continued amortization. Since Fitch's last rating action, four loans ($14.2 million) were repaid at or prior to their 2017 and 2018 scheduled maturity date. As of the October 2018 distribution date, the pool's aggregate principal balance has paid down by 27.8% to $161.7 million from $224.0 million at issuance, with 24 loans remaining. The pool has a weighted average amortization term of 25.5 years, which represents faster amortization than U.S. conduit loans. There are no partial or full interest-only loans. Specially Serviced Loan: The specially serviced 1177 11 Avenue SW loan (5.4%) is secured by a 61,925-sf office building with ground level retail located in Calgary, AB. The loan, which had matured in February 2017 and received a six-month extension, was transferred to special servicing in August 2017 for maturity default. The borrower was subsequently granted forbearance through August 2019. The forbearance agreement also provided for the accelerated repayment of principal by shortening the remaining loan amortization to 9.5 years from 19.5 years. Property occupancy had declined from 100% at the time of issuance to 39.8% in 2016 after the largest tenant, ThyssenKrupp Industrial Solutions (45% of net rentable area [NRA]), vacated upon its June 2016 lease expiration. The tenant had already previously downsized from 60% of the NRA at issuance to 45% in 2015. As of the February 2018 rent roll, the property was 37.8% occupied and the lease with the largest tenant, Alberta Health Services (34.7% of NRA), expired on June 30, 2018, after the tenant extended its lease for seven months starting in November 2017. Fitch's inquiry to the servicer for an update on the Alberta Health Services lease remains outstanding. If Alberta Health Services vacates the property, occupancy will fall below 3%. The borrower continues to market the vacancies, but has been unable to secure a major replacement tenant. The loan carries a partial recourse guarantee (50% of loan balance) from the sponsor, Riaz Mamdani. Fitch Loans of Concern: In addition to the specially serviced loan, Fitch has designated an additional four loans (16.9% of pool) as FLOCs. Two other loans (4.1%) are on the servicer's watchlist for upcoming loan maturity and/or deferred maintenance, but are not considered FLOCs. However, all of the FLOCs have either full or partial recourse to the sponsors, which helps to mitigate any significant losses. The largest FLOC, 1 & 20 Royal Gate Boulevard (8.1%), which is secured by a 284,135 sf mixed-use industrial/office building located in Vaughan, ON, was flagged due to upcoming tenant rollover. Although occupancy improved to 85.5% in April 2018 from 64.2% in March 2017 due to a new lease with the current largest tenant, Strongco (19.5% of NRA; lease expiry in April 2023), the second largest tenant, All Stick Labels Limited (18.5% of NRA), has an upcoming lease expiration in February 2019, four months prior to the loan's July 2019 maturity date. The borrower had provided an upfront $1.95 million letter of credit at origination to mitigate the imminent lease rollover during the loan term. According to the servicer, due to the limited number of loading docks and a challenging building configuration, new leases at the property have been executed at rates slightly below market. The loan carries a partial recourse guarantee (50% of loan balance) from the sponsor, Augend Investments Limited. The next largest FLOC, 2111 & 2115 Fernand Lafontaine, 2350 Chemin de Lac, 3705 Boulevard Industriel (4.9%), is secured by a portfolio of three single-tenanted, mixed-use office/industrial buildings located in Longueuil and Sherbrooke, QC. The properties are 100% leased to SMi Group International through October 2028. SMi Group International, a private company based out of Quebec City that specializes in environmental sciences, has recently filed for Companies' Creditors Arrangement Act (CCAA) protection. Due to a potential bankruptcy, the servicer indicated the repayment of the loan at its scheduled November 2018 maturity date is now deemed to be questionable. The loan carries a full recourse guarantee from the sponsor, BTB REIT. The fourth FLOC, 3405 Kennedy Road (2.3%), is secured by a mixed-use retail/office property in Toronto, ON. The property was 100% leased to two tenants at the time of issuance, with one of the tenants, Alpha International Academy, occupying two spaces totaling 38.6% of NRA on leases that have since expired in February and August 2018. According to the servicer, the borrower has not provided any updated financial statements or rent rolls since issuance. The fifth FLOC, 1916 8th Street SW (1.6%), a multifamily property in Calgary, AB, was flagged due to declining cash flow and low debt service coverage ratio. Rental income has declined in recent years due to the borrower proactively reducing rental rates in order to maintain a high occupancy. The servicer-reported net operating income debt service coverage ratio was 0.97x for both year-end (YE) 2016 and YE 2017.The loan carries a full recourse guarantee from the sponsor, Dominick Veliko Shapko. ADDITIONAL CONSIDERATIONS Upcoming Loan Maturities: Two loans (6.8% of pool) mature in November 2018, 18 loans (82.7%) mature in 2019 and the remaining four loans (10.5%) mature in 2024. RATING SENSITIVITIES The Stable Outlooks for classes A through F reflect the relatively stable performance of the majority of the pool, increased credit enhancement and expected continued paydown. The Negative Outlook for class G reflects the potential for downgrade should performance of the FLOCs, including the specially serviced loan, continue to deteriorate. Upgrades are possible with improved performance and positive leasing momentum on the FLOCs or as further paydown from loans scheduled to mature in 2018 and 2019 occurs. 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: -- $126.9 million class A at 'AAAsf'; Outlook Stable; -- $5.6 million class B at 'AAsf'; Outlook Stable; -- $8.1 million class C at 'Asf'; Outlook Stable; -- $7 million class D at 'BBBsf'; Outlook Stable; -- $3.4 million class E at 'BBB-sf'; Outlook Stable; -- $2.8 million class F at 'BBsf'; Outlook Stable; -- $2.8 million class G at 'Bsf'; Outlook Negative. Fitch does not rate the interest-only class X or the non-offered class H. MERRILL LYNCH 2004-BPC1: S&P Raises Rating on Class E Certs to BB+ ------------------------------------------------------------------ S&P Global Ratings raised its rating on the class E commercial mortgage pass-through certificates from Merrill Lynch Mortgage Trust 2004-BPC1, a U.S. commercial mortgage-backed securities (CMBS) transaction, to 'BB+ (sf)' from 'B (sf)'. The upgrade reflects expected credit enhancement that was in line with the raised rating level. S&P's upgrade also considered the timely interest payments made to class E for the past 11 consecutive months. Based on the criteria, "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, for any tranche downgraded to below 'BB+ (sf)' due to temporary interest shortfalls, S&P generally considers an upgrade as high as 'BB+ (sf)' after the reimbursement of all past interest shortfalls and the subsequent payment of timely interest over at least the subsequent six months. Although available credit enhancement levels suggest further positive rating movement on class E, our analysis considered that the class received timely interest payments for only 11 consecutive months, whereas the aforementioned interest shortfall criteria requires timely interest payments for at least 15 consecutive months before upgrading to an investment-grade level as high as 'AA+ (sf)'. S&P will continue to monitor this deal for additional timely interest payments and perform a comprehensive review, if warranted. TRANSACTION SUMMARY As of the Oct. 12, 2018, trustee remittance report, the collateral pool balance was $15.7 million, which is 1.3% of the pool balance at issuance. The pool currently includes three loans, down from 94 loans at issuance. None of these loans are with the special servicer (C-III Asset Management LLC) or has defeased, and one ($8.0 million, 51.1%) is on the master servicer's watchlist. S&P calculated a 1.41x S&P Global Ratings weighted average debt service coverage and 56.8% S&P Global Ratings weighted average loan-to-value ratio using an 8.42% S&P Global Ratings weighted average capitalization rate on the remaining loans. To date, the transaction has experienced $80.0 million in principal losses (6.4% of the original pool trust balance). ML-CFC COMMERCIAL 2007-8: Fitch Affirms C Rating on $54.5MM AJ Debt ------------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of ML-CFC Commercial Mortgage Trust (ML-CFC) commercial mortgage pass-through certificates series 2007-8. KEY RATING DRIVERS Increased Loss Expectations; High Concentration of REO Assets: Expected losses on the REO assets have increased due to recent valuations since Fitch's last rating action. The pool remains highly concentrated and distressed with 10 loans remaining and 96% of the pool in special servicing. Seven assets (93.1%) are REO and one loan (2.9%) is in foreclosure. Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans based on loan structural features, collateral quality and performance, then ranked them by their perceived likelihood of repayment. Class AJ is largely reliant upon proceeds from the REO assets/specially serviced loan for which ultimate recoveries and disposition timing remain uncertain. The largest asset in the pool, Capitol Shopping Center, is an anchored community shopping center consisting of 209,615 sf of retail space, including two outparcels, located in Augusta, ME. The property is anchored by grocer Shaws (29.8% NRA) with a lease expiration in February 2020. The asset, which transferred to special servicing for a maturity default, became REO in November 2017. Per the most recent servicer reporting as of August 2018, the property is 84.9% occupied with NOI DSCR for the trailing six month period ending June 2017 at 1.65x. The second largest asset in the pool, Bridgeway Tech Center I, is a 122,936 sf single-story suburban office building located in Suffolk, VA. The asset transferred to special servicing in June 2014 due to an unpermitted transfer of ownership interest and became REO in July 2017. Per the most recent servicer reporting, occupancy stands at 70% following one newly signed lease. The remaining two non-specially serviced loans (4.0%) are fully-amortizing and low-levered. Declining Credit Enhancement: The affirmation of class AJ reflects the lower credit enhancement due losses incurred. Since Fitch's last rating action, 10 loans totaling $448.9 million have been disposed or paid in full. In addition, cumulative interest shortfalls of $54.1 million are currently affecting classes AJ through T; class AJ has not received any principal from the May 2018 payment period through October 2018 as principal proceeds have been diverted to cover interest. As of the October 2018 remittance report, the pool's aggregate principal balance has been reduced by 97.4% to $62.2 million from $2.4 billion at issuance. Realized losses total $269.2 million (11.1% of original pool balance). RATING SENSITIVITIES Future upgrades are not likely due to the concentration of specially serviced loans and adverse selection of the remaining collateral. A downgrade to class A-J is possible as losses are realized with loan dispositions. 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 affirmed the following ratings: -- $54.5 million class AJ at 'Csf'; RE 50%; -- $7.8 million class B at 'Dsf'; RE 0%; -- $0 class C at 'Dsf'; RE 0%; -- $0 class D at 'Dsf'; RE 0%; -- $0 class E at 'Dsf'; RE 0%; -- $0 class F at 'Dsf'; RE 0%; -- $0 class G at 'Dsf'; RE 0%; -- $0 class H at 'Dsf'; RE 0%; -- $0 class J at 'Dsf'; RE 0%; -- $0 class K at 'Dsf'; RE 0%; -- $0 class L at 'Dsf'; RE 0%; -- $0 class M at 'Dsf'; RE 0%; -- $0 class N at 'Dsf'; RE 0%; -- $0 class P at 'Dsf'; RE 0%; -- $0 class Q at 'Dsf'; RE 0%; -- $0 class S at 'Dsf'; RE 0%. The class A-1, A-2, A-SB, A-3, A-1A, AM, AM-A and AJ-A certificates have paid in full. Fitch does not rate the class T certificates. Fitch previously withdrew the ratings on the interest-only class X certificates. MORGAN STANLEY 2016-C32: Fitch Affirms BB- Rating on Class E Debt ----------------------------------------------------------------- Fitch Ratings has affirmed 14 classes of Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C32. KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations are based on the stable performance and loss expectations of the underlying collateral. There have been no material changes to the pool since issuance, therefore the original rating analysis was considered in affirming the transaction. Minimal Change to Credit Enhancement: There has been a minimal change to credit enhancement since issuance. As of the October 2018 distribution date, the pool's aggregate balance has been paid down by 1% to $897.4 million from $907 million at issuance. All 56 of the original loans remain in the pool. Eight loans representing 31.1% of the pool are full-term interest-only loans and 23 loans representing 36.4% of the pool are partial interest-only. ADDITIONAL CONSIDERATIONS Fitch Loans of Concern: Two loans (1.9% of pool) have been designated as Fitch Loans of Concern (FLOCs). The largest FLOC, Southeast Retail Portfolio (1.1%), is secured by a portfolio of three retail properties located in SC, GA and VA. The loan was designated as a FLOC due to significant exposure to Bi-Lo, the subsidiary of Southeastern Grocers who filed for Chapter 11 bankruptcy in 2018. Both Bi-Lo locations in the portfolio remain open. The other FLOC is secured by a manufactured housing community located in Labelle, FL that had been damaged by Hurricane Irma. Occupancy has declined to 61% as of June 2018 and the servicer-reported YE 2017 NOI DSCR was 1.04x. Per servicer updates, recovery clean-up remains underway and the borrower is currently working with the insurance company regarding their claim. Fitch will continue to monitor the FLOCs and provide updates as received. Investment-Grade Credit Opinion Loan: Two loans, representing 12.7% of the pool, had investment-grade credit opinions at issuance. Hilton Hawaiian Village (6.9%), the largest loan in the pool, had an investment-grade credit opinion of 'BBB-' on a stand-alone basis and Potomac Mills (5.7%) had an investment-grade credit opinion of 'BBB' on a stand-alone basis. Property Type Concentration: The largest property type in the transaction is retail (40.8% of the pool), followed by office at 16.2%, industrial at 12.3% and hotel at 9.6%. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable given the relatively stable performance of the transaction 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: -- $27.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $6.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $58.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $190 million class A-3 at 'AAAsf'; Outlook Stable; -- $342.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $65.8 million class A-S at 'AAAsf'; Outlook Stable; -- $44.2 million class B at 'AA-sf'; Outlook Stable; -- $43.1 million class C at 'A-sf'; Outlook Stable; -- $48.7 million class D at 'BBB-sf'; Outlook Stable; -- $23.8 million class E at 'BB-sf'; Outlook Stable; -- $10.2 million F at 'B-sf'; Outlook Stable; -- $625.3* million class X-A at 'AAAsf'; Outlook Stable; -- $110* million class X-B at 'AA-sf'; Outlook Stable; -- $48.7* million class X-D at 'BBB-sf'; Outlook Stable. * Notional amount and interest-only Fitch does not rate class G. MORGAN STANLEY 2016-UBS12: Fitch Affirms BB- Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Morgan Stanley Capital I Trust 2016-UBS12. KEY RATING DRIVERS Stable Performance and Loss Expectations: The rating affirmations reflect the generally stable performance of the majority of the pool. Current loss expectations are slightly higher than issuance due to the Fitch Loans of Concern (FLOC), but are offset by the slight increase in credit enhancement from loan amortization. As of the September 2018 distribution date, the pool's aggregate principal balance has been reduced by 1.45% to $812.4 million from $824.4 million at issuance. No loans have transferred to special servicing and there are currently no loans on the servicers watchlist. Limited Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. The pool was securitized in October 2016 and has amortized by 1.45%. Six loans (35.9%) are full-term, interest-only, and 10 loans (16.4%) are partial interest only. The remaining 26 loans (47.7%) are amortizing balloon loans with terms of five to 10 years. ADDITIONAL CONSIDERATIONS Fitch loans of Concern: Three loans (10.9%) have been designated as FLOC. The largest FLOC, Vintage Park (4.8%), is secured by a 341,107-sf open-air anchored shopping center located in Houston, TX. Occupancy declined to 88.4%, as of the June 2018 rent roll, from 94.5% at year-end (YE) 2015. While inline sales have improved overall with YE 2017 average inline sales reported at $474 psf compared with $408 psf at issuance, movie theatre sales have declined substantially over the period to $440,038 per screen at YE 2017 compared with $714,810 per screen at YE 2016 following the sale of the former Alamo Drafthouse (6.9% of NRA) to the Star Cinema chain in December 2016. Further, the servicer reported the YE 2017 NOI DSCR declined to 1.37x from 1.63x at YE 2016 due to a decline in revenue. The loan is scheduled to begin amortizing in February 2019. The next largest FLOC, 101 Hudson Street (4.6%), is secured by a 1.3 million sf office building located in Jersey City, NJ. Occupancy has declined to 68% as of May 2017 due to a large tenant vacating its space. The last FLOC is secured by a convenience center located in Riverside, CA, the property has seen a significant decrease in NOI since issuance. Fitch will continue to monitor the FLOCs and provide further updates as received. Loan Concentration: The top-10 loans comprise 61.4% of the pool, which is above the average concentration for similar-vintage Fitch-rated transactions. The highest property type concentration in the pool is retail at 40.5%, including two regional malls (4.5%) in the top 15, followed by loans secured by office properties at 31.3% and loans secured by self-storage properties at 9.4%. Low Mortgage Coupons: The pool's weighted average mortgage coupon is 4.165%, which