/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/181111.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 11, 2018, Vol. 22, No. 314 Headlines AMERICREDIT AUTOMOBILE 2018-3: Moody's Gives (P)Ba2 on E Notes APIDOS CLO XXV: Moody's Rates $34.7MM Class D-R Debt Ba3 ARROYO MORTGAGE 2018-2: S&P Assigns Prelim B+ Rating on B-2 Notes ATRIUM XV: S&P Assigns Prelim BB- Rating on $38MM Class E Notes AVERY POINT V: Moody's Lowers Rating on Class F Notes to Caa2 BANC OF AMERICA 2007-5: S&P Cuts Rating on A-J Certs to D BANK 2018-BNK15: Fitch to Rate 2 Tranches 'BB-sf' BENCHMARK MORTGAGE 2018-B7: Fitch to Rate $11.3MM Cl. G-RR Debt 'B- BX TRUST 2017-CQHP: DBRS Confirms B(high) Rating on Class F Certs CHT 2017-COSMO: Moody's Affirms B3 Rating on Class F Certs CITIGROUP COMMERCIAL 2016-C3: Fitch Affirms B- on Class F Certs CITIGROUP COMMERCIAL 2016-P6: Fitch Affirms B- on Cl. F Certs COLUMBIA CENT 28: S&P Assigns BB- Rating on Class D Notes COMM 2014-CCRE16: Fitch Affirms BB Rating on Class E Certs COMM 2014-CCRE21: Fitch Affirms BB+ on Class E Certs CONNECTICUT AVENUE 2018-R07: Fitch Assigns B Rating on 29 Tranches CREDIT SUISSE 2015-C3: Fitch Affirms BB- Rating on Class E Certs CSMC TRUST 2016-MFF: DBRS Confirms BB(low) Rating on Class F Debt DBGS 2018-C1: DBRS Finalizes B Rating on Class G-RR Certs ELLINGTON FINANCIAL 2018-1: S&P Assigns (P)B Rating on B-2 Certs FIRST INVESTORS 2018-2: S&P Assigns Prelim B Rating on Cl. F Notes FLAGSHIP CREDIT 2018-4: S&P Assigns Prelim BB- Rating on E Notes FOURSIGHT CAPITAL: Moody's Assigns B2 Rating on $13.5MM Cl. F Notes FREDDIE MAC 2018-4: Fitch to Rate $63.44MM Class M Debt 'B-sf' GS MORTGAGE 2007-GG10: Fitch Hikes Rating on Class A-M Certs to BB GS MORTGAGE 2010-C2: Moody's Affirms Ba2 Rating on Class E Debt HORIZON AIRCRAFT I: Fitch to Rate $45MM Series C Notes 'BBsf' ICG US 2018-3: Moody's Assigns (P)Ba3 Rating on $20.4MM Cl. E Notes IMSCI 2012-2: DBRS Confirms B(low) Rating on Class G Certificates IRVINE CORE 2013-IRV: S&P Affirms BB+ Rating in Class F Certs JP MORGAN 2006-LDP6: Moody's Affirms C Rating on Class D Certs JPMCC COMMERCIAL 2015-JP1: DBRS Confirms BB Rating on G Certs KKR CLO 23: Moody's Assigns B3(sf) Ratings on $7.2MM Class F Notes LB-UBS 2008-C1: S&P Affirms B+ Rating on Class A-M Certs LCM LTD XXII: S&P Assigns BB Rating on $17.6MM Class D-R Notes LENDMARK FUNDING 2018-2: DBRS Finalizes BB Rating on Class D Notes LENDMARK FUNDING 2018-2: S&P Assigns BB Rating on Class D Notes MADISON PARK XXIX: S&P Assigns B- Rating on $12MM Class F Notes MAN GLG 2018-2: Moody's Assigns B3 Rating on $6MM Class E-R Notes MARINER FINANCE 2018-A: S&P Assigns Prelim BB Rating on D Notes MELLO MORTGAGE 2018-MTG2: DBRS Finalizes B Rating on Cl. B5 Certs MELLO MORTGAGE 2018-MTG2: Moody's Assigns B1 Rating on Cl. B5 Debt MERRILL LYNCH 2008-C1: Fitch Hikes Rating on Class F Certs to Bsf METAL 2017-1: Fitch Affirms Bsf Rating on Class C-2 Notes MORGAN STANLEY 2005-HQ7: Moody's Affirms B1 Rating on Cl. E Certs NELNET STUDENT 2005-4: Fitch Cuts Ratings on 4 Tranches to Bsf NEW RESIDENTIAL 2018-NQM1: DBRS Finalizes B Rating on Cl. B-2 Notes NEW RESIDENTIAL 2018-NQM1: S&P Assigns B Rating on Class B-2 Notes NORTHWOODS CAPITAL XIV-B: Moody's Gives (P)B2 Rating on Cl. F Debt OBX TRUST 2018-EXP2: DBRS Finalizes B Rating on $3.3MM B-5 Notes OHA CREDIT XI: S&P Assigns B- Rating on Class F-R Notes PARK AVENUE 2018-1: S&P Assigns BB- Rating on Class D Notes PRESTIGE AUTO 2016-1: S&P Raises Class E Notes Rating to BB+ SATURNS TRUST 2003-1: S&P Cuts Rating on $60.192MM Units to D SDART 2017-3: S&P Raises Rating on Class E Notes to BB+ STACR 2018-HRP2: S&P Assigns Prelim B Rating on 3 Tranches THL CREDIT 2015-1: Moody's Gives (P)B3 Rating on $12MM F-RR Notes TIAA BANK 2018-3: DBRS Finalizes BB Rating on Class B-4 Certs TOWD POINT 2018-6: DBRS Finalizes B Rating on $27.6MM B2 Notes TRALEE CLO V: S&P Assigns BB- Rating on $17MM Class E Notes VERUS SECURITIZATION 2018-3: S&P Assigns B+ Rating on B-2 Certs WACHOVIA BANK 2006-C29: S&P Raises Class C Certs Rating to CCC WELLFLEET CLO 2016-2: Moody's Rates $19.2MM Class D-R Debt 'Ba3' WELLS FARGO 2011-C2: Fitch Affirms Bsf Rating on Class F Certs WELLS FARGO 2012-C6: Fitch Affirms Bsf Rating on Class F Certs WFRBS COMM'L 2014-C21: DBRS Confirms B Rating on Class F Certs WFRBS COMMERCIAL 2014-C19: Fitch Affirms BB- Rating on Cl. E Certs WORLD OMNI 2018-1: S&P Assigns Prelim. BB Rating on Class E Notes [*] Moody's Takes Action on $298.6MM RMBS Issued 2004-2006 [*] Moody's Takes Action on $448.4MM RMBS Issued in 2005-2006 [*] Moody's Takes Action on $64.1MM RMBS Issued 2003-2006 [*] Moody's Takes Action on 27 Tranches From 4 US RMBS Deals [*] S&P Takes Various Actions on 27 Classes From 20 US RMBS Deals ********* AMERICREDIT AUTOMOBILE 2018-3: Moody's Gives (P)Ba2 on E Notes -------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to the notes to be issued by AmeriCredit Automobile Receivables Trust 2018-3. This is the third AMCAR auto loan transaction of the year for AmeriCredit Financial Services, Inc. (AFS; Unrated). The notes will be backed by a pool of retail automobile loan contracts originated by AFS, who is also the servicer and administrator for the transaction. The complete rating actions are as follows: Issuer: AmeriCredit Automobile Receivables Trust 2018-3 Class A-1 Notes, Assigned (P)P-1 (sf) Class A-2-A Notes, Assigned (P)Aaa (sf) Class A-2-B Notes, Assigned (P)Aaa (sf) Class A-3 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa1 (sf) Class C Note, Assigned (P)Aa3 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba2 (sf) RATINGS RATIONALE The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, and the experience and expertise of AFS as the servicer and administrator. Moody's median cumulative net loss expectation for the 2018-3 pool is 9.5% and the loss at a Aaa stress is 38.0%. 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 AFS 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, and Class E notes are expected to benefit from 35.20%, 27.95%, 18.95%, 10.10%, and 7.75% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of a combination of overcollateralization, a non-declining reserve account, and 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 subordinate 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. APIDOS CLO XXV: Moody's Rates $34.7MM Class D-R Debt Ba3 -------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Apidos CLO XXV: Moody's rating action is as follows: US$453,100,000 Class A-1R Senior Secured Floating Rate Notes Due 2031 (the "Class A-1R Notes"), Assigned Aaa (sf) US$77,300,000 Class A-2R Senior Secured Floating Rate Notes Due 2031 (the "Class A-2R Notes"), Assigned Aa2 (sf) US$21,800,000 Class B-1R Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class B-1R Notes"), Assigned A2 (sf) US$17,500,000 Class B-2R Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class B-2R Notes"), Assigned A2 (sf) US$42,200,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class C-R Notes"), Assigned Baa3 (sf) US$34,700,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes Due 2031 (the "Class D-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation. The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. CVC Credit Partners, LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE 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 November 7, 2018 in connection with the refinancing of all classes of the secured notes previously issued on November 10, 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: $702,500,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2770 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 4.75% Weighted Average Recovery Rate (WARR): 47% Weighted Average Life (WAL): 9.00 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. ARROYO MORTGAGE 2018-2: S&P Assigns Prelim B+ Rating on B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Arroyo Mortgage Trust 2018-2's mortgage pass-through notes. The note issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans. The preliminary ratings are based on information as of Nov. 5, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty (R&W) framework; -- The geographic concentration; and -- The mortgage aggregator, Western Asset Management Co. LLC as investment manager for Western Asset Mortgage Opportunity Fund L.P. PRELIMINARY RATINGS ASSIGNED Arroyo Mortgage Trust 2018-2 Class Rating Amount ($) A-1 AAA (sf) 206,199,000 A-2 AA (sf) 12,639,000 A-3 A+ (sf) 10,473,000 M-1 BBB (sf) 6,259,000 B-1 BB (sf) 3,010,000 B-2 B+ (sf) 1,565,000 B-3 NR 601,952 A-IO-S NR Notional(i) XS NR Notional(i) R NR N/A (i)Notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated. N/A--Not applicable. ATRIUM XV: S&P Assigns Prelim BB- Rating on $38MM Class E Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Atrium XV/Atrium XV LLC's floating- and fixed-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Nov. 8, 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 Atrium XV/Atrium XV LLC Class Rating Amount (mil. $) X AAA (sf) 3.00 A-1 AAA (sf) 600.00 A-2 NR 45.00 B AA (sf) 115.00 C (deferrable) A (sf) 67.50 D (deferrable) BBB- (sf) 52.50 E (deferrable) BB- (sf) 38.00 Subordinated notes NR 111.75 NR--Not rated. AVERY POINT V: Moody's Lowers Rating on Class F Notes to Caa2 ------------------------------------------------------------- Moody's Investors Service has upgraded the rating on the following notes issued by Avery Point V CLO, Limited: US$43,500,000 Class B-R Senior Secured Floating Rate Notes due 2026, Upgraded to Aaa (sf); previously on August 21, 2017 Assigned Aa1 (sf) Moody's also downgraded the rating on the following notes: US$5,000,000 Class F Senior Secured Deferrable Floating Rate Notes due 2026, Downgraded to Caa2 (sf); previously on August 18, 2017 Downgraded to Caa1 (sf) In addition, Moody's affirmed the ratings on the following notes: US$252,000,000 Class A-R Senior Secured Floating Rate Notes due 2026 (current outstanding balance of $206,668,536), Affirmed Aaa (sf); previously on August 21, 2017 Assigned Aaa (sf) US$24,500,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2026, Affirmed A1 (sf); previously on August 21, 2017 Assigned A1 (sf) US$25,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2026, Affirmed Baa3 (sf); previously on August 21, 2017 Assigned Baa3 (sf) US$25,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2026, Affirmed Ba3 (sf); previously on July 15, 2014 Definitive Rating Assigned Ba3 (sf) Avery Point V CLO, Limited, issued in July 2014, is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The transaction's reinvestment period ended in July 2018. RATINGS RATIONALE The upgrade and affirmation actions are primarily a result of deleveraging of the senior notes since the end of the deal's reinvestment period in July 2018. The Class A-R notes have been paid down by approximately 18.0% or $45.3 million since that time. On the other hand, the downgrade action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's October 2018 report, the total collateral par balance is $387.4 million, or $12.6 million less than the $400 million initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average rating factor (WARF) and weighted average spread (WAS) have been deteriorating and the current levels of 3115 and 3.32%, respectively, are failing the trigger levels of 3081 and 3.75%, 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 $342.1 million, no defaulted par, a weighted average default probability of 23.46% (implying a WARF of 3132), a weighted average recovery rate upon default of 49.17%, a diversity score of 57 and a weighted average spread of 3.32% (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) 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. BANC OF AMERICA 2007-5: S&P Cuts Rating on A-J Certs to D --------------------------------------------------------- S&P Global Ratings lowered its ratings on three classes of commercial mortgage pass-through certificates from Banc of America Commercial Mortgage Trust 2007-5, a U.S. commercial mortgage-backed securities (CMBS) transaction. The downgrades on classes A-J, B, and C primarily reflect current interest shortfalls impacting all three classes. S&P said, "We expect the accumulated interest shortfalls to remain outstanding for the foreseeable future. The downgrades also reflect credit support erosion that we anticipate will occur upon the eventual resolution of the six assets ($146.7 million, 69.1%) with the special servicer." According to the Oct. 10, 2018, trustee remittance report, the current monthly interest shortfalls totaled $759,864 and resulted primarily from: -- Interest not advanced totaling $718,954; -- Special servicing fees totaling $30,557; -- Net appraisal subordinate entitlement reduction of $4,095; and -- Reimbursement for interest on prior servicer advances of $6,258. TRANSACTION SUMMARY As of the Oct. 10, 2018, trustee remittance report, the collateral pool balance was $212.4 million, which is 11.4% of the pool balance at issuance. The pool currently includes four loans and three real estate-owned (REO) assets, down from 100 loans at issuance. Six of these assets are with the special servicer, and no loans are on the master servicer's watchlist or defeased. For the sole performing loan, 708 Third Avenue, S&P calculated a 1.43x S&P Global Ratings' weighted average debt service coverage and a 62.8% S&P Global Ratings' weighted average loan-to-value (LTV) ratio using a 7.00% S&P Global Ratings' weighted average capitalization rate. To date, the transaction has experienced $120.0 million in principal losses, or 6.5% of the original pool trust balance. S&P expects losses to reach approximately 12.6% of the original pool trust balance in the near term, based on losses incurred to date and additional losses that S&P expects upon the eventual resolution of the specially serviced assets. CREDIT CONSIDERATIONS As of the Oct. 10, 2018, trustee remittance report, six assets in the pool were with the special servicer, CWCapital Asset Management LLC. With the exception of the Goshen Village Shoppes loan ($6.3 million, 3.0%), all of the specially serviced assets have been deemed non-recoverable. Details of the two largest specially serviced assets, are as follows: -- The 4000 Wisconsin Avenue loan ($53.0 million, 25.0%) is the second-largest loan in the pool and has a total reported exposure of $52.8 million. The loan is secured by a leasehold interest in a 492,192 sq. ft. office property, located in Washington D.C. The loan was transferred to the special servicer in June 2017 due to the expected vacancy of Fannie Mae, the largest tenant at the property, at year-end 2018. In addition, the property is subject to an unsubordinated ground lease that is due and payable regardless of the property's occupancy. S&P expects a significant loss (60% or greater) upon this loan's eventual resolution. -- The 500 Virginia Drive asset ($28.8 million, 13.6%) is the third-largest asset in the pool and has a total reported exposure of $32.0 million. The asset is a 366,992 sq. ft. office property located in Fort Washington, Pa. The loan was transferred to the special servicer in April 2012, and became REO in September 2014. The property was marketed for sale in early 2018 but did not sell after offers received were below value expectations. S&P expects a significant loss upon this loan's eventual resolution. The four remaining assets with the special servicer each have individual balances that represent less than 12.6% of the total pool trust balance. S&P estimated losses for the six specially serviced assets, arriving at a weighted-average loss severity of 77.8%. RATINGS LOWERED Banc of America Commercial Mortgage Trust 2007-5 Commercial mortgage pass-through certificates series 2007-5 Rating Class To From A-J D (sf) BB+ (sf) B D (sf) B- (sf) C D (sf) CCC (sf) BANK 2018-BNK15: Fitch to Rate 2 Tranches 'BB-sf' ------------------------------------------------- Fitch Ratings has issued a presale report on BANK 2018-BNK15 commercial mortgage pass-through certificates, series 2018-BNK15. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $47,900,000 class A-1 'AAAsf'; Outlook Stable; -- $24,600,000 class A-2 'AAAsf'; Outlook Stable; -- $43,000,000 class A-SB 'AAAsf'; Outlook Stable; -- $200,000,000d class A-3 'AAAsf'; Outlook Stable; -- $405,969,000d class A-4 'AAAsf'; Outlook Stable; -- $721,469,000b class X-A 'AAAsf'; Outlook Stable; -- $207,423,000b class X-B 'A-sf'; Outlook Stable; -- $128,834,000 class A-S 'AAAsf'; Outlook Stable; -- $43,804,000 class B 'AA-sf'; Outlook Stable; -- $34,785,000 class C 'A-sf'; Outlook Stable; -- $42,515,000ab class X-D 'BBB-sf'; Outlook Stable; -- $19,325,000ab class X-F 'BB-sf'; Outlook Stable; -- $11,595,000ab class X-G 'B-sf'; Outlook Stable; -- $23,190,000a class D 'BBBsf'; Outlook Stable; -- $19,325,000a class E 'BBB-sf'; Outlook Stable; -- $19,325,000a class F 'BB-sf'; Outlook Stable; -- $11,595,000a class G 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $28,344,384a class H; -- $54,245,862.35c RR Interest. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) Vertical credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. (d) The initial certificate balances of class A-3 and class A-4 are unknown and expected to be within the range of $100,000,000 - $300,000,000 and $305,969,000 - $505,969,000, respectively. The certificate balances will be determined based on the final pricing of those classes of certificates. Fitch's certificate balances for classes A-3 and A-4 are based on the midpoints of the respective balance ranges and are estimated to total $605,969,000 in aggregate. The expected ratings are based on information provided by the issuer as of Nov. 6, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 67 loans secured by 126 commercial properties having an aggregate principal balance of $1,084,917,247 as of the cut-off date. The loans were contributed to the trust by: Wells Fargo Bank, NA, Bank of America, NA, Morgan Stanley Mortgage Capital Holdings LLC Bank, NA and National Cooperative Bank, NA. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 64.0% of the properties by balance, cash flow analysis of 84.9% and asset summary reviews on 84.9% of the pool. KEY RATING DRIVERS Lower Fitch Leverage than Recent Transactions: The pool's Fitch leverage is lower than average compared with other Fitch-rated, fixed-rate, multiborrower transactions. Specifically, the pool's Fitch DSCR of 1.36x is superior to the 2017 and 2018 YTD averages of 1.26x and 1.22x, respectively. The pool's Fitch LTV of 91.5% is also superior to the 2017 and 2018 YTD averages of 101.6% and 102.2%, respectively. Excluding investment-grade credit opinion and multifamily cooperative loans, the pool has a Fitch DSCR and LTV of 1.20x and 106.7%, respectively. Credit Opinion Loans: Five loans, representing 29.6% of the pool, have investment-grade credit opinions, which is well above both the 2017 average of 11.7% and 2018 YTD average of 13.5%. Aventura Mall (9.2% of the pool) has an investment-grade credit opinion of 'Asf*' on a stand-alone basis. Millennium Partners Portfolio (6.9% of the pool) and Pfizer Building (2.7% of the pool) have investment-grade credit opinions of 'A-sf*' on a stand-alone basis. 685 Fifth Avenue Retail (5.5% of the pool) and Moffett Towers - Buildings E,F,G (5.2% of the pool) have investment-grade credit opinions of 'BBB-sf*' on a stand-alone basis. Combined, the five loans have a weighted average (WA) Fitch DSCR and LTV of 1.38x and 102.5%, respectively. Property Type Concentration: The pool has a relatively high exposure to retail properties, which at 46.4% of the pool, far exceeds 2017 and 2018 YTD average concentrations of 24.8% and 28.5%, respectively. However, a large portion of this includes credit opinion loans: Aventura Mall (9.2% of the pool), Millennium Partners Portfolio (6.9% of the pool) and 685 Fifth Avenue Retail (5.5% of the pool). RATING SENSITIVITIES For this transaction, Fitch's NCF was 15.5% 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 BANK 2018-BNK15 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. BENCHMARK MORTGAGE 2018-B7: Fitch to Rate $11.3MM Cl. G-RR Debt 'B- ------------------------------------------------------------------- Fitch Ratings has issued a presale report on Benchmark 2018-B7 Mortgage Trust commercial mortgage pass-through certificates, Series 2018-B7. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $20,240,000 class A-1 'AAAsf'; Outlook Stable; -- $211,980,000 class A-2 'AAAsf'; Outlook Stable; -- $155,000,000d class A-3 'AAAsf'; Outlook Stable; -- $368,279,000d class A-4 'AAAsf'; Outlook Stable; -- $36,078,000 class A-SB 'AAAsf'; Outlook Stable; -- $884,870,000a class X-A 'AAAsf'; Outlook Stable; -- $93,293,000 class A-M 'AAAsf'; Outlook Stable; -- $52,300,000 class B 'AA-sf'; Outlook Stable; -- $52,301,000 class C 'A-sf'; Outlook Stable; -- $104,601,000ab class X-B 'A-sf'; Outlook Stable; -- $56,541,000ab class X-D 'BBB-sf'; Outlook Stable; -- $26,857,000ab class X-F 'BB-sf'; Outlook Stable; -- $32,511,000b class D 'BBBsf'; Outlook Stable; -- $24,030,000b class E 'BBB-sf'; Outlook Stable; -- $26,857,000b class F 'BB-sf'; Outlook Stable; -- $11,309,000bc class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated: -- $11,308,000bc class H-RR. -- $35,338,680bc class J-RR. -- $37,090,000.16e VRR Interest. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit risk retention interest. (d) The initial certificate balances of Class A-3 and Class A-4 are unknown but expected to be approximately $523,279,000 in the aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected range of certificate balances for Class A-3 is 90,000,000 to $220,000,000. The expected range of certificate balances for Class A-4 is $303,279,000 to $433,279,000. Fitch's certificate balances for classes A-3 and A-4 are assumed at the midpoint of the range for each class. (e)Vertical credit-risk retention interest, which equals at least 5% of the estimated fair market value of all the classes of regular certificates by the issuing entity as of the closing date. The expected ratings are based on information provided by the issuer as of Nov. 5, 2018. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 51 loans secured by 227 commercial properties having an aggregate principal balance of $1,167,914,680 as of the cut-off date. The loans were contributed to the trust by Citigroup Global Markets Inc., J.P. Morgan Securities LLC and Deutsche Bank Securities Inc. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 79.5% of the properties by balance, cash flow analysis of 88.1%, and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Slightly Higher Fitch Leverage: The pool's leverage is slightly higher than that of recent Fitch-rated multiborrower transactions. The pool's Fitch DSCR of 1.17x is below the 2017 and YTD 2018 averages of 1.26x and 1.22x, respectively. The pool's Fitch LTV of 102.1% is higher than 2017 and in-line with YTD 2018 averages of 101.6% and 102.2%, respectively. Credit Opinion Loans: Five loans, representing 22.6% of the pool by balance have investment-grade credit opinions: Dumbo Heights (6.8% of the pool), Moffett Towers - Buildings E, F, G (4.3% of the pool), and Aon Center (3.7% of the pool) each received credit opinions of 'BBB-sf*' on a standalone basis. Aventura Mall (4.3% of the pool) and Workspace (3.4% of the pool) each received credit opinions of 'Asf*' on a stand-alone basis. Weak Amortization: Twenty-two loans (57.3% of the pool) are full-term interest-only, 18 loans (23.9% of the pool) are partial interest-only and one loan (3.4% of the pool) is interest only plus ARD Structure. The pool is scheduled to amortize just 5.4% of the initial pool balance by maturity, which is lower than the 2017 and YTD 2018 averages of 7.9% and 7.2%, respectively. RATING SENSITIVITIES For this transaction, Fitch's NCF was 17.1% below the most recent year's NOI (for properties for which a full year NOI was provided, excluding properties that were stabilizing during this period). Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the Benchmark 2018-B7 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario where 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, where NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBBsf' could result. BX TRUST 2017-CQHP: DBRS Confirms B(high) Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed all ratings on all classes of Commercial Mortgage Pass-Through Certificates, Series 2017-CQHP issued by BX Trust 2017-CQHP as follows: -- Class A at AAA (sf) -- Class X-CP at A (high) (sf) -- Class X-EXT at A (high) (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class D at A (sf) -- Class E at BBB (low) (sf) -- Class F at B (high) (sf) The trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which has remained in line with DBRS's expectations since issuance. The transaction closed in November 2017 and is secured by four Club Quarters brand-managed hotels totaling 1,228 keys located across four major U.S. cities: San Francisco, Chicago, Boston and Philadelphia. The $273.7 million loan, along with $61.3 million of mezzanine debt and $8.1 million of sponsor equity, refinanced $336.1 million in existing debt. The loan is full IO on an initial two-year term with three one-year extension options. The sponsor for the loan is BREP VII, a subsidiary of The Blackstone Group, L.P. The sponsor is considered strong due to its extensive holdings in the hospitality industry as well as its ample financial resources. As of September 30, 2018, Blackstone had approximately $119.9 billion in real estate assets under management, reflecting an increase of $8.9 billion since issuance (+8.0%). As of June 2018, Blackstone hotel assets totaled 152,000 keys globally and are notably one of the largest hospitality investors in the United States. The sponsorship entity has approximately $78.7 million of cash equity in the transaction. Occupancy levels and Repay figures for the portfolio have generally remained in line with issuance figures. According to the T-12 June and July operating statements, the portfolio's weighted-average (WA) occupancy, ADR and RevPAR figures were 90.0%, $168.58 and $151.73, respectively, compared with the issuance figures of 90.9%, $166.42 and $151.23, respectively. Per the most recent annualized quarterly financials for the individual hotels from June and July 2018, the DSCR was 2.32 times (x), compared with the DBRS term DSCR derived at issuance of 2.50x. The decrease in DSCR since issuance is attributed to a 14.8% growth in total operating expenses, as estimated gross income has increased by 4.8% over the DBRS figure. Classes X-CP and X-EXT 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. CHT 2017-COSMO: Moody's Affirms B3 Rating on Class F Certs ---------------------------------------------------------- Moody's Investors Service affirmed the ratings on six classes of CHT 2017-COSMO Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2017-COSMO. Moody's rating action is as follows: Cl. A, Affirmed Aaa (sf); previously on Dec 15, 2017 Definitive Rating Assigned Aaa (sf) Cl. B, Affirmed Aa3 (sf); previously on Dec 15, 2017 Definitive Rating Assigned Aa3 (sf) Cl. C, Affirmed A3 (sf); previously on Dec 15, 2017 Definitive Rating Assigned A3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Dec 15, 2017 Definitive Rating Assigned Baa3 (sf) Cl. E, Affirmed Ba3 (sf); previously on Dec 15, 2017 Definitive Rating Assigned Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Dec 15, 2017 Definitive Rating Assigned B3 (sf) RATINGS RATIONALE Moody's has affirmed the ratings on the six P&I classes due to the transaction's key metrics, including Moody's loan-to-value ratio and Moody's stressed debt service coverage ratio, being within acceptable ranges. 