is below the average for the same vintage. Pari Passu Loans: Eleven loans comprising 62.8% of the pool, including eight of the top-10 loans are pari passu loans. This percentage is higher than the historical average of the same vintage. Property Type Concentration: The pool's largest property type is retail at 38.4%, followed by office at 23.1%. Hospitality properties, which demonstrate more performance volatility, represent 12.2% of the pool. RATING SENSITIVITIES The Rating Outlook on all classes remains Stable given the relatively stable performance of the transaction 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: -- $26.2 million class A-1 at 'AAAsf'; Outlook Stable; -- $54.7 million class A-2 at 'AAAsf'; Outlook Stable; -- $56 million class A-SB at 'AAAsf'; Outlook Stable; -- $190 million class A-3 at 'AAAsf'; Outlook Stable; -- $237.6 million class A-4 at 'AAAsf'; Outlook Stable; -- $50.5 million class A-S at 'AAAsf'; Outlook Stable; -- $40.2 million class B at 'AA-sf'; Outlook Stable; -- $42.3 million class C at 'A-sf'; Outlook Stable; -- $49.5 million class D at 'BBB-sf'; Outlook Stable; -- $23.7 million class E at 'BB-sf'; Outlook Stable; -- $10.3 million F at 'B-sf'; Outlook Stable; -- $564.5* million class X-A at 'AAAsf'; Outlook Stable; -- $132.9* million class X-B at 'AA-sf'; Outlook Stable; -- $49.5* million class X-D at 'BBB-sf'; Outlook Stable; -- $23.7* million class X-E at 'BB-sf'; Outlook Stable; -- $10.3* million class X-F at 'B-sf'; Outlook Stable. * Notional amount and interest-only Fitch does not rate class G or class X-G certificates. MORGAN STANLEY 2018-L1: DBRS Finalizes B Rating on Cl. H-RR Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on 16 classes of Commercial Mortgage Pass-Through Certificates, Series 2018-L1 to be issued by Morgan Stanley Capital I Trust 2018-L1: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class X-B at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (sf) -- Class X-D at BBB (sf) -- Class D at BBB (high) (sf) -- Class E at BBB (low) (sf) -- Class F-RR at BB (high) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (sf) All trends are Stable. The Classes X-A, X-B and X-D balances are notional. For the provisional ratings, Class X-B referenced the aggregate of the Class A-S, Class B and Class C certificates, which resulted in a rating of A (high) (sf). The Class X-B structure was revised in the finalized rating to reference only the aggregate of the Class A-S and Class B certificates, which resulted in a rating of AAA (sf). The collateral consists of 47 fixed-rate loans secured by 74 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The trust assets contributed from three loans, representing 17.3% of the pool, are shadow-rated investment-grade by DBRS. Proceeds for the shadow-rated loans are floored at the respective ratings within the pool. When 17.3% of the pool has no proceeds assigned below the rated floor, the resulting pool subordination is diluted or reduced below the rated floor. The conduit pool was analyzed to determine the final ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. When the cut-off loan balances were measured against the stabilized NCF and their respective actual constants, one loan, representing 3.1% 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 29 loans, representing 69.2% of the pool, having refinance DSCRs below 1.00x and 21 loans, representing 58.4% of the pool, with refinance DSCRs below 0.90x. These credit metrics are based on whole-loan balances. Three loans – Aventura Mall, Millennium Partners Portfolio and The Gateway – representing a combined 17.3% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Aventura Mall exhibits credit characteristics consistent with a BBB (high) shadow rating, Millennium Partners Portfolio exhibits credit characteristics consistent with a AA (high) shadow rating and The Gateway exhibits credit characteristics consistent with an “A” shadow rating. Term default risk is moderate, with no loans exhibiting a DBRS Term DSCR below 1.10x and as further indicated by the relatively strong weighted-average (WA) DBRS Term DSCR of 1.58x. In addition, 23 loans, representing 61.5% of the pool, have a DBRS Term DSCR in excess of 1.50x. Even when excluding the three investment-grade shadow-rated loans, the deal exhibits an acceptable WA DBRS Term DSCR of 1.53x. DBRS did not deem any of the properties securing the loans to be of Average (-), Below Average or Poor property quality. Additionally, nine loans, comprising 50.1% of the DBRS sample balance, were either considered Above Average or Average (+). The remaining loans were classified as Average. Only three loans, representing 4.3% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. The largest of these loans is Alliance Data Systems, which represents 3.0% of the total pool balance and 68.3% of the single-tenant concentration, where the collateral serves as the mission-critical headquarters for the tenant and houses significant business functions, including the executive team. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. Twenty-two loans, representing 54.5% of the pool, including seven of the largest 15 loans, are structured with interest-only (IO) payments for the full term. An additional 13 loans, representing 29.1% of the pool, have partial IO periods remaining ranging from 12 months to 60 months. The DBRS Term DSCR is calculated by using the amortizing debt service obligation, while the DBRS Refi DSCR is calculated by considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines probability of default (POD) based on the lower of Term or Refi DSCR; therefore, loans that lack amortization will be treated more punitively. Further, this concentration includes two shadow-rated loans – Aventura Mall and Millennium Partners Portfolio – which total 12.8% of the pool and are both full-term IO. The transaction's WA DBRS Refi DSCR is 0.93x, indicating higher refinance risk on an overall pool level. In addition, 29 loans, representing 69.2% of the pool, have DBRS Refi DSCRs below 1.00x, including six of the top ten loans and ten of the top 15 loans. Twenty-one of these loans, comprising 58.4% of the pool, have DBRS Refi DSCRs less than 0.90x, including six of the top ten loans and eight of the top 15 loans. The pool's DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.86%, which implies an interest rate of 9.24%, amortizing on a 30-year schedule. This represents a significant stress of 4.42% over the WA contractual interest rate of the loans in the pool. Moreover, DBRS models the POD based on the more constraining of the DBRS Term DSCR and DBRS Refi DSCR. This concentration includes two shadow-rated loans – Aventura Mall and Millennium Partners Portfolio – which are shadow-rated investment grade by DBRS and have large pieces of subordinate mortgage debt held outside the trust. Reflecting the shadow ratings, the senior notes contributed to this transaction have a DSCR of more than 1.00x. The deal appears concentrated by property type, with 38.7% of the pool secured by retail properties, including two regional malls. The concentration also includes Aventura Mall and Millennium Partners Portfolio, which make up 12.8% of the total pool balance and 33.7% of the retail property exposure, and are shadow-rated BBB (high) and AA (high), respectively. The concentration penalty applied to this pool incorporates property type concentration, as well as concentration by loan size and geographic location. Nine loans, representing 18.5% of the pool, are secured by properties located in tertiary or rural markets, including two of the top 15 loans. Properties located in tertiary and rural markets are analyzed with significantly higher loss severities than those located in urban and suburban markets. Further, the WA DBRS Debt Yield and DBRS Exit Debt Yield for such loans are 9.0% and 9.6%, respectively, which are somewhat, though not materially, higher than the overall pool metrics. Classes X-A, X-B and X-D are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. MSCCG TRUST 2018-SELF: Moody's Assigns B2 Rating on Class F Certs ----------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to eight classes of CMBS securities, issued by MSCCG Trust 2018-SELF, Commercial Mortgage Pass-Through Certificates, Series 2018-SELF: Cl. A, Definitive Rating Assigned Aaa (sf) Cl. X-CP*, Definitive Rating Assigned Baa2 (sf) Cl. X-EXT*, Definitive Rating Assigned Baa2 (sf) Cl. B, Definitive Rating Assigned Aa3 (sf) Cl. C, Definitive Rating Assigned A3 (sf) Cl. D, Definitive Rating Assigned Baa3 (sf) Cl. E, Definitive Rating Assigned Ba3 (sf) Cl. F, Definitive Rating Assigned B2 (sf) * Reflects interest-only classes RATINGS RATIONALE The certificates are collateralized by a single floating-rate loan mortgage loan secured by the fee interests in 65 self-storage properties located across 15 states. Moody's approach to rating this transaction involved the application of both its Large Loan and Single Asset/Single Borrower CMBS methodology and its IO Rating methodology. The rating approach for securities backed by a six loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessment of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessment of the severity of loss upon a default, which is largely driven by each loan's LTV ratio. The first mortgage balance of $370,000,000 represents a Moody's LTV of 103.6%. The Moody's First Mortgage Actual DSCR is 2.16X and Moody's First Mortgage Actual Stressed DSCR is 0.96X. The financing is subject to a mezzanine loan totaling $60,000,000. The Moody's Total Debt LTV (inclusive of the mezzanine loan) is 120.4% while the Moody's Total Debt Actual DSCR is 1.86X and Moody's Total Debt Stressed DSCR is 0.83X. The collateral under the mortgage loan is comprised of 65 self-storage properties containing a total of 4,980,420 SF, 35,708 units, located across 15 states. The largest property represents only 4.6% of the allocated loan amount. The largest state concentration is Florida, with 13 properties totaling 8,108 units and representing 25.3% of the ALA and 24.6% of the TTM June NCF. As of the trailing twelve month period ended June 30, 2018, the Portfolio was 90.1% occupied by SF. Notable strengths of the transaction include: the portfolio's historical operating performance, portfolio diversity, experienced property management, and strong sponsorship. Notable credit challenges of the transaction include: the age of the collateral improvements, the loan's floating-rate and interest-only mortgage loan profile, and certain credit negative legal features. Moody's rating approach considers sequential pay in connection with a collateral release as a credit neutral benchmark. Although the loans' release premium mitigates the risk of a ratings downgrade due to adverse selection, the pro rata payment structure limits ratings upgrade potential as mezzanine classes are prevented from building enhancement. The benefit received from pooling through cross-collateralization is also reduced. The principal methodology used in rating MSCCG Trust 2018-SELF, Cl. A, Cl. B, Cl. C, Cl. D, Cl. E and Cl. F was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating MSCCG Trust 2018-SELF, Cl. X-CP and Cl. X-EXT were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from its Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. These ratings: (a) are based solely on information in the public domain and/or information communicated to Moody's by the issuer at the date it was prepared and such information has not been independently verified by Moody's; (b) must be construed solely as a statement of opinion and not a statement of fact or an offer, invitation, inducement or recommendation to purchase, sell or hold any securities or otherwise act in relation to the issuer or any other entity or in connection with any other matter. Moody's does not guarantee or make any representation or warranty as to the correctness of any information, rating or communication relating to the issuer. Moody's shall not be liable in contract, tort, statutory duty or otherwise to the issuer or any other third party for any loss, injury or cost caused to the issuer or any other third party, in whole or in part, including by any negligence (but excluding fraud, dishonesty and/or willful misconduct or any other type of liability that by law cannot be excluded) on the part of, or any contingency beyond the control of Moody's, or any of its employees or agents, including any losses arising from or in connection with the procurement, compilation, analysis, interpretation, communication, dissemination, or delivery of any information or rating relating to the issuer. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed and may have a significant effect on yield to investors. The ratings do not represent any assessment of (i) the likelihood or frequency of prepayment on the mortgage loans, (ii) the allocation of net aggregate prepayment interest shortfalls, (iii) whether or to what extent prepayment premiums might be received, or (iv) in the case of any class of interest-only certificates, the likelihood that the holders thereof might not fully recover their investment in the event of a rapid rate of prepayment of the mortgage loans. NELNET EDUCATION 2004-1: Fitch Lowers Ratings on 3 Tranches to Bsf ------------------------------------------------------------------ Fitch Ratings has taken the following rating actions on the Nelnet Education Loan Funding Trust 2004-1 outstanding notes backed by student loans originated under the Federal Family Education Loan Program: -- Class A-2 downgraded to 'Bsf' from 'BBsf'; Outlook Stable; -- Class B-1 downgraded to 'Bsf' from 'BBsf'; Outlook Stable; -- Class B-2 downgraded to 'Bsf' from 'BBsf'; Outlook Stable. The downgrades are driven by worsening model results since the prior review, highlighting significant maturity risk. Since one year prior, the remaining term of the pool has only declined by six months, and the class A-2 notes have not received any principal payments in the last three distribution dates. The trust was modeled under the assumption that the issuer continues to exercise its option to allocate cash to the class B notes prior to the class A-2 notes. With this provision the class A-2 notes hit an event of default (EOD) under the base cases, and class B suffers an interest shortfall, as all class B interest after an EOD is diverted to pay class A principal. Despite the notes failing the base cases, due to the legal final of class A-2 being 12 years away, and the ability of the sponsor to call the notes upon reaching 10% pool factor, Fitch believes there is a limited margin of safety that supports a 'Bsf' rating. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 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: Fitch assumes a base case default rate of 12.25% and a 36.75% default rate under the 'AAA' credit stress scenario. The base case default assumption implies a constant default rate of 2.2% (assuming a weighted average life of 5.6 years) consistent with a sustainable constant default rate utilized in the maturity stresses. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.25% in the base case and 2% in the 'AAA' case. As of July 2018, the TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are approximately 4.3%, 4.3% and 13.0%, respectively, in line with Fitch's expectations. Subsequent declines or increases are modeled as per criteria. Fitch assumed a sustainable constant prepayment rate (voluntary and involuntary) of 9%. The borrower benefit is approximately 0.23%, based on information provided by the sponsor. Fitch's SLABS cash flow model indicates the A-2 notes do not pay off before their maturity date in Fitch's modeling scenarios, including the base cases. If the breach of the class A-2 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Basis and Interest Rate Risk: Basis risk for these transactions arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of July 2018, 0.02% of the trust student loans are indexed to three-month T-Bills, and the remainder is indexed to one-month LIBOR. The class A notes are indexed to three-month LIBOR and class B auction rate securities are indexed to one-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and, for the class A notes, subordination. As of July 2018, the reported senior parity ratio is 104.1% (4.0% CE) and the reported total parity ratio is 103.0% (2.9% CE). Liquidity support is provided by a reserve account sized at its floor of $1,515,000. NELF 2004-1 may release cash as long as the 101% total parity ratio is maintained. Due to the auction rate structure, the sponsor has the option to redeem class B notes prior to class A-2, which it is currently exercising. Once the class B notes are fully redeemed, class A-2 will no longer benefit from subordination. Operational Capabilities: Day-to-day servicing is provided by Nelnet, Inc. Fitch believes Nelnet to be an acceptable servicer, due to its extensive track record of servicing FFELP loans. 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 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- CPR increase 100%: class A 'BBsf'; class B 'BBsf'; -- IBR Usage decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 100%: class A 'CCCsf'; class B 'CCCsf'. 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. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. NEUBERGER BERMAN XVIII: S&P Gives Prelim BB- Rating on D-R2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1a-R, A-2-R2, B-R2, C-R2, and D-R2 replacement notes, as well as the new class X-R2 notes from Neuberger Berman CLO XVIII Ltd., a collateralized loan obligation (CLO) originally issued in 2014 and refinanced in 2016 that is managed by Neuberger Berman Investment Advisers LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Oct. 29, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Nov. 14, 2018, refinancing date, the proceeds from the replacement notes issuance are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Issue the replacement class A-1a-R2, A-1b-R2, B-R2, C-R2, and D-R2 notes at lower spreads than the original notes. -- Replace the current class A-1-R notes with the replacement class A-1a-R2 and A-1b-R2 notes. -- Issue new class X-R2 notes that will be repaid from interest proceeds during the transactions reinvestment period. -- Extend the stated maturity and reinvestment periods by three years. -- Re-establish the non-call period through Oct. 21, 2020. -- 99.80% of the underlying collateral obligations have credit ratings assigned by S&P Global Ratings. -- 96.27% of the underlying collateral obligations have recovery ratings assigned by S&P Global Ratings. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Neuberger Berman CLO XVIII Ltd. Replacement class Rating Amount (mil. $) X-R2 AAA (sf) 6.00 A-1a-R2 AAA (sf) 305.00 A-1b-R2 NR 20.00 A-2-R2 AA (sf) 60.00 B-R2 (deferrable) A (sf) 30.00 C-R2 (deferrable) BBB- (sf) 25.00 D-R2 (deferrable) BB- (sf) 19.25 Subordinated notes NR 53.35 NR--Not rated. NEW RESIDENTIAL 2015-2: Moody's Raises Class B-5 Debt Rating to Ba3 ------------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of five tranches issued by New Residential Mortgage Loan Trust 2015-2, a securitization of approximately $273 million of first lien, seasoned mortgage loans. At issuance, the loans had a weighted average seasoning of 149 months, weighted average updated LTV of 48.0% and weighted average updated FICO score of 715. The pool has paid down significantly since issuance with a pool factor of approximately 53.6% with 2,321 loans, with an average remaining term of 178 months as of September 2018. Specialized Loan Servicing, LLC is the primary servicer and Nationstar Mortgage LLC is the Master Servicer. Complete rating actions are as follows: Issuer: New Residential Mortgage Loan Trust 2015-2 Cl. A-2, Upgraded to Aaa (sf); previously on Nov 25, 2015 Definitive Rating Assigned Aa1 (sf) Cl. A-IO, Upgraded to Aaa (sf); previously on Jun 9, 2017 Downgraded to Aa1 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 25, 2015 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 25, 2015 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Nov 25, 2015 Definitive Rating Assigned B2 (sf) RATINGS RATIONALE The rating upgrades are primarily due to the higher than expected rate of prepayments on the underlying pool, and the related increase in credit enhancement available to the bonds. The actions also reflect the recent performance of the pool and its updated projected losses on the pool. As of September 2018, serious delinquencies (60 days or greater delinquent, including foreclosures and real estate owned) as a percentage of current pool balance were approximately 3.05% with an additional 3.08% 30-day delinquent. Higher than expected voluntary prepayment rates since issuance (approximately 14.6% average monthly CPR over the last 12 months) have contributed to increases in percentage credit enhancement levels for the upgraded bonds - the CE on the Class A-2 has increased to 17.55% from 11.00% at closing, on Class B-3 to 7.08% from 4.20% at closing, on Class B-4 to 5.85% from 3.40% at closing and on Class B-5 to 3.69% from 2.00% at closing. The transaction cash flow waterfall follows 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 could be exposed to increased performance volatility later in the transaction's life. NRMLT 2015-2 has a subordination floor of 2.0% of the original collateral balance ($10.13 million) which will provide protection to the senior notes towards the tail end of the transaction. The methodologies used in rating New Residential Mortgage Loan Trust 2015-2 Cl. A-2, Cl. B-3, Cl. B-4, and Cl. B-5 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. The methodologies used in rating New Residential Mortgage Loan Trust 2015-2 Cl. A-IO were "Moody's Approach to Rating Securitisations Backed by Non-Performing and Re-Performing Loans" published in August 2016, "US RMBS Surveillance Methodology" published in January 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. NEW RESIDENTIAL 2018-NQM1: Fitch Assigns B Rating on Cl. B-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings to 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' rating 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 rates the residential mortgage-backed notes to be issued by New Residential Mortgage Loan Trust 2018-NQM1 (NRMLT 2018-NQM1) as indicated above. 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 is 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 with 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. OCEAN TRAILS V: S&P Assigns B- Rating on Class F-RR Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-RR, B-RR, C-RR, D-RR, E-RR, and F-RR notes from Ocean Trails CLO V, a collateralized loan obligation (CLO) managed by Five Arrows Managers North America LLC, a wholly owned subsidiary of Rothschild Credit Management Ltd. This is a refinancing of its December 2014 transaction, which was refinanced in March 2017. S&P withdrew its ratings on the class A-1R, A-2R, A-3R, B-R, C-1R, C-2R, D-R, and E notes following payment in full on the Oct. 26, 2018, refinancing date. On the refinancing date, the proceeds from the replacement notes issuance were used to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes as outlined in the transaction document provisions. Therefore, we withdrew our ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes." S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The ratings assigned 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 Ocean Trails CLO V/Ocean Trails CLO V LLC Replacement class Rating Amount (mil. $) A-RR AAA (sf) 256.00 B-RR AA (sf) 46.00 C-RR A (sf) 24.00 D-RR BBB (sf) 24.00 E-RR BB- (sf) 18.00 F-RR B- (sf) 2.25 Subordinated notes NR 42.65 RATINGS WITHDRAWN Ocean Trails CLO V/Ocean Trails CLO V LLC Rating Class To From A-1R NR AAA (sf) A-2R NR AAA (sf) A-3R NR AAA (sf) B-R NR AA (sf) C-1R NR A (sf) C-2R NR A (sf) D-R NR BBB (sf) E NR BB (sf) NR--Not rated. PALMER SQUARE 2018-4: Fitch Assigns Bsf Rating on Class E Notes --------------------------------------------------------------- Fitch Ratings assigns the following ratings and Rating Outlooks to Palmer Square Loan Funding 2018-4, Ltd.: -- $405,600,000 Class A-1 Notes 'AAAsf'; Outlook Stable; -- $71,400,000 Class A-2 Notes 'AAsf'; Outlook Stable; -- $41,800,000 Class B Notes 'Asf'; Outlook Stable; -- $18,600,000 Class C Notes 'BBBsf'; Outlook Stable; -- $20,600,000 Class D Notes 'BBsf'; Outlook Stable; -- $6,000,000 Class E Notes 'Bsf'; Outlook Stable. Fitch does not rate the subordinated notes. TRANSACTION SUMMARY Palmer Square Loan Funding 2018-4, Ltd. (the issuer) is a collateralized loan obligation (CLO) that will be serviced by Palmer Square Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes were used to purchase a static pool of primarily senior secured leveraged loans totaling $600 million. The CLO will have an approximately 1.0-year noncall period. KEY RATING DRIVERS Sufficient Credit Enhancement: Credit enhancement (CE) available to the class A-1, A-2, B, C, D and E notes (rated notes), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in each class's respective rating stress scenario. The degree of CE available to the class E notes is in line with the average of recent CLO issuances. The degree of CE available to class A-1, A-2, B, C and D notes is below each rating level's recent average CE; however, the transaction has a shorter risk horizon, and cash flow modeling results for the notes indicate performance in line with their respective ratings. 'B+'/'B' Asset Quality: The average credit quality of the purchased portfolio is 'B+'/'B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality. In Fitch Ratings' opinion, each class of rated notes is projected to be sufficiently robust against default rates in line with its applicable rating stress. Strong Recovery Expectations: The portfolio consists of 96.7% first lien senior secured loans and 3.3% second lien loans. Approximately 89.8% of the portfolio has either strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, and the base case recovery assumption is 79.0%. Shorter Risk Horizon: The transaction does not have a reinvestment period. Therefore, the transaction's risk horizon is equal to the portfolio's weighted average life (WAL). The shorter risk horizon means the transaction is less vulnerable to underlying price movements, economic conditions and asset performance. RATING SENSITIVITIES Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions including decreases in recovery rates and increases in default rates. Sensitivity scenario passing ratings ranged from 'Asf' to 'AAAsf' for the class A-1 notes; and from 'BB+sf' to 'AA+sf' for the class A-2 notes; 'B-sf' to 'BBB+sf' for the class B notes; ''BBB-sf' for the class C notes. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. READYCAP COMMERCIAL 2014-1: DBRS Ups F Debt Rating to BB(high) -------------------------------------------------------------- DBRS Limited upgraded the ratings on the following classes of ReadyCap Commercial Mortgage Trust 2014-1 Commercial Mortgage Pass-Through Certificates issued by ReadyCap Commercial Mortgage Trust 2014-1: -- Class C to AAA (sf) from AA (sf) -- Class D to AA (low) (sf) from A (high) (sf) -- Class E to A (low) (sf) from BBB (low) (sf) -- Class F to BB (high) (sf) from BB (low) (sf) DBRS also confirmed the ratings on the following classes: -- Class A at AAA (sf) -- Class B at AAA (sf) -- Class IO-A at AAA (sf) All trends are Stable. The rating upgrades reflect the overall credit support to the bonds as a result of significant collateral reduction due to successful loan repayment as well as the overall stable performance of the remaining collateral. As of the September 2018 remittance, there has been a total collateral reduction of 67.7%, with 27 of the original 71 loans remaining in the pool. To date, 96.0% of the pool balance is reporting YE2017 financials, with a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.57 times (x) and 12.7%, respectively. This compares favorably with the DBRS Term figures at issuance of 1.41x and 10.7%, respectively. The top 15 loans continue to exhibit stable performance, with a WA DSCR and debt yield of 1.61x and 13.0%, respectively, representing a WA net cash flow (NCF) growth of 21.0% over the DBRS issuance NCF figures. There are nine loans, representing 18.9% of the pool, including two in the top 15, that are on the servicer's watch list. These loans are reporting a WA DSCR of 0.93x and WA debt yield of 7.6%. Seven of the nine loans on the watch list are multifamily properties that have experienced cash flow and occupancy declines since issuance. The remaining two watch listed loans were flagged due to an upcoming maturity date and cash flow decline driven by higher operating expenses. Class IO-A is an interest-only (IO) certificate that references a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. REGATTA FUNDING XV: Moody's Rates $36MM Class D Notes 'Ba3' ----------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of notes issued by Regatta XV Funding Ltd. Moody's rating action is as follows: US$6,000,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned Aaa (sf) US$390,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Assigned Aaa (sf) US$67,000,000 Class A-2 Senior Secured Floating Rate Notes due 2031 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$25,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class B Notes"), Assigned A2 (sf) US$38,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned Baa3 (sf) US$36,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Ba3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Regatta XV is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of first-lien last-out loans, second lien loans and unsecured loans. The portfolio is approximately 71.5% ramped as of the closing date. Napier Park Global Capital (US) LP will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five-year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $600,000,000 Diversity Score: 90 Weighted Average Rating Factor (WARF): 2825 Weighted Average Spread (WAS): 3.25% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Rated Notes. SDART 2018-5: Fitch Assigns BB-sf Rating on $115.3MM Class E1 Debt ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Outlooks to the notes issued by Santander Drive Auto Receivables Trust (SDART) 2018-5: -- $219,000,000 class A-1 'F1+sf'; -- $220,000,000 class A-2a 'AAAsf'; Outlook Stable; -- $60,000,000 class A-2b 'AAAsf'; Outlook Stable; -- $109,140,000 class A-3 'AAAsf'; Outlook Stable; -- $137,380,000 class B1 'AAsf'; Outlook Stable; -- $169,520,000 class C1 'Asf'; Outlook Stable; -- $151,250,000 class D1 'BBBsf'; Outlook Stable; -- $115,330,000 class E1 'BB-sf'; Outlook Stable. KEY RATING DRIVERS Stable Credit Quality: Trust 2018-5 is backed by collateral consistent with 2017-2018 pools, with a weighted average (WA) FICO score of 617 and internal WA loss forecast score (LFS) of 550. WA seasoning is six months, new vehicles total 51.9% and the pool is geographically diverse. High Extended-Term Concentration: The concentration of 75-month loans is at 20.4%, up from recent transactions. Loans with terms over 61 months total 93.3% of the pool, which is toward the higher end of the range for the platform. Consistent with prior Fitch-rated transactions, an additional stress was applied to 75-month loans in deriving the loss proxy, as performance for these contracts has been volatile. Sufficient Credit Enhancement (CE): Initial hard CE totals 52.75%, 41.85%, 28.40%, 16.40% and 7.25% for classes A, B, C, D and E, respectively. Hard CE is slightly lower versus 2018-4 for the class A and B notes, but higher for the class C and D notes. Excess spread is expected to be 9.66% per annum. Loss coverage for each class of notes is sufficient to cover respective multiples of Fitch's base case credit net loss (CNL) proxy of 17.0%. Stable Portfolio/Securitization Performance: Fitch took into consideration economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions, when deriving the series loss proxy. Although within range of 2010-2012 performance, 2013-2017 losses are tracking higher, but ABS performance still remains within Fitch's initial expectations consistently exhibiting stronger performance than that of the managed portfolio. Consistent Origination/Underwriting/Servicing: Santander Consumer USA Inc. (SC) demonstrates adequate abilities as originator, underwriter and servicer, as evidenced by historical portfolio and securitization performance. Fitch deems SC capable to service this transaction. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of SC would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to 2018-5 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. This analysis exhibited a potential downgrade of one or two categories under Fitch's moderate (1.5x base case loss) scenario, and potentially distressed ratings or defaults for the class E bonds. The notes could experience downgrades of three or more rating categories, potentially leading to distressed ratings (below Bsf) or possibly default, under Fitch's severe (2x base case loss) scenario. SKOPOS AUTO 2015-2: Moody's Confirms B Rating on Class D Debt ------------------------------------------------------------- DBRS, Inc. reviewed eight ratings from Skopos Auto Receivables Trust Series 2015-2 and 2018-1. Of the eight outstanding publicly rated classes, DBRS confirmed five, upgraded two and discontinued one due to repayment. For the rating confirmations, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the rating upgrades, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. The Affected Ratings are: Skopos Auto Receivables Trust 2018-1 Debt Action Rating ---- ------ ------ Class A Notes Confirmed AA(sf) Class B Notes Confirmed A(sf) Class C Notes Confirmed BBB(sf) Class D Notes Confirmed BB(sf) Skopos Auto Receivables Trust 2015-2 Debt Action Rating ---- ------ ------ Class A Debt Discontinued - Repaid Class B Debt Upgraded AA(sf) Class C Debt Upgraded BB(high)(sf) Class D Debt Confirmed B(sf) TIAA BANK 2018-3: DBRS Assigns Prov. BB Rating on $1.8MM B-4 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2018-3 (the Certificates) issued by TIAA Bank Mortgage Loan Trust 2018-3 (the Trust): -- $286.1 million Class A-1 at AAA (sf) -- $286.1 million Class A-2 at AAA (sf) -- $286.1 million Class A-3 at AAA (sf) -- $186.0 million Class A-4 at AAA (sf) -- $186.0 million Class A-5 at AAA (sf) -- $186.0 million Class A-6 at AAA (sf) -- $100.2 million Class A-7 at AAA (sf) -- $100.2 million Class A-8 at AAA (sf) -- $100.2 million Class A-9 at AAA (sf) -- $214.6 million Class A-10 at AAA (sf) -- $214.6 million Class A-11 at AAA (sf) -- $214.6 million Class A-12 at AAA (sf) -- $71.5 million Class A-13 at AAA (sf) -- $71.5 million Class A-14 at AAA (sf) -- $71.5 million Class A-15 at AAA (sf) -- $28.6 million Class A-16 at AAA (sf) -- $28.6 million Class A-17 at AAA (sf) -- $28.6 million Class A-18 at AAA (sf) -- $16.8 million Class A-19 at AAA (sf) -- $16.8 million Class A-20 at AAA (sf) -- $16.8 million Class A-21 at AAA (sf) -- $302.9 million Class A-22 at AAA (sf) -- $302.9 million Class A-23 at AAA (sf) -- $302.9 million Class A-24 at AAA (sf) -- $302.9 million Class A-IO1 at AAA (sf) -- $286.1 million Class A-IO2 at AAA (sf) -- $286.1 million Class A-IO3 at AAA (sf) -- $286.1 million Class A-IO4 at AAA (sf) -- $186.0 million Class A-IO5 at AAA (sf) -- $186.0 million Class A-IO6 at AAA (sf) -- $186.0 million Class A-IO7 at AAA (sf) -- $100.2 million Class A-IO8 at AAA (sf) -- $100.2 million Class A-IO9 at AAA (sf) -- $100.2 million Class A-IO10 at AAA (sf) -- $214.6 million Class A-IO11 at AAA (sf) -- $214.6 million Class A-IO12 at AAA (sf) -- $214.6 million Class A-IO13 at AAA (sf) -- $71.5 million Class A-IO14 at AAA (sf) -- $71.5 million Class A-IO15 at AAA (sf) -- $71.5 million Class A-IO16 at AAA (sf) -- $28.6 million Class A-IO17 at AAA (sf) -- $28.6 million Class A-IO18 at AAA (sf) -- $28.6 million Class A-IO19 at AAA (sf) -- $16.8 million Class A-IO20 at AAA (sf) -- $16.8 million Class A-IO21 at AAA (sf) -- $16.8 million Class A-IO22 at AAA (sf) -- $302.9 million Class A-IO23 at AAA (sf) -- $302.9 million Class A-IO24 at AAA (sf) -- $302.9 million Class A-IO25 at AAA (sf) -- $4.6 million Class B-1 at AA (sf) -- $4.6 million Class B-2 at A (sf) -- $3.5 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, A-IO11, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24 and A-IO25 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-IO2, A-IO3, A-IO4, A-IO5, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO17, A-IO20, A-IO23, A-IO24 and A-IO25 are exchangeable certificates. These classes can be exchanged for combinations of exchange 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, A-16, A-17 and A-18 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-19, A-20 and A-21) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 5.25% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 3.80%, 2.35%, 1.25% 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 478 loans with a total principal balance of $319,718,434 as of the Cut-Off Date (October 1, 2018). TIAA, FSB (formerly known as Ever Bank, FSB) originated the mortgage loans directly or through correspondents and is the Sponsor and Servicer of the transaction. Nation star Mortgage LLC will act as Master Servicer. U.S Bank National Association (rated AA (high) with a Stable trend by DBRS) will serve as Trustee, Custodian, Paying Agent and Certificate Registrar. For any mortgage loan that becomes 90 days or more delinquent, the Servicer has the option to purchase such loan from the Trust at the repurchase price (the unpaid principal balance of such mortgage loan, plus accrued interest and other fees and expenses), subject to a maximum of 10.0% of the Cut-Off Date principal balance. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure with a subordination floor and a locked-out class trigger that addresses tail risk and the preservation of credit support. The ratings reflect transactional strengths that include financially strong transaction counterparties, high-quality underlying assets, well-qualified borrowers, a satisfactory third-party due diligence review and a traditional lifetime representations and warranties framework. Although TIAA, FSB, as Ever Bank, FSB, issued two post-crisis prime jumbo RMBS transactions in 2013 under the EBMLT shelf, the issuer recently re-entered the market in 2018. As a result, TIAA, FSB has limited performance history on securitized loans. It is, however, worth noting that DBRS reviewed historical performance on TIAA, FSB's non-securitized prime jumbo originations from 2012 to 2016, as well as the four previously issued EBMLT and TBMLT transactions. Performance on these loans has been strong with minimal delinquencies and no losses. The DBRS ratings address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates. TIAA BANK 2018-3: Moody's Assigns Ba1 Rating on Class B-4 Debt -------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 28 classes of residential mortgage-backed securities issued by TIAA Bank Mortgage Loan Trust 2018-3. The ratings range from Aaa (sf) to Ba1 (sf). TBMLT 2018-3 is the third transaction entirely backed by loans originated by TIAA, FSB since 2013. TIAA, FSB is the successor to EverBank, which was acquired by Teachers Insurance and Annuity Association of America (TIAA)(Aa1) in June 2017. TBMLT 2018-3 consists of prime jumbo loans underwritten to TIAA, FSB's underwriting standards and agency-eligible loans underwritten to agency guidelines. Of the 478 loans in the mortgage pool, 19 loans making up approximately 3.5% of the pool balance are agency-eligible loans underwritten to Fannie Mae guidelines. All of the mortgage loans in TBMLT 2018-3 are fixed-rate with a 30-year original term and are designated as qualified mortgage (QM) loans. TIAA, FSB will service the loans and Nationstar Mortgage LLC (B2) will be the master servicer. The complete rating actions are as follows: Issuer: TIAA Bank Mortgage Loan Trust 2018-3 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.30% in a base scenario and reaches 4.30% at a stress level consistent with the Aaa (sf) ratings. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included: adjustments to borrower probability of default for higher and lower borrower DTIs, borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and at a pool level, for the default risk of HOA properties in super lien states. The adjustment to its Aaa stress loss above the model output also includes adjustments related to aggregator and originators assessments. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Collateral Description TBMLT 2018-3 is a securitization of 478 30-year fixed-rate prime residential mortgages. Borrowers of the mortgage loans backing this transaction have strong credit profile demonstrated by strong credit scores, high percentage of equity and significant liquid reserves. The credit quality of the transaction is in line with recent prime jumbo transactions that Moody's has rated. Moody's decreased its loss levels for loans underwritten to TIAA, FSB's guidelines due to TIAA, FSB's strength as an originator of prime jumbo loans. Moody's believes that TIAA, FSB is stronger than its peers due to its conservative underwriting standards, solid performance history and strong quality control policies and procedures. Borrowers of the mortgage loans backing this transaction have a demonstrated ability to save and to manage credit. On average, borrowers have 25.8% equity in the properties backing the mortgage loans. In addition, approximately 65% of borrowers have more than 24 months of liquid cash reserves or enough money to pay the mortgage for two years should there be an interruption to the borrower's cash flow. Consistent with prudent credit management, the borrowers have high FICO scores, with a weighted average score of 774. In general, the borrowers have high income, significant liquid assets and a stable employment history, all of which have been verified as part of the underwriting process and reviewed by the TPR firm. The transaction includes four mortgage loans backed by properties located in areas currently designated by the Federal Emergency Management Authority (FEMA) for federal assistance. The sponsor is awaiting the results of inspections of the four mortgaged properties. The transaction includes an unqualified representation that the pool does not include properties with material damage that would adversely affect the value of the mortgaged property. Third Party Review and Reps & Warranties (R&W) One third-party due diligence firm verified the accuracy of the loan level information that the sponsor gave us. This TPR firm conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. The TPR results indicate that the majority of reviewed loans were in compliance with originator's underwriting guidelines, that there were no material compliance or data issues, and that there were no material appraisal defects. Moody's considers the strength of the R&W framework in TBMLT 2018-3 to be adequate. Its analysis of the R&W framework considers the R&Ws, enforcement mechanisms and creditworthiness of the R&W provider. The sponsor is TIAA, FSB whose parent, TIAA has an insurance financial strength rating at Aa1 and a long-term issuer rating at Aa2. The sponsor has provided unambiguous representations and warranties (R&Ws) with no material knowledge qualifiers and not subject to a sunset. There is a provision for binding arbitration in the event of a dispute between investors and the R&W provider concerning R&W breaches. However, the R&W framework in TBMLT 2018-3 differs from other prime jumbo transactions because breach review is not automatic. Once a review trigger has been hit (i.e. 120-day delinquency), it is the responsibility of the controlling holder, which is the holder of majority of the most subordinate certificates, and subsequently the senior holder group to engage an independent reviewer and to bear the costs of the review, even if a breach is discovered (unless the R&W is an "intrinsic representation," then the sponsor will bear the cost of review). If the controlling holder and the senior holder group elect not to engage an independent reviewer to conduct a breach review, the loan will not be reviewed, which may result in systemic defects remaining undetected. In its analysis, Moody's considered the incentives of the controlling holder and the senior holder group, that a third-party due diligence firm has performed a 100% review of the mortgage loans as well as the early payment default protection in this transaction. Trustee/Custodian and Master Servicer U.S. Bank National Association (U.S. Bank) (A1) will act as the trustee and custodian for this transaction. In its capacity as custodian, U.S. Bank will hold the collateral documents, which include, the original note and mortgage and any intervening assignments of mortgage. Nationstar Mortgage LLC (Nationstar) (B2) will act as the master servicer for this transaction and will provide oversight of the servicer. Moody's considers Nationstar as a strong master servicer of residential loans. Nationstar's oversight encompasses loan administration, default administration, compliance and cash management. Other Considerations Servicer optional purchase of delinquent loans: The servicer, TIAA, FSB, has the option to purchase any mortgage loan which is 90 days or more delinquent, which may result in the step-down test used in the calculation of the senior prepayment percentage to be satisfied when otherwise it would not have been. Moreover, because the purchase may occur prior to the breach review trigger of 120 days delinquency, the loan may not be reviewed for breaches of representations and warranties and thus, systemic defects may remain undetected. In its analysis, Moody's considered that the loans will be purchased by the servicer at par, that the servicer is limited to purchasing loans up to 10% of the aggregate cut-off date balance and that a third-party due diligence firm has performed a 100% review of the mortgage loans. Moreover, the reporting for this transaction will list the mortgage loans purchased by the servicer. Extraordinary expenses and risk of trustee holdback: Extraordinary trust expenses in the TBMLT 2018-3 transaction are deducted from net WAC as opposed to available distribution amount. Moody's believes there is a very low likelihood that the rated certificates in TBMLT 2018-3 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. Firstly, the loans are of prime quality, 100% 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. Secondly, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Thirdly, the issuer has disclosed the results of a credit, compliance and valuation review of all of the mortgage loans by an independent third party. 100% of the loans were included in the due diligence review. Finally, the performance of past EBMLT transactions have been well within expectation. Tail Risk & Subordination Floor The transaction has 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 senior subordination floor of 2.00% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally, there is a subordination lock-out amount which is 1.25% of the closing pool balance. Transaction Structure The transaction is structured as a one pool shifting interest structure in which the senior bonds benefit from a senior floor and a subordination floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next principal payments are made to the senior bonds and then interest and principal payments are paid to the subordinate bonds in sequential order, subject to the subordinate class percentage of the subordinate principal distribution amounts. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balances of the subordinate bonds are written off, losses from the pool begin to write off the principal balances of the senior support bonds until their principal balances are reduced to zero. Next realized losses are allocated to the super senior bonds until their principal balances are written off. As in all transactions with shifting -interest structures, the senior bonds benefit from a cash flow waterfall that allocates all prepayments to the senior bonds for a specified period of time, and allocates increasing amounts of prepayments to the subordinate bonds thereafter only if loan performance satisfies both delinquency and loss tests. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS" published on February 2015. TOWD POINT 2018-6: DBRS Gives (P)BB Rating on $33.8MM Cl. B1 Notes ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the following Asset-Backed Securities, Series 2018-6 (the Notes) to be issued by Towd Point Mortgage Trust 2018-6 (the Trust): -- $718.4 million Class A1A at AAA (sf) -- $179.6 million Class A1B at AAA (sf) -- $85.2 million Class A2 at AA (sf) -- $57.6 million Class M1 at A (sf) -- $51.3 million Class M2 at BBB (sf) -- $33.8 million Class B1 at BB (sf) -- $27.6 million Class B2 at B (sf) -- $898.0 million Class A1 at AAA (sf) -- $983.1 million Class A3 at AA (sf) -- $1040.8 million Class A4 at A (sf) Classes A1, A3 and A4 are exchangeable notes. These classes can be exchanged for combinations of exchange notes as specified in the offering documents. Class A1A is a super-senior note. This class benefits from additional protection from the senior support note (Class A1B) with respect to loss allocation. The AAA (sf) rating on the notes reflects the 28.30% credit enhancements provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 21.50%, 16.90%, 12.80%, 10.10% and 7.90%, 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- or second-lien residential mortgages. The Notes are backed by 6,354 loans with a total principal balance of $1,252,411,856 as of the Cut-Off Date (September 30, 2018). The portfolio is approximately 149 months seasoned, and of the loans, 98.8% are modified. The modifications happened more than two years ago for 91.8% of the modified loans. Within the pool, 1,251 mortgages have non-interest-bearing deferred amounts, which equate to 7.6% of the total principal balance. Included in the deferred amounts are Home Affordable Modification Program and proprietary principal forgiveness amounts, which comprise approximately 0.31% of the total principal balance. As of the Cut-Off Date, 94.8% of the pool is current, 4.7% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method, and 0.4% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 73.3% of the mortgage loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the MBA delinquency method. All but one loan in the pool are exempt from the Ability-to-Repay (ATR)/Qualified Mortgage (QM) rules. First Key Mortgage, LLC (First Key) will acquire the loans from various transferring trusts on or prior to the Closing Date. The transferring trusts acquired the mortgage loans between 2014 and 2018 and are beneficially owned by funds managed by affiliates of Cerberus Capital Management, L.P. Upon acquiring the loans from the transferring trusts, First Key, through a wholly owned subsidiary, Towd Point Asset Funding, LLC (the Depositor), will contribute loans to the Trust. As the Sponsor, First Key, through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than any residual certificates) to satisfy the credit risk retention requirements. These loans were originated and previously serviced by various entities through purchases in the secondary market. All the loans will be serviced by Select Portfolio Servicing, Inc. There will not be any advancing of delinquent principal or interest on any mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, taxes and insurance, installment payments on energy improvement liens and reasonable costs and expenses incurred in the course of servicing and disposing of properties. First Key, as the Asset Manager, has the option to sell certain non-performing loans or real estate owned (REO) properties to unaffiliated third parties individually or in bulk sales. The asset sale price has to equal a minimum reserve amount to maximize liquidation proceeds of such loans or properties. The minimum reserve amount equals the product of 68.25% and the then-current principal amount of the mortgage loans or REO properties. In addition, on any payment date on or after the first payment date when the aggregate pool balance of the mortgage loans is reduced to less than 30.0% of the Cut-Off Date balance, the holders of more than 50% of the Class X Certificates will have the option to cause the Issuer to sell all of its remaining property (other than amounts in the Breach Reserve Account) to one or more third-party purchasers, so long as the aggregate proceeds meets a minimum price. The transaction employs a sequential-pay cash flow structure. Principal proceeds and excess interest can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M1 and more subordinate bonds will not be paid from principal proceeds until the more senior classes are retired. The lack of principal and interest advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Note holders; however, principal proceeds can be used to pay interest to the Notes sequentially and subordination levels are greater than expected losses, which may provide for timely payment of interest to the rated Notes. The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis, a strong servicer and Asset Manager oversight. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture, as well as a title and tax review. Servicing comments were reviewed for a sample of the loans. Updated broker price opinions or exterior appraisals were provided for most of the pool; however, reconciliation was not performed on the updated values. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. TROPIC CDO IV: Fitch Affirms BBsf Rating on Class A-3L Notes ------------------------------------------------------------ Fitch Ratings has affirmed the ratings on all classes of Tropic CDO IV Ltd./Corp. notes. Fitch also removed the class A-1L and A-2L notes from Rating Watch Negative and assigned them Stable Outlooks. Fitch's actions on the class A-1L and A-2L notes reflect that the risk of interest shortfall for the timely classes is negated due to the accumulated amount held in escrow. Fitch deems the escrowed funds sufficient to pay any swap termination payment in full if the court rules in favor of the swap counterparty upon resolution of ongoing litigation. KEY RATING DRIVERS Since Fitch's last rating action in July 2018, three redemptions were reported totalling $20.8 million. Per the transaction's priority of payments, the principal proceeds were distributed as follows: to pay down the class A-1L notes by 29% of the last review balance; pay all A-3L notes accrued and unpaid interest; pay timely interest for the class A-4L, A-4 and B-1L notes during the October 2018 payment period; and hold funds in escrow due to the pending litigation. The total amount held in escrow after the October 2018 payment date is approximately $10,000,000. Per the transaction's governing documents, swap termination payments are paid pari passu with the interest due on the class A-1L and A-2L notes as part of the interest waterfall. Interest due to classes A-1L and A-2L was paid in full on the payment periods from October 2017 through October 2018. The class A-3L, A-4, A-4L, and B-1L notes have been deferring interest payments since January 2018. The A-4, A-4L, and B-1L notes still have outstanding deferred interest, ranging from 1.1% to 1.7% of their respective balances at last review. However, given that such notes are allowed to defer interest, their ratings remain appropriate at their current levels. All classes are still passing their current rating levels based on the analytical framework described in Fitch's "U.S. Trust Preferred CDOs Surveillance Rating Criteria," dated March 9, 2018. VARIATIONS FROM CRITERIA The transaction documents do not have requirements for the issuer account bank that conform to Fitch's "Structured Finance and Covered Bonds Counterparty Rating Criteria". However, the risk is mitigated by the current rating of Wells Fargo Bank, N.A. (AA-/F1+/Outlook Stable) and the high performing CE level available to the notes. Fitch has determined there is no measurable rating impact and will continue to monitor the bank ratings and may take rating action as needed. RATING SENSITIVITIES Changes in the rating drivers could lead to rating changes in the TruPS CDO notes. To address potential risks of adverse selection and increased portfolio concentration Fitch applied a sensitivity scenario, as described in its criteria. DUE DILIGENCE USAGE Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Fitch has taken the following rating actions: -- $35,029,245 class A-1L notes affirmed at 'AAsf'; Rating Watch Negative removed; Outlook Stable assigned; -- $40,000,000 class A-2L notes affirmed at 'Asf'; Rating Watch Negative removed; Outlook Stable assigned; -- $37,500,000 class A-3L notes affirmed at 'BBsf'; Outlook Stable; -- $41,496,714 class A-4 notes affirmed at 'Csf'; -- $30,359,240 class A-4L notes affirmed at 'Csf'; -- $28,033,839 class B-1L notes affirmed at 'Csf' VENTURE LTD 34: Moody's Assigns Ba3 Rating on $25MM Class E Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of notes issued by Venture 34 CLO, Limited. Moody's rating action is as follows: US$325,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned Aa2 (sf) US$25,500,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned A2 (sf) US$29,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned Baa3 (sf) US$25,000,000 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. Venture 34 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 95% ramped as of the closing date. MJX Venture Management III LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 85 Weighted Average Rating Factor (WARF): 2815 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. VOYA CLO 2016-3: S&P Assigns BB- Rating on $24MM Class D-R Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, B-R, C-R, and D-R replacement notes, as well as to the new class X-R and A-3-R notes, from Voya CLO 2016-3 Ltd./Voya CLO 2016-3 LLC, a collateralized loan obligation (CLO) originally issued in September 2016 that is managed by Voya Alternative Asset Management LLC. The replacement notes will be issued via a proposed supplemental indenture. S&P withdrew its rating on the class A-1 notes following payment in full on the Oct. 29, 2018, refinancing date. On the above refinancing date, the proceeds from the replacement class A-1-R, B-R, C-R, and D-R replacement notes 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 rating on the original the class A-1 notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, also: -- Issues the replacement notes at a lower spread than the original notes. -- Issues new class X-R and A-3-R notes. -- Extends the reinvestment period by two years and the stated maturity four years. -- Allows the transaction to hold a limited amount of long dated securities. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table). In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The ratings assigned 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 Voya CLO 2016-3 Ltd./Voya CLO 2016-3 LLC Class Rating Amount (mil. $) X-R AAA (sf) 3.00 A-1-R AAA (sf) 360.00 A-2-R NR 30.00 A-3-R AA (sf) 66.00 B-R A (sf) 36.00 C-R BBB- (sf) 36.00 D-R BB- (sf) 24.00 Subordinated notes NR 56.00 RATING WITHDRAWN Voya CLO 2016-3 Ltd./Voya CLO 2016-3 LLC Original class To From A-1 NR AAA (sf) NR--Not rated. VOYA CLO 2016-3: S&P Assigns Prelim BB- Rating on Class D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the class A-1-R, B-R, C-R, and D-R replacement notes, as well as the new class X-R and A-3-R notes from Voya CLO 2016-3 Ltd., a collateralized loan obligation (CLO) originally issued in September 2016 that is managed by Voya Alternative Asset Management LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of Oct. 25, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the Oct. 29, 2018, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: -- Issue the replacement notes at a lower spread than the original notes. -- Issue new class X-R and A-3-R notes. -- Extend the reinvestment period by two years and the stated maturity four years. -- Allow the transaction to hold a limited amount of long dated securities. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." PRELIMINARY RATINGS ASSIGNED Voya CLO 2016-3 Ltd./Voya CLO 2016-3 LLC Class Rating Amount (mil. $) X-R AAA (sf) 3.00 A-1-R AAA (sf) 360.00 A-2-R NR 30.00 A-3-R AA (sf) 66.00 B-R A (sf) 36.00 C-R BBB- (sf) 36.00 D-R BB- (sf) 24.00 Subordinated notes NR 56.00 NR--Not rated. VOYA CLO 2018-3: S&P Assigns BB-(sf) Rating on $24MM Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Voya CLO 2018-3 Ltd.'s fixed- and floating-rate notes. The note issuance is a $607.70 million broadly syndicated collateralized loan obligation (CLO) managed by Voya Alternative Asset Management LLC, an affiliate of Voya Investment Management. 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 experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Voya CLO 2018-3 Ltd./Voya CLO 2018-3 LLC Class Rating Amount (mil. $) A-1A AAA (sf) 337.50 A-1B AAA (sf) 22.50 A-2 NR 30.00 B AA (sf) 66.00 C (deferrable) A (sf) 39.00 D (deferrable) BBB- (sf) 33.00 E (deferrable) BB- (sf) 24.00 Class I subordinated notes NR 32.54 Class II subordinated notes NR 23.16 NR--Not rated. WACHOVIA BANK 2006-C27: Moody's Affirms Ca Rating on Class C Debt ----------------------------------------------------------------- Moody's Investors Service has affirmed the ratings on two classes in Wachovia Bank Commercial Mortgage Trust 2006-C27 as follows: Cl. C, Affirmed Ca (sf); previously on Nov 3, 2017 Downgraded to Ca (sf) Cl. X-C, Affirmed C (sf); previously on Nov 3, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. C was affirmed because the rating is consistent with Moody's expected plus realized loss. Cl. C has already experienced a 30% expected loss as a result of previously liquidated loans. The rating on the IO class, Cl. X-C, was affirmed based on the credit quality of the referenced classes. Moody's does not anticipate significant 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 9.8% of the original pooled balance, compared to 10.3% 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 Wachovia Bank Commercial Mortgage Trust 2006-C27, Cl. C was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating Wachovia Bank Commercial Mortgage Trust 2006-C27, Cl. X-C were "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the October 17, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99.5% to $16.7 million from $3.08 billion at securitization. The certificates are collateralized by two mortgage loans. Fifty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $301.9 million (for an average loss severity of 29.0%). The largest loan in the pool is the Centennial Plaza Loan ($11.4 million -- 68.5% of the pool), which is secured by a 59,630 SF movie theater anchored retail center located in Oxnard, California. The loan is fully amortizing, having amortized 27% since securitization, and matures in July 2031. The property was 100% leased as of June 2018, unchanged from the prior year. The property is occupied by Plaza Cinemas, as well as a variety of restaurants and food options. Moody's LTV and stressed DSCR are 77% and 1.27X, respectively. The other remaining loan is the JC Penney -- Independence, MO Loan ($5.2 million -- 31.5% of the pool), which is secured by single tenant retail building located in Independence, Missouri. The entire building is leased to JC Penney through January 2021. Due to the single tenant concentration, Moody's value is based on a lit/dark analysis. The loan has passed its anticipated repayment date of May 2016 and is on the master servicer's watchlist. Moody's LTV and stressed DSCR are 110% and 0.93X, respectively. WELLS FARGO 2018-1: DBRS Finalizes BB Rating on Class B-4 Certs --------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following 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) 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 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. WELLS FARGO 2018-1: Fitch Assigns BB+sf Rating on Class B-4 Certs ----------------------------------------------------------------- Fitch Ratings assigns ratings to Wells Fargo Mortgage Backed Securities 2018-1 Trust (WFMBS 2018-1) as follows: -- $375,040,000 class A-1 exchangeable certificates 'AAAsf'; Outlook Stable; -- $375,040,000 class A-2 exchangeable certificates 'AAAsf'; Outlook Stable; -- $281,280,000 class A-3 exchangeable certificates 'AAAsf'; Outlook Stable; -- $281,280,000 class A-4 exchangeable certificates 'AAAsf'; Outlook Stable; -- $93,760,000 class A-5 exchangeable certificates 'AAAsf'; Outlook Stable; -- $93,760,000 class A-6 exchangeable certificates 'AAAsf'; Outlook Stable; -- $225,024,000 class A-7 exchangeable certificates 'AAAsf'; Outlook Stable; -- $225,024,000 class A-8 certificates 'AAAsf'; Outlook Stable; -- $150,016,000 class A-9 exchangeable certificates 'AAAsf'; Outlook Stable; -- $150,016,000 class A-10 exchangeable certificates 'AAAsf'; Outlook Stable; -- $56,256,000 class A-11 exchangeable certificates 'AAAsf'; Outlook Stable; -- $56,256,000 class A-12 certificates 'AAAsf'; Outlook Stable; -- $46,880,000 class A-13 exchangeable certificates 'AAAsf'; Outlook Stable; -- $46,880,000 class A-14 certificates 'AAAsf'; Outlook Stable; -- $46,880,000 class A-15 exchangeable certificates 'AAAsf'; Outlook Stable; -- $46,880,000 class A-16 certificates 'AAAsf'; Outlook Stable; -- $44,150,000 class A-17 exchangeable certificates 'AAAsf'; Outlook Stable; -- $44,150,000 class A-18 certificates 'AAAsf'; Outlook Stable; -- $419,190,000 class A-19 exchangeable certificates 'AAAsf'; Outlook Stable; -- $419,190,000 class A-20 exchangeable certificates 'AAAsf'; Outlook Stable; -- $419,190,000 class A-IO1 notional certificates 'AAAsf'; Outlook Stable; -- $375,040,000 class A-IO2 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $281,280,000 class A-IO3 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $93,760,000 class A-IO4 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $225,024,000 class A-IO5 notional certificates 'AAAsf'; Outlook Stable; -- $150,016,000 class A-IO6 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $56,256,000 class A-IO7 notional certificates 'AAAsf'; Outlook Stable; -- $46,880,000 class A-IO8 notional certificates 'AAAsf'; Outlook Stable; -- $46,880,000 class A-IO9 notional certificates 'AAAsf'; Outlook Stable; -- $44,150,000 class A-IO10 notional certificates 'AAAsf'; Outlook Stable; -- $419,190,000 class A-IO11 notional exchangeable certificates 'AAAsf'; Outlook Stable; -- $8,163,000 class B-1 certificates 'AAsf'; Outlook Stable; -- $4,854,000 class B-2 certificates 'A+sf'; Outlook Stable; -- $4,192,000 class B-3 certificates 'A-sf'; Outlook Stable; -- $1,765,000 class B-4 certificates 'BB+sf'; Outlook Stable. Fitch will not be rating the following classes: -- $3,089,346 class B-5 certificates; -- $0 class R certificates. Fitch rates the residential mortgage-backed certificates issued by Wells Fargo Mortgage Backed Securities 2018-1 Trust as indicated. The certificates are supported by 660 prime fixed-rate mortgage loans with a total balance of approximately $441.25 million as of the cutoff date. All of the loans were originated by Wells Fargo Bank, N.A (Wells Fargo). This is the first post-crisis issuance from Wells Fargo. KEY RATING DRIVERS Very High-Quality Mortgage Pool (Positive): The collateral attributes are among the strongest of the post-crisis RMBS rated by Fitch. The pool consists of mainly 30-year fixed-rate fully amortizing Safe Harbor Qualified Mortgage (SHQM) loans to borrowers with strong credit profiles, low leverage and large liquid reserves. The loans are seasoned an average of 17 months. The pool has a weighted average (WA) updated FICO score of 779, which is higher than any transaction rated by Fitch post crisis and is indicative of very high credit-quality borrowers. Approximately 52% have original FICO scores at or above 780. In addition, the original WA CLTV ratio of 73% represents substantial borrower equity in the property. The pool's attributes, together with Wells Fargo's sound origination practices, support Fitch's very low default risk expectations. Loss Floors Applied (Positive): Due to the very strong credit profile and seasoning of the loans, Fitch's unadjusted model projected losses are below minimum rating loss levels, at both the loan level and pool level, established to protect against idiosyncratic risk. The given loss levels used in the rating analysis and shown on page four of the presale are higher than Fitch's unadjusted model projected losses. The percentage of loans where Fitch's loss severity floor was applied is noted on this table as well. Low Operational Risk (Positive): Operational risk is well controlled in this transaction. Wells Fargo has a long operating history of originating quality prime mortgage loans and has as an 'above average' origination assessment by Fitch. The results of the 100% third-party due diligence confirm high loan quality and no incidence of material defects; this should translate into reduced loan manufacturing risk and representation and warranty (R&W) breaches. The 'tier 2' R&W framework, coupled with Wells's 'AA-'/'F1+' corporate ratings, further contribute to the overall low operational risk. Retail Origination Channel (Positive): All of the loans were originated through Wells Fargo Bank's retail channel, which Fitch views as a key strength. Loans originated directly by the lending institution traditionally have performed better than correspondent and broker loans due to lower risk of misrepresentation and fraud. Geographic Concentration (Negative): Approximately 37% of the pool is concentrated in California. The largest MSA concentration is in the New York MSA (23.7%) followed by the San Francisco MSA (12.6%) and the Los Angeles MSA (11.9%). The top-three MSAs account for 48% of the pool and the top-five MSAs account for 57%. As a result, an adjustment of 1.06x was made to the probability of default (PD) to account for the geographic concentration. Tier 2 R&W Framework (Neutral): While the loan-level representations and warranties (R&Ws) for this transaction are substantially consistent with a Tier I framework, the nature of the prescriptive breach tests, which limit the breach reviewers ability to identify or respond to issues not fully anticipated at closing, resulted in a Tier 2 framework. The pool received a neutral treatment at the 'AAAsf' level due to the strong financial condition of the R&W provider, Wells Fargo. Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocation are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the deal. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.25% of the original balance will be maintained for the senior certificates. Full Servicer Advancing (Neutral): The pool benefits from advances of delinquent principal and interest until the servicer deems non-recoverable, by Wells Fargo, the primary servicer of the pool. Fitch's loss severities reflect reimbursement of amounts advanced by the servicer from liquidation proceeds based on its liquidation timelines assumed at each rating stress. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts, reviewer fees 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 $350,000 per annum (with the exception of independent reviewer breach review fee), which can be carried over each year, subject to the cap until paid in full. Exclusion of FEMA Disaster Area Loans (Positive): Property located in a Federal Emergency Management Agency (FEMA) declared disaster zip code related to Hurricane Florence is not included in this pool. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria, as described in its report, "U.S. RMBS Rating Criteria." This incorporates a review of the originators' lending platforms, as well as an assessment of the transaction's R&Ws provided by the originators and arranger, which were found to be consistent with the ratings assigned to the certificates. Fitch's analysis incorporated one criteria variation from the "U.S. RMBS Rating Criteria", which relates to Fitch's assessment of the transaction's R&W framework. While the R&W scorecard assesses the framework as a Tier 1, the framework is treated as a Tier 2 given the prescriptive testing construct with no reviewer latitude. There is no impact to the ratings due to the strong financial strength of the R&W provider. RATING SENSITIVITIES Fitch's analysis incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or may be considered in the surveillance of the transaction. Three sets of sensitivity analyses were conducted at the state and national levels to assess the effect of higher MVDs for the subject pool. This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 7.0%. 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'. WELLS FARGO 2018-1: Moody's Assigns Ba1 Rating on Class B-4 Debt ---------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to 24 classes of residential mortgage-backed securities issued by Wells Fargo Mortgage Backed Securities 2018-1 Trust. The ratings range from Aaa (sf) to Ba1 (sf). WFMBS 2018-1 is the first prime issuance by Wells Fargo Bank, N.A. in 2018. The mortgage loans for this transaction are originated by Wells Fargo generally in accordance with the non-conforming underwriting guidelines. All of the loans are designated as qualified mortgages (QM) under the QM safe harbor rules. Wells Fargo Bank, N.A. will service all the loans and will also be the master servicer for this transaction. The servicer will be primarily responsible for funding certain servicing advances and delinquent scheduled interest and principal payments for the mortgage loans, unless the servicer determines that such amounts would not be recoverable. In the event a servicer event of default has occurred and the Trustee terminates the servicer as a result thereof, the master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated Servicer has failed to fund such advances) until such time as a successor servicer is appointed and commences servicing the mortgage loans. The master servicer and servicer will be entitled to be reimbursed for any such monthly advances from future payments and collections (including insurance and liquidation proceeds) with respect to those mortgage loans. The WFMBS 2018-1 transaction is a securitization of 660 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $441,253,347. The pool has strong credit quality and consists of borrowers with high FICO scores, significant equity in their properties and liquid cash reserves. The pool has clean pay history and is seasoned for almost 18 months. 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: Wells Fargo Mortgage Backed Securities 2018-1 Trust Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aa1 (sf) Cl. A-18, Definitive Rating Assigned Aa1 (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.25% in a base scenario and reaches 3.55% at a stress level consistent with the Aaa (sf) ratings. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool as of the cut-off date using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included adjustments to borrower probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and for the default risk of Homeownership association (HOA) properties in super lien states. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Moody's bases its definitive ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the origination quality and servicing arrangement, the strength of the third party due diligence and the R&W framework of the transaction. Collateral Description The WFMBS 2018-1 transaction is a securitization of 660 first lien residential mortgage loans with an unpaid principal balance of $441,253,347. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 774 and a weighted-average original loan-to-value ratio (LTV) of 72.8%. In addition, 9.2% of the borrowers are self-employed and refinance loans comprise 20.9% of the aggregate pool. 13.6% (by loan balance) of the pool comprised of construction to permanent loans. The construction to permanent is a two part loan where the first part is for the construction and then it becomes a permanent mortgage once the property is complete. For all the loans in the pool, the construction was complete and because the borrower cannot receive cash from the permanent loan proceeds or anything above the construction cost, Moody's treated these loans as a rate term refinance rather than a cash out refinance loan. The pool has a high geographic concentration with 37.3% of the aggregate pool located in California and 23.7% located in the New York-Newark-Jersey City MSA. Loans located in Texas and Florida comprise 5.7% of the pool. 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. Origination Quality The mortgage loans for this transaction are originated by Wells Fargo generally in accordance with the non-conforming underwriting guidelines. After considering the non-conforming underwriting guidelines from Wells Fargo, Moody's made no adjustments to its base case and Aaa loss expectations. Third Party Review and Reps & Warranties (R&W) One independent third-party review firm, Clayton Services LLC , was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy for all of the 675 loans in the initial population of this transaction (100% of the mortgage pool). The credit review consisted of a review of the documentation in each loan file relating to the creditworthiness of the borrowers, and an assessment of whether the characteristics of the mortgage loans and the borrowers reasonably conformed to Wells Fargo's underwriting guidelines. Where there were exceptions to guidelines, the TPR firm noted compensating factors. Additionally, the TPR firm evaluated evidence of the borrower's willingness and ability to repay the obligation and examined Data Verify/Fraudgaurd/Interthinx or similar risk evaluation reports ordered by Wells Fargo or Clayton. Clayton Services LLC 's regulatory compliance review consisted of a review of compliance with the Truth in Lending Act and the Real Estate Settlement Procedures Act among other federal, state and local regulations. Additionally, the TPR firm applied SFIG's enhanced RMBS 3.0 TRID Compliance Review Scope. The TPR firm's property valuation review consisted of reviewing the valuation materials utilized at origination to ensure the appraisal report was complete and in conformity with the underwriting guidelines. The TPR firm also compared third party valuation products to the original appraisals. 10% negative variances were reported and in some cases additional appraisals were performed. The overall TPR results were in line with its expectations considering the clear underwriting guidelines and overall processes and procedures that Wells Fargo has in place. Many of the grade B loans were underwritten using underwriter discretion. Areas of discretion included missing verbal verification of employment, verification of closing funds and assets and explanation for multiple credit exceptions. The due diligence firm noted that these exceptions are minor and/or provided an explanation of compensating factors. Several of the compensating factors listed were either irrelevant or insufficient to explain the underwriting exception. Therefore Moody's inquired Wells Fargo for these loans and analyzed the responses provided by them. The responses provided by Wells Fargo were adequate and outweighed the compensating factors provided by Clayton. As a result, Moody's did not make any adjustment to its losses for this. Wells Fargo, as the originator, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. Similar to JPMMT transactions, the transaction contains a "prescriptive" R&W framework. The originator makes comprehensive loan-level R&Ws and an independent reviewer will perform detailed reviews to determine whether any R&Ws were breached when loans become 120 days delinquent, the property is liquidated at a loss above a certain threshold, or the loan is in hardship modification by the servicer. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's believes that Wells Fargo's robust processes for verifying and reviewing the reasonableness of the information used in loans origination along with effectively no knowledge qualifiers mitigates any risks involved. Wells Fargo has an anti-fraud software tools that are integrated with the loan origination system (LOS) and utilized pre-closing for each loan. In addition, Wells Fargo has dedicated credit risk, compliance and legal teams that oversee fraud risk in addition to compliance and operational risks. Moody's did not make any adjustment to its base case and Aaa loss expectations for R&Ws. Tail Risk and 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 senior subordination floor of 1.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. However, based on its tail risk analysis, the level of senior subordination floor in WFMBS 2018-1 is slightly lower than its senior credit neutral floor but not sufficiently so to merit an adjustment and therefore provides protection against potential tail risk. In addition, if the subordinate percentage drops below 5.00% of current pool balance, the senior distribution amount will include all principal collections, including the subordinate principal. Additionally there is a subordination lock-out amount which is 1.25% of the closing pool balance. Transaction structure The securitization has a shifting interest structure. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period of time, and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates in this transaction are subject to a net WAC cap. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Exposure to Extraordinary expenses Extraordinary Trust Expenses that will reduce amounts available to make distributions on the Certificates and will be applied to reduce the Net WAC Rate. However, certain extraordinary trust expenses (such as servicing transfer costs) in the WFMBS 2018-1 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $350,000 per year for i) Wells Fargo CTS Annual Expense Cap, ii) Trustee Annual Expense Cap and iii) Independent Reviewer Expense Cap) are deducted from the Net WAC Rate. Moody's believes there is a very low likelihood that the rated certificates in WFMBS 2018-1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer (Opus Capital Markets Consultants, LLC), named at closing must review loans for breaches of representations and warranties when certain clear defined triggers have been breached, which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed the results of a compliance, credit, valuation and data integrity review covering a 100% of the mortgage loans by an independent third party (Clayton Services LLC). Moody's did not make an adjustment for extraordinary expenses because the capped trust expenses will reduce the net WAC as opposed to the available funds. Other Considerations In WFMBS 2018-1, unlike other prime jumbo transactions, Wells Fargo Bank is both the servicer and master servicer for the deal. However, in the case of the termination of the servicer, the master servicer must consent to the trustee's selection of a successor servicer, and the successor servicer must have a net worth of at least $15 million and be Fannie or Freddie approved. The master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated servicer has failed to fund such advances) until such time as a successor servicer is appointed. Additionally, in the case of the termination of the master servicer, the trustee will be required to select a successor master servicer in consultation with the Depositor. The termination of the master servicer will not become effective until either the Trustee or successor master servicer has assumed the responsibilities and obligations of the master servicer which also includes the advancing obligation. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published in February 2015. WELLS FARGO 2018-C47: DBRS Finalizes BB Rating on Class G-RR Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C47 issued by Wells Fargo Commercial Mortgage Trust 2018-C47: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class X-A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (sf) -- Class X-B at AA (low) (sf) -- Class C at A (high) (sf) -- Class X-D at A (sf) -- Class D at A (low) (sf) -- Class E-RR at BBB (sf) -- Class F-RR at BBB (low) (sf) -- Class G-RR at BB (sf) -- Class H-RR at B (high) (sf) The Class X-A, X-B and X-D balances are notional. The collateral consists of 74 fixed-rate loans, secured by 106 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the ratings, reflecting the long-term probability of loan default within the term and its liquidity at maturity. Trust assets contributed from three loans, representing 13.2% 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 13.2% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized Net Cash Flow and their respective actual constants, three loans, representing 5.4% 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 38 loans, representing 58.5% of the pool, having whole-loan refinance DSCRs below 1.00x, and 21 loans, representing 39.1% of the pool, having whole-loan refinance DSCRs below 0.90x. Aventura Mall and Christiana Mall, two of the pool's loans with a DBRS Refi DSCR below 0.90x and representing 10.5% of the transaction balance, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Nine loans, representing 20.9% 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 New York, Miami and Palo Alto. Three loans -- Aventura Mall, Christiana Mall and 2747 Park Boulevard -- representing a combined 13.2% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Aventura Mall exhibits credit characteristics consistent with a BBB (high) shadow rating, Christiana Mall exhibits credit characteristics consistent with an A (sf) shadow rating, and 2747 Park Boulevard exhibits credit characteristics consistent with an A (sf) shadow rating. Term default risk is moderate as indicated by the strong weighted-average (WA) DBRS Term DSCR of 1.52x. In addition, 22 loans, representing 45.5% of the pool, have a DBRS Term DSCR above 1.50x. Even when excluding the five investment-grade shadow-rated loans, the deal exhibits an acceptable WA DBRS Term DSCR of 1.47x. The deal appears concentrated by property type, with 27 loans, representing 38.0% of the pool, secured by retail properties. Of these, 20.3% of the retail property concentration is located in a tertiary market. Of the retail property concentration, 15.8% of the loans are located in urban markets. Two loans, representing 3.3% of the retail concentration, are secured by multiple properties (six in total), which insulates the loans from issues at any one property. Two of these loans -- Aventura Mall and Christiana Mall -- representing 27.7% of the retail concentration and 10.5% of the total pool balance, are shadow-rated investment grade by DBRS. Nine loans, representing 22.1% of the pool, are secured by 31 hotel properties, including four of the top 15 loans. 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 largely fixed expenses 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. DBRS cash flow volatility for such hotels, which ultimately determines a loan's probability of default, assumes between a 10.6% and 37.8% cash flow decline for a BBB stress and a 41.9% and 83.3% cash flow decline for a AAA stress. To further mitigate the more volatile cash flow of hotels, the loans in the pool secured by hotel properties exhibit a WA DBRS Debt Yield and DBRS Exit Debt Yield of 9.8% and 10.8%, respectively, which compare quite favorably with the comparable figures of 8.4% and 9.2%, respectively, for the non-hotel properties in the pool. Additionally, two loans, representing 23.1% of the hotel concentration, are located in established urban or suburban markets that benefit from increased liquidity and more stable performance. The transaction's WA DBRS Refi DSCR is 0.97x, indicating higher refinance risk on an overall pool level. In addition, 38 loans, representing 58.5% of the pool, have DBRS Refi DSCRs below 1.00x, including six of the top ten loans and nine of the top 15 loans. Twenty-one of these loans, comprising 39.1% of the pool, have DBRS Refi DSCRs less than 0.90x, including five of the top ten loans and six 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 to 1.02x. Two of the pool's loans with a DBRS Refi DSCR below 0.90x – Aventura Mall and Christiana Mall – which represent 10.5% 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 9.89%, which implies an interest rate of 9.27%, amortizing on a 30-year schedule. This represents a significant stress of 4.31% 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. WELLS FARGO 2018-C47: Fitch Assigns B-sf Rating on Cl. H-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2018-C47 Commercial Mortgage Pass-Through Certificates, series 2018-C47: -- $23,396,000 class A-1 'AAAsf'; Outlook Stable; -- $26,280,000 class A-2 'AAAsf'; Outlook Stable; -- $45,625,000 class A-SB 'AAAsf'; Outlook Stable; -- $222,000,000 class A-3 'AAAsf'; Outlook Stable; -- $348,787,000 class A-4 'AAAsf'; Outlook Stable; -- $666,088,000a class X-A 'AAAsf'; Outlook Stable; -- $164,144,000a class X-B 'AA-sf'; Outlook Stable; -- $86,830,000 class A-S 'AAAsf'; Outlook Stable; -- $38,062,000 class B 'AA-sf'; Outlook Stable; -- $39,252,000 class C 'A-sf'; Outlook Stable; -- $28,266,000ab class X-D 'BBB-sf'; Outlook Stable; -- $28,266,000b class D 'BBB-sf'; Outlook Stable; -- $20,501,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $13,084,000bc class F-RR 'BB+sf'; Outlook Stable; -- $10,705,000bc class G-RR 'BB-sf'; Outlook Stable; -- $9,515,000bc class H-RR 'B-sf'; Outlook Stable. The following class is not rated by Fitch: -- $39,252,654bc class J-RR. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. Since Fitch published its expected ratings on Oct. 2, 2018, Fitch's rating on class X-B has been revised to 'AA-sf' from 'A-sf' to reflect the rating of the lowest referenced tranche whose payable interest has an impact on the interest-only payments. The classes reflect the final ratings and deal structure. The ratings are based on information provided by the issuer as of Oct. 24, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 74 loans secured by 106 commercial properties having an aggregate principal balance of $951,555,654 as of the cutoff date. The loans were contributed to the trust by Wells Fargo Bank, National Association, Barclays Bank PLC, Ladder Capital Finance LLC, Rialto Mortgage Finance, LLC and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 68.3% of the properties by balance, cash flow analysis of 74.1% and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS Fitch Debt Service Coverage (DSCR) Lower Than Recent Transactions: The pool's Fitch DSCR is 1.17x, which is lower than the YTD 2018 and 2017 averages of 1.23x and 1.26x, respectively, while the pool's LTV of 103.2% is slightly greater than the YTD 2018 and 2017 averages of 102.7% and 101.6%. Diverse Pool: The top 10 loans make up 42.0% of the pool, which is well below 2017 and YTD 2018 averages of 53.1% and 51.3%, respectively. The pool has a loan concentration index (LCI) of 273, indicating a lower loan concentration that the YTD 2018 and 2017 LCI averages of 380 and 398, respectively. Additionally, the pool has a sponsor concentration index (SCI) of 280, indicating a lower sponsor concentration that the YTD 2018 and 2017 amounts of 406 and 422, respectively. Investment-Grade Credit Opinion Loans: Three loans, representing 13.2% of the transaction, are credit assessed, which is higher than the 2017 average of 11.7%. The second largest loan, Aventura Mall (5.3% of the pool), has a stand-alone credit opinion of 'Asf*', with a Fitch DSCR and LTV of 1.28x and 68.2%, respectively. The third largest loan, Christiana Mall (5.3% of the pool), has a stand-alone credit opinion of 'AA-sf*', with a Fitch DSCR and LTV of 1.53x and 57.5%, respectively. The eighth largest loan, 2747 Park Boulevard (2.7% of the pool), has a stand-alone credit opinion of 'BBB-sf*', with a Fitch DSCR and LTV of 1.32x and 67.3%, respectively. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.14x and 109.2%. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 16.9% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the WFCM 2018-C47 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. WFRBS COMMERCIAL 2013-C11: S&P Affirms B+ Rating on Class F Certs ----------------------------------------------------------------- S&P Global Ratings affirmed the ratings on 12 classes of commercial mortgage pass-through certificates from WFRBS Commercial Mortgage Trust 2013-C11, a U.S. commercial mortgage-backed securities (CMBS) transaction. S&P said, "For the principal- and interest-paying classes, our expectation of credit enhancement was in line with the affirmed rating levels. "In the Oct. 17, 2018, trustee remittance report, we observed interest shortfalls totaling $461,152, which affected classes subordinate to and including class D. "It is our understanding that the $461,152 shortfalls are due to a one-time trust expense resulting from the liquidation of a specially serviced asset, Minot Hotel Portfolio. The liquidation of the asset failed to generate sufficient proceeds to cover liquidation expenses and to repay exposure built up on the asset while it was in special servicing. We believe that the shortfalls on these classes will be repaid in the subsequent months, starting with class D interest shortfalls, from interest proceeds on the subordinate classes. We will continue to monitor this, and in the event of shortfalls not repaying within our expected time frame, we might take further rating action. "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 ratings on the IO securities would not be higher than that of the lowest-rated reference class. The notional amount of the class X-A certificates will be equal to the aggregate of the certificate balances of the class A-1, class A-2, class A-3, class A-4, class A-5, class A-SB, and class A-S certificates, whereas the notional amount of the class X-B certificates will be equal to the aggregate of the certificate balances of the class B and class C certificates." TRANSACTION SUMMARY As of the Oct. 17, 2018, trustee remittance report, the collateral pool balance was $1.03 billion, which is 72.0% of the pool balance at issuance. The pool currently includes 73 loans, down from 82 loans at issuance. Six of these assets ($59.0 million, 5.7%) are defeased, and six ($30.4 million, 2.9%) are on the master servicer's watchlist. S&P said, "We calculated a 1.79x S&P Global Ratings weighted average debt service coverage (DSC) and 76.8% S&P Global Ratings weighted average loan-to-value (LTV) ratio using a 7.86% S&P Global Ratings weighted average capitalization rate. The DSC, LTV, and capitalization rate calculations exclude the defeased loans. "The top 10 nondefeased loans have an aggregate outstanding pool trust balance of $659.0 million (63.8%). Adjusting the servicer-reported numbers, we calculated an S&P Global Ratings weighted average DSC and LTV of 1.82x and 80.5%, respectively, for the top 10 nondefeased loans." To date, the transaction has experienced $9.9 million in principal losses, or 0.7% of the original pool trust balance. CREDIT CONSIDERATIONS As of the Oct. 17, 2018, trustee remittance report, there are no loans in the pool with the special servicer, Midland Loan Services. S&P said, "While not on the watchlist, we noted the following concerns for the Encana Oil & Gas loan. The loan is IO with a maturity date in January 2023 and is the fifth-largest loan in the collateral pool ($66.0 million). The collateral securing the loan is a 318,582-sq.-ft. office property located in Plano, Texas. The property is 100% leased to Encana Oil & Gas under a lease that expires in June 2027, but the tenant currently does not occupy the property. It is our understanding that the majority of the property is currently subleased to various tenants, and Encana Oil & Gas is expected to honor its lease. We will continue to monitor the performance of the loan." RATINGS AFFIRMED WFRBS Commercial Mortgage Trust 2013-C11 Commercial mortgage pass-through certificates 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) D BBB- (sf) E BB (sf) F B+ (sf) X-A AAA (sf) X-B A- (sf) WFRBS COMMERCIAL 2014-LC14: DBRS Confirms B Rating on Class F Certs ------------------------------------------------------------------- DBRS Limited confirmed the ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2014-LC14 issued by WFRBS Commercial Mortgage Trust 2014-LC14: -- Class A-2 at AAA (sf) -- Class A-3FL at AAA (sf) -- Class A-3FX at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-S at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class PEX at A (low) (sf) -- Class X-B at BBB (sf) -- Class D at BBB (low) (sf) -- Class E at BB (sf) -- Class X-C at B (high) (sf) -- Class F at B (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction. At issuance, the transaction consisted of 71 fixed-rate loans, secured by 144 commercial and multifamily properties, with a trust balance of $1.3 billion. Per the October 2018 remittance, 69 loans remain in the pool with an aggregate principal balance of $1.2 billion, representing a collateral reduction of 7.9% due to loan repayment and scheduled loan amortization. To date, approximately 92.9% of the pool is reporting YE2017 financials, and based on the most recent year-end reporting, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.85 times (x) and 12.2%, respectively, which compares favorably with the DBRS Term figures reported at issuance of 1.51x and 9.7%, respectively. Based on the most recent year-end reporting, the Top 15 loans (excluding defeasance) reported a WA DSCR and debt yield of 1.88x and 11.6%, respectively, representing net cash flow (NCF) growth of 19.1% over DBRS NCF figures derived at issuance. The pool also benefits from defeasance, as three loans (7.4% of the pool) are fully defeased. Per the October 2018 remittance, there are 12 loans (16.8% of the pool) on the servicer's watch list and three loans (5.3% of the pool) in special servicing. Two of the loans in special servicing (4.3% of the pool) are current as of the October 2018 remittance, with workout plans yet to be determined. The third loan in special servicing, Westridge Apartments (Prospectus ID#33, 1.0% of the pool), is secured by a multifamily property in Williston, North Dakota, and was transferred to the special servicer in June 2016 due to declining cash flow performance stemming from the regional economy's reliance on the oil and gas industry. Based on current property performance, an updated appraised value and limited liquidity and demand in the market, DBRS estimates that the trust will experience a loss with the ultimate disposition of the loan from the pool. At issuance, DBRS shadow rated The Outlet Collection – Jersey Gardens (Prospectus ID#3, 6.4% of the pool) investment grade. DBRS confirms with this review that the performance of this loan remains consistent with investment-grade loan characteristics. 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. WORLD OMNI 2018-1: Fitch to Rate $21MM Class E Notes BBsf --------------------------------------------------------- Fitch Ratings expects to assign the following ratings to the notes issued by World Omni Select Auto Trust 2018-1: -- $103,000,000 class A-1 notes 'F1+sf'; -- $215,000,000 class A-2 notes 'AAAsf'; Outlook Stable; -- $110,450,000 class A-3 notes 'AAAsf'; Outlook Stable; -- $34,630,000 class B notes 'AAsf'; Outlook Stable; -- $50,370,000 class C notes 'Asf'; Outlook Stable; -- $37,780,000 class D notes 'BBBsf'; Outlook Stable; -- $21,730,000 class E notes 'BBsf'; Outlook Stable. KEY RATING DRIVERS Subprime Collateral - Weak Credit Quality: WOSAT 2018-1 is backed by a pool of subprime auto loans with a weighted average (WA) FICO score of 619 and nearly 50% have non-zero FICO scores less than 620, and 94% less than 700. Over 43% of the loans have interest rates greater than 10%. The credit quality of this pool is comparable to other Fitch-rated subprime auto loan transactions. Subprime Collateral Risk - High Extended Term Contracts: 94.6% of the pool consists of extended-term (61 months or greater) loans. While this concentration is high, it is similar to other subprime auto loan transactions that have high extended-term loan concentrations. Fitch received data segmented by original term band and accounted for this risk when deriving the base case loss proxy. Macroeconomic and Auto Industry Risks - Weakening Portfolio Performance: Performance of 2015-2017 vintages is weaker than 2010-2014 but remains within historical averages and is reflective of broader consumer credit cycle trends. There were no adjustments to Fitch's credit analysis given generally stable economic conditions. Forward-Looking Approach to Derive the Base Case Loss Proxy: Fitch examined fully amortized historical vintage loss curves, extrapolating incomplete vintage curves, matching future expectations with any relevant previous vintage data, and weighting by relevant pool credit characteristics. Additionally, a margin of safety is built into the base case by weighting previous recessionary vintages and adding adjustments for future unemployment expectations and/or wholesale vehicle market conditions, where applicable. Subprime Loss Multiples Applied: Loss coverage for each class of notes is sufficient to cover respective subprime multiples applied (3.75x for AAAsf, 3.00x for AAsf, 2.50x for Asf, 1.75x for BBBsf and 1.50x for BBsf) under Fitch's base case cumulative net loss (CNL) proxy of 8.50%. Payment Structure - Sufficient Credit Enhancement (CE): Initial hard CE totals 32.45%, 26.95%, 18.95%, 12.95% and 9.50% for classes A, B, C, D and E, respectively. Hard CE levels are comparable to recently Fitch-rated subprime auto loan transactions. Excess spread is expected to be 3.97% per annum. Consistent Origination/Underwriting/Servicing: Fitch believes World Omni to be a capable originator, underwriter and servicer for this series, as evidenced by the historical performance of its managed portfolio and servicing of its prime auto loan and lease securitizations. Legal Structure Integrity: The legal structure of the transaction should provide that a bankruptcy of World Omni would not impair the timeliness of payments on the securities. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than the base case. This in turn could result in Fitch taking negative rating actions on the notes. Fitch evaluated the sensitivity of the ratings assigned to WOSAT 2018-1 to increased credit losses over the life of the transaction. Fitch's analysis found that the transaction displays some sensitivity to increased defaults and credit losses. Under the moderate (1.5x base case CNL) stress scenario, CNL multiples for all classes compress to levels that may suggest a single category downgrade should such stresses occur six months following close. The severe (2.5x CNL) stress is more taxing on the notes as the multiples compress in month six to levels that may suggest downgrades of up to three categories. Based off of the class A loss coverage under Fitch's primary modeling scenario, the transaction's CNL would need to reach over 11.50% for a potential single category downgrade, over 23.00% to be downgraded to below investment grade, and over 34.00% to be downgraded to 'CCCsf' or below. [*] DBRS Reviews 13 Classes From 2 U.S. ABS Transactions -------------------------------------------------------- DBRS, Inc. reviewed 13 ratings from two U.S. structured finance asset-backed securities transactions. Of the 13 outstanding publicly rated classes reviewed, eight were confirmed and five were upgraded. For the ratings that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting and servicing. -- The credit quality of the collateral pool and historical performance. The Affected Ratings are: Amur Equipment Finance Receivables V LLC, Series 2018-1 Class Action Rating ----- ------ ------ A-1 Notes Confirmed R-1(high)(sf) A-2 Notes Confirmed AAA(sf) B Notes Confirmed AA(sf) C Notes Confirmed A(sf) D Notes Confirmed BBB(sf) E Notes Confirmed BB(sf) F Notes Confirmed B(sf) Axis Equipment Finance Receivables IV LLC, Series 2016-1 Class Action Rating ----- ------ ------ A Notes Confirmed AAA(sf) B Notes Upgraded AAA(sf) C Notes Upgraded AA(sf) D Notes Upgraded A(sf) E Notes Upgraded BBB(sf) F Notes Upgraded BB(sf) [*] Moody's Takes Action on $261MM of RMBS Issued 2005-2007 ----------------------------------------------------------- Moody's Investors Service has upgraded the ratings of five tranches and downgraded the rating of 24 tranches from five transactions, backed by Alt-A, Option ARM and Subprime RMBS, issued by multiple issuers. Complete rating actions are as follows: Issuer: CSMC Mortgage-Backed Trust Series 2006-2 Cl. 4-A-1, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-2, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-3, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-4, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-5, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-6, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-7, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-8, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 4-A-9, Downgraded to Caa3 (sf); previously on Oct 12, 2010 Downgraded to Caa2 (sf) Cl. 5-A-1, Downgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Cl. 5-A-2, Downgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Cl. 5-A-3, Downgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Cl. 5-A-4, Downgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Cl. 5-A-5, Downgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Cl. 5-A-6, Downgraded to Ca (sf); previously on Oct 12, 2010 Downgraded to Caa3 (sf) Issuer: CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-16CB Cl. 2-A-1, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 2-A-2, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 5-A-1, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 5-A-2, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 5-A-3, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 5-A-4, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. 5-A-5, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) Cl. X-2, Downgraded to Ca (sf); previously on Feb 7, 2018 Confirmed at Caa3 (sf) Issuer: DSLA Mortgage Loan Trust 2005-AR1 Cl. 2-A1A, Upgraded to Baa1 (sf); previously on Jan 12, 2018 Upgraded to Baa3 (sf) Issuer: Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-2 Cl. 2-B, Upgraded to Baa3 (sf); previously on Mar 21, 2013 Downgraded to B1 (sf) Cl. 2-M-1, Upgraded to A3 (sf); previously on Oct 3, 2013 Downgraded to Ba1 (sf) Cl. 2-M-2, Upgraded to Baa2 (sf); previously on Oct 3, 2013 Downgraded to Ba3 (sf) Cl. 2-M-3, Upgraded to Baa3 (sf); previously on Mar 21, 2013 Downgraded to B1 (sf) Issuer: Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1 Cl. 1-A1, Downgraded to Baa3 (sf); previously on Jan 31, 2018 Upgraded to A1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings downgraded are due to the weaker performance of the underlying collateral and the increase in undercollateralization. The ratings upgraded are a result of increase in credit enhancement available to the bonds. The rating downgrade on CL.1-A1 from Merrill Lynch First Franklin 2007-H1 is due to the existing interest shortfalls and low likelihood of recoupment. The principal methodology used in rating CSMC Mortgage-Backed Trust Series 2006-2 Cl. 5-A-5, Cl. 4-A-3, Cl. 4-A-4, Cl. 4-A-5, Cl. 4-A-6, Cl. 4-A-7, Cl. 4-A-8, Cl. 4-A-9, Cl. 5-A-6, Cl. 5-A-1, Cl. 5-A-3, Cl. 5-A-4, Cl. 4-A-1, and Cl. 4-A-2; CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-16CB Cl. 2-A-1, Cl. 2-A-2, Cl. 5-A-1, Cl. 5-A-2, Cl. 5-A-4, Cl. 5-A-5, and Cl. 5-A-3; DSLA Mortgage Loan Trust 2005-AR1 Cl. 2-A1A; Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1 Cl. 1-A1; and Impac Secured Assets Corp. Mortgage Pass-Through Certificates, Series 2006-2 Cl. 2-M-1, Cl. 2-M-2, Cl. 2-M-3, and Cl. 2-B was "US RMBS Surveillance Methodology" published in January 2017. The methodologies used in rating CSMC Mortgage-Backed Trust Series 2006-2 Cl. 5-A-2 and CWALT, Inc. Mortgage Pass-Through Certificates, Series 2007-16CB Cl. X-2 were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 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 $49.3MM Alt-A RMBS Issued in 2004 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of nine tranches and downgraded the rating of one tranche from four transactions, backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Deutsche Mortgage Securities, Inc. Mortgage Loan Loan Trust, Series 2004-2 Cl. A-5, Upgraded to Aa1 (sf); previously on Jan 25, 2017 Upgraded to A2 (sf) Cl. A-6, Upgraded to Aaa (sf); previously on Jan 11, 2018 Upgraded to Aa2 (sf) Cl. M-1, Upgraded to Caa1 (sf); previously on Jan 11, 2018 Upgraded to Caa2 (sf) Issuer: MASTR Alternative Loan Trust 2004-9 Cl. M-1, Downgraded to B1 (sf); previously on Nov 22, 2016 Upgraded to Ba2 (sf) Issuer: Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2004-AP1 Cl. A-5, Upgraded to Aa2 (sf); previously on Jan 22, 2018 Upgraded to A1 (sf) Cl. A-6, Upgraded to Aa1 (sf); previously on Jan 22, 2018 Upgraded to Aa2 (sf) Issuer: WaMu Mortgage Pass-Through Certificates, Series 2004-CB4 Cl. I-1-A, Upgraded to Baa1 (sf); previously on Jun 29, 2012 Confirmed at Baa3 (sf) Cl. I-2-A, Upgraded to Baa1 (sf); previously on Jun 29, 2012 Confirmed at Baa3 (sf) Cl. I-P, Upgraded to Baa1 (sf); previously on Mar 4, 2011 Downgraded to Baa3 (sf) Cl. II-P, Upgraded to Baa1 (sf); previously on Feb 28, 2017 Upgraded to Baa2 (sf) RATINGS RATIONALE The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. The rating upgrades are primarily due to an increase in the credit enhancement available to the bonds. The rating downgrade on Cl. M-1 from MASTR Alternative Loan Trust 2004-9 is due to the outstanding interest shortfalls on this bond, which are not expected to be reimbursed. 