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 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 15, 2018 Payment Date, the transaction's aggregate certificate balance remains unchanged at $1.38 billion. The securitization is backed by a single floating rate loan collateralized by first lien mortgage loan related to The Cosmopolitan of Las Vegas. The Cosmopolitan of Las Vegas is a luxury hotel and casino located on The Strip between The Bellagio and MGM's City Center and across the Strip from the Planet Hollywood Resort & Casino. The property features 3,027, condo-quality rooms and suites situated within two high-rise towers, a 111,500 SF casino, 30 restaurants, lounges and bars, a nightclub/dayclub, full-service spa, two fitness centers, a live theater, approximately 23,500 SF of retail, three outdoor swimming pools, and approximately 250,000 SF of meeting/conference space. The interest only loan's final maturity date is in November 2024. There is subordinated mezzanine debt of $420 million held outside the trust. The property's Net Cash Flow for the trailing six months ending June 2018 was $239.1 million compared to the $222.2 million achieved during the trailing twelve months ending August 2017. Moody's stabilized NCF is $160.9 million, the same as securitization. Moody's stressed LTV and stressed DSCR for the mortgage are 100% and 1.26X, respectively. The trust has not incurred any losses or interest shortfalls as of the current Payment Date. CITIGROUP COMMERCIAL 2016-C3: Fitch Affirms B- on Class F Certs --------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Citigroup Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2016-C3. KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the overall stable performance and loss expectations with no material changes to pool metrics since issuance. There are no delinquent loans and no loans have transferred to special servicing. Fitch designated one loan (7.5% of pool) as a Fitch Loan of Concern due to occupancy declines/concerns. Minimal 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 1.3% to $746.3 million from $756.5 million at issuance. All original 44 loans remain in the pool. ADDITIONAL CONSIDERATIONS Fitch Loan of Concern: 101 Hudson Street (7.5% of pool), which is secured by a 1.3 million sf office property located in downtown Jersey City, NJ, was designated a FLOC due to significant occupancy declines since issuance. The property was 68.6% occupied as of May 2018, down from 85.1% (although 98.3% leased) in September 2016 around the time of issuance. Fitch's analysis at issuance accounted for two tenants with partial dark space at the property, including the second largest tenant, National Union Fire Insurance(previously 20% NRA), which subsequently vacated at its April 2018 lease expiration. Per servicer updates, the borrower is actively marketing the vacant space. Regional Mall Exposure: Loans secured by retail properties comprise 23% of the pool, including two regional malls (13.4%) in the top 10. The largest loan, Briarwood Mall (8.7%), is secured by approximately 370,000 sf of a one million sf regional mall located in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. While non-collateral Sears recently announced plans to close this location amid bankruptcy and liquidation in October 2018, the Sears store at this mall is owned in a joint venture between Seritage and Simon, and a redevelopment mechanism was built into the agreement structure mitigating the risk of a vacant Sears anchor. Also, performance remains in-line with issuance levels. In-line sales at YE 2017 were $556 psf ($423 psf excluding Apple) compared with $583 psf ($437 psf excluding Apple) at issuance. The mall also includes lifestyle and entertainment tenants such as PLAYlive Nation, which signed a lease in the first quarter of 2017, PF Chang's and Bravo Cucina Italiana. As of March 2018, collateral occupancy was 93% and NOI DSCR was 3.31x. Potomac Mills (4.7% of pool) is secured by approximately 1.46 million of 1.84 million sf regional outlet mall in Woodbridge, VA along the I-95 corridor between Washington D.C. and Richmond, VA. IKEA and Burlington Coat Factory are non-collateral anchors and larger collateral anchors include Costco Warehouse, J.C. Penney and an 18-screen AMC movie theatre. In-line sales at YE 2017 were $419 psf compared with $448 at issuance. As of YE 2017, collateral occupancy was 98% and NOI DSCR was 4.61x. At issuance, this loan received an investment-grade credit opinion of 'BBBsf' on a stand-alone basis. Pool/Maturity Concentration: The top 10 loans comprise 56.8% of the pool. Based on the loans' scheduled maturity balances, the pool is expected to amortize 9.7% during the term. Loan maturities are concentrated in 2026 (88.9%). Eleven loans (41.7% of pool) are full-term, interest-only and seven loans (16.6%) have a partial-term, interest-only component, of which one has begun to amortize. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to relatively stable performance with no material changes to pool metrics since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch's current Issuer Default Rating for Deutsche Bank is 'BBB+'/'F2'. Fitch relies on the master servicer, Midland Loan Services (PNC) (A+/F1), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. Fitch has affirmed the following classes: -- $21 million class A-1 at 'AAAsf'; Outlook Stable; -- $75.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $180 million class A-3 at 'AAAsf'; Outlook Stable; -- $209.3 million class A-4 at 'AAAsf'; Outlook Stable; -- $33.7 million class A-AB at 'AAAsf'; Outlook Stable; -- $63.4 million class A-S at 'AAAsf'; Outlook Stable; -- $40.7 million class B at 'AA-sf'; Outlook Stable; -- $30.3 million class C at 'A-sf'; Outlook Stable; -- $39.7 million class D at 'BBB-sf'; Outlook Stable; -- $17 million class E at 'BB-sf'; Outlook Stable; -- $7.6 million class F at 'B-sf'; Outlook Stable; -- Interest-only class X-A at 'AAAsf'; Outlook Stable; -- Interest-only class X-B at 'AA-sf'; Outlook Stable; -- Interest-only class X-D at 'BBB-sf'; Outlook Stable; -- Interest-only class X-E at 'BB-sf'; Outlook Stable; -- Interest-only class X-F at 'B-sf'; Outlook Stable. Fitch does not rate the class G certificates or the class X-G interest-only certificates. CITIGROUP COMMERCIAL 2016-P6: Fitch Affirms B- on Cl. F Certs ------------------------------------------------------------- Fitch Ratings has affirmed fifteen classes of Citigroup Commercial Mortgage Trust pass-through certificates, series 2016-P6. KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance remains relatively stable and in line with Fitch's expectations at issuance. There have been no delinquent or specially serviced loans since issuance. One loan (0.8%) has been identified as a Fitch Loan of Concern due to a decline in occupancy. Minimal Change in Credit Enhancement: There has been minimal change to credit enhancement since issuance. As of the October 2018 remittance report, the transaction's outstanding balance has been reduced by 0.99% to $904.4 million from $913.4 million at issuance with no realized losses to date. ADDITIONAL CONSIDERATIONS Fitch Loan of Concern: Creekside Plaza is secured by a 67,309 sf suburban office property located in Agoura Hills, CA. The decline in performance is a result of the largest tenant, Bankcard USA (16% of NRA) vacating its space in May 2018 causing a drop in the property's occupancy to 76% from 92% in March 2018. Per servicer reporting, the borrower has been unable to find a replacement tenant but is actively marketing the space. Regional Mall Exposure: Loans secured by retail properties comprise 33.7% of the current pool, including two regional malls (7.9%) within the top 10, Potomac Mills and Fresno Fashion Fair, and one regional lifestyle center (2.5%), Easton Town Center. The properties have exposure to either Macy's and/or JC Penney; however, none of the troubled anchors are on any recent store closing lists. Potomac Mills is secured by approximately 1.46 million sf of a 1.84 million sf regional outlet mall in Woodbridge, VA. The property's largest collateral anchors include Costco Warehouse, JC Penney and an 18-screen AMC movie theatre; IKEA and Burlington Coat Factory are non-collateral anchors. Per servicer reporting, in-line tenant sales were $419 psf at year-end (YE) 2017 compared with $448 psf at issuance. JC Penney reported sales of $9.9 million at YE 2017 ($92.62 psf) compared with $11.9 million at issuance. The most recent servicer reported collateral occupancy was 98% as of December 2017 with an NOI debt service coverage ratio (DSCR) of 4.61x. Fresno Fashion Fair is secured by 536,093 sf of a 958,134 sf super-regional mall located in Fresno, CA. The property is anchored by JC Penney and Macy's Men's and Children's, which are part of the mall's collateral in addition to Macy's and Forever 21, which are not part of the collateral. JC Penney (29% of NRA) has recently renewed their lease through November 2022. Per servicer reporting, the property was 96% occupied as of December 2017 with a YE NOI DSCR of 2.20x. The most recent servicer reported in-line tenant sales, as of trailing twelve month (TTM) June 2018, were $737 psf ($613 psf excluding Apple) compared with TTM August 2016 of $694 psf ($597 psf excluding Apple). Macy's reported TTM June 2018 sales of $241 psf compared with TTM August 2016 of $257 psf. JC Penney reported TTM June 2018 sales of $230 psf compared with TTM August 2016 of $234 psf. Pool/Maturity Concentration: The top-10 loans comprise 45.2% of the pool. Based on the loans' scheduled maturity balances, the pool is expected to amortize 8.8% during the term. Loan maturities are concentrated in 2026 (77.7% of the pool). Eleven loans (42.7% of the pool) are full-term, interest-only and 19 loans (28.6%) have a partial-term, interest-only component. Credit Opinion Loans: Two loans (6.5% of the pool) were given investment-grade credit opinions at issuance; Potomac Mills (4.0% of the pool) received an investment-grade credit opinion of 'BBBsf' and Easton Town Center (2.5% of the pool) received an investment-grade credit opinion of 'A+sf'. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch downgraded Deutsche Bank's Issuer Default Rating to 'BBB+'/'F2' from 'A-'/'F1' on Sept. 28, 2017 and affirmed the ratings on June 21, 2018. Fitch relies on the master servicer, Midland Loan Services, a division of PNC Bank, rated 'A+'/'F1' as of Sept. 27, 2018, which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has affirmed the following ratings: -- $20.6 million class A-1 at 'AAAsf'; Outlook Stable; -- $126.4 million class A-2 at 'AAAsf'; Outlook Stable; -- $16.6 million class A-3 at 'AAAsf'; Outlook Stable; -- $195 million class A-4 at 'AAAsf'; Outlook Stable; -- $228.8 million class A-5 at 'AAAsf'; Outlook Stable; -- $42.9 million class A-AB at 'AAAsf'; Outlook Stable; -- $45.7 million class A-S at 'AAAsf'; Outlook Stable; -- $676.0a million class X-A at 'AAAsf'; Outlook Stable; -- $44.5 million class B at 'AA-sf'; Outlook Stable; -- $44.5a million class X-B at 'AA-sf'; Outlook Stable; -- $49.1 million class C at 'A-sf'; Outlook Stable; -- $57.1b million class D at 'BBB-sf'; Outlook Stable; -- $57.1ab million class X-D at 'BBB-sf'; Outlook Stable; -- $26.3b million class E at 'BB-sf'; Outlook Stable; -- $11.4b million class F at 'B-sf'; Outlook Stable. (a) Notional amount and interest-only. (b) Privately placed and pursuant to Rule 144A. Fitch does not rate the class G or H certificates. COLUMBIA CENT 28: S&P Assigns BB- Rating on Class D Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to Columbia Cent CLO 28 Ltd./Columbia Cent CLO 28 LLC's floating-rate notes. This is a reissue of Cent CLO 22 Ltd., which originally closed in October 2014 and was refinanced in November 2016. S&P withdrew its ratings on Cent CLO 22 Ltd. The note issuance is a collateralized loan obligation (CLO) transaction backed primarily by broadly syndicated speculative-grade senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Columbia Cent CLO 28 Ltd./Columbia Cent CLO 28 LLC Class Rating Amount (mil. $) X AAA (sf) 4.50 A-1 AAA (sf) 274.88 A-1J NR 13.13 A-2 AA (sf) 54.00 B A (sf) 27.00 C BBB- (sf) 27.00 D BB- (sf) 17.63 Subordinated notes NR 55.34 RATINGS WITHDRAWN Cent CLO 22 Ltd./Cent CLO 22 LLC Rating Class To From A-1-R NR AAA (sf) A-2a-R NR AA (sf) A-2b-R NR AA (sf) B-R NR A (sf) C NR BBB (sf) D NR BB (sf) E NR B (sf) NR--Not rated. COMM 2014-CCRE16: Fitch Affirms BB Rating on Class E Certs ---------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE16 commercial mortgage pass-through certificates. The Rating Outlook for three classes has been revised to Negative from Stable. KEY RATING DRIVERS Sensitivity Scenario for Fitch Loan of Concern: Three loans representing 7.6% of the pool are flagged as Fitch Loans of Concern. The largest of these is the fifth largest loan in the pool, West Ridge Mall and Plaza (5% of the pool). The collateral includes approximately 392,000 sf of inline space within the 1.0 million sf enclosed West Ridge Mall and an adjacent anchored retail center, both of which are located in Topeka, Kansas. Since issuance, the mall has lost a major tenant and collateral occupancy has declined to 56.2%, bringing the inline occupancy for both properties down to 64.4%. Leases representing 21.2% of the mall NRA are scheduled to roll by YE2019. In addition to occupancy declines, the asset's sales have also declined since issuance. Based on a September 2018 sales report, the mall's estimated inline sales were $234 psf, which is down from $298 psf at issuance. The sponsor recently announced its intentions to return the deed for West Ridge Mall back to the lender due to over-leverage and low debt yield. It is unclear whether or not the deed-in-lieu will also include West Ridge Plaza, but Fitch expects the loan will be transferred to the special servicer very soon. Given these concerns, as well as the properties' location in a secondary market, Fitch ran a sensitivity stress as part of its analysis which assumed a 100% loss on this loan. This sensitivity scenario is the basis for the Negative Outlooks on classes D, E, X-C and F. Stable Loss Expectations: Fitch's projected losses for the pool remain in line with the expectations at the time of the last rating action and issuance. The same three loans that were Fitch Loans of Concern at the last rating action are still being flagged. They include one loan (0.6% of the pool) that is currently in special servicing and was in special servicing at the time of the last rating action. The collateral is a portfolio of three limited service hotels in Indiana, and the loan was originally transferred to the special servicer for a technical default. According to the servicer, the loan remains current and litigation proceedings are delaying the resolution process. Minimal Change to Credit Enhancement: While has been amortization since issuance, there has not been any notable improvement to credit enhancement to date. Eleven loans, representing 13.9% of the pool, are scheduled to mature in 2019. The repayment of these loans could help to offset some concerns with the Fitch Loans of Concern. Since issuance, the pool has experienced 4.9% collateral reduction and it is scheduled to pay down a total of 12.6% prior to maturity. RATING SENSITIVITIES The Rating Outlook on classes D, E X-C and F is Negative based on concerns with the performance of the fifth largest loan, West Ridge Mall and Plaza, which represents 5% of the pool balance. Fitch's analysis included an additional sensitivity stress test, which assumed a 100% loss for this loan. Based on this sensitivity scenario, classes D, E, X-C and F could be downgraded should this loan default or performance continue to decline. The Rating Outlook for all other classes remains Stable. Eleven loans representing 13.9% of the pool are scheduled to mature in 2019. The repayment of these loans could potentially offset concerns with the Fitch Loans of Concern. 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: -- $3.1 million class A-1 at 'AAAsf'; Outlook Stable; -- $144.9 million class A-2 at 'AAAsf'; Outlook Stable; -- $74.2 million class A-SB at 'AAAsf'; Outlook Stable; -- $190 million class A-3 at 'AAAsf'; Outlook Stable; -- $281.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $74.5 million class A-M at 'AAAsf'; Outlook Stable; -- $768.1 million* class X-A at 'AAAsf'; Outlook Stable; -- $58.5 million class B at 'AA-sf'; Outlook Stable; -- $160.9 million* class X-B at 'AA-sf'; Outlook Stable; -- $47.9 million class C at 'A-sf'; Outlook Stable; -- $0 class PEZ at 'A-sf'; Outlook Stable; -- $54.5 million class D at 'BBB-sf'; Outlook revised to Negative from Stable; -- $25.3 million class E at 'BBsf'; Outlook revised to Negative from Stable; -- $25.3 million* class X-C at 'BBsf'; Outlook revised to Negative from Stable; -- $10.6 million class F at 'Bsf'; Outlook Negative. * Notional and interest only Fitch does not rate the class G or X-D certificates. COMM 2014-CCRE21: Fitch Affirms BB+ on Class E Certs ---------------------------------------------------- Fitch Ratings has affirmed 12 classes of Deutsche Bank Securities, Inc.'s COMM 2014-CCRE21 Mortgage Trust pass-through certificates. KEY RATING DRIVERS Lower Loss Expectations; Overall Stable Loss Expectations Since Issuance: Overall pool loss expectations have declined since Fitch Ratings' prior review primarily due to the improved performance of two hotel loans previously identified as Fitch Loans of Concern (FLOCs). The $60 million Loews Miami Beach Hotel loan (7.6% of the pool), the second largest loan in the pool, is secured by a 790-key, full-service luxury hotel located in the Art Deco District of Miami Beach, FL. While still below issuance levels, hotel performance has significantly improved since declining in 2016 from overall Miami hotel impact. In addition, the $35 million James Hotel Chicago loan (4.5%) has fully defeased. Prior to the defeasance, property performance had been steadily declining since issuance. Overall, the pool expected losses are stable from issuance expectations. Stable to Increased CE: Credit enhancement (CE) has slightly increased since issuance due to amortization and the pre-payment of one loan. The pool has paid down 4.7%, to $786.4 million as of October 2018 from $824.8 million at issuance. The $15.275 million Simply Self Storage Portfolio II loan (1.9% of the original pool) had prepaid in October 2018 prior to its scheduled loan maturity in November 2019. CE is expected to continue to improve over the next 12 months, with three loans (6.8% of the pool) fully defeased and scheduled to mature by November 2019. In addition three (non-defeased) maturing loans (2.6%) with relatively stable performance are also scheduled to mature by year-end 2019. ADDITIONAL CONSIDERATIONS Fitch Loans of Concern: Three loans (11.6% of the pool) have been identified as FLOCs, including two top 15 loans (10.6%) and one specially serviced loan (0.6%). The largest FLOC, the $48 million Kings' Shops loan (6.1%), is secured by a 69,023-sf retail center in Waikoloa, HI. The loan has been flagged due to fluctuating occupancy, near-term rollover risks and declining anchor (Macy's) sales. The second largest FLOC is the $35.5 million Preserve at Autumn Ridge loan (4.5%), which is secured by a 242-unit apartment complex in Watertown, NY. The loan has been flagged due to declining NOI from lower rental revenues and increased expenses. In addition, the property faces military exposure risks (Fort Drum) as well as issues with the loan sponsor (Robert Morgan), who is currently under FBI investigation for fraud. Specially Serviced Loan: The specially serviced loan (1.0%) is secured by a 222-unit multifamily property located in Springfield, IL. The loan transferred to special servicing in April 2018 for payment default. Over the past 12 months, the loan has been one month delinquent six times. The loan is currently paid through September 2018, and has been marked as unpaid but less than one month delinquent as of October 2018. The lender is monitoring the loan to ensure the borrower is in compliance, including depositing rents into the lock box account. Property performance has slightly declined since issuance, with YE 2017 NOI 13% below 2016 and 8% below issuance due to increased expenses with relatively flat rental revenue. DSCR reported at 1.33x (NOI)/1.16x (NCF) for year-end (YE) 2017, compared with 1.52x/1.35x for YE 2016 and 1.45x/1.27x at issuance. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to the overall stable performance of the pool and continued amortization. Rating upgrades may occur with improved pool performance and significant paydown or defeasance. Rating downgrades to the classes are possible should overall pool performance decline significantly. 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 ratings: -- $82.8 million class A-2 at 'AAAsf'; Outlook Stable; -- $49.3 million class A-SB at 'AAAsf'; Outlook Stable; -- $407 million class A-3 at 'AAAsf'; Outlook Stable; -- $52.6 million class A-M at 'AAAsf'; Outlook Stable; -- $46.4 million class B at 'AA-sf'; Outlook Stable; -- $136.1 class PEZ at 'A-sf'; Outlook Stable; -- $37.1 million class C at 'A-sf'; Outlook Stable; -- $40.2 million class D at 'BBB-sf'; Outlook Stable; -- $8.2 million class E at 'BB+sf'; Outlook Stable. -- Interest Only class X-A at 'AAAsf'; Outlook Stable; -- Interest Only class X-B at 'AA-sf'; Outlook Stable; -- Interest Only class X-C at 'BBB-sf'; Outlook Stable. Class A-1 has paid in full. Fitch does not rate the classes F, G, H and J, or Interest-Only classes X-D, X-E and X-F certificates. CONNECTICUT AVENUE 2018-R07: Fitch Assigns B Rating on 29 Tranches ------------------------------------------------------------------ Fitch Ratings assigns 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. 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 2015-C3: Fitch Affirms BB- Rating on Class E Certs ---------------------------------------------------------------- Fitch Ratings affirms 16 classes of Credit Suisse USA (CSAIL) Commercial Mortgage Trust Pass-Through Certificates, series 2015-C3. KEY RATING DRIVERS Overall Stable Loss Expectations: The affirmations are based on the overall stable performance of the underlying collateral. Three loans (2.7% of the current pool balance) are in special servicing, including one (1.2%) that has transferred since Fitch's prior rating action, and 10 loans (23.8%), including three regional malls (17.2%), have been designated as Fitch Loans of Concern. There have been no realized losses to date. Minimal Change to Credit Enhancement: As of the October 2018 distribution date, the pool's aggregate principal balance has paid down by 2.3% to $1.37 billion from $1.42 billion at issuance. Interest shortfalls are currently impacting class NR. At issuance, the pool was scheduled to amortize by 11.3% of the initial pool balance through maturity. Of the current pool, only 25.4% of the loans are full-term interest-only, and 43.3% are partial interest-only. Specially Serviced Loans: Three loans (2.7%) are in special servicing. WPC Department Store Portfolio (1.2%) is a six-property department store portfolio entirely occupied by Bon Ton that is in the process of liquidating after declaring Chapter 11 bankruptcy. The loan transferred to special servicing in August 2018. Four of the properties are located in Wisconsin, one in Illinois, and one in North Dakota. Per the servicer, the portfolio stopped generating revenue in September 2018. Renaissance Casa des Palmas (0.9%) is a 165-key hotel in McCallen, TX that transferred to special servicing in November 2017 for payment default. The property has experienced performance declines due to the weak oil sector in south Texas and reported a YE 2017 debt service coverage ratio (DSCR) of 0.58x. 800 Chester Pike (0.6%) is an industrial property located in Sharon Hill, PA in the Philadelphia metro. The loan transferred in May 2017 for payment default. The borrower has been unresponsive and the special servicer has obtained a receiver and is pursuing foreclosure. Regional Malls: Three loans (17.2%) are collateralized by regional malls. The third largest loan in the pool, The Mall of New Hampshire (7.4%), is a regional mall located in Manchester, NH with declining inline sales and Sears, a non-collateral anchor that owns their own box, recently announced that they would be closing in November 2018. Occupancy as of the second quarter of 2018 was 89.7% compared to 95% at YE 2017, 93% at YE 2016, and 97% at YE 2015. DSCR was 2.33x as of YE 2017. Westfield Wheaton (7%) is a 1.6 million sf regional mall in Wheaton, MD in the Washington DC metro with fluctuating sales and strong nearby competitors. Westfield Trumbull (3%) is a 1.1 million sf regional mall in Trumbull, CT in the Bridgeport metro area with flat sales and significant upcoming tenant roll. Macy's (18.9% NRA) had a lease expiration in December 2018 but has gone month-to-month with a 12 month notice period, per the master servicer. Additionally, the borrower has plans to add 290 units of housing to the property and recently received zoning approval from the city. Fitch Loans of Concern: Ten loans (23.8%) have been designated as Fitch Loans of Concern including three (17.2%) that are regional malls and three (2.7%) that are specially serviced. Other Loans of Concern include: Hendry Multifamily Portfolio, which has declining occupancy and cash flow; Hampton Inn - Point Loma, a San Diego hotel that has significantly underperformed issuance expectations; and two small retail properties where the top three tenants have vacated. Additional Loss Consideration: Fitch applied an additional sensitivity scenario of 25% on Westfield Wheaton and Westfield Trumbull and a 75% loss severity on the WPC Department Store Portfolio to reflect the potential for outsized losses given additional vacancy and decline in sales. The Negative Rating Outlooks reflect this scenario. RATING SENSITIVITIES The Negative Rating Outlooks on classes D, X-D, E, X-E, F, and X-F reflect the potential for outsized losses on the three regional malls, WPC Department Store Portfolio, and the two specially serviced loans. Outlooks for classes A-1 through C remain Stable due to overall stable performance and continued amortization. Upgrades may occur with improved pool performance and additional paydown or defeasance. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch has affirmed the following ratings: -- $27.3 million class A-1 at 'AAAsf'; Outlook Stable; -- $148.3 million class A-2 at 'AAAsf'; Outlook Stable; -- $200 million class A-3 at 'AAAsf'; Outlook Stable; -- $502.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $82.6 million class A-SB at 'AAAsf'; Outlook Stable; -- $87 million class A-S at 'AAAsf'; Outlook Stable; -- $1.05 billion class X-A* at 'AAAsf'; Outlook Stable; -- $87 million class B at 'AA-sf'; Outlook Stable; -- $87 million class X-B* at 'AA-sf'; Outlook Stable; -- $63.9 million class C at 'A-sf'; Outlook Stable; -- $72.8 million class D at 'BBB-sf'; Outlook Negative; -- $72.8 million class X-D* at 'BBB-sf'; Outlook Negative; -- $35.5 million class E at 'BB-sf'; Outlook Negative; -- $35.5 million class X-E* at 'BB-sf'; Outlook Negative; -- $14.2 million class F at 'B-sf'; Outlook Negative; -- $14.2 million class X-F* at 'B-sf'; Outlook Negative. * Notional amount and interest only. CSMC TRUST 2016-MFF: DBRS Confirms BB(low) Rating on Class F Debt ----------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2016-MFF issued by CSMC Trust 2016-MFF as follows: -- Class A at AAA (sf) -- Class X-CP at AAA (sf) -- Class X-EXT at AAA (sf) -- Class B at AAA (sf) -- Class C at AAA (sf) -- Class D at A (high) (sf) -- Class E at BB (high) (sf) -- Class F at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance of the transaction, which remains in line with DBRS's expectations at issuance. The loan is secured by a portfolio of 27 single-tenant retail stores located across Wisconsin, Minnesota and Iowa. The transaction represents a sale and leaseback from Mills Fleet Farm Group, LLC (MFF) to the current loan sponsor, Davidson Kempner Capital Management LP. The transaction consists of a $280.0 million floating rate first mortgage loan and there is also a subordinate loan of $38.5 million held outside the trust. The trust loan is interest-only (IO) and was structured with an initial two-year term and three one-year extension options, the first of which was recently exercised by the borrower. This loan was put on the watch list in July 2018, due to the October 2018 maturity date; however, as the first one-year maturity extension through October 2019 has been exercised and all servicer approvals have been completed, the loan is expected to be removed from the watch list in the near term. The loan was structured with a lockout period, allowing the borrower to only prepay up to 10% of the principal balance without penalty before July 2018. Since the end of the lockout period, the borrower has paid the loan down by $18.5 million, representing a collateral reduction of 6.6%. There have been no property releases in conjunction with the pay down and as of the October 2018 remittance; all of the original stores continue to secure the trust loan. According to servicer commentary, the borrower intends to repay the loan in full well before the new maturity date. The portfolio has remained 100% occupied since issuance. The 27 stores are subject to a master lease on an absolute-net basis for 25 years, with MFF guaranteeing all operating and capital expenditures at the property level. The master lease has four extension options of five years each and 2.0% annual rent escalations. As of October 2018, the rental rate is $7.50 per square foot (past), up from $7.36 past in October 2017, and $7.21 past at issuance. Based on the rental rate paid as at October 2018, the annual rent figure is $44.6 million. Kohlberg, Kravis, Roberts & Co. (KKR) acquired MFF in February 2016, and according to announced plans for the acquisition, expects to consolidate the company's distribution and inventory management while also increasing store footprints. MFF has benefitted from being the first major retailer in smaller submarkets and has a history of steady growth and limited operational volatility. At issuance, the portfolio reported average sales for the last 12 months (T-12) ending June 2016 of $333 past based on selling square footage. DBRS requested updated T-12 sales reports for the 27 properties and the servicer's response is pending. According to an article posted on July 31, 2018, by “Journal Sentinel” (a subsidiary of “USA Today”), MFF plans to double the store count to 70 in the next four or five years. Since issuance, seven new stores have opened, bringing the chain's total to 42 locations across the Upper Midwest. Overall, DBRS believes these new store openings are indicative of KKR's commitment to the growth of the MFF brand. The servicer is reporting an in-place debt service coverage ratio (DSCR) of 2.91 times (x) for the senior loan as of YE2017. Based on the DBRS Term net cash flow figure derived at issuance and a stressed debt service figure, the implied DBRS Term DSCR is 2.09x for the senior note, with a DBRS Refi DSCR of 1.28x. These figures represent slight declines from issuance, due to interest rate increases since issuance. Classes X-CP and X-EXT are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch if senior in the waterfall. DBGS 2018-C1: DBRS Finalizes B Rating on Class G-RR Certs --------------------------------------------------------- DBRS, Inc. finalized provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2018-C1 to be issued by DBGS 2018-C1 Mortgage Trust: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-M at AAA (sf) -- Class X-A at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class X-B at A (high) (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class X-D at BBB (sf) -- Class F at BB (low) (sf) -- Class X-F at BB (sf) -- Class G-RR at B (sf) All trends are Stable. The Class X-A, X-B, X-D and X-F balances are notional. The collateral consists of 37 fixed-rate loans secured by 102 commercial and multifamily properties. The transaction is a sequential-pay pass-through structure. The conduit pool was analyzed to determine the final ratings, reflecting the long-term probability of loan default (POD) within the term and its liquidity at maturity. Trust assets contributed from three loans, representing 36.1% of the pool, are shadow-rated investment grade by DBRS. Proceeds for the shadow-rated loans are floored at their respective rating within the pool. When the combined 36.1% of the pool has no proceeds assigned below the rating floor, the resulting pool subordination is diluted or reduced below that rated floor. When the cut-off loan balances were measured against the DBRS Stabilized net cash flow and their respective actual constants, four loans, representing 10.6% of the total pool, had a DBRS Term debt service coverage ratio (DSCR) below 1.15 times (x), a threshold indicative of a higher likelihood of mid-term default. Additionally, to assess refinance (refi) risk given the current low-interest-rate environment, DBRS applied its refinance constants to the balloon amounts. This resulted in 19 loans, representing 58.3% of the pool, having refinance DSCRs below 1.00x and 12 loans, representing 37.7% of the pool, having refinance DSCRs below 0.90x. Nine loans, representing 38.2% of the DBRS sample, have favorable property quality. Four loans (Pier 70, Trip Advisor HQ, Moffett Towers II – Building 1 and GSK North American HQ), representing 17.8% of the sample in aggregate, received Above Average property quality and the remaining five loans, representing 20.3% of the sample in aggregate, received Average (+) property quality. Additionally, no loans received Below Average or Poor property quality grades. Higher-quality properties are more likely to retain existing tenants/guests and more easily attract new tenants/guests, resulting in more stable performance. Nine loans (Moffett Towers – Buildings E, F, G; Christiana Mall; Aventura Mall; 90-100 John Street; Carolinas 7-Eleven Portfolio; The Gateway; 601 McCarthy; West Coast Albertsons Portfolio; and Moffett Towers II – Building 1), representing a combined 36.1% of the pool, exhibit credit characteristics consistent with investment-grade shadow ratings. Moffett Towers – Buildings E, F, G exhibits credit characteristics consistent with a BBB (low) (sf) shadow rating, Christiana Mall exhibits credit characteristics consistent with an A (sf) shadow rating, Aventura Mall exhibits credit characteristics consistent with a BBB (high) (sf) shadow rating, 90-100 John Street exhibits credit characteristics consistent with an A (sf) shadow rating and Carolinas 7-Eleven Portfolio exhibits credit characteristics consistent with a BBB (high) (sf) shadow rating, The Gateway exhibits credit characteristics consistent with an A (sf) shadow rating, 601 McCarthy exhibits credit characteristics consistent with an A (low) (sf) shadow rating, West Coast Albertsons Portfolio exhibits credit characteristics consistent with an A (high) (sf) shadow rating and Moffett Towers II – Building 1 exhibits credit characteristics consistent with a BBB (sf) shadow rating. Seven loans, representing 28.0% of the pool, are located in super-dense urban and urban markets with increased liquidity that benefits from consistent investor demand, even in times of stress. Urban markets represented in the deal include San Francisco, New York and Los Angeles. Term default risk is moderate as indicated by the relatively strong DBRS Term DSCR of 1.76x. In addition, 17 loans, representing 55.6% of the pool, have a DBRS Term DSCR above 1.50x. Even when excluding the three investment-grade shadow-rated loans, the deal exhibits a favorable DBRS Term DSCR of 1.47x. None of the loans in the pool are secured by hotels. Hotels have the highest cash flow volatility of all major property types as their income, which is derived from daily contracts rather than multi-year leases, and their expenses, which are often mostly fixed, are quite high as a percentage of revenue. These two factors cause revenue to fall swiftly during a downturn and cash flow to fall even faster as a result of high operating leverage. The pool is highly concentrated by property type, as office concentration is 45.0%. While the transaction is concentrated by property type, 36.1% of the transaction balance and 28.2% of the office concentration are shadow-rated investment grade by DBRS. Additionally, 38.7% of the office concentration is located in urban markets with the remainder located in suburban markets. The pool is assessed with a concentration penalty, which is partly a result of property-type concentration that increases pool-wide POD. Seventeen loans, representing 60.6% of the pool, including 11 of the largest 15 loans, are structured with full-term interest-only (IO) payments. An additional 15 loans, comprising 28.5% of the pool, have partial-IO periods ranging from 12 months to 60 months. As a result, the transaction’s scheduled amortization by maturity is only 4.7%, which is generally below other recent conduit securitizations. The DBRS Term DSCR is calculated using the amortizing debt service obligation and the DBRS Refi DSCR is calculated considering the balloon balance and lack of amortization when determining refinance risk. DBRS determines POD based on the lower of term or refinance DSCRs; therefore, loans that lack amortization are treated more punitively. Six of the full-term IO loans, representing 42.4% of the full-IO concentration in the transaction, are located in urban or super-dense urban markets. Additionally, eight of the full-IO loans (Moffett Towers – Buildings E, F, G; Christiana Mall; Aventura Mall; 90-100 John Street; Carolinas 7-Eleven Portfolio; The Gateway; 601 McCarthy; and West Coast Albertsons Portfolio), representing 55.6% of the full-IO concentration, are shadow-rated investment grade by DBRS. Ten loans, representing 32.6% of the transaction balance, are secured by properties that are either fully or primarily leased to a single tenant. This includes five of the largest 15 loans. Loans secured by properties occupied by single tenants have been found to suffer higher loss severities in an event of default. DBRS applied a penalty for single-tenant properties that resulted in higher loan-level credit enhancement. Amazon.com, Inc. has fully executed leases for six office towers in the larger Moffett Place office campus, including the subject buildings (Moffett Towers – Buildings E, F, G and Moffett Towers II – Building 1), and views the entire campus as mission critical. The transaction's weighted-average (WA) DBRS Refi DSCR is 0.95x, indicating higher refinance risk on an overall pool level. In addition, 19 loans, representing 58.3% of the pool, have DBRS Refi DSCRs below 1.00x, including ten of the top 15 loans. Twelve of these loans, comprising 37.7% of the pool, have DBRS Refi DSCRs below 0.90x, including six of the top 15 loans. These credit metrics are based on whole-loan balances. Three of the pool’s loans with a DBRS Refi DSCR below 0.90x (Christiana Mall, Aventura Mall and The Gateway), which represent 12.9% of the transaction balance, are shadow-rated investment grade by DBRS and have a large piece of subordinate mortgage debt outside the trust. Based on A-note balances only, the deal’s WA DBRS Refi DSCR improves to 1.03x and the concentration of loans with DBRS Refi DSCRs below 1.00x and 0.90x reduces to 46.0% and 24.8%, respectively. The pool’s DBRS Refi DSCRs for these loans are based on a WA stressed refinance constant of 9.80%, which implies an interest rate of 9.17% amortizing on a 30-year schedule. This represents a significant stress of 4.51% over the WA contractual interest rate of the loans in the pool. Classes X-A, X-B, X-D and X-F are IO certificates that reference a single rated tranche or multiple rated tranches. The IO rating mirrors the lowest-rated reference tranche adjusted upward by one notch if senior in the waterfall. ELLINGTON FINANCIAL 2018-1: S&P Assigns (P)B Rating on B-2 Certs ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ellington Financial Mortgage Trust 2018-1's mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities (RMBS) transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of Nov. 7, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator. PRELIMINARY RATINGS ASSIGNED Ellington Financial Mortgage Trust 2018-1 Class Rating(i) Type Interest Amount ($) rate(ii) A-1FX AAA (sf) Senior Fixed 100,000,000 A-1FLA AAA (sf) Senior Floating 40,569,000 A-1FLB AAA (sf) Senior Floating 21,845,000 A-2 AA (sf) Senior Fixed 9,765,000 A-3 A (sf) Senior Fixed 34,181,000 M-1 BBB (sf) Mezzanine Fixed 9,765,000 B-1 BB (sf) Subordinate Fixed 7,208,000 B-2 B (sf) Subordinate Net WAC 6,046,000 B-3 NR Subordinate Net WAC 3,138,770 A-IO-S NR Excess servicing (iii) Notional(iv) X NR Monthly excess (v) Notional(iv) cash flow R NR Residual N/A N/A (i) The collateral and structural information in this report reflects the preliminary private placement memorandum dated Nov. 7, 2018. The preliminary ratings address the ultimate payment of interest and principal. (ii) Interest can be deferred on the classes. Fixed coupons are subject to the pool's net WAC. Class B-2 and B-3 equal net WAC. (iii) Excess servicing strip minus compensating interest and advances owed to the servicer. (iv) Notional amount equals the loans' aggregate stated principal balance. (v) Net WAC over classes with fixed coupons. WAC--Weighted average coupon. NR--Not rated. N/A--Not applicable. FIRST INVESTORS 2018-2: S&P Assigns Prelim B Rating on Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to First Investors Auto Owner Trust 2018-2's asset backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Nov. 1, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 42.4%, 36.6%, 28.3%, 21.9%, 17.7%, and 14.3% credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide approximately 3.50x, 3.00x, 2.30x, 1.75x, 1.40x, and 1.10x coverage of S&P's 11.75%-12.25% expected cumulative net loss (CNL) range for the class A, B, C, D, E, and F notes, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the preliminary ratings. -- S&P's expectation that under a moderate ('BBB') stress scenario, all else being equal, the ratings on the class A and B notes would not drop by more than one rating category, and the ratings on the class C and D notes would not drop by more than two rating categories. The class E and F notes (rated 'BB- (sf)' and 'B (sf)') will remain within two rating categories of the assigned preliminary rating during the first year, but will eventually default under the 'BBB' stress scenario. These potential rating movements are consistent with S&P's rating stability criteria. -- The collateral characteristics of the pool being securitized with direct loans accounting for approximately 44% of the statistical pool. These loans historically have lower losses than the indirect-originated loans. -- Prefunding will be used in this transaction in the amount of approximately $37 million, about 18% of the pool. The subsequent receivables are expected to be transferred into the trust within three months from the closing date. -- First Investors Financial Services Inc.'s (First Investors) 28-year history of originating and underwriting auto loans, 17-year history of self-servicing auto loans, and track record of securitizing auto loans since 2000. -- First Investors' 13 years of origination static pool data, segmented by direct and indirect loans. -- Wells Fargo Bank N.A.'s experience as the committed back-up servicer. -- The transaction's sequential payment structure, which builds credit enhancement based on a percentage of receivables as the pool amortizes. PRELIMINARY RATINGS ASSIGNED First Investors Auto Owner Trust 2018-2 Class Rating Amount (mil. $) A-1 AAA (sf) 110.00 A-2 AAA (sf) 18.00 B AA (sf) 15.40 C A (sf) 19.60 D BBB (sf) 16.30 E BB- (sf) 10.10 F B (sf) 8.80 FLAGSHIP CREDIT 2018-4: S&P Assigns Prelim BB- Rating on E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2018-4's automobile receivables-backed notes. The note issuance is an asset-backed securities transaction backed by automobile receivables-backed notes. The preliminary ratings are based on information as of Nov. 7, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.7%, 38.6%, 30.1%, 23.3%, and 19.1% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's 12.25%-12.75% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 74%, 64%, 50%, 39%, and 32%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned ratings. -- S&P said, "The expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A and B notes would not be lowered by more than one rating category from our preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, and our ratings on the class C and D notes would not be lowered more than two rating categories from our preliminary 'A (sf)' and 'BBB (sf)' ratings, respectively, throughout the transaction's life. The rating on the class E notes would remain within two rating categories of our preliminary 'BB- (sf)' rating within the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 34%-46% of its principal. The above rating movements are within the one-category rating tolerance for 'AAA' and 'AA' rated securities during the first year and three-category tolerance over three years; a two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities during the first year; and a three-category tolerance for 'A' and 'BBB' rated securities over three years. 'BB' rated securities are permitted to default under a 'BBB' stress scenario." -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Flagship Credit Auto Trust 2018-4 Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 190.78 B AA (sf) Subordinate Fixed 25.48 C A (sf) Subordinate Fixed 33.75 D BBB (sf) Subordinate Fixed 27.30 E BB- (sf) Subordinate Fixed 20.09 (i)The actual coupons of these tranches will be determined on the pricing date. FOURSIGHT CAPITAL: Moody's Assigns B2 Rating on $13.5MM Cl. F Notes ------------------------------------------------------------------- Moody's Investors Service has assigned definitive ratings to the notes 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 are 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 $26,000,000, 2.74409%, Class A-1 Notes, Definitive Rating Assigned P-1 (sf) $95,000,000, 3.32%, Class A-2 Notes, Definitive Rating Assigned Aaa (sf) $48,250,000, 3.64%, Class A-3 Notes, Definitive Rating Assigned Aaa (sf) $21,440,000, 3.80%, Class B Notes, Definitive Rating Assigned Aa2 (sf) $14,370,000, 3.98%, Class C Notes, Definitive Rating Assigned A2 (sf) $16,980,000, 4.33%, Class D Notes, Definitive Rating Assigned Baa2 (sf) $14,370,000, 5.50%, Class E Notes, Definitive Rating Assigned Ba2 (sf) $13,590,000, 6.48%, Class F Notes, Definitive Rating Assigned 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. The definitive rating for the Class E notes, Ba2 (sf), is one notch higher than its provisional rating, (P)Ba3 (sf). This difference is a 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 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 compared to 2018-1 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 will 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. FREDDIE MAC 2018-4: Fitch to Rate $63.44MM Class M Debt 'B-sf' -------------------------------------------------------------- Fitch Ratings expects to rate Freddie Mac's risk-transfer transaction, Seasoned Credit Risk Transfer Trust Series 2018-4 as follows: -- $63,442,000 class M certificates 'B-sf'; Outlook Stable. Fitch will not be rating the following classes: -- $370,761,000 class HT exchangeable certificates; -- $278,071,000 class HA certificates; -- $92,690,000 class HB exchangeable certificates; -- $46,345,000 class HV certificates; -- $46,345,000 class HZ certificates; -- $1,356,091,000 class MT exchangeable certificates; -- $1,017,069,000 class MA certificates; -- $339,022,000 class MB exchangeable certificates; -- $169,511,000 class MV certificates; -- $169,511,000 class MZ certificates; -- $73,907,000 class M55D certificates; -- $73,907,000 class M55E exchangeable certificates; -- $6,718,818 class M55I notional exchangeable certificates; -- $87,842,342 class B certificates -- $1,800,759,000 class A-IO notional certificates; -- $151,284,342 class B-IO notional certificates; -- $87,842,342 class BX exchangeable certificates; -- $87,842,342 class BBIO exchangeable certificates; -- $87,842,342 class BXS exchangeable certificates. The 'B-sf' rating for the M certificates reflects the 4.50% subordination provided by the class B. SCRT 2018-4 represents Freddie Mac's ninth seasoned credit risk transfer transaction issued. SCRT 2018-4 consists of three collateral groups backed by 9,782 seasoned performing and re-performing mortgages, with a total balance of approximately $1.952 billion, of which $258.0 million, or 13.2%, was in non-interest-bearing deferred principal amounts as of the cutoff date. The three collateral groups are distinguished between loans that have additional interest rate increases outstanding due to the terms of the modification and those that are expected to remain fixed for the remainder of the term. Among the loans that are fixed, the groups are further distinguished by both loans that include a portion of principal forbearance as well as the interest rate on the loans. The distribution of principal and interest (P&I) and loss allocations to the rated note is based on a senior subordinate, sequential structure. KEY RATING DRIVERS Distressed Performance History (Negative): The collateral pool comprises primarily peak-vintage re-performing loans (RPLs), all of which have been modified. Roughly 88% of the pool has been paying on time for the past 24 months, per the Mortgage Bankers Association (MBA) methodology, and none of the loans have experienced a delinquency within the past 12 months. The pool has a weighted average sustainable loan to value ratio (WA sLTV) of 83.5%, and the WA model FICO score is 690. Interest Payment Risk (Negative): In Fitch's timing scenarios, the M class incurs temporary shortfalls in the 'B-sf' rating category but is ultimately repaid prior to maturity of the transaction. The difference between Fitch's expected loss and the credit enhancement (CE) on the rated classes is due to the repayment of interest deferrals. Interest to the rated classes is subordinated to the senior bonds as well as repayments made to Freddie Mac for prior payments on the senior classes. Timely payments of interest are also at potential risk as principal collections on the underlying loans can only be used to repay interest shortfalls on the rated classes after the balance is paid off. This results in an extended period until potential shortfalls are ultimately repaid in Fitch's stress scenarios. Third-Party Due Diligence (Neutral): A third-party due diligence review was conducted on a sample basis of approximately 10% of the pool as it relates to regulatory compliance and pay history, while a modification data review and a tax and title lien search were conducted on 100%. The third-party review firms' due diligence review resulted in 3% of the sample loans remaining in the final pool graded 'C' or 'D' (less than 1% graded 'C'), meaning the loans had material violations or lacked documentation to confirm regulatory compliance. Regular Issuer (Neutral): This is Freddie Mac's ninth rated RPL securitization and the sixth that Fitch has been asked to rate. Fitch has conducted multiple reviews of Freddie Mac and is confident that the government-sponsored entity (GSE) has the necessary policies, procedures and third-party oversight in place to properly aggregate and securitize RPLs. Representation Framework (Negative): Fitch considers the representation, warranty and enforcement (RW&E) mechanism construct for this transaction weaker than other Fitch-rated RPL deals. The weakness is due to the exclusion of a number of reps that Fitch views as consistent with a full framework as well as the limited diligence that may have otherwise acted as a mitigant. Additionally, Freddie Mac as rep provider will only be obligated to repurchase a loan, pay an indemnity loss amount or cure the material breach prior to Nov. 12, 2021. However, Fitch believes that the defect risk is lower relative to other RPL transactions because the loans were subject to Freddie Mac's loan-level review process in place at the time the loan became delinquent. Therefore, Fitch treated the construct as Tier 3 and increased its 'B-sf' expected loss expectations by 13bps to account for the weaknesses in the reps. Sequential-Pay Structure (Positive): The transaction's cash flow is similar to Freddie Mac's STACR transactions. Once the initial CE of the senior class has reached the target and if all performance triggers are passing, principal is allocated pro rata among the seniors and subordinate classes with the most senior subordinate bond receiving the full subordinate share. This structure is a positive to the rated class as it results in a faster paydown and allows them to receive principal earlier than under a traditional sequential structure. However, to the extent any of the performance triggers are failing, principal is distributed sequentially to the senior class until triggers pass. No Servicer P&I Advances (Mixed): The servicer will not be advancing delinquent monthly payments of P&I, which reduces liquidity to the trust. However, as P&I advances made on behalf of loans that become delinquent and eventually liquidate reduce liquidation proceeds to the trust, the loan-level loss severities (LS) are less for this transaction than for those where the servicer is obligated to advance P&I. Structural provisions and cash flow priorities, together with increased subordination, provide for ultimate payments of interest to the rated classes. CRITERIA APPLICATION Fitch analyzed the transaction in accordance with its criteria, as described in its October 2018 report, "U.S. RMBS Rating Criteria." This incorporates a review of the aggregator's lending platforms, as well as an assessment of the transaction's R&W and due diligence results, which were found to be consistent with the ratings assigned to the bonds. RATING SENSITIVITIES Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the MSA and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction. 