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 $76MM Subprime RMBS Issued 1997-2004 ---------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of eight tranches and downgraded the ratings of two tranches from six transactions, backed by subprime loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Ace Securities Corp. Home Equity Loan Trust, Series 2002-HE1 Cl. M-2, Upgraded to Caa1 (sf); previously on Feb 17, 2017 Upgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2003-5 Cl. A-5, Upgraded to B1 (sf); previously on Feb 24, 2017 Upgraded to B3 (sf) Cl. A-6, Upgraded to Baa2 (sf); previously on Jan 30, 2018 Upgraded to Ba2 (sf) Issuer: Argent Securities Inc., Series 2004-W11 Cl. M-4, Upgraded to B1 (sf); previously on Apr 8, 2016 Upgraded to B2 (sf) Cl. M-5, Upgraded to B2 (sf); previously on Jan 30, 2018 Upgraded to Caa2 (sf) Issuer: ContiMortgage Home Equity Loan Trust 1997-5 B, Upgraded to Caa2 (sf); previously on Jan 26, 2018 Upgraded to Caa3 (sf) Issuer: IMC Home Equity Loan Trust 1998-1 A-5, Upgraded to Baa2 (sf); previously on Sep 26, 2013 Downgraded to Ba1 (sf) A-6, Upgraded to A3 (sf); previously on Sep 26, 2013 Downgraded to Ba1 (sf) Issuer: MASTR Asset Securitization Trust 2003-NC1 Cl. M-5, Downgraded to Caa3 (sf); previously on Jan 30, 2018 Upgraded to B3 (sf) Cl. M-6, Downgraded to Ca (sf); previously on Jan 30, 2018 Upgraded to Caa1 (sf) RATINGS RATIONALE The rating upgrades are due to an increase in the credit enhancement available to the bonds. The rating downgrades for MASTR Asset Securitization Trust 2003-NC1 Class M-5 and M-6 are primarily the result of a correction to the cash-flow model used by Moody's in rating this transaction. In prior rating actions, the model utilized an incorrect collateral pool balance. The pool balance in the model has now been corrected, and the rating action reflects this change. The rating downgrades are also due to the erosion of credit enhancement available to the bonds. The rating actions reflect the recent performance and Moody's updated loss expectation 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. [*] S&P Cuts Ratings on 4 Classes From 4 U.S. CMBS Deals to Dsf --------------------------------------------------------------- S&P Global Ratings lowered its ratings to 'D (sf)' on four classes of commercial mortgage pass-through certificates from four U.S. commercial mortgage-backed securities (CMBS) transactions. S&P said, "We lowered our ratings on these classes due to accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. In addition, we expect two of the classes to experience principal loss upon the ultimate resolution of the specially serviced assets in the transaction." The recurring interest shortfalls for the respective certificates are primarily due to one or more of the following factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; -- The lack of servicer advancing for loans or assets where the servicer has made nonrecoverable advance declarations; -- Interest rate modifications or deferrals, or both, related to corrected mortgage loans; or Special servicing fees. S&P said, "Our analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance declarations and special servicing fees that are likely, in our view, to cause recurring interest shortfalls." The servicer implements ARAs and resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Discussions of the individual transactions follow: Banc of America Commercial Mortgage Trust 2008-1 S&P said, "We lowered our rating to 'D (sf)' from 'CCC- (sf)' on the class A-J commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class A-J certificates currently have accumulated interest shortfalls outstanding for five consecutive months. We believe that the interest shortfalls will continue and the accumulated interest shortfalls will remain outstanding for a prolonged period." According to the Oct. 10, 2018, trustee remittance report, the current monthly interest shortfalls totaled $158,575 and resulted primarily from interest not advanced due to a nonrecoverable determination on the specially serviced assets. The transaction's remaining three assets are specially serviced and have been deemed nonrecoverable. The current reported interest shortfalls have affected all of the outstanding classes. COMM 2004-LNB2 S&P said, "We lowered our rating to 'D (sf)' from 'CCC- (sf)' on the class K commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class K certificates currently have accumulated interest shortfalls outstanding for seven consecutive months. We believe that the interest shortfalls will continue and the accumulated interest shortfalls will remain outstanding for a prolonged period." According to the Oct. 10, 2018, trustee remittance report, the current monthly interest shortfalls totaled $6,095 and resulted primarily from: -- Net ASER amounts totaling $5,531; Special servicing fees totaling $449; and -- Other shortfalls totaling $115. The current reported interest shortfalls have affected all classes subordinate to and including class K. Credit Suisse Commercial Mortgage Trust Series 2007-C3 S&P said, "We lowered our rating to 'D (sf)' from 'CCC- (sf)' on the class A-J commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class A-J certificates currently have accumulated interest shortfalls outstanding for six consecutive months. We believe that the interest shortfalls will continue and the accumulated interest shortfalls will remain outstanding for a prolonged period. We also expect this class to experience principal loss upon the ultimate resolution of the specially serviced assets." According to the Oct. 17, 2018, trustee remittance report, the current monthly interest shortfalls totaled $237,864 and resulted primarily from interest not advanced due to a nonrecoverable determination. The transaction's remaining five assets are specially serviced and have been deemed nonrecoverable. The current reported interest shortfalls have affected all of the outstanding classes. JPMorgan Chase Commercial Mortgage Securities Corp. Series 2005-LDP5 S&P said, "We lowered our rating to 'D (sf)' from 'BB (sf)' on the class H commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class H certificates currently have accumulated interest shortfalls outstanding for six consecutive months. We believe that the interest shortfalls will continue and the accumulated interest shortfalls will remain outstanding for a prolonged period. We also expect this class to experience principal loss upon the ultimate resolution of the specially serviced assets." According to the Oct. 15, 2018, trustee remittance report, the current monthly interest shortfalls totaled $246,289 and resulted primarily from: -- Net ASER amounts totaling $229,350; -- Special servicing fees totaling $16,732; and -- Workout fees totaling $207. The current reported interest shortfalls have affected all classes subordinate to and including class H. RATINGS LOWERED Banc of America Commercial Mortgage Trust 2008-1 Class To From A-J D (sf) CCC- (sf) COMM 2004-LNB2 Class To From K D (sf) CCC- (sf) Credit Suisse Commercial Mortgage Trust Series 2007-C3 Class To From A-J D (sf) CCC- (sf) JPMorgan Chase Commercial Mortgage Securities Corp. series 2005- LDP5 Class To From H D (sf) BB (sf) [*] S&P Lowers Ratings on 13 Classes From 12 US RMBS Transactions ----------------------------------------------------------------- S&P Global Ratings completed its review of 13 classes from 12 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2006. All of these transactions are backed by mixed collateral. S&P lowered its ratings on all 13 classes based on its interest shortfall criteria. APPLICATION OF INTEREST SHORTFALL CRITERIA S&P said, "In reviewing these ratings, we applied our interest shortfall criteria as stated in "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred interest shortfalls resulting from credit or liquidity erosion. "In applying the criteria, we looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment. In instances where the class did not receive additional compensation for outstanding interest shortfalls, we used the maximum length of time until full interest is reimbursed as part of our analysis to assign the rating on the class." A list of Affected Ratings can be viewed at: https://bit.ly/2OIQGCO [*] S&P Puts Ratings on 38 Classes From 12 CLOs on Watch Positive ----------------------------------------------------------------- S&P Global Ratings placed its ratings on 38 classes from 12 U.S. collateralized loan obligation (CLO) transactions on CreditWatch with positive implications and one tranche on CreditWatch with negative implications. Seven of these transactions were issued in 2013, and five were issued in 2014. The CreditWatch positive placements resulted from enhanced overcollateralization primarily due to paydowns to the senior classes of these CLO transactions. The CreditWatch negative placement -- from a transaction whose senior ratings S&P is placing on CreditWatch with positive implications -- is due to a decline in that tranche's overcollateralization ratio and preliminary runs that indicate that its credit support at the current rating level has declined. S&P said, "We expect to resolve the CreditWatch placements within 90 days after we complete a comprehensive cash flow analysis and committee review for each of the affected transactions. We will continue to monitor the collateralized debt obligation transactions we rate and take rating actions, including CreditWatch placements, as we deem appropriate." RATINGS PLACED ON CREDITWATCH POSITIVE ACIS CLO 2013-1 Ltd. Rating Class To From C AA (sf)/Watch Pos AA (sf) D BBB+ (sf)/Watch Pos BBB+ (sf) Combo AA (sf)/Watch Pos AA (sf) Atlas Senior Loan Fund IV Ltd. Rating Class To From A-2L-RR AA (sf)/Watch Pos AA (sf) A-3L-RR A (sf)/Watch Pos A (sf) Avery Point III CLO Ltd. Rating Class To From B-1R AA (sf)/Watch Pos AA (sf) B-2 AA (sf)/Watch Pos AA (sf) C A- (sf)/Watch Pos A- (sf) Black Diamond CLO 2013-1 Ltd. Rating Class To From A-2-R AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) BlueMountain CLO 2013-3 Ltd. Rating Class To From B-1-R AA+ (sf)/Watch Pos AA+ (sf) B-2-R AA+ (sf)/Watch Pos AA+ (sf) C-R A (sf)/Watch Pos A (sf) D-R BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) BlueMountain CLO 2013-4 Ltd. Rating Class To From B-1-R AA+ (sf)/Watch Pos AA+ (sf) B-2-R AA+ (sf)/Watch Pos AA+ (sf) C-R A+ (sf)/Watch Pos A+ (sf) D-R BBB (sf)/Watch Pos BBB (sf) E BB (sf)/Watch Pos BB (sf) Crown Point CLO II Ltd. Rating Class To From A-3L-R AA+ (sf)/Watch Pos AA+ (sf) B-1L-R A+ (sf)/Watch Pos A+ (sf) B-2L BB+ (sf)/Watch Pos BB+ (sf) JFIN CLO 2014 Ltd. Rating Class To From B-1-R AA (sf)/Watch Pos AA (sf) B-2-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D BBB(sf)/Watch Pos BBB (sf) Ocean Trails CLO IV Rating Class To From B-R AA+ (sf)/Watch Pos AA+ (sf) C-R AA- (sf)/Watch Pos AA- (sf) OFSI Fund V Ltd. Rating Class To From A-3F-R AA+ (sf)/Watch Pos AA+ (sf) A-3L-R AA+ (sf)/Watch Pos AA+ (sf) B-1L-R A+ (sf)/Watch Pos A+ (sf) West CLO 2013-1 Ltd. Rating Class To From A-2AR AA (sf)/Watch Pos AA (sf) A-2BR AA (sf)/Watch Pos AA (sf) B-R A (sf)/Watch Pos A (sf) Flagship VII Ltd. Rating Class To From B-R AA (sf)/Watch Pos AA (sf) C-R A (sf)/Watch Pos A (sf) D BBB (sf)/Watch Pos BBB (sf) RATING PLACED ON CREDITWATCH NEGATIVE Flagship VII Ltd. Rating Class To From F B (sf)/Watch Neg B (sf) [*] S&P Takes Various Actions on 83 Classes From 23 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 83 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2003 and 2007. All of these transactions are backed by RMBS alternative-A, negative amortization, re-performing, or RMBS closed-end second-lien. The review yielded 27 upgrades, one downgrade, 53 affirmations, and two 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: -- Collateral performance/delinquency trends; -- Historical interest shortfalls; -- Priority of principal payments; -- Proportion of reperforming loans in the pool; -- Tail risk; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We raised our ratings by five or more notches on nine classes due to the supporting collateral showing a decrease in delinquency trends since the prior review and/or the classes having an expected short duration. The reduction in observed delinquencies reduces our loss projections for the associated classes, suggesting each may withstand a higher rating level. The upgrades reflect an expected short duration are based on these classes' average recent principal allocation, and that they are projected to pay down in a short time period relative to projected loss timing, thus limiting their exposure to potential losses." A list of Affected Ratings can be viewed at: https://bit.ly/2yNBSc2 [*] S&P Takes Various Actions on 98 Classes From 23 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 98 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2007. All of these transactions are backed by alternative-A, subprime, document deficient, and outside the guidelines collateral. The review yielded 22 upgrades, six downgrades, and 70 affirmations. Analytical Considerations S&P said, "We incorporate various considerations into our decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by our projected cash flows." These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Erosion of or increases in credit support; -- Historical missed interest payments; -- Priority of principal payments; -- Loan modification criteria; -- Principal-only criteria; -- Expected duration; and -- Available subordination and/or overcollateralization. Rating Actions S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "We corrected an error in our ratings on classes II-1A-1, II-1A-2, II-2A-1, and II-2A-2 from Bear Stearns Asset Backed Securities Trust 2006-SD3. These corrections are due to a change in the cash flow allocation data provided to us by Intex Solutions Inc. (Intex). While the internal model we use in determining our ratings on U.S. RMBS transactions typically applies our criteria assumptions, Intex, in many cases, provides the collateral composition and structural modeling used as inputs in our analysis. Therefore, the resulting collateral characteristics and structural mechanics that use our input assumptions depend on the modeling and data provided by Intex." Classes II-1A-1, II-1A-2, II-2A-1, and II-2A-2 from Bear Stearns Asset Backed Securities Trust 2006-SD3 belong to group II of the transaction, which comprises a separate structure within the transaction. Group II is sub-divided into three sub groups, II1, II2, and II3. Cross subordination for group II has been depleted, therefore these sub groups are now independent and acting as separate structures. Per the transaction documents, the "group undercollat" loss method should be applied to the sub groups when cross subordination has been depleted, which it has. This loss method benefits or impacts the sub groups based on the amount of overcollateralization (O/C) or lack thereof available to each sub group. S&P said, "In reviewing this transaction, we determined that Intex was not applying the proper cash flow allocation set forth in the transaction documents, and therefore projected losses were being allocated to the classes rather than the amount of O/C available. As of the September 2018 remittance date, sub groups II1 and II2 had group directed O/C of $2.3M and $1.0M, respectively, meaning that per the transaction documents, Intex should have allocated any projected losses in these sub groups to the available O/C before being allocated to the respective classes. As a result, our previous ratings on these classes reflected our expectation that the credit support available to the classes would be insufficient to cover projected losses at higher rating levels. After we informed Intex of this error, Intex corrected its cash flow allocation data to reflect the cash flow allocation set forth in the transaction documents. Based on our updated cash flow results and our current view of these classes' credit risk, we have raised our ratings on classes II-1A-1, II-1A-2, II-2A-1, and II-2A-2. "In addition, we raised our ratings on classes M-1, M-2, M-3, and B-1 from NovaStar Mortgage Funding Trust Series 2003-2 by four or more notches due to increased credit support and/or expected short duration. These classes have the benefit of sequential pay, which allows credit support to be preserved while the most senior class in the payment priority receives all scheduled and unscheduled principal allocations. As a result, we believe these classes have credit support that is sufficient to withstand losses at higher rating levels." A list of Affected Ratings can be viewed at: https://bit.ly/2Oou1qE [*] S&P Takes Various Actions on 99 Classes From 17 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 99 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2001 and 2005. All of these transactions are backed by a mix of prime jumbo and subprime collateral. The review yielded 21 upgrades, 18 downgrades, 49 affirmations, 10 withdrawals, and one discontinuance. ANALYTICAL CONSIDERATIONS S&P incorporates various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations include: -- Collateral performance/delinquency trends; -- Historical missed interest payments; -- Priority of principal payments; Tail risk; and -- Available subordination and/or overcollateralization. RATING ACTIONS S&P said, "The affirmations of ratings reflect our opinion that our projected credit support and collateral performance on these classes has remained relatively consistent with our prior projections. "The majority of today's downgrades reflect delinquency trends along with passing payment allocation triggers, which allow principal payments to be made to more subordinate classes and further erode projected credit support for the affected classes. "We lowered our rating on class II-1-A-1 from WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust due to an increase in Group SG_II1 delinquencies to 67.44% (as of September 2018) from 15.62% during the last review. During that same period, triggers started passing again that further eroded credit support. The affected group has 13 loans remaining. The largest balance loan, which contributes to the severe delinquencies in the pool, was modified multiple times and is currently delinquent. While this loan has a low Housing Price Index loan-to-value, we do not believe the class has credit support that is sufficient to withstand losses at the previous rating level." 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2018. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***