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 13.0% at the 'B-sf' level. The analysis indicates that 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 4% would potentially move the 'B-sf' rated class down to 'CCCsf' respectively. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 Fitch was provided with due diligence information from the third-party diligence provider. The due diligence focused on regulatory compliance, pay history, the presence of key documents in the loan file and data integrity on a sample of the loans in the pool. Additionally, an updated tax and title search was conducted on all of the loans in the transaction. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certifications 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 based on the findings, Fitch made the following adjustments: Fitch made an adjustment on 77 loans that were subject to federal, state and/or local predatory testing. These loans contained material violations, including an inability to test for high-cost violations or confirm compliance, which could expose the trust to potential assignee liability. These loans were marked as "indeterminate." Typically, the HUD issues are related to missing the final HUD, illegible HUDs, incomplete HUDs due to missing pages or only having estimated HUDs where the final HUD1 was not used to test for high-cost loans. To mitigate this risk, Fitch assumed a 100% LS for loans in the states that fall under Freddie Mac's "do not purchase" list of high cost or "high risk." 6 loans were affected by this approach. For the remaining 71 loans, where the properties are not located in the states that fall under Freddie Mac's do not purchase list, the likelihood of all loans being high cost is lower. However, Fitch assumes the trust could potentially incur additional legal expenses. Fitch increased its LS expectations by 5% for these loans to account for the risk. GS MORTGAGE 2007-GG10: Fitch Hikes Rating on Class A-M Certs to BB ------------------------------------------------------------------ Fitch Ratings has upgraded one and affirmed 16 classes of GS Mortgage Securities Trust series 2007-GG10 commercial mortgage pass-through certificates series 2007-GG10. KEY RATING DRIVERS High Credit Enhancement: The senior class benefits from high credit enhancement (CE) due to loan payoffs and dispositions. Since the prior rating action, the transaction has paid down by approximately $105 million and incurred losses of approximately $36 million. CE to class A-M has increased by approximately 18.8%. The upgrade reflects sufficient CE relative to expected loss levels for the remaining pool. As of the October 2018 distribution date, the transaction has paid down 95.6% since issuance, to $336 million from $7.6 billion at issuance. Lower Loss Expectations: Loss expectations have decreased since Fitch's last rating action as loans have been disposed providing further certainty of ultimate pool losses. Adverse Selection: All of the remaining loans in the pool failed to pay off at their scheduled maturity dates. These loans have either been modified and extended or remain in special servicing. A rating cap of 'BB' has been applied due to the adverse selection of the remaining pool composition. RATING SENSITIVITIES The Rating Outlook on all class A-M remains Stable. Fitch considers further upgrades to this class unlikely due to the remaining collateral quality. Class A-J will remain at 'D' due to realized losses. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded the following class as indicated: -- $36.1 million class A-M to 'BBsf' from 'Bsf'; Outlook Stable. Fitch has affirmed the following classes as indicated: -- $299.8 million class A-J at 'Dsf'; RE to 40% from 0%; -- Classes B through Q have been reduced to zero balance by realized losses and are affirmed 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 S certificates. Fitch previously withdrew the rating on the interest-only class X certificates. GS MORTGAGE 2010-C2: Moody's Affirms Ba2 Rating on Class E Debt --------------------------------------------------------------- Moody's Investors Service has upgraded the ratings on two classes and affirmed the ratings of seven classes in GS Mortgage Securities Trust 2010-C2 as follows: Cl. A-1, Affirmed Aaa (sf); previously on Nov 3, 2017 Affirmed Aaa (sf) Cl. A-2, Affirmed Aaa (sf); previously on Nov 3, 2017 Affirmed Aaa (sf) Cl. B, Upgraded to Aaa (sf); previously on Nov 3, 2017 Affirmed Aa1 (sf) Cl. C, Upgraded to Aa2 (sf); previously on Nov 3, 2017 Affirmed Aa3 (sf) Cl. D, Affirmed Baa3 (sf); previously on Nov 3, 2017 Affirmed Baa3 (sf) Cl. E, Affirmed Ba2 (sf); previously on Nov 3, 2017 Affirmed Ba2 (sf) Cl. F, Affirmed B2 (sf); previously on Nov 3, 2017 Affirmed B2 (sf) Cl. X-A, Affirmed Aaa (sf); previously on Nov 3, 2017 Affirmed Aaa (sf) Cl. X-B, Affirmed Ba3 (sf); previously on Nov 3, 2017 Affirmed Ba3 (sf) RATINGS RATIONALE The ratings on two principal and interest (P&I) classes, Cl. B and Cl. C, were upgraded primarily due to an increase in credit support since Moody's last review, resulting from paydowns and amortization, as well as 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 1.8% since Moody's last review. In addition, loans constituting 74% of the pool have either defeased or that have debt yields exceeding 12.0% are scheduled to mature within the next 24 months. The ratings on five P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on interest only (IO) classes, Cl. X-A & Cl. X-B, were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 0.6% of the current balance, the same as at Moody's last review. Moody's base expected loss plus realized losses is 0.4% of the original pooled balance, the same as at Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating GS Mortgage Securities Trust 2010-C2, Cl. A-1, Cl. A-2, Cl. B, Cl. C, Cl. D, Cl. E, and Cl. F were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017 and "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. The methodologies used in rating GS Mortgage Securities Trust 2010-C2, Cl. X-A and Cl. X-B were "Approach to Rating US and Canadian Conduit/Fusion CMBS" published in July 2017, "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017, and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. DEAL PERFORMANCE As of the October 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 37.1% to $551.1 million from $876.4 million at securitization. The certificates are collateralized by 27 mortgage loans ranging in size from less than 1% to 15% of the pool, with the top ten loans constituting 65% of the pool. Three loans, constituting 16% of the pool, have investment-grade structured credit assessments. Six loans, constituting 18% of the pool, has defeased and is secured by US government securities. Six loans, constituting 25% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans in special servicing and no loans have been liquidated from the pool. Moody's received full year 2017 operating results for 100% of the pool, and full or partial year 2018 operating results for 100% of the pool. Moody's weighted average conduit LTV is 82%, compared to 83% 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 22% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.5%. Moody's actual and stressed conduit DSCRs are 1.68X and 1.33X, respectively, compared to 1.68X and 1.31X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The largest loan with a structured credit assessment is the Cole Portfolio I Loan ($31.5 million -- 5.7% of the pool), which is secured by a portfolio of 20 single tenant properties located across 13 states. The portfolio consists of 17 retail properties, two industrial properties and one ground leased parcel that is improved with a retail building. In aggregate, the portfolio contains approximately 555,100 square feet (SF) and was 100% leased as of June 2018 and remains the same as at last review. Moody's structured credit assessment and stressed DSCR are aa3 (sca.pd) and 1.58X, respectively. The second largest loan with a structured credit assessment is the Cole Portfolio II Loan ($30.0 million -- 5.4% of the pool), which is secured by a 14 single tenant properties and one multi-tenant industrial property located across 11 states. In aggregate, the portfolio contains approximately 331,500 SF and was 100% leased as of June 2018. Moody's structured credit assessment and stressed DSCR are a1 (sca.pd) and 1.55X, respectively. The third largest loan with a structured credit assessment is the Payless and Brown Industrial Portfolio Loan ($26.9 million -- 4.9% of the pool), which is secured by two single tenant industrial properties. The Payless Distribution Center represents the larger of the two properties and totals approximately 802,000 SF of the Northbrook Industrial Park in Brookville, Ohio. The property was built in 2008 and has 32' ceiling heights, three grade drive-in doors, 76 dock high doors, and approximately 25,000 SF of office space. The remainder of the collateral is represented by the Brown Shoe Distribution Center, a 352,000 SF warehouse/distribution building located in Lebec, California. The property was built in 2008 and has 32' ceiling heights, a single grade drive-in door, 38 exterior docks with levelers and approximately 12,000 SF of office space. Moody's structured credit assessment and stressed DSCR are baa1 (sca.pd) and 1.59X, respectively. The top three conduit loans represent 32.7% of the pool balance. The largest loan is the 52 Broadway Loan ($82.3 million -- 14.9% of the pool), which is secured by a 19-story, 400,000 SF, Class B office building located in downtown Manhattan, New York. The property was constructed in 1982 and renovated in 2002. The United Federation of Teachers has occupied the entire building since the 2002 renovation. They are currently operating under a long term net lease expiring in August 2034. Moody's LTV and stressed DSCR are 97% and 1.05X, respectively, compared to 100% and 1.02X at the last review. The second largest loan is the Station Square Loan ($54.8 million -- 9.9% of the pool), which is secured by a 670,000 SF mixed use property located in Pittsburgh, Pennsylvania. The property is comprised of five buildings containing 449,000 SF of office space and 220,000 SF of retail space, two open-air parking lots offering approximately 2,500 spaces, a covered parking garage offering 1,210 spaces, docks leased to the Gateway Clipper Fleet, marina slips, an outdoor amphitheater leased to a third party operator and land under a gas stations owned by a third party operator. The age of the improvements vary, with the oldest structure built in 1897 and the newest structure built in 2001. Moody's LTV and stressed DSCR are 77% and 1.33X, respectively, compared to 79% and 1.30X at the last review. The third largest loan is the Whittwood Town Center Loan ($43.0 million -- 7.8% of the pool), which is secured by a 686,220 SF anchored retail center located in Whittier, California. The property represents a redevelopment of a failed enclosed mall. The in-line portion of the mall was torn down in 2004. The property is anchored by Target, Sears, J.C. Penney and Kohl's. The property was 98% leased as of June 2018. Sears represents 20.1% of the NRA and 1.0% of the base rent. Moody's LTV and stressed DSCR are 74% and 1.32X, respectively, compared to 67% and 1.45X at the last review. HORIZON AIRCRAFT I: Fitch to Rate $45MM Series C Notes 'BBsf' ------------------------------------------------------------- Fitch Ratings expects to assign the following ratings and Outlooks to the Horizon Aircraft Finance I Limited notes: -- $476,000,000 Series A asset-backed notes 'Asf'; Outlook Stable; -- $91,000,000 Series B asset-backed notes 'BBBsf'; Outlook Stable; -- $45,000,000 Series C asset-backed notes 'BBsf'; Outlook Stable. The notes issued from Horizon will be backed by lease payments and disposition proceeds on a pool of 29 primarily mid-life aircraft. BBAM Aviation Services Limited and BBAM US LP, wholly-owned subsidiaries of BBAM Limited Partnership, will service the transaction. Horizon expects to use the rated note and equity proceeds to acquire the initial aircraft, fund the initial reserve account amounts, and pay certain expenses. This is the second BBAM-serviced aircraft ABS rated by Fitch and the first since 2015. Fitch does not rate BBAM. BBAM only manages and services aircraft and does not own any aircraft sold to Horizon. Fitch views this positively since BBAM will be incentivized to adequately service the aircraft relying solely on the transaction servicing fees. Horizon Aircraft Management Limited (Asset Manager) is a wholly-owned subsidiary of BBAM and affiliate of the Servicers, and will act as Asset Manager for Horizon. Fitch also views this feature positively since the Asset Manager is owned by BBAM, will be further incentivized to service Horizon adequately. UMB Bank, N.A. will act as trustee and operating bank, and Maples Fiduciary Services (Ireland) Limited will act as managing agent. KEY RATING DRIVERS Asset Quality - Liquid Narrowbody Aircraft: The pool comprises solely of 29 in-demand, mostly Tier 1 classified, mid-life NB A320-200, and B737-700 and -800 (top 3 models total 95.6%) current generation aircraft. The WA age is 9.8 years, similar to recent transactions. Lease Term and Maturity Schedule - Negative: The WA original lease term is 8.8 years with 3.4 remaining. This is a credit negative as these maturing leases will have less certainty as to cash flows, and the aircraft coming off leases will be subject to remarketing costs and downtime. 70.6% of the leases mature in 2019-2022, with 10 leases (31.6%) maturing in 2019, risks that Fitch took into account when applying asset assumptions and stresses. Lessee Credit Risk - Diverse / Weak Credits: There are 21 airline lessees with a significant amount of unrated/speculative-grade airlines, typical of aircraft ABS. The pool is diverse with the top three totaling 29.6% and 21.0% flag-carriers, while AirAsia branded airlines total 18.6%. Fitch assumed unrated lessees would perform consistent with either a 'B' or 'CCC' Issuer Default Rating (IDR) to accurately reflect the default risk in the pool. Lessee ratings were further stressed during assumed future recessions and as aircraft reach Tier 3 classification. Releasing Risk / Servicer Reliance - Strong Servicing Capability: BBAM (NR by Fitch) was founded in 1989 and is a very experienced/tenured aircraft servicer/manager. Fitch believes BBAM is a capable servicer as evidenced by is experienced team, the servicing of their managed fleet and prior serviced/managed securitizations. Horizon Aircraft Manager Co., Ltd., a wholly owned subsidiary of BBAM and affiliate of the Servicers, will be the Asset Manager, which Fitch views positively. Transaction Structure - Adequate Credit Enhancement: 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 64.5%, 76.9% and 83.0%, respectively, based on the average of half-life base values adjusted for maintenance by Alton. 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. Aviation Market 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 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 above, and the potential volatility they produce as detailed in Fitch's "Aircraft Operating Lease ABS Rating Criteria." 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, which could affect future cash flows from the pool and recommended ratings for the notes. Increased competition, largely from newly established Asia-Pacific lessors, has contributed to declining lease rates in the aircraft leasing market. Additionally, certain variants have been more prone to value declines and lease rates due to oversupply issues. Fitch performed a sensitivity analysis assuming lease rate factors (LRFs) would not increase after an aircraft reached 11 years of age, providing a material haircut to future lease cash flow generation. Per Fitch's criteria LRF curve, no subsequent leases were executed at a LRF greater than 1.13%. This scenario is more taxing in the latter stages of the transaction's life as aircraft are assumed to not receive increasing LRFs as they age into mid- and end-of-life status. Across the rating scenarios, gross lease cash flow collected decreases approximately $52 - $53 million. Under the 'Asf' scenario, the class A notes fail to pay in full by a small margin as they are left with approximately $3 million outstanding. They are able to pass the 'BBBsf' scenario, while the class B notes fall short by approximately $7 million. All classes are then able to pass the 'BBsf' scenario. Such a stress could possible result in a downgrade of one to two notches for the class A and B notes, while the rating on the class C notes is likely to be unaffected. As the tenure of the leases is materially shorter than that of the transaction, new leases will continue to be executed over time. As such, the future pool mix is unknown. Airlines are generally speculative-grade credits and are sensitive to global economic downturns. As aircraft are leased across the globe, some may be placed in jurisdictions where repossession of aircraft may prove to be more difficult than in others. As such, Fitch considered a scenario in which the lessees in the pool performed notably worse than BBAM's historical experience. This scenario is more taxing on the structure than the LRF sensitivity as additional stress is immediately felt as a result of defaulting lessees. Under the rating scenarios, gross cash flow declines approximately $21 - $25 million while expenses increase approximately $71 - 85 million as a result of the increased repossession and remarketing activity. Class A is unable to pass the 'Asf' scenario, and falls just short of passing the 'BBBsf' scenario by approximately $7 million. Class B is able to pass under the 'BBsf' scenario, while class C is locked out from receiving any principal payments. Class C is however able to pass the 'Bsf' scenario. Such a stress is likely to result in the class A notes being downgraded to the low 'BBBsf' or high 'BBsf' category, while the class B and C notes could experience a downgrade of up to one category. All aircraft in the pool face replacement programs over the next decade, particularly the A320ceo and B737 NG aircraft in the form of A320neo and B737 MAX aircraft, which have already started delivering. Certain appraisers have started to adjust market values in response to this replacement risk; the majority of the pool's market value appraisals are slightly lower than base values. Fitch believes current generation aircraft are well insulated due to large operator bases and the long lead time for full replacement, particularly when considering conservative retirement ages and aggressive production schedules for new Airbus and Boeing technology. However, Fitch believes a sensitivity scenario is warranted to address these risks. Therefore, Fitch utilized a scenario in which the first recession was assumed to occur two years following close, but recessionary value declines were increased by 10% under all scenarios. Fitch additionally utilized a 25% residual assumption rather than the base level of 50% to stress end-of-life proceeds for each asset in the pool. Lease rates drop fairly significantly under this scenario, and aircraft are essentially sold for scrap at the end of their useful lives. This scenario is the most stressful sensitivity envisioned herein. Across the rating scenarios, gross lease cash flow declines approximately $60 - $78 million, while sales proceeds decline approximately $59 - $69 million from already conservative levels. Under such a stress, the class A notes fail to pay in full under both the 'Asf' and 'BBBsf' scenarios. They also do not pay in full under 'BBsf', however the miss is marginal and less than $1 million. However, all classes then are able to pay in full under the 'Bsf' scenario. Such a stress is likely to result in the downgrade of the class A and B notes by two categories, while the class C notes could experience a downgrade of one category. ICG US 2018-3: Moody's Assigns (P)Ba3 Rating on $20.4MM Cl. E Notes ------------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by ICG US CLO 2018-3, Ltd. Moody's rating action is as follows: US$256,000,000 Class A Senior Secured Floating Rate Notes due 2032 (the "Class A Notes"), Assigned (P)Aaa (sf) US$15,000,000 Class B-1 Senior Secured Floating Rate Notes due 2032 (the "Class B-1 Notes"), Assigned (P)Aa2 (sf) US$19,800,000 Class B-2 Senior Secured Floating Rate Notes due 2032 (the "Class B-2 Notes"), Assigned (P)Aa2 (sf) US$10,000,000 Class B-3 Senior Secured Fixed Rate Notes due 2032 (the "Class B-3 Notes"), Assigned (P)Aa2 (sf) US$19,800,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned (P)A2 (sf) US$27,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$20,400,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the Class B-3 Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. ICG US CLO 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, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 80% ramped as of the closing date. ICG Debt Advisors LLC -- Manager Series (the "Manager") will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 5.1 year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $400,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2850 Weighted Average Spread (WAS): 3.40% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9.1 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. IMSCI 2012-2: DBRS Confirms B(low) Rating on Class G Certificates ----------------------------------------------------------------- DBRS Limited confirmed the ratings on all classes of Commercial Mortgage Pass-Through Certificates Series 2012-2 issued by Institutional Mortgage Securities Canada Inc., 2012-2 as follows: -- Class A-1 at AAA (sf) -- Class A-2 at AAA (sf) -- Class XP at AAA (sf) -- Class B at AA (sf) -- Class C at A (sf) -- Class XC at A (sf) -- Class D at BBB (sf) -- Class E at BBB (low) (sf) -- Class F at BB (low) (sf) -- Class G at B (low) (sf) All trends are Stable, except for Classes F and G, for which DBRS maintained Negative trends to reflect concerns surrounding the third-largest loan, Lakewood Apartments (Prospectus ID#3; 9.4% of the pool), which is secured by an apartment building in Fort McMurray, Alberta, and is highlighted below. At issuance, the transaction consisted of 31 fixed-rate loans, secured by 33 commercial properties, with an original trust balance of $240.0 million. Per the October 2018 remittance, 18 loans remain in the pool with a current trust balance of $146.5 million, representing a collateral reduction of 39.0% due to scheduled loan amortization, successful loan repayment and the partial principal curtailment of the previously mentioned Lakewood Apartments loan. Approximately 77.8% of the pool is reporting YE2017 financials, and based on the most recent reporting, the pool reported a weighted-average (WA) debt service coverage ratio (DSCR) and debt yield of 1.30 times (x) and 10.2%, respectively. Six loans (28.2% of the pool) mature in 2019, reporting an exit debt yield of 9.7% and WA BBB Refinance DSCR of 1.24x. The remaining 12 loans (71.8% of the pool) mature in 2021 and 2022. Per the most recent reporting, the top 15 loans (94.9% of the pool) reported a WA DSCR and debt yield of 1.30x and 10.2%, respectively. Fourteen loans (80.4% of the pool) have some form of meaningful recourse to their respective borrowers. Per the October 2018 remittance, there are eight loans (46.2% of the pool) on the servicer’s watch list with no loans in special servicing. Lakewood Apartments was originally added to the servicer’s watch list in May 2015 due to declining cash flow performance resulting from poor economic conditions in the Fort McMurray area. In February 2016, the loan transferred to special servicing due to imminent default; however, it was brought current in October 2016 and was returned to the master servicer in January 2017. The loan was originally set to mature in August 2017; however, it was extended to November 2019 at its current interest rate of 5.75%, as the borrower was required to make a $2.0 million principal curtailment and is currently subject to future principal curtailments totalling $750,000 over an 18-month period beginning in November 2018. The property was also re-appraised in October 2017 at a value of $17.3 million, representing a significant 50.3% decline from the issuance value of $34.8 million. The loan has full recourse to Lanes borough Real Estate Investment Trust (LREIT), Shelter Canadian Properties Limited (SCPL) and the parent company of SCPL. Per LREIT’s June 2018 financials, LREIT reported an equity deficit of approximately $65.1 million and a loss before discontinued operations (for the six months ended June 2018) of approximately $28.3 million. For the six months ended June 2018, LREIT’s investment properties experienced a $23.5 million decline in fair value. The loan remains current, and it appears that the borrower has been able to keep the loan current through funds derived from alternative sources; however, recent performance continues to be depressed year over year. According to the July 2018 rent roll, the property was 65.5% occupied at an average rental rate of $1,610 per unit in comparison with the August 2016 figures of 73.0% and $1,649 per unit, respectively, and the November 2016 figures of 83.6% and $1,881 per unit, respectively. As a result, year-end financials have been poor, as the YE2017 and YE2016 DSCRs were 0.57x and 0.45x, respectively, with the YE2018 figure likely to be similar. DBRS believes that the long-term performance of the subject depends on the growth and stability of the energy-market-dependent economy, with short-term occupancy rates and rental rates likely to remain volatile. Classes XP and XC 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. The rating assigned to Class XC materially deviates from the lower rating implied by the quantitative results. DBRS considers a material deviation to be a rating differential of three or more notches between the assigned rating and the rating implied by the quantitative results that is a substantial component of a rating methodology. The deviation is warranted as consideration was given for actual loan, transaction and sector performance where a rating based on the lowest-rated notional class may not reflect the observed risk. IRVINE CORE 2013-IRV: S&P Affirms BB+ Rating in Class F Certs ------------------------------------------------------------- S&P Global Ratings raised its ratings on two classes of commercial mortgage pass-through certificates from Irvine Core Office Trust 2013-IRV, a U.S. commercial mortgage-backed securities (CMBS) transaction. In addition, S&P affirmed its ratings on six other classes from the same transaction. For the principal- and interest-paying classes, S&P's credit enhancement expectation was in line with the raised or affirmed rating levels. The upgrades also reflect the amortization of the trust balance. In addition, S&P's analysis considered that the transaction is concentrated by sponsor, property type, and geographic location. As such, S&P accounted for this concentration when assessing the underlying properties and loans, and in determining our credit enhancement for the transaction, primarily by not applying any pool diversity benefit. The affirmation on the class X-A interest-only (IO) certificates is based on S&P's criteria for rating IO securities, in which the rating on the IO securities would not be higher than that of the lowest-rated reference class. The notional balance on class X-A references class A-1. This is a large-loan transaction backed by 10 uncrossed fixed-rate amortizing mortgage loans. S&P said, "Our property-level analysis included a re-evaluation of the 10 loans in the pool, secured by class A office properties totaling 4.8 million sq. ft. in Southern California, and considered the relatively stable servicer-reported net operating income and occupancy for the past five-plus years (2013 through the nine months ended March 31, 2018). We also considered the significant tenant rollover risk in the next few years at certain properties, as well as above-market rents at all of the properties, according to the March 30, 2018, rent rolls. We derived our sustainable in place net cash flow, capitalization rate, and expected-case value for each of the 10 loans. We calculated a 1.82x S&P Global Ratings weighted average debt service coverage (DSC) and a 65.7% S&P Global Ratings weighted average loan-to-value ratio using a 6.91% S&P Global Ratings weighted average capitalization rate for the 10 loans." As of the Oct. 17, 2018, trustee remittance report, the trust consisted of 10 uncrossed fixed-rate loans totaling $774.2 million, down from $874.9 million at issuance. Each loan amortizes on a 30-year schedule, pays interest at a fixed 3.1843% per annum rate, and matures on May 10, 2023. None of the loans are reported as being on the master servicer's watchlist or with the special servicer. To date, the trust has not experienced any principal losses. The master servicer, Wells Fargo Bank N.A., reported DSCs for the 10 loans that range between 1.96x and 2.91x for the nine months ended March 31, 2018. Occupancy for the properties securing the 10 loans ranged between 77.0% and 96.6%, according to the March 30, 2018, rent rolls. Based on the March 30, 2018, rent rolls for the properties securing the 10 loans, the five largest tenants make up between 22.4% and 82.7% of the collateral's total net rentable area (NRA). In addition, tenants making up 18.4%-88.0% of the NRA have leases that have expired or are scheduled to expire through year-end 2018 and 2021. RATINGS RAISED Irvine Core Office Trust 2013-IRV Commercial mortgage pass- through certificates series 2013-IRV Rating Class To From C AA- (sf) A+ (sf) D A- (sf) BBB+ (sf) RATINGS AFFIRMED Irvine Core Office Trust 2013-IRV Commercial mortgage pass-through certificates series 2013-IRV Class Rating A-1 AAA (sf) A-2 AAA (sf) B AA+ (sf) E BBB- (sf) F BB+ (sf) X-A AAA (sf) JP MORGAN 2006-LDP6: Moody's Affirms C Rating on Class D Certs -------------------------------------------------------------- Moody's Investors Service has affirmed the rating on one class in J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Pass-Through Certificates, Series 2006-LDP6 as follows: Cl. D, Affirmed C (sf); previously on Nov 9, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. D was affirmed because the ratings are consistent with Moody's expected loss. Moody's rating action reflects a base expected loss of 47.8% of the current pooled balance, compared to 40.7% at Moody's last review. Moody's base expected loss plus realized losses is now 8.8% of the original pooled balance, compared to 8.6% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 51.5% of the pool is in special servicing and Moody's has identified additional troubled loans representing 48.5% of the pool. In this approach, Moody's determines a probability of default for each specially serviced and troubled loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced and troubled loans to the most junior class and the recovery as a pay down of principal to the most senior class. DEAL PERFORMANCE As of the October 15, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 99% to $19.9 million from $2.14 billion at securitization. The certificates are collateralized by three mortgage loans. Forty-two loans have been liquidated from the pool, resulting in an aggregate realized loss of $178 million (for an average loss severity of 50%). One loan, the Avis Centre XII Loan ($10.3 million -- 51.5% of the pool), is currently in special servicing. The specially serviced loan is secured by an 89,184 square foot (SF) office property located in Ann Arbor, Michigan. The loan transferred to special servicing in February 2016 due to imminent maturity default and became REO in October 2016. The property was 72% leased as of June 2018, compared to 100% occupied as of December 2016. The two performing loans represent 48.5% of the pool. The largest performing loan is the Arden's Run Apartment Loan ($5.2 million -- 26.2% of the pool), which is secured by a 240-unit student housing complex located less than a mile away from University of Maryland Eastern Shore, in Princess Anne, Maryland. The property occupancy was only 25% as of June 2018, however, the loan remains current as of the October 2018 payment date. The loan is on the master servicer's watchlist due to the high vacancy and Moody's has identified this as a troubled loan. The other performing loan is the 115 Erick Street Loan ($4.4 million -- 22.3% of the pool) which is secured by a vacant industrial building in Crystal Lake, Illinois. The property has been vacant since 2008 and the former tenant continued to pay rent through its lease expiration date in 2016. The loan remains current as of the October 2018 payment date, however, it is on the master servicer's watchlist. Due to the vacancy, Moody's has identified this as a troubled loan. JPMCC COMMERCIAL 2015-JP1: DBRS Confirms BB Rating on G Certs ------------------------------------------------------------- DBRS Limited confirmed all classes of Commercial Mortgage Pass-Through Certificates, Series 2015-JP1 issued by JPMCC Commercial Mortgage Securities Trust 2015-JP1 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 X-A at AAA (sf) -- Class X-B at AA (high) (sf) -- Class B at AA (sf) -- Class X-C at A (high) (sf) -- Class C at A (sf) -- Class X-D at A (low) (sf) -- Class D at BBB (high) (sf) -- Class X-E at BBB (high) (sf) -- Class E at BBB (sf) -- Class F at BB (high) (sf) -- Class G at BB (low) (sf) All trends are Stable. The rating confirmations reflect the overall stable performance exhibited by the transaction since issuance. The collateral consists of 51 fixed-rate loans secured by 58 commercial and multifamily properties. As of the October 2018 remittance, the pool experienced a collateral reduction of 1.6% since issuance with all loans outstanding as the result of scheduled loan amortization with a current trust balance of $786.5 million. The top 15 loans, representing 67.1% of the pool balance, reported a weighted-average (WA) year-end (YE) 2017 debt-service coverage ratio (DSCR) and debt yield of 1.73 times (x) and 9.8%, respectively. This compares favorably with the WA DBRS Term DSCR derived at issuance for these loans of 1.47x, reflecting an overall WA net cash flow (NCF) improvement of 18.6% over the DBRS Term NCF figures. The transaction benefits from an overall low retail concentration, with a total of 15 loans, representing 17.5% of the pool balance, secured by anchored and unanchored retail properties. Notably, out of the largest 15 loans, only one is secured by a retail property, Prospectus ID#11, Tri-County Towne Center, which represents 2.4% of the pool balance and exhibited a healthy DSCR of 1.91x at YE2017, reflective of NCF growth of over 61.3% from the DBRS NCF figure at issuance. As of the October 2018 remittance, there were 11 loans, representing 11.5% of the pool balance, on the servicer's watch list. DBRS applied stressed cash flow scenarios to reflect an increased risk profile for these loans where merited. The WA YE2017 DSCR and debt yield for the watch listed loans was 1.72x and 11.01%, respectively. Nine loans, representing 8.5% of the pool balance, are on the watch list due to upcoming tenant rollover or large tenant vacancy. One loan, representing 1.5% of the pool balance, is on the servicer's watch list due to an outstanding deferred maintenance item, and the remaining loan, representing 0.6% of the pool balance, is on the servicer's watch list for cash flow declines. Two loans, representing 5.6% of the pool balance, have transferred into special servicing in the last year in Prospectus ID#6, Holiday Inn Baltimore Inner Harbor (4.8% of the pool balance) and Prospectus ID#38, Hyatt Place Houston (0.8% of the pool balance). Holiday Inn Baltimore Inner Harbor was transferred to the special servicer in June 2018 due to imminent monetary default, and as of October 2018, the workout strategy is still listed as to be determined, with the special servicer confirming that negotiations with the borrower remain ongoing. As of the October 2018 remittance, the loan is current. Hyatt Place Houston transferred into special servicing in late 2017 and the servicer expects resolution in the near term for this loan. DBRS assumed a stressed cash flow scenario for both specially serviced loans to increase the probability of default; for additional information on the DBRS view on these loans, please see the loan commentary for both in the DBRS Viewpoint platform, for which information has been provided below. Classes X-A, X-B, X-C, X-D and X-E 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. KKR CLO 23: Moody's Assigns B3(sf) Ratings on $7.2MM Class F Notes ------------------------------------------------------------------ Moody's Investors Service has assigned ratings to six classes of notes issued by KKR CLO 23 Ltd. Moody's rating action is as follows: US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due 2031 (the "Class A-1 Notes"), Definitive Rating Assigned Aaa (sf) US$47,750,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Definitive Rating Assigned Aa2 (sf) US$26,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Definitive Rating Assigned A2 (sf) US$32,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Definitive Rating Assigned Baa3 (sf) US$28,750,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Definitive Rating Assigned Ba3 (sf) US$7,250,000 Class F Senior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Definitive Rating Assigned B3 (sf) The Class A-1 Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. KKR CLO 23 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 7.5% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 96% ramped as of the closing date. KKR Financial Advisors II, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer issued one other class of secured notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 3040 Weighted Average Spread (WAS): 3.20% Weighted Average Coupon (WAC): 7.50% Weighted Average Recovery Rate (WARR): 49.0% Weighted Average Life (WAL): 9.22 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. LB-UBS 2008-C1: S&P Affirms B+ Rating on Class A-M Certs -------------------------------------------------------- S&P Global Ratings affirmed its 'B+ (sf)' rating on the class A-M commercial mortgage pass-through certificates from LB-UBS Commercial Mortgage Trust 2008-C1, a U.S. commercial mortgage-backed securities transaction. S&P said, "For the affirmation, our credit enhancement expectation was in line with the affirmed rating level. While the available credit enhancement level may suggest a positive rating movement on the class A-M certificates, our analysis also considered the deal's significant exposure to the Chevy Chase Center loan ($68.0 million, 92.5%), which was previously transferred to the special servicer in October 2015 due to imminent monetary default. The loan is currently on the master servicer's watchlist due to low reported debt service coverage (DSC) of 0.87x, which is driven by a decline in occupancy. In addition, we considered the upcoming 2019 tenant rollover risk, which we calculated as approximately 36%." In particular, Ares, whose space is currently being subleased by Carr Workplaces (29,370 sq. ft., 7.4% net rentable area) has an April 2019 lease expiration. Reported occupancy at the property was 75.2% as of June 30, 2018. Should the scheduled lease rollovers result in a further decline in occupancy, the property's credit profile could deteriorate." TRANSACTION SUMMARY As of the Oct. 17, 2018, trustee remittance report, the collateral pool balance was $73.5 million, which is 7.3% of the pool balance at issuance. The pool currently includes two loans, down from 57 loans at issuance. One loan ($68.0 million, 92.5%) is on the master servicer's watchlist. There are no defeased loans, and no loans with the special servicer, C-III Asset Management LLC. S&P calculated a 1.01x S&P Global Ratings weighted average DSC and 50.5% S&P Global Ratings weighted average loan-to-value ratio using a 7.75% S&P Global Ratings weighted average capitalization rate. To date, the transaction has experienced $152.9 million in principal losses, or 15.2% of the original pool trust balance. LCM LTD XXII: S&P Assigns BB Rating on $17.6MM Class D-R Notes -------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-2-R, B-R, C-R, D-R, and X-R replacement notes from LCM XXII Ltd., a U.S. collateralized loan obligation (CLO) transaction managed by LCM Asset Management LLC. The replacement notes are being issued via a supplemental indenture. S&P said, "We withdrew our ratings on the original class A-2, B, C, D, and X notes following payment in full on the Nov. 8, 2018, refinancing date. At the same time, we affirmed our ratings on the class A-1 note." On the Nov. 8, 2018, refinancing date, the proceeds from the class A-2-R, B-R, C-R, D-R, and X-R replacement note issuances were used to redeem the original class A-2, B, C, D, and X notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning final ratings to the new notes. The class A-1 note is not affected by the changes in the supplemental indenture. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and take rating actions as it deems necessary." RATINGS ASSIGNED LCM XXII Ltd. Replacement class Rating Amount (mil $) A-2-R AA (sf) 57.20 B-R A (sf) 30.80 C-R BBB (sf) 22.00 D-R BB (sf) 17.60 X-R AAA (sf) 1.08 Subordinated notes NR 41.20 RATINGS WITHDRAWN LCM XXII Ltd. Rating Original class To From A-2 NR AA (sf) B NR A (sf) C NR BBB (sf) D NR BB (sf) X NR AAA (sf) RATINGS AFFIRMED LCM XXII Ltd. Class Rating A-1 AAA (sf) NR--Not rated. LENDMARK FUNDING 2018-2: DBRS Finalizes BB Rating on Class D Notes ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following notes issued by Lendmark Funding Trust 2018-2 (Series 2018-2): -- $234,840,000 Series 2018-2, Class A (the Class A Notes) rated AA (sf) -- $20,080,000 Series 2018-2, Class B (the Class B Notes) rated A (sf) -- $22,140,000 Series 2018-2, Class C (the Class C Notes) rated BBB (sf) -- $22,940,000 Series 2018-2, Class D (the Class D Notes) rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the timely payment of interest on a monthly basis and principal by the legal final maturity date. -- Lendmark Financial Services, LLC's (Lendmark) capabilities with regard to originations, underwriting and servicing. -- The credit quality of the collateral and performance of Lendmark's consumer loan portfolio. DBRS used a hybrid approach in analyzing the Lendmark portfolio that incorporates elements of static pool analysis, employed for assets such as consumer loans, and revolving asset analysis, employed for such assets as credit card master trusts. -- The legal structure and presence of legal opinions that address the true sale of the assets to the issuer, the non-consolidation of the special-purpose vehicle with Lendmark and that the trust has a valid first-priority security interest in the assets and is consistent with the DBRS methodology “Legal Criteria for U.S. Structured Finance.” The Series 2018-2 transaction represents the sixth securitization of a portfolio of non-prime and subprime personal loans originated through Lendmark's branch network. Credit enhancement in the transaction consists of overcollateralization, subordination, excess spread and a Reserve Account. The rating on the Class A Notes reflects the 26.80% of initial hard credit enhancement provided by the subordinated notes in the pool, the Reserve Account (0.50%) and overcollateralization (5.85%). The ratings on the Class B Notes, the Class C Notes and the Class D Notes reflect 20.50%, 13.55% and 6.35% of initial hard credit enhancement, respectively. Additional credit support may be provided from excess spread available in the structure. LENDMARK FUNDING 2018-2: S&P Assigns BB Rating on Class D Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Lendmark Funding Trust 2018-2's personal consumer loan-backed notes. The note issuance is an asset-backed securities (ABS) transaction backed by personal consumer loan receivables. The ratings reflect: -- The availability of approximately 48.2%, 42.0%, 36.4%, and 30.6% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the notes' ratings that are based on S&P's stressed cash flow scenarios. -- S&P said, "Our expectation that under a moderate ('BBB') stress scenario, all else being equal, our ratings on the class A, B, C, and D notes will remain within two rating categories of the assigned 'A(sf)', 'A-(sf)', 'BBB- (sf)', and 'BB (sf)' ratings, respectively, in the next 12 months, based on our credit stability criteria." -- The timely interest and full principal payments expected to be made under stressed cash flow modeling scenarios appropriate to the assigned ratings. -- The characteristics of the pool being securitized and receivables expected to be purchased during the revolving period. -- The operational risks associated with Lendmark Financial Services LLC's decentralized business model. -- The transaction's payment and legal structures. RATINGS ASSIGNED Lendmark Funding Trust 2018-2 Class Rating Amount (mil. $) A A (sf) 234.840 B A- (sf) 20.080 C BBB- (sf) 22.140 D BB (sf) 22.940 MADISON PARK XXIX: S&P Assigns B- Rating on $12MM Class F Notes --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Madison Park Funding XXIX Ltd./Madison Park Funding XXIX LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) backed primarily by broadly syndicated speculative-grade senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Madison Park Funding XXIX Ltd./Madison Park Funding XXIX LLC Class Rating Amount (mil. $) X AAA (sf) 2.50 A-1 AAA (sf) 456.00 A-2 NR 54.00 B AA (sf) 96.00 C (deferrable) A (sf) 46.00 D (deferrable) BBB- (sf) 50.00 E (deferrable) BB- (sf) 30.00 F (deferrable) B- (sf) 12.00 Subordinated notes NR 69.68 NR--Not rated. MAN GLG 2018-2: Moody's Assigns B3 Rating on $6MM Class E-R Notes ----------------------------------------------------------------- Moody's Investors Service has assigned ratings to six classes of CLO refinancing notes issued by Man GLG US CLO 2018-2 Ltd.: Moody's rating action is as follows: US$416,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$79,000,000 Class A-2-R Senior Secured Floating Rate Notes due 2028 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$38,000,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned A2 (sf) US$37,000,000 Class C-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned Baa3 (sf) US$30,000,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Ba3 (sf) US$6,000,000 Class E-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class E-R Notes"), 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. Silvermine Capital Management LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on November 7, 2018 in connection with the refinancing of all classes of the secured notes previously issued on September 23, 2014. On the Refinancing Date, the Issuer used proceeds from the issuance of the Refinancing Notes and additional subordinated notes to redeem in full the Refinanced Original Notes. In addition to the issuance of the Refinancing Notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $648,165,771 Defaulted par: $4,866,648 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2754 Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.5% Weighted Average Life (WAL): 5.94 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. MARINER FINANCE 2018-A: S&P Assigns Prelim BB Rating on D Notes --------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Mariner Finance Issuance Trust 2018-A's asset-backed notes. The note issuance is an asset-backed securities transaction backed by personal consumer loan receivables. The preliminary ratings are based on information as of Nov. 1, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 42.13%, 40.05%, 36.52% and 29.53% credit support to the class A, B, C, and D notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. These credit support levels are sufficient to withstand stresses commensurate with the preliminary ratings on the notes based on S&P's stressed cash flow scenarios. -- S&P said,"Our expectation that under a moderate ('BBB') stress scenario, our ratings on the class A, B, C, and D notes would remain within two rating categories of the preliminary 'A (sf)', 'A- (sf)', 'BBB (sf)', and 'BB (sf)' ratings, respectively, in the next 12 months. These potential rating movements are consistent with our credit stability criteria, which outline the outer bounds of credit deterioration as equal to a two-category downgrade within the first year under moderate stress conditions." -- S&P's expectation of the timely payment of periodic interest and principal by the legal final maturity date according to the transaction documents, based on stressed cash flow modeling scenarios, using assumptions commensurate with the assigned preliminary ratings. -- The characteristics of the pool being securitized, which include loans with smaller balances and shorter original terms relative to other lenders in the industry. The transaction has a two-year revolving period in which the loan composition can change. As such, S&P considered the worst-case conceivable pool according to the transaction's concentration limits. -- The operational risks associated with Mariner Finance LLC's decentralized business model. -- Significant and rapid loan portfolio growth after the integration of Sunbelt Credit Corp. of Florida and Security Finance Corp. of Lincolnton, acquired on June 30, 2014; Pioneer Credit Co. Inc. and Pioneer Credit Co. of Alabama Inc., acquired on Dec. 1, 2014; Personal Finance Co. LLC (PFC) acquired on April 3, 2017; and Regency Finance Co. (Regency) acquired on Aug. 31, 2018 (not yet fully integrated). These recent acquisitions have comparatively limited loan performance histories since their integration. Loans originated from PFC and Regency will not be included in the transaction. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Mariner Finance Issuance Trust 2018-A Class Rating Amount (mil. $)(i) A A (sf) 188.79 B A- (sf) 5.50 C BBB (sf) 8.97 D BB (sf) 19.63 (i)The actual size of the tranches and the respective interest rates will be determined on the pricing date. MELLO MORTGAGE 2018-MTG2: DBRS Finalizes B Rating on Cl. B5 Certs ----------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2018-MTG2 (the Certificates) issued by Mello Mortgage Capital Acceptance 2018-MTG2 (the Trust) as follows: -- $249.3 million Class A1 at AAA (sf) -- $249.3 million Class A2 at AAA (sf) -- $187.0 million Class A3 at AAA (sf) -- $187.0 million Class A4 at AAA (sf) -- $12.5 million Class A5 at AAA (sf) -- $12.5 million Class A6 at AAA (sf) -- $49.9 million Class A7 at AAA (sf) -- $49.9 million Class A8 at AAA (sf) -- $25.7 million Class A9 at AAA (sf) -- $25.7 million Class A10 at AAA (sf) -- $199.4 million Class A11 at AAA (sf) -- $62.3 million Class A12 at AAA (sf) -- $199.4 million Class A13 at AAA (sf) -- $62.3 million Class A14 at AAA (sf) -- $275.0 million Class A15 at AAA (sf) -- $275.0 million Class A16 at AAA (sf) -- $37.4 million Class A17 at AAA (sf) -- $12.5 million Class A18 at AAA (sf) -- $37.4 million Class A19 at AAA (sf) -- $12.5 million Class A20 at AAA (sf) -- $162.0 million Class A21 at AAA (sf) -- $24.9 million Class A22 at AAA (sf) -- $162.0 million Class A23 at AAA (sf) -- $24.9 million Class A24 at AAA (sf) -- $87.3 million Class A25 at AAA (sf) -- $87.3 million Class A26 at AAA (sf) -- $275.0 million Class AX1 at AAA (sf) -- $249.3 million Class AX2 at AAA (sf) -- $187.0 million Class AX3 at AAA (sf) -- $12.5 million Class AX4 at AAA (sf) -- $49.9 million Class AX5 at AAA (sf) -- $25.7 million Class AX6 at AAA (sf) -- $275.0 million Class AX7 at AAA (sf) -- $37.4 million Class AX8 at AAA (sf) -- $12.5 million Class AX9 at AAA (sf) -- $162.0 million Class AX10 at AAA (sf) -- $24.9 million Class AX11 at AAA (sf) -- $275.0 million Class AX12 at AAA (sf) -- $5.4 million Class B1 at AA (sf) -- $5.1 million Class B2 at A (sf) -- $3.4 million Class B3 at BBB (sf) -- $1.9 million Class B4 at BB (sf) -- $880.0 thousand Class B5 at B (sf) Classes AX1, AX2, AX3, AX4, AX5, AX6, AX7, AX8, AX9, AX10, AX11 and AX12 are interest-only Certificates. The class balances represent notional amounts. Classes A1, A2, A3, A4, A6, A7, A8, A10, A11, A12, A13, A14, A15, A16, A17, A18, A23, A24, A25, A26, AX2, AX3, AX4, AX5, AX6, AX7, AX10, AX11 and AX12 are exchangeable Certificates. These classes can be exchanged for combinations of exchange Certificates as specified in the offering documents. Classes A1, A2, A3, A4, A5, A6, A7, A8, A11, A12, A13, A14, A17, A18, A19, A20, A21, A22, A23, A24, A25 and A26 are super-senior Certificates. These classes benefit from additional protection from senior support Certificates (Classes A9 and A10) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 6.25% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.40%, 2.65%, 1.50%, 0.85% and 0.55% 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 396 loans with a total principal balance of $293,293,146 as of the Cut-Off Date (October 1, 2018). loanDepot.com, LLC (loan Depot) is the Originator, Seller and Servicing Administrator of the mortgage loans, and Artemis Management LLC is the Sponsor of the transaction. LD Holdings Group LLC, the parent company of the Sponsor and Seller, will serve as Guarantor with respect to the remedy obligations of the Seller. LDPMF LLC, a subsidiary of the Sponsor and an affiliate of the Seller, will act as Depositor of the transaction. Cenlar FSB will act as the Servicer. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Master Servicer and Securities Administrator. Wilmington Savings Fund Society, FSB will serve as Trustee, and Deutsche Bank National Trust Company will serve as Custodian. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. Approximately 20.9% of the pools are conforming high-balance mortgage loans that were underwritten by loan Depot using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase by such agencies. The remaining 80.1% of the pool are traditional, non-agency, prime jumbo mortgage loans. 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, well-qualified borrowers and satisfactory third-party due diligence review. The Depositor has made certain representations and warranties concerning the mortgage loans. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, and resolution of disputes may ultimately be subject to determination in an arbitration proceeding. DBRS views the representations and warranties features for this transaction to be consistent with previous DBRS-rated prime securitizations, which include certain weaknesses, such as an unrated representations and warranties provider and sunset provisions on certain representations related to fraud and underwriting. To capture the perceived weaknesses, DBRS adjusted the originator score downward for all loans. The full description of the representations and warranties standard, the mitigating factors and the DBRS analysis are detailed in the related report. MELLO MORTGAGE 2018-MTG2: Moody's Assigns B1 Rating on Cl. B5 Debt ------------------------------------------------------------------ Moody's Investors Service has assigned definitive ratings to residential mortgage-backed securities issued by Mello Mortgage Capital Acceptance 2018-MTG2. The ratings range from Aaa (sf) to B1 (sf). MELLO 2018-MTG2 is the second transaction entirely backed by loans originated by loanDepot.com, LLC. MELLO 2018-MTG2 consists of prime jumbo loans underwritten to loanDepot's underwriting guidelines and high balance GSE-eligible loans underwritten to Freddie Mac or Fannie Mae guidelines with loanDepot overlays. All of the loans are designated as qualified mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to- Repay rules. Cenlar FSB will service the loans and Wells Fargo Bank, N.A. (Aa1) will be the master servicer. loanDepot will be the servicing administrator and responsible for servicer advances, with the master servicer stepping in if loanDepot cannot fulfill its obligation to advance scheduled principal and interest. MELLO 2018-MTG2 is a securitization of 396 first-lien, 30-year, fixed-rate prime residential mortgage loans. The pool consists of 111 GSE-eligible high balance (20.9% by loan balance) and 285 prime jumbo (79.1% by loan balance) mortgage loans. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. The complete rating actions are as follows: Issuer: Mello Mortgage Capital Acceptance 2018-MTG2 Cl. A1, Definitive Rating Assigned Aaa (sf) Cl. A2, Definitive Rating Assigned Aaa (sf) Cl. A3, Definitive Rating Assigned Aaa (sf) Cl. A4, Definitive Rating Assigned Aaa (sf) Cl. A5, Definitive Rating Assigned Aaa (sf) Cl. A6, Definitive Rating Assigned Aaa (sf) Cl. A7, Definitive Rating Assigned Aaa (sf) Cl. A8, Definitive Rating Assigned Aaa (sf) Cl. A9, Definitive Rating Assigned Aa1 (sf) Cl. A10, Definitive Rating Assigned Aa1 (sf) Cl. A11, Definitive Rating Assigned Aaa (sf) Cl. A12, Definitive Rating Assigned Aaa (sf) Cl. A13, Definitive Rating Assigned Aaa (sf) Cl. A14, Definitive Rating Assigned Aaa (sf) Cl. A15, Definitive Rating Assigned Aaa (sf) Cl. A16, Definitive Rating Assigned Aaa (sf) Cl. A17, Definitive Rating Assigned Aaa (sf) Cl. A18, Definitive Rating Assigned Aaa (sf) Cl. A19, Definitive Rating Assigned Aaa (sf) Cl. A20, Definitive Rating Assigned Aaa (sf) Cl. A21, Definitive Rating Assigned Aaa (sf) Cl. A22, Definitive Rating Assigned Aaa (sf) Cl. A23, Definitive Rating Assigned Aaa (sf) Cl. A24, Definitive Rating Assigned Aaa (sf) Cl. A25, Definitive Rating Assigned Aaa (sf) Cl. A26, Definitive Rating Assigned Aaa (sf) Cl. B1, Definitive Rating Assigned Aa3 (sf) Cl. B2, Definitive Rating Assigned A2 (sf) Cl. B3, Definitive Rating Assigned Baa2 (sf) Cl. B4, Definitive Rating Assigned Ba2 (sf) Cl. B5, Definitive Rating Assigned B1 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.40% in a base scenario and reaches 5.75% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios, for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association properties in super lien states. Its final loss estimates also incorporate adjustments for origination quality and the financial strength of Representation & Warranty (R&W) provider. Moody's bases its definitive ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the originator, the servicer and the master servicer, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description MELLO 2018-MTG2 is a securitization of a pool of 396 fully-amortizing mortgage loans with a total balance of $293,293,146 as of the cut-off date, with a weighted average original term to maturity of 360 months, and a WA seasoning of 2 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA primary borrower original FICO score is 775 and the WA original combined loan-to-value ratio (CLTV) is 73.5%. The characteristics of the loans underlying the pool are generally comparable to other recent prime RMBS transactions backed by 30-year mortgage loans that Moody's has rated. Third-party Review and Reps & Warranties A third party review (TPR) firm, Clayton Services LLC, verified the accuracy of the loan-level information that the sponsor gave us. Clayton conducted detailed credit, collateral, and regulatory reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues, and no material appraisal defects. Moody's increased its loss levels to account for weakness in the overall R&W framework due to the financial weakness of the R&W provider and the lack of a repurchase mechanism for loans experiencing an early payment default. The R&W provider and the guarantor are both loanDepot entities, which may not have the financial wherewithal to purchase defective loans. Moreover, unlike other prime jumbo transactions that Moody's has rated, the R&W framework for this transaction does not include a mechanism whereby loans that experience an early payment default (EPD) are repurchased. However, the results of the independent due diligence review revealed a high level of compliance with underwriting guidelines and regulations, as well as overall strong valuation quality. These results give us a clear indication that the loans most likely do not breach the R&Ws. Also, the transaction benefits from unqualified R&Ws and an independent breach reviewer. Tail Risk & Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a credit enhancement floor of 2.25% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. The subordinate bonds also benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to 1.50% of the initial pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Exposure to Extraordinary Expenses Certain extraordinary trust expenses (such as fees paid to the reviewer, servicing transfer costs) in the MELLO 2018-MTG2 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $350,000 per year) are deducted from the available distribution amount. Moody's believes there is a very low likelihood that the rated certificates in MELLO 2018-MTG2 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. Furthermore, the issuer has disclosed the results of a credit, valuation and compliance review covering all of the mortgage loans by an independent third party. Finally, Moody's sized its credit enhancement assuming some losses on the collateral owing to extraordinary expenses. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Methodology The principal methodology used in these ratings was "Moody's Approach to Rating US Prime RMBS," published in February 2015. MERRILL LYNCH 2008-C1: Fitch Hikes Rating on Class F Certs to Bsf ----------------------------------------------------------------- Fitch Ratings has upgraded four and affirmed 10 classes of Merrill Lynch Mortgage Trust, commercial mortgage pass-through certificates, series 2008-C1. KEY RATING DRIVERS Increased Credit Enhancement: The upgrades to classes C through F reflect increased credit enhancement since Fitch's last rating action due to the repayment of 19 loans totalling $116.1 million (50.4% of the last rating action pool balance) and the liquidation of four specially serviced loans/assets at better than expected recoveries. Additionally, the Ashley Overlook loan (22.7% of current pool) recently paid off at its October 2018 extended maturity date. The repayment, which will be reflected in the November 2018 remittance, will result in the payoff of classes C and D. One loan (5.1%) is defeased. As of the October 2018 distribution date, the pool's aggregate principal balance has been reduced by 93.6% to $60.5 million from $948.8 million at issuance. Realized losses since issuance total $54.1 million (5.7% of original pool balance). Cumulative interest shortfalls totalling $2.7 million are currently impacting classes J through N and Q through T. Concentrated Pool: The pool is highly concentrated with only seven loans/assets remaining. Following the repayment of the Ashley Overlook loan, the pool will be approximately 90% comprised of specially serviced loans/assets. 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 classes E and F was capped at 'BBBsf' and 'Bsf', respectively, to reflect the collateral quality and adverse selection of the remaining loans/assets. Increased Loss Expectation on Specially Serviced Loans/Assets: Loss expectations on the remaining specially serviced loans/assets (69.3% of pool) have increased since the last rating action. The largest specially serviced loan, which is also the largest remaining loan in the pool, Landmark Towers (26.5% of pool), is secured by an office property located in downtown St. Paul, MN. The loan transferred to special servicing in June 2017 for imminent default after the property's largest tenant, Green Tree Servicing/Ditech, comprising 59% of the property's total net rentable area (NRA), indicated it would vacate upon lease expiration in December 2017. However, the tenant currently still occupies a portion of its space (25% of NRA) on a month-to-month basis. Property occupancy has declined to 51% as of October 2018 from 89% in December 2016 and 93% in December 2015. A receiver was appointed in June 2018 and the special servicer is proceeding with foreclosure. The second largest specially serviced loan, Stony Brook South (23.3%), is secured by a retail center in Louisville, KY, anchored by Dick's Sporting Goods (30.4% of NRA; leased through January 2023), Marshalls (20.3%; March 2019) and Planet Fitness (16.5%; May 2028). The loan transferred to special servicing in August 2017 due to imminent default and subsequently defaulted at its December 2017 maturity. According to the servicer, tenant issues have negatively impacted the property's performance. The receiver, which was appointed in January 2018, has successfully extended PetSmart's lease (12.9% of NRA) for five years through March 2023 and Planet Fitness' lease for 10 years through May 2028. The receiver is actively marketing the property for sale. The next largest specially serviced loan, Roan Centre (11.6%), is a retail center in Johnson City, TN. The loan was transferred to special servicing in December 2017 due to maturity default. The borrower requested an extension of the maturity date to allow for time to negotiate an extension of the AMC lease (36% of NRA), which expires December 2018. The borrower is under forbearance agreement through YE 2018. Per the special servicer, the borrower has indicated the AMC lease extension will require a $7 million renovation of the space and a draft lease is in its final approval stage with the tenant. The 200-202 Limestone Road (7.9%) asset, which became real-estate owned (REO) in June 2018, is a community retail center in Frankfort, KY. The loan transferred to special servicing in September 2017 due to maturity default. Elder Beerman (63% of NRA) vacated at the end of August 2018 after the lease was rejected in bankruptcy court. The property is now only 30.8% occupied by one tenant, which has a lease scheduled to expire in January 2019. A lease renewal letter of intent is out to the sole tenant for a three-year extension. Per the special servicer, the asset is being marketed for sale. ADDITIONAL CONSIDERATIONS Maturities: The defeased loan (5.1% of pool) matures in 2023 and the one non-specially serviced loan (2.9%), which is a fully amortizing loan secured by a self-storage facility located in Tooele, UT, matures in 2027. RATING SENSITIVITIES The Rating Outlooks on classes C through E were revised to Stable from Negative due to increasing credit enhancement and expected continued paydown. Further upgrades are unlikely due to the increasing pool concentration and adverse selection concerns. Downgrades are possible if realized losses exceed Fitch's expectations or if pool performance deteriorates significantly. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating action. Fitch has upgraded and revised Rating Outlooks on the following ratings: -- $3.1 million class C to 'AAAsf' from 'BBBsf'; Outlook to Stable from Negative; -- $8.3 million class D to 'AAAsf' from 'BBBsf'; Outlook to Stable from Negative; -- $8.3 million class E to 'BBBsf' from 'BBsf'; Outlook to Stable from Negative; -- $9.5 million class F to 'Bsf' from 'CCCsf'; Outlook Stable assigned. Fitch has also affirmed the following ratings: -- $9.5 million class G at 'CCsf'; RE 80%; -- $10.7 million class H at 'CCsf'; RE 0%; -- $11.1 million class J at 'Dsf'; RE 0%' -- $0 million 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-3, A-4, A-SB, A-1AF, AM-AF, AJ, AJ-A, AJ-AF and B certificates have paid in full. Fitch does not rate the class T certificates. Fitch previously withdrew the rating on the interest-only class X certificates. METAL 2017-1: Fitch Affirms Bsf Rating on Class C-2 Notes --------------------------------------------------------- Fitch Ratings has affirmed the outstanding notes issued by METAL 2017-1 as follows: -- Class A notes at 'Asf'; Outlook Stable; -- Class B notes at 'BBBsf'; Outlook Stable; -- Class C-1 notes at 'BBsf'; Outlook Stable. -- Class C-2 notes at 'Bsf'; Outlook Stable. The affirmation of the notes reflects performance to date and results of Fitch's cash flow modelling analysis. To date, METAL's performance has been within Fitch's initial expectations from a cashflow perspective. However, several lessees in the pool currently display weak credit profiles and/or financial difficulties. KEY RATING DRIVERS Lessee Credit Risk: Airlines are generally lowly rated or unrated credits, and airline default is a material risk in aircraft ABS. Within the METAL pool, an A330-200 is currently grounded and being actively remarketed following its recent repossession from Shaheen Air. Further, the pool contains airlines that are weak credits, including Jet Airways. Very Conservative Asset Assumptions Applied: Fitch utilized more conservative asset assumptions consistent with the initial transaction review analysis, given the pool's high exposure to weaker airline credits in emerging markets and events mentioned. This includes application of very conservative lessee credit ratings in primary scenarios of 'CCC' or 'CC' depending on whether or not a recession was occurring. In sensitivity scenarios, certain airline ratings were stressed even further. Other conservative assumptions include relatively high repossession costs, stressful remarketing downtime probability curves, low lease extension rate and short new lease terms. Aviation Market Cyclicality: The commercial aviation market has historically exhibited significant cyclicality tied to the overall health of the global economy. Fitch assumes that multiple recessions occur over the life of the transaction, with the first starting in six months under primary scenarios. Asset Values and Lease Rate Volatility: During downturns, aircraft values decline, pressuring lease rates, while airline default risk and the time aircraft are grounded increases. Fitch accounted for this in its analysis, which assumes a number of stressed performance variables, which are increased during assumed recessions. Releasing and Servicer Reliance: Aircraft operating lease transactions are reliant on the servicer to actively monitor the portfolio, repossess and remarket aircraft, and maintain the fleet through regular maintenance. Fitch reviewed Aergo Capital's operations and historical data and found they were an adequate servicer of METAL. Cash flow modelling assumptions were developed based on Aergo and industry historical data. To date, METAL's performance has been within Fitch's initial primary stressed scenarios. 'Asf' Rating Cap: Due to the reasons discussed in this release, Fitch caps the ratings for aircraft ABS at 'Asf'. After being steady since close, lease collections have fallen slightly as of October reporting. The repossessed A330-200 in the pool is currently being remarketed. In addition, certain airlines are one to two months delinquent on payments, contributing to the recent drop in collections. Despite this, debt service coverage ratio (DSCR) levels have overall increased since close and each class is paying on or ahead of schedule. Each class of notes is able to pass modelled stress scenarios consistent with their current rating. Assumptions used in Fitch's cash flow modelling scenarios are unchanged from the initial review of the transaction, with one exception. Under the 'BBsf' scenario, the time over which values decline during a recession has been decreased to three years from four. Notably, Fitch's primary runs include the assumption that all airlines' default probability is consistent with a 'CCC' or 'CC' credit, depending on whether or not a recession is occurring. This results in stressed cashflows in which monthly gross lease collections quickly decline and never return to their current levels. The transaction is serviced by Aergo Capital Limited (Aergo), who is majority owned by CarVal Investors, LLC, a global investment and management firm. Fitch deems Aergo capable of servicing METAL based on their servicing capabilities, the transaction's performance to date, and historical performance of their owned and managed aircraft fleet. Aergo, through affiliates, retained the equity E and S certificates issued by METAL Cayman, thereby retaining an economic interest in the transaction outside of merely collecting servicing fees. Fitch views this as a positive since Aergo has a significant interest in generating positive cash flows through management and servicing of the assets over the life of the transaction. RATING SENSITIVITIES Due to the correlation between global economic conditions and the airline industry, the ratings may be impacted by global macro-economic or geopolitical factors over the remaining term of the transaction. Therefore, in its initial and current rating analysis, Fitch evaluated various sensitivity scenarios that could affect future cash flows from the pool and the ratings of the notes. During the current review, Fitch performed an updated sensitivity analysis assuming a significant level of default activity beyond the primary scenarios. In this analysis, 44% of the pool was assumed to default after one month, subjecting the transaction to a significant drop in utilization and collections, and material increases in remarketing and reconfiguration expenses. The impact is notable, with lease collections decreasing by approximately $23 to $35 million across the rating scenarios. While the transaction is stressed, each class of notes is still able to pay in full under stresses commensurate with their current ratings. Thus, such a scenario is unlikely to result in any negative rating action on the notes. MORGAN STANLEY 2005-HQ7: Moody's Affirms B1 Rating on Cl. E Certs ----------------------------------------------------------------- Moody's Investors Service has affirmed the rating on three classes in Morgan Stanley Capital I Trust 2005-HQ7, Commercial Mortgage Pass-Through Certificates, Series 2005-HQ7 as follows: Cl. E, Affirmed B1 (sf); previously on Oct 12, 2017 Upgraded to B1 (sf) Cl. F, Affirmed Caa3 (sf); previously on Oct 12, 2017 Affirmed Caa3 (sf) Cl. G, Affirmed C (sf); previously on Oct 12, 2017 Affirmed C (sf) RATINGS RATIONALE The rating on Cl. E was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The ratings on two P&I classes, Cl. F and Cl. G were affirmed because the ratings are consistent with Moody's expected loss. Moody's rating action reflects a base expected loss of 31.8% of the current pooled balance, compared to 11.8% at Moody's last review. Moody's base expected loss plus realized losses is now 7.9% of the original pooled balance, compared to 7.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in 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 14, 2018 distribution date, the transaction's aggregate certificate balance has decreased by 98% to $43.4 million from $1.96 billion at securitization. The certificates are collateralized by 12 mortgage loans ranging in size from 1% to 76% of the pool. One loan, constituting 1% of the pool, has defeased and is secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of two, the same as at Moody's last review. Three loans, constituting 3.7% 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. Forty-seven loans have been liquidated from the pool, resulting in or contributing to an aggregate realized loss of $142 million (for an average loss severity of 52%). There is currently one loan is special servicing, the Crown Ridge at Fair Oaks Loan ($32.9 million -- 76.0% of the pool), which is secured by a 191,200 square foot (SF) eight story multi-tenant office property located in Fairfax, Virginia. The loan was modified in July 2016 and the modified terms included a term extension, a principal paydown of 10%, and the remaining term was converted to interest-only payments. The largest tenant at securitization, American Management Systems, Inc. (over 84% of the NRA), vacated in 2011. The loan transferred to the special servicer in November 2017 as a result of the borrower notifying the lender that they would not be able to pay the loan off in full at the December 2017 maturity date and were unwilling to inject additional capital to secure new leases. The special servicer is pursuing foreclosure and working with the receiver to improve occupancy at the property. As of a rent roll dated August 2018, the property was 70% leased, compared to 86% leased as of December 2016. Moody's estimates a moderate loss on this loan. Moody's received full year 2017 operating results for 95% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 43%, compared to 49% 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 15% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 10%. Moody's actual and stressed conduit DSCRs are 1.49 and 3.06X, respectively, compared to 1.39X and 2.64X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three loans represent 16.0% of the pool balance. The largest loan is the Boston Post Portfolio -- Equinox (B) Loan ($3.7 million -- 8.4% of the pool), which is secured by a 25,314 SF retail property in Mamaroneck, New York. The property is 100% occupied by Equinox with a lease expiration of June 2030. Due to the single tenant nature, Moody's review incorporated a Lit/Dark analysis. Moody's LTV and stressed DSCR are 55% and 1.95X, respectively. The second largest loan is the Holly Hill Self Storage Loan ($2.1 million -- 5.0% of the pool), which is secured by an eight-building, two story, 51,555 SF self-storage facility located in Alexandria, Virginia. As of December 2017, the property was 87% leased, compared to 91% at the last review. The loan is fully amortizing. Moody's LTV and stressed DSCR are 40% and 2.68X, respectively. The third largest loan is the Ganassa Tile Loan ($1.1 million -- 2.6% of the pool), which is secured by a 29,450 SF industrial property located in Ijamsville, Maryland. The property was built in 1989. As of December 2016, the property was 91% occupied. The loan is therefore on the master servicer's watch list as a result of the borrower not providing financials since 2016. The loan is fully amortizing and has amortized nearly 50% since securitization. Moody's LTV and stressed DSCR are 48% and 2.01X, respectively. NELNET STUDENT 2005-4: Fitch Cuts Ratings on 4 Tranches to Bsf -------------------------------------------------------------- Fitch Ratings has downgraded the following classes of the Nelnet Student Loan Trust 2005-4: -- Class A-4L to 'Bsf' from 'BBsf'; Outlook Stable; -- Class A-4AR-1 to 'Bsf' from 'BBsf'; Outlook Stable; -- Class A-4AR-2 to 'Bsf' from 'BBsf'; Outlook Stable; -- Class B downgraded to 'Bsf' from 'BBsf'; Outlook Stable. The downgrades are driven by increasing maturity risk since the last review with increasing income-based repayment and extended term. Because the legal final maturity of class A-4 is 13 years away, and the sponsor's ability to call the notes upon reaching 10% pool factor, Fitch believes there is a limited margin of safety that supports a 'Bsf' rating, despite the notes failing the base cases. The rating of subordinate tranches will typically not be eligible for ratings higher than any senior tranche in the same transaction. Given the maturity sensitivity and subsequent rating of 'Bsf' for the A-4 notes, the class B notes were also downgraded to 'Bsf'/ Outlook Stable. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Fitch assumes a default rate of 15.5% and 46.5% default rate under the 'AAA' credit stress scenario. Fitch assumes a sustainable constant default rate of 2.5%, and a sustainable constant prepayment rate of 8.5% in cash flow modelling. 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 2.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are 4.2%, 4.2%, and 16.6%, respectively, and are used as the starting point in cash flow modelling. Subsequent declines or increases are modelled as per criteria. The borrower benefit is assumed to be approximately 0.19%, based on information provided by the sponsor. Fitch's SLABS cash flow model indicates the A-4 notes do not pay off before their maturity date in Fitch's modelling scenarios, including the base cases. If the breach of the class A-4 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 this transaction arises from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of Aug. 31, 2018, all notes are indexed to three-month LIBOR. 96.4% of the trust student loans are indexed to one-month LIBOR, the remaining 3.6% of the trust student loans are indexed to 91 Day T-Bill. Payment Structure: Credit enhancement (CE) is provided by excess spread and, for the class A notes, subordination. As of August 2018, total and senior effective parity ratios (including the reserve) are 100.74% and 105.68%. Liquidity support is provided by a reserve, which is currently at its floor of $2,841,887.45. The transaction will continue to release cash as long as the target overcollateralization amount of $1,116,966.95 is maintained. Operational Capabilities: Nelnet, Inc. provides day-to-day servicing for the majority of the trust assets. Fitch believes Nelnet is an acceptable servicer, due to its extensive track record as one of the largest servicers of 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 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. The stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivities are not 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. NEW RESIDENTIAL 2018-NQM1: DBRS Finalizes B Rating on Cl. B-2 Notes ------------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage-Backed Notes, Series 2018-NQM1 (the Notes) issued by New Residential Mortgage Loan Trust 2018-NQM1 (the Trust or the Issuer) as follows: -- $210.7 million Class A-1 at AAA (sf) -- $21.1 million Class A-2 at AA (sf) -- $39.2 million Class A-3 at A (sf) -- $14.6 million Class M-1 at BBB (sf) -- $10.7 million Class B-1 at BB (sf) -- $7.6 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects the 32.20% of credit enhancement (CE) provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 25.40%, 12.80%, 8.10%, 4.65% and 2.20% 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 fixed- and adjustable-rate, prime, expanded prime and non-prime first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 581 loans with a total principal balance of $310,744,719 as of the Cut-Off Date (October 1, 2018). New Penn Financial, LLC (New Penn) is the Originator of the mortgage loans and Shell point Mortgage Servicing (SMS) is the Servicer. The New Penn mortgages were originated under the following five programs: (1) Smart Self and Smart Self Plus (54.7%) – Generally made to self-employed borrowers using bank statements to support self-employed income for qualification purposes. (2) Smart Edge and Smart Edge Plus (38.3%) – Generally made to borrowers seeking flexible financing options (interest-only (IO) loans or higher debt-to-income ratios (DTI)), who may have a recent credit event (two or more years seasoned) that may preclude prequalification for another program. (3) Smart Vest (3.9%) – Generally made to borrowers who are experienced real estate investors looking to purchase or refinance an investment property that is held for business purposes. (4) High Balance Extra (2.1%) – Generally made to prime borrowers with loan amounts exceeding the government-sponsored enterprise loan limits that may fall outside the Qualified Mortgage (QM) requirements based on documentation and DTI. (5) SmartTrac (0.9%) – Generally made to borrowers seeking flexible financing options (IO loans or higher DTI) who may have a recent credit event (one to two or more years seasoned) that may preclude prequalification for another program. New Residential Investment Corp. (NRZ) is the Sponsor of the transaction. Nation star Mortgage LLC (Nation star) will act as the Master Servicer. Citibank, N.A. (rated A (high) with a Positive trend by DBRS) will act as the Paying Agent, Note Registrar and Owner Trustee. Wilmington Trust National Association (rated A (high) with a Positive Trend by DBRS) will serve as Indenture Trustee. Citicorp Trust Delaware, National Association will serve as the Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will serve as Custodian. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay (ATR) rules, they were made to borrowers who generally do not qualify for agency, government or private-label non-agency prime jumbo products for various reasons described above. In accordance with the CFPB QM/ATR rules, 1.7% of the loans are designated as QM Safe Harbor and 73.8% as non-QM. Approximately 24.5% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. The Servicer will generally fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent and they are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. The Sponsor intends to retain 5% of the fair value of all the Notes issued by the Issuer (other than the Class R Notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. The Seller will have the option, but not the obligation, to repurchase any mortgage loan that becomes 60 or more days delinquent under the Mortgage Bankers Association method or any real estate-owned property acquired in respect of a mortgage loan at a price equal to the stated principal balance of such loan, provided that such repurchases in aggregate do not exceed 10% of the total principal balance as of the Cut-off Date. On or after the earlier of (1) the two-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Depositor has the option to purchase all of the outstanding mortgage loans, thereby retiring the Notes, at a price equal to the outstanding stated principal balance of the mortgage loans plus accrued and unpaid interest. The transaction employs a sequential-pay cash flow structure with a pro rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Notes as the outstanding senior Notes are paid in full. The ratings reflect transactional strengths that include the following: (1) Strong Underwriting Standards: Whether for prime or non-prime mortgages, underwriting standards have improved significantly from the pre-crisis era. In addition, DBRS considers 40.9% of the loans to have full documentation standard with respect to verification of income (generally through two years of Form W-2, Wage and Tax Statement or tax returns), employment and assets. Generally, fully executed Form 4506-T, Request for Transcript of Tax Return are obtained and tax returns are verified with Internal Revenue Service transcripts if applicable. (2) Robust Loan Attributes and Pool Composition: The mortgage loans in this portfolio generally exhibit expanded prime characteristics and robust loan attributes as reflected in credit scores, combined loan-to-value (LTV) ratios, borrower household income and liquid reserves. As the programs move down the credit spectrum, certain characteristics, such as lower LTVs, suggest the consideration of compensating factors for riskier pools. The pool comprises 50.7% fixed-rate mortgages, which have the lowest default risk because of the stability of monthly payments. The pool comprises 49.3% hybrid adjustable-rate mortgages with an initial fixed period of five to ten years, allowing borrowers sufficient time to credit cure before rates reset. (3) ATR Rules and Appendix Q Compliance: All of the mortgage loans, except for the business-purpose investor loans, were underwritten in accordance with the eight underwriting factors of the ATR rules. In addition, New Penn’s underwriting standards for the Smart Edge, Smart Edge Plus and SmartTrac programs generally comply with the Standards for Determining Monthly Debt and Income as set forth in Appendix Q of Regulation Z with respect to income verification and the calculation of DTI ratios; however, in certain instances, loans were permitted to have deviations from Appendix Q. (4) Satisfactory Third-Party Due Diligence Review: A third-party due diligence firm conducted property valuation, credit and compliance reviews on 100% of the loans in the pool. Data integrity checks were also performed on the pool. The transaction also includes the following challenges and mitigating factors: (1) Representations and Warranties (R&W) Framework: The R&W framework is considerably weaker than that of a post-crisis prime jumbo securitization. Instead of an automatic review when a loan becomes seriously delinquent, this transaction employs an optional review only when realized losses occur (unless the alleged breach relates to an ATR or TILA-RESPA Integrated Disclosure violation). In addition, rather than engaging a third-party due diligence firm to perform the R&W review, the Controlling Holder (initially the Depositor) has the option to perform the review in house or use a third-party reviewer. Finally, the R&W provider (the Seller) is an unrated entity, has limited performance history of expanded prime, non-QM securitizations and may potentially experience financial stress that could result in the inability to fulfill repurchase obligations. DBRS notes the following mitigating factors: -- The Note holders representing 25% interest in the Notes may direct the Trustee to commence a separate review of the related mortgage loan, to the extent they disagree with the Controlling Holder's determination of a breach. -- Third-party due diligence was conducted on 100% of the loans included in the pool. A comprehensive due diligence review mitigates the risk of future R&W violations. -- DBRS conducted an originator review of New Penn and deems it to be operationally sound. -- The Sponsor or an affiliate of the Sponsor will retain 5% of each class of Notes (other than the Class R Notes), aligning Sponsor and investor interest in the capital structure. -- Notwithstanding the above, DBRS adjusted the originator score downward to account for the potential inability to fulfill repurchase obligations, the lack of performance history as well as the weaker R&W framework. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. (2) Non-Prime, Non-QM and Investor Loans: Compared with post-crisis prime jumbo transactions, this portfolio contains mortgages originated to borrowers with weaker credit and prior derogatory credit events as well as large concentrations of non-QM and investor loans. DBRS notes the following mitigating factors: -- All loans, except for the business-purpose investor loans, were originated to meet the eight underwriting factors as required by the ATR rules. Also, certain loans were underwritten to comply with the standards set forth in Appendix Q. -- Underwriting standards have improved substantially since the pre-crisis era. -- The DBRS RMBS Insight model incorporates loss severity penalties for non-QM and QM Rebuttable Presumption loans, as explained further in the Key Loss Severity Drivers section of the related presale report. -- For loans in this portfolio, borrower credit events had generally happened 60 months, on average, prior to origination. In its analysis, DBRS applies additional penalties for borrowers with recent credit events within the past two years (four loans, representing 0.2% of the pool). -- For investor loans, DBRS applies a 1.7 times (x) to 1.8x penalty to default frequency relative to owner-occupied loans, holding other attributes constant, to address the higher default risk associated with investment properties. In addition, DBRS applies further penalties to 54 Smart Vest loans, which were underwritten using a property cash flow ratio to qualify borrowers for income. The investor loans in this pool generally have a better credit profile than the overall pool with a weighted-average (WA) current FICO of 741, WA original combined LTV of 67.8%, WA DTI of 28.5% and substantial liquid reserves at approximately $375,221. (3) Servicer Advances of Delinquent Principal and Interest: The Servicer will advance scheduled principal and interest on delinquent mortgages until such loans become 180 days delinquent. This will likely result in lower loss severities to the transaction because advanced principal and interest will not have to be reimbursed from the Trust upon the liquidation of the mortgages, but will increase the possibility of periodic interest shortfalls to the Note holders. Mitigating factors include that principal proceeds can be used to pay interest shortfalls to the Notes as the outstanding senior Notes are paid in full, and DBRS ran cash flow scenarios that incorporated principal and interest advancing up to 180 days for delinquent loans. The cash flow scenarios are discussed in more detail in the Cash Flow Analysis section of the related presale report. (4) Servicer's Financial Capability: In this transaction, SMS, as the Servicer, is responsible for funding advances to the extent required. The Servicer is an unrated entity and may face financial difficulties in fulfilling its servicing advance obligations in the future. Consequently, the transaction employs Nation star as the Master Servicer. If the Servicer fails in its obligation to make advances, Nation star will be obligated to fund such servicing advances. 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. NEW RESIDENTIAL 2018-NQM1: S&P Assigns B Rating on Class B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to New Residential Mortgage Loan Trust 2018-NQM1's mortgage-backed notes. The note issuance is an residential mortgage-backed securities transaction backed by U.S. residential mortgage loans. The ratings reflect: -- The pool's collateral composition, -- The credit enhancement provided for this transaction, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty framework, and -- The mortgage originator. RATINGS ASSIGNED New Residential Mortgage Loan Trust 2018-NQM1 Class Rating(i) Amount (mil. $) A-1 AAA (sf) 210,684,000 A-2 AA (sf) 21,131,000 A-3 A (sf) 39,154,000 M-1 BBB (sf) 14,605,000 B-1 BB (sf) 10,721,000 B-2 B (sf) 7,613,000 B-3 NR 6,836,719 XS-1 NR Notional(ii) XS-2 NR Notional(ii) A-IO-S NR Notional(ii) R NR N/A (i)The ratings address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' aggregate stated principal balance. NR--Not rated. N/A--Not applicable. NORTHWOODS CAPITAL XIV-B: Moody's Gives (P)B2 Rating on Cl. F Debt ------------------------------------------------------------------ Moody's Investors Service has assigned provisional ratings to seven classes of notes to be issued by Northwoods Capital XIV-B, Limited. Moody's rating action is as follows: US$2,000,000 Class X Senior Secured Floating Rate Notes due 2031 (the "Class X Notes"), Assigned (P)Aaa (sf) US$320,000,000 Class A Senior Secured Floating Rate Notes due 2031 (the "Class A Notes"), Assigned (P)Aaa (sf) US$55,000,000 Class B Senior Secured Floating Rate Notes due 2031 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$25,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class C Notes"), Assigned (P)A2 (sf) US$32,500,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2031 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$27,500,000 Class E Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Assigned (P)Ba3 (sf) US$6,000,000 Class F Junior Secured Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Assigned (P)B2 (sf) The Class X Notes, the Class A Notes, the Class B Notes, the Class C Notes, the Class D Notes, the Class E Notes and the Class F Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. Northwoods Capital XIV-B is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 94% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 6% of the portfolio may consist of collateral obligations other than senior secured loans. Moody's expects the portfolio to be approximately 87% ramped as of the closing date. Angelo, Gordon & Co., L.P. will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets, subject to certain restrictions. In addition to the Rated Notes, the Issuer will issue one class of interest-only notes and one class of subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $500,000,000 Diversity Score: 60 Weighted Average Rating Factor (WARF): 2790 Weighted Average Spread (WAS): 3.68% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.00% Weighted Average Life (WAL): 9.20 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. OBX TRUST 2018-EXP2: DBRS Finalizes B Rating on $3.3MM B-5 Notes ---------------------------------------------------------------- DBRS, Inc. finalized the following provisional ratings on the Mortgage-Backed Notes, Series 2018-EXP2 (the Notes) issued by OBX 2018-EXP2 Trust (the Trust): -- $134.8 million Class 1-A-1 at AAA (sf) -- $33.7 million Class 1-A-2 at AAA (sf) -- $168.4 million Class 1-A-3 at AAA (sf) -- $4.3 million Class 1-A-4 at AAA (sf) -- $172.7 million Class 1-A-5 at AAA (sf) -- $134.8 million Class 1-A-IO1 at AAA (sf) -- $33.7 million Class 1-A-IO2 at AAA (sf) -- $168.4 million Class 1-A-IO3 at AAA (sf) -- $4.3 million Class 1-A-IO4 at AAA (sf) -- $172.7 million Class 1-A-IO5 at AAA (sf) -- $172.7 million Class 1-A-IO6 at AAA (sf) -- $134.8 million Class 1-A-6 at AAA (sf) -- $33.7 million Class 1-A-7 at AAA (sf) -- $168.4 million Class 1-A-8 at AAA (sf) -- $4.3 million Class 1-A-9 at AAA (sf) -- $172.7 million Class 1-A-10 at AAA (sf) -- $126.4 million Class 2-A-1A at AAA (sf) -- $31.6 million Class 2-A-1B at AAA (sf) -- $158.0 million Class 2-A-1 at AAA (sf) -- $4.0 million Class 2-A-2 at AAA (sf) -- $162.0 million Class 2-A-3 at AAA (sf) -- $162.0 million Class 2-A-IO at AAA (sf) -- $1.3 million Class B-1 at AA (sf) -- $1.3 million Class B1-IO at AA (sf) -- $1.3 million Class B1-A at AA (sf) -- $23.0 million Class B-2 at A (sf) -- $23.0 million Class B2-IO at A (sf) -- $23.0 million Class B2-A at A (sf) -- $10.6 million Class B-3 at BBB (sf) -- $6.3 million Class B-4 at BB (sf) -- $3.3 million Class B-5 at B (sf) Classes 1-A-IO1, 1-A-IO2, 1-A-IO3, 1-A-IO4, 1-A-IO5, 1-A-IO6, 2-A-IO, B1-IO and B2-IO are interest-only (IO) notes. The class balances represent notional amounts. Classes 1-A-3, 1-A-5, 1-A-IO3, 1-A-IO5, 1-A-6, 1-A-7. 1-A-8, 1-A-9, 1-A-10, 2-A-1, 2-A-3, B1-A and B2-A are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 12.85% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 12.50%, 6.50%, 3.75%, 2.10% and 1.25% 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 expanded prime first-lien residential mortgages, which is funded by the issuance of mortgage-backed notes. The Notes are backed by 603 loans with a total principal balance of $384,027,255 as of the Cut-Off Date (October 1, 2018). The Seller, Onslow Bay Financial LLC (OBF), acquired the loans directly from certain select originators or third-party aggregators. The loans were acquired based on agreed-upon underwriting guidelines or carve outs of underwriting guidelines that fit certain desired documentation requirements or credit characteristics. This is the second expanded prime transaction issued by the Seller. While certain loan attributes are comparable to those in post-crisis prime transactions, the loans in this transaction fall into the expanded prime category and may have IO features, higher debt-to-income and loan-to-value ratios, lower credit scores and barbelled distribution of certain characteristics as compared with recent prime securitizations. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau (CFPB) ability-to-repay rules, they were made to borrowers who generally do not qualify for agency, government or private-label non-agency prime jumbo products for various reasons. In accordance with the CFPB Qualified Mortgage (QM) rules, 13.1% of the loans are designated as QM Safe Harbor, 1.9% as QM Rebuttable Presumption and 54.5% as non-QM. Approximately 30.5% of the loans are investor loans and are not subject to the QM rules. As of the Cut-Off Date, 47.6% of the pool is serviced by Specialized Loan Servicing LLC, 42.4% by Select Portfolio Servicing, Inc. and 10.0% by Quicken Loans, Inc. Wells Fargo Bank, N.A. (Wells Fargo; rated AA, Stable by DBRS) will act as the Master Servicer, Paying Agent and Custodian. OBF will act as the Principal & Interest (P&I) Advancing Party. Wilmington Savings Fund Society, FSB, will serve as Trustee. Advances of delinquent P&I will be made on any loan until such loan becomes 120 days delinquent to the extent such advances are determined to be recoverable. The servicers are obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. The transaction employs a senior-subordinate shifting-interest cash-flow structure that is enhanced from a pre-crisis structure. Third-party due diligence was conducted on all the loans in the pool. Credit and compliance reviews were performed on all the loans, and property valuation reviews were performed on all but one loan in the pool. Data integrity checks were also performed on the pool. For certain seasoned loans, additional third-party due diligence was performed with respect to tax, title and lien, servicing comments and pay histories. The Seller will be making representations and warranties (R&Ws) for the life of the transaction. For loans designated as seasoned mortgage loans (loans originated on or prior to July 1, 2016), certain R&Ws will be inapplicable. The Seller intends to retain 5% of the fair value of all the Notes issued by the Issuer (other than the Class R Notes) and the trust certificate to satisfy the credit risk retention requirements. STRENGTHS -- Robust Pool Composition -- Satisfactory Underwriting Standards -- Third-Party Due Diligence Review -- Structural Enhancements CHALLENGES -- Non-QM and Investor loans -- R&W Framework -- Geographic Concentration -- Limited Servicing Advances 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. Notes: All figures are in U.S. dollars unless otherwise noted. OHA CREDIT XI: S&P Assigns B- Rating on Class F-R Notes ------------------------------------------------------- S&P Global Ratings assigned ratings to OHA Credit Partners XI Ltd./OHA Credit Partners XI LLC's floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool. -- 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 OHA Credit Partners XI Ltd./OHA Credit Partners XI LLC Class Rating Amount (mil. $) A-1-R AAA (sf) 232.00 A-2-R NR 25.00 B-R AA (sf) 48.00 C-R A (sf) 23.00 D-R BBB- (sf) 24.00 E-R BB- (sf) 14.25 F-R B- (sf) 6.25 Subordinated notes NR 35.46 NR--Not rated. PARK AVENUE 2018-1: S&P Assigns BB- Rating on Class D Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Park Avenue Institutional Advisers CLO Ltd. 2018-1/Park Avenue Institutional Advisers CLO LLC 2018-1's floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated senior secured term loans. The ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' or 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. RATINGS ASSIGNED Park Avenue Institutional Advisers CLO Ltd. 2018-1 Class Rating Amount (mil. $) A-1A AAA (sf) 238.00 A-1B NR 10.00 A-2 AA (sf) 57.00 B (deferrable) A (sf) 22.00 C (deferrable) BBB- (sf) 25.00 D (deferrable) BB- (sf) 14.00 Subordinated notes NR 37.75 NR--Not rated. PRESTIGE AUTO 2016-1: S&P Raises Class E Notes Rating to BB+ ------------------------------------------------------------ S&P Global Ratings raised its ratings on six classes from Prestige Auto Receivables Trust series 2015-1 and 2016-1. At the same time, S&P affirmed its ratings on two classes from the same transactions. S&P said, "The rating actions reflect the transactions' collateral performance to date, our views regarding future collateral performance, the transactions' structures, and the credit enhancement available. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the creditworthiness of the notes is consistent with the raised and affirmed ratings. "Series 2015-1 and 2016-1 have been performing worse than we had initially expected and previous revisions to our loss expectations. As a result, we raised our loss expectations for these series because of higher-than-expected losses and our view of future collateral performance." Table 1 Collateral Performance (%) As of the October 2018 distribution date Pool Current 60-plus days Series Mo. factor CNL delinquent 2015-1 43 19.96 12.80 4.98 2016-1 31 37.45 11.09 4.73 Mo.--Month. CNL--cumulative net loss. Table 2 CNL Expectations (%) Original Revised Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp.(ii) 2015-1 11.25-11.75 13.00-13.75 14.00-14.50 2016-1 12.25-12.75 N/A 16.90-17.40 (i)As of September 2017. (ii)As of October 2018. CNL exp.--Cumulative net loss expectations. N/A--Not applicable. Each transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. Each also has credit enhancement in the form of a non-amortizing reserve account, overcollateralization, subordination for the higher-rated tranches, and excess spread. The credit enhancement for each of the transactions is at the specified target or floor, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. Since the transactions closed, the credit support for each series has increased as a percentage of the amortizing pool balance. Table 3 Hard Credit Support (%) As of the October 2018 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) 2015-1 C 15.50 68.60 2015-1 D 6.50 23.52 2015-1 E 4.50 13.51 2016-1 A-3 36.20 97.80 2016-1 B 28.40 76.97 2016-1 C 16.90 46.26 2016-1 D 9.10 25.43 2016-1 E 5.50 15.82 (i)Consists of overcollateralization and a reserve account, as well as subordination for the higher tranches, and excludes excess spread that can also provide additional enhancement. S&P said, "We incorporated an analysis of the current hard credit enhancement compared to the expected remaining expected cumulative net loss for those classes for which hard credit enhancement alone, without credit to the expected excess spread, was sufficient in our opinion to affirm or upgrade the notes to 'AAA (sf)'. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. We also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance, compared with our expected remaining losses, is commensurate with each raised or affirmed rating. We will continue to monitor the performance of all of the outstanding transactions to ensure that the credit enhancement remains sufficient to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes." RATINGS RAISED Prestige Auto Receivables Trust Rating Series Class To From 2015-1 D AA+ (sf) A- (sf) 2015-1 E A (sf) BBB- (sf) 2016-1 B AAA (sf) AA+ (sf) 2016-1 C AA+ (sf) AA- (sf) 2016-1 D A- (sf) BBB+ (sf) 2016-1 E BB+ (sf) BB (sf) RATINGS AFFIRMED Prestige Auto Receivables Trust Series Class Rating 2015-1 C AAA (sf) 2016-1 A-3 AAA (sf) SATURNS TRUST 2003-1: S&P Cuts Rating on $60.192MM Units to D ------------------------------------------------------------- S&P Global Ratings lowered its rating on Structured Asset Trust Unit Repackagings (SATURNS) Trust No. 2003-1's $60.192 million units to 'D' from 'CCC-'. S&P's rating on the units is dependent on its rating on the underlying security, Sears Roebuck Acceptance Corp.'s 7.00% notes due June 1, 2032 ('D'). The rating action reflects the Oct. 15, 2018, lowering of S&P's rating on the underlying security to 'D' from 'CCC-'. SDART 2017-3: S&P Raises Rating on Class E Notes to BB+ ------------------------------------------------------- S&P Global Ratings raised its ratings on 21 classes and affirmed its ratings on eight classes from eight Santander Drive Auto Receivables Trust (SDART) transactions that are backed by new and used vehicles. The rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as the transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all of these factors, we believe the notes' creditworthiness remains consistent with the affirmed and raised ratings. S&P said, "All the transactions are performing better than we initially expected. As a result, we lowered our loss expectation because of lower-than-expected default frequencies and our view of future collateral performance." Table 1 Collateral Performance (%) As of the October 2018 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 2014-3 52 10.89 11.78 7.85 2014-4 49 13.63 11.99 7.02 2015-1 44 17.87 10.54 6.94 2015-2 42 19.94 10.60 7.29 2015-5 36 24.88 9.84 6.35 2017-1 20 48.92 6.37 4.51 2017-2 17 53.52 5.38 4.78 2017-3 13 65.11 3.69 4.63 Mo.--Month. Delinq.--Delinquencies. CNL--Cumulative net loss. Table 2 CNL Expectations (%) As of the October 2018 distribution date Original Revised lifetime lifetime Series CNL exp. CNL exp. 2014-3 15.00-16.00 up to 12.50 2014-4 15.00-16.00 up to 13.25 2015-1 15.25-16.00 12.25-12.75 2015-2 15.25-16.00 12.50-13.00 2015-5 15.50-16.25 12.75-13.75 2017-1 15.50-16.25 15.00-15.75 2017-2 15.75-16.50 15.00-15.75 2017-3 15.75-16.50 15.00-16.00 CNL exp.--Cumulative net loss expectation. Each transaction contains sequential principal payment structures by which the notes are paid principal by seniority. Each tranche has credit enhancement in the form of a nonamortizing reserve account, overcollateralization, subordination for the senior tranches, and excess spread. The sequential payment structures increase subordination as a percentage of the amortizing pools for the senior classes. The credit enhancement for all series are at their specified target or floor, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. S&P said, "The affirmed and raised ratings reflect our view that the total credit support as a percentage of the amortizing pool balance, compared with our expected remaining losses, is commensurate with each affirmed and raised rating." Table 3 Hard Credit Support (%) As of the October 2018 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) 2014-3 D 17.00 81.26 2014-3 E 12.00 35.36 2014-4 D 17.00 68.37 2014-4 E 12.00 31.68 2015-1 C 24.75 99.53 2015-1 D 17.00 56.17 2015-1 E 12.00 28.19 2015-2 C 24.75 89.98 2015-2 D 17.00 51.11 2015-2 E 12.00 26.03 2015-5 C 26.20 81.13 2015-5 D 17.00 44.14 2015-5 E 12.00 24.04 2017-1 A-3 50.70 97.16 2017-1 B 40.10 75.49 2017-1 C 27.30 49.32 2017-1 D 17.00 28.27 2017-1 E 13.00 20.09 2017-2 A-3 52.10 92.80 2017-2 B 41.25 72.52 2017-2 C 28.00 47.77 2017-2 D 18.00 29.08 2017-2 E 13.00 19.74 2017-3 A-2 52.10 79.12 2017-3 A-3 52.10 79.12 2017-3 B 41.25 62.46 2017-3 C 28.00 42.11 2017-3 D 18.00 26.75 2017-3 E 13.00 19.07 (i)Calculated as a percentage of the total gross receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "We incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given the transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on the rating if losses began trending higher than our revised base-case loss expectation. The results show consistency with our credit stability criteria for each raised and affirmed rating. In our view, the results demonstrated that the classes have adequate credit enhancement at the affirmed and raised rating levels. We will continue to monitor the performance of the transaction to ensure that credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for the rated classes." RATINGS RAISED Santander Drive Auto Receivables Trust Rating Series Class To From 2014-3 E AAA (sf) AA (sf) 2014-4 E AAA (sf) A (sf) 2015-1 D AAA (sf) AA+ (sf) 2015-1 E AA- (sf) A- (sf) 2015-2 D AAA (sf) AA (sf) 2015-2 E AA- (sf) BBB+ (sf) 2015-5 C AAA (sf) AA+ (sf) 2015-5 D AAA (sf) A (sf) 2015-5 E A (sf) BBB- (sf) 2017-1 B AAA (sf) AA (sf) 2017-1 C AA (sf) A (sf) 2017-1 D BBB+ (sf) BBB (sf) 2017-1 E BB+ (sf) BB (sf) 2017-2 B AAA (sf) AA (sf) 2017-2 C AA (sf) A (sf) 2017-2 D BBB+ (sf) BBB (sf) 2017-2 E BB+ (sf) BB (sf) 2017-3 B AAA (sf) AA (sf) 2017-3 C AA- (sf) A (sf) 2017-3 D BBB+ (sf) BBB (sf) 2017-3 E BB+ (sf) BB (sf) RATINGS AFFIRMED Santander Drive Auto Receivables Trust Series Class Rating 2014-3 D AAA (sf) 2014-4 D AAA (sf) 2015-1 C AAA (sf) 2015-2 C AAA (sf) 2017-1 A-3 AAA (sf) 2017-2 A-3 AAA (sf) 2017-3 A-2 AAA (sf) 2017-3 A-3 AAA (sf) STACR 2018-HRP2: S&P Assigns Prelim B Rating on 3 Tranches ---------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR Trust 2018-HRP2's notes. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by prime, high original loan-to-value (LTV), seasoned, fully amortizing, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing. The preliminary ratings are based on information as of Nov. 8, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pool, which consists of prime, high original loan-to-value (LTV), seasoned, fully amortizing, fixed-rate mortgages partly covered by mortgage insurance backstopped by Freddie Mac; -- A credit-linked note structure that reduces the counterparty exposure to Freddie Mac for periodic principal payments but, at the same time, relies on credit premium payments from Freddie Mac (a highly rated counterparty) to make monthly interest payments and to make up for any investment losses; -- The issuer's aggregation experience and alignment of interests between the issuer and noteholders in the deal's performance, which, in S&P's view, enhances the notes' strength; and -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties (R&Ws) framework. PRELIMINARY RATINGS ASSIGNED Freddie Mac STACR Trust 2018-HRP2 Class Rating Amount (mil. $) A-H(i) NR 22,499,052,472 M-1 A+ (sf) 104,000,000 M-1H(i) NR 75,513,717 M-2 A (sf) 138,000,000 M-2R A (sf) 138,000,000 M-2S A (sf) 138,000,000 M-2T A (sf) 138,000,000 M-2U A (sf) 138,000,000 M-2I A (sf) 138,000,000 M-2A A+ (sf) 69,000,000 M-2AR A+ (sf) 69,000,000 M-2AS A+ (sf) 69,000,000 M-2AT A+ (sf) 69,000,000 M-2AU A+ (sf) 69,000,000 M-2AI A+ (sf) 69,000,000 M-2AH(i) NR 50,675,812 M-2B A (sf) 69,000,000 M-2BR A (sf) 69,000,000 M-2BS A (sf) 69,000,000 M-2BT A (sf) 69,000,000 M-2BU A (sf) 69,000,000 M-2BI A (sf) 69,000,000 M-2RB A (sf) 69,000,000 M-2SB A (sf) 69,000,000 M-2TB A (sf) 69,000,000 M-2UB A (sf) 69,000,000 M-2BH(i) NR 50,675,812 M-3 BBB- (sf) 278,000,000 M-3R BBB- (sf) 278,000,000 M-3S BBB- (sf) 278,000,000 M-3T BBB- (sf) 278,000,000 M-3U BBB- (sf) 278,000,000 M-3I BBB- (sf) 278,000,000 M-3A BBB+ (sf) 139,000,000 M-3AR BBB+ (sf) 139,000,000 M-3AS BBB+ (sf) 139,000,000 M-3AT BBB+ (sf) 139,000,000 M-3AU BBB+ (sf) 139,000,000 M-3AI BBB+ (sf) 139,000,000 M-3AH(i) NR 100,351,623 M-3B BBB- (sf) 139,000,000 M-3BR BBB- (sf) 139,000,000 M-3BS BBB- (sf) 139,000,000 M-3BT BBB- (sf) 139,000,000 M-3BU BBB- (sf) 139,000,000 M-3BI BBB- (sf) 139,000,000 M-3RB BBB- (sf) 139,000,000 M-3SB BBB- (sf) 139,000,000 M-3TB BBB- (sf) 139,000,000 M-3UB BBB- (sf) 139,000,000 M-3BH(i) NR 100,351,623 B-1 BB- (sf) 138,000,000 B-1A BB+ (sf) 69,000,000 B-1AR BB+ (sf) 69,000,000 B-1AI BB+ (sf) 69,000,000 B-1AH(i) NR 50,675,812 B-1B BB- (sf) 69,000,000 B-1BH(i) NR 50,675,812 B-2 NR 138,000,000 B-2A B (sf) 69,000,000 B-2AR B (sf) 69,000,000 B-2AI B (sf) 69,000,000 B-2AH(i) NR 50,675,812 B-2B NR 69,000,000 B-2BH(i) NR 50,675,812 B-3H(i) NR 59,837,906 (i) Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. THL CREDIT 2015-1: Moody's Gives (P)B3 Rating on $12MM F-RR Notes ----------------------------------------------------------------- Moody's Investors Service has assigned provisional ratings to nine classes of CLO refinancing notes to be issued by THL Credit Wind River 2015-1 CLO Ltd.: Moody's rating action is as follows: US$1,350,000 Class X Senior Secured Floating Rate Notes due 2030 (the "Class X Notes"), Assigned (P)Aaa (sf) US$370,050,000 Class A-1-RR Senior Secured Floating Rate Notes due 2030 (the "Class A-1-RR Notes"), Assigned (P)Aaa (sf) US$21,060,000 Class A-2-RR Senior Secured Floating Rate Notes due 2030 (the "Class A-2-RR Notes"), Assigned (P)Aaa (sf) US$62,580,000 Class B-RR Senior Secured Floating Rate Notes due 2030 (the "Class B-RR Notes"), Assigned (P)Aa2 (sf) US$14,745,000 Class C-1-RR Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-1-RR Notes"), Assigned (P)A2 (sf) US$14,745,000 C-2-RR Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C-2-RR Notes"), Assigned (P)A2 (sf) US$37,310,000 Class D-RR Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class D-RR Notes"), Assigned (P)Baa3 (sf) US$33,100,000 Class E-RR Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class E-RR Notes"), Assigned (P)Ba3 (sf) US$12,030,000 Class F-RR Junior Secured Deferrable Floating Rate Notes due 2030 (the "Class F-RR Notes"), Assigned (P)B3 (sf) Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. THL Credit Advisors LLC (the "Manager") manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE The provisional ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer will issue the Refinancing Notes on November 21, 2018 (the "Second Refinancing Date") in connection with the refinancing of (i) certain classes of the secured notes (the "Refinanced Original Notes") previously issued on July 9, 2015 (the "Original Closing Date") and (ii) ) certain classes of the secured notes (the "First Refinancing Notes" and together with the Refinanced Original Notes, the "Refinanced Notes") previously refinanced and issued on August 9, 2017. On the Second Refinancing Date, the Issuer will use proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced 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: reinstatement and 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: $603,522,244 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2950 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.00% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the 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. TIAA BANK 2018-3: DBRS Finalizes BB Rating on Class B-4 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on 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 residential mortgage-backed security (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. Notes: All figures are in U.S. dollars unless otherwise noted. TOWD POINT 2018-6: DBRS Finalizes B Rating on $27.6MM B2 Notes -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Asset-Backed Securities, Series 2018-6 (the Notes) issued by Towd Point Mortgage Trust 2018-6 (the Trust or the Issuer): -- $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 (low) (sf) -- $33.8 million Class B1 at BB (low) (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 enhancement provided by subordinated notes in the pool. The AA (sf), A (sf), BBB (low) (sf), BB (low) (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- and 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 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/Qualified Mortgage 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, a 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 (low) (sf), BB (low) (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. Notes: All figures are in U.S. dollars unless otherwise noted. TRALEE CLO V: S&P Assigns BB- Rating on $17MM Class E Notes ----------------------------------------------------------- S&P Global Ratings assigned its ratings to Tralee CLO V Ltd./Tralee CLO V LLC's floating-rate notes. The note issuance is a collateralized loan obligation transaction backed primarily by broadly syndicated secured term loans. The 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 Tralee CLO V Ltd./Tralee CLO V LLC Class Rating Amount (mil. $) A-X AAA (sf) 4.00 A-1 AAA (sf) 256.00 B AA (sf) 50.00 C (deferrable) A (sf) 25.00 D (deferrable) BBB- (sf) 20.00 E (deferrable) BB- (sf) 17.00 Subordinated notes NR 36.00 NR--Not rated. VERUS SECURITIZATION 2018-3: S&P Assigns B+ Rating on B-2 Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to Verus Securitization Trust 2018-3's $429.961 million mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residential properties, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator, Invictus Capital Partners. RATINGS ASSIGNED Verus Securitization Trust 2018-3 Class Rating(i) Amount ($) A-1 AAA (sf) 285,515,000 A-2 AA (sf) 30,078,000 A-3 A (sf) 61,924,000 M-1 BBB- (sf) 28,972,000 B-1 BB- (sf) 17,472,000 B-2 B+ (sf) 6,000,000 B-3 NR 12,356,117 A-IO-S NR Notional(ii) XS NR Notional(ii) P NR 100 R NR N/A (i)The ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' stated principal balance. N/A--Not applicable. NR--Not rated. WACHOVIA BANK 2006-C29: S&P Raises Class C Certs Rating to CCC -------------------------------------------------------------- S&P Global Ratings raised its rating on the class C commercial mortgage pass-through certificates from Wachovia Bank Commercial Mortgage Trust's series 2006-C29, a U.S. commercial mortgage-backed securities (CMBS) transaction to 'CCC (sf)' from 'D (sf)'. S&P said, "Class C was previously lowered to 'D (sf)' due to accumulated interest shortfalls that we expected to remain outstanding for a prolonged period of time. We raised our rating on the class from 'D (sf)' because the prior interest shortfalls from specially serviced assets have been repaid in full since November 2017, and we do not believe, at this time, a further default of the certificate class is virtually certain. "While available credit enhancement levels suggest further positive rating movement on class C, our analysis also considered the magnitude of assets currently with the special servicer (seven; $77.2 million, 84.8% of the asset balance), the susceptibility to reduced liquidity support from these seven specially serviced assets and the uncertainty surrounding the borrower's ability and timing to refinance the sole performing nondefeased loan, the 100 Carillon Parkway loan ($10.0 million, 10.9%), which did not pay off upon its Nov. 11, 2016, anticipated repayment date. Three of the seven specially serviced assets have been deemed non-recoverable and we believe that additional assets that the master servicer deemed non-recoverable would further reduced liquidity support to the certificate class." TRANSACTION SUMMARY As of the Oct. 17, 2018, trustee remittance report, the pool trust balance was $95.2 million, which is 2.8% of the pool trust balance at issuance. However, the reported collateral pool balance was $91.1 million for the same reporting period. The trust currently includes three loans and six real estate owned (REO) assets (reflecting the Shops at Volente – A and B notes as one asset), down from 142 loans at issuance. Seven of these assets are with the special servicer and one loan ($3.9 million, 4.2%) is defeased. For the 100 Carillon Parkway loan, the sole performing nondefeased loan, S&P calculated a 1.11x S&P Global Ratings debt service coverage (DSC) and 90.6% S&P Global Ratings loan-to-value (LTV) ratio using an 8.25% S&P Global Ratings capitalization rate. To date, the transaction has experienced $238.4 million in principal losses, or 7.1% of the original pool trust balance. S&P expects losses to reach approximately 7.8% of the original pool trust balance in the near term, based on losses incurred to date and additional losses it expects upon the eventual resolution of the seven specially serviced assets. CREDIT CONSIDERATIONS As of the Oct. 17, 2018, trustee remittance report, seven assets in the pool were with the special servicer, LNR Partners LLC (LNR). Details of the two largest specially serviced assets, are as follows: -- The Boulder Crossing Shopping Center REO asset ($21.0 million, 23.1% of the asset balance) is the largest asset in the pool and has a total reported exposure of $21.7 million. The asset is a 107,705-sq.-ft. retail property in Las Vegas. The loan was transferred to the special servicer on Nov. 21, 2016, because of maturity default. The loan matured on Nov. 11, 2016. The asset became REO on Oct. 5, 2017. Per LNR, the property was listed for sale in February 2018 but it failed to trade. An appraisal reduction amount of $5.8 million is in effect against this asset. S&P expects a minimal loss (less than 25%) upon this asset's eventual resolution. -- The Chestnut Run REO asset ($16.6 million, 18.2%) is the second-largest asset in the pool and has a total reported exposure of $17.6 million. The asset is a 98,500-sq.-ft. suburban office building in Wilmington, Del. The loan was transferred to the special servicer on June 17, 2013, for imminent default due to cash flow issues. The asset became REO on March 27, 2017. LNR indicated that it is working on leasing up the vacant space and the property is not being marketed for sale at this time. The master servicer has deemed the asset non-recoverable. S&P expects a moderate loss (26%-59%) upon this asset's eventual resolution. The five remaining assets with the special servicer each have individual balances that represent less than 12.0% of the total pool trust balance. S&P estimated losses for the seven specially serviced assets, arriving at a weighted-average loss severity of 32.7%. WELLFLEET CLO 2016-2: Moody's Rates $19.2MM Class D-R Debt 'Ba3' ---------------------------------------------------------------- Moody's Investors Service has assigned ratings to five classes of CLO refinancing notes issued by Wellfleet CLO 2016-2, Ltd.: Moody's rating action is as follows: US$260,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1-R Notes"), Assigned Aaa (sf) US$44,750,000 Class A-2-R Senior Secured Floating Rate Notes due 2028 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$18,250,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned A2 (sf) US$26,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2028 (the "Class C-R Notes"), Assigned Baa3 (sf) US$19,200,000 Class D-R Junior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Ba3 (sf) The Issuer is a managed cash flow collateralized loan obligation. The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. Wellfleet Credit Partners, LLC manages the CLO. It directs the selection, acquisition, and disposition of collateral on behalf of the Issuer. RATINGS RATIONALE The ratings reflect the risks due to defaults on the underlying portfolio of assets, the transaction's legal structure, and the characteristics of the underlying assets. The Issuer has issued the Refinancing Notes on November 8, 2018 in connection with the refinancing of all classes of the secured notes previously issued on November 3, 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 non-call period, changes to certain collateral quality tests and changes to the overcollateralization test levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2017. The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $400,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2962 Weighted Average Spread (WAS): 3.50% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 46.75% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in August 2017. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. WELLS FARGO 2011-C2: Fitch Affirms Bsf Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed seven classes of WFRBS Commercial Mortgage Trust 2011-C2 Commercial Mortgage Pass-Through Certificates. KEY RATING DRIVERS Stable Loss Expectations: The affirmations reflect the stable performance of the majority of the pool since issuance. There are no realized losses since issuance. Four loans (15.1% of the pool) are designated as Fitch Loans of Concern (FLOCs), three of which are in the top 15, including two regional malls that have suffered performance deterioration. Increased Credit Enhancement; Substantial Paydown and Defeasance: As of the October 2018 distribution date, the pool's aggregate principal balance was reduced by 46.2% to $699.2 million from $1.299 billion at issuance. Eleven loans (26.2% of the pool) are fully defeased, including three loans in the top 15 (19.5%). Only one loan, CCPT III 24 Portfolio (4.9%), is full-term, interest-only. All other loans are currently amortizing. Fitch Loans of Concern: The largest FLOC is Patton Creek (5.7%), which is secured by a 484,706-sf retail power center located in Hoover, AL that has experienced declining occupancy and cash flow since issuance. Property occupancy is expected to further drop to approximately 79% due to the third largest tenant, Christmas Tree Shops vacating prior to its January 2022 lease expiration. The second FLOC is Port Charlotte Town Center (5.0%), which is secured by fee and leasehold interests in a 489,695-sf regional mall located in Port Charlotte, FL. While occupancy as of TTM June 2018 remained strong at 92%, in-line sales have declined to $239 psf as of TTM May 2018 from $292 psf at issuance. Sears, which is a collateral anchor at the mall, has a lease expiring at YE 2019. The third FLOC is Aviation Mall (3.0%), which is secured by a 504,675-sf regional mall located in Queensbury, NY. Bon-Ton vacated the property in April 2018 following its parent company's bankruptcy and Sears (18.4%) will vacate in November 2018 ahead of its lease expiration. The property will be approximately 46.7% occupied upon the departure of Sears. The last FLOC is Campus South & Oakbrook (1.3%), which is secured by two office properties located in Reston, VA (1.3%) that have experienced declining occupancy. Occupancy as of June 2018 had dropped to 68% due to tenants vacating at or prior to lease expirations in 2017 and 2018. The servicer reported YTD June 2018 NOI DSCR has fallen to 0.91x. Alternative Loss Considerations: Fitch performed an additional sensitivity scenario, which assumed potential outsized losses of 50% on the Port Charlotte Town Center loan and 100% on the Aviation Mall loan, while also factoring in the expected paydown of the transaction from defeased loans. The Negative Outlooks on classes E and F reflect this analysis. ADDITIONAL CONSIDERATIONS Retail Concentration: Approximately 49.4% of the remaining pool balance consists of loans secured by retail properties, including 10 properties in the top 15, three of which have been designated FLOCs (13.8%). Additionally, the pool is highly concentrated, with the top 10 and 15 loans accounting for approximately 64.0% and 77.7% of the pool balances, respectively. Maturity Schedule: 25.3% of the pool matures in 2020 and 74.7% of the pool matures in 2021. RATING SENSITIVITIES The Negative Outlooks on classes E and F reflect performance concerns and the potential for outsized losses on the FLOCs, particularly the Port Charlotte Town Center and Aviation Mall loans. The Stable Outlooks reflect the increased credit enhancement and stable performance of the majority of the remaining pool. Upgrades are possible with further paydown and defeasance. Downgrades are possible should performance of the FLOCs continue to deteriorate. Deutsche Bank is the trustee for the transaction, and also serves as the backup advancing agent. Fitch's Issuer Default Rating for Deutsche Bank is currently 'BBB+'/Negative/'F2'. Fitch relies on the master servicer, Wells Fargo & Company ('A+'/'F1'; Outlook Stable), which is currently the primary advancing agent, as a direct counterparty. Fitch provided ratings confirmation on Jan. 24, 2018. DUE DILIGENCE USAGE PURSUANT TO SEC RULE 17G-10 No third-party due diligence was provided or reviewed in relation to this rating. Fitch has affirmed the Ratings and revised the Outlooks on the following classes: -- $21.1 million class E at 'BBsf'; Outlook to Negative from Stable; -- $14.6 million class F at 'Bsf'; Outlook to Negative from Stable. Fitch has affirmed the following classes: -- $476.7 million class A-4 at 'AAAsf'; Outlook Stable; -- $476.7 million class X-A* at 'AAAsf'; Outlook Stable; -- $39.0 million class B at 'AAAsf'; Outlook Stable; -- $43.9 million class C at 'Asf'; Outlook Stable; -- $68.2 million class D at 'BBBsf'; Outlook Stable. * Notional amount and interest-only. The class A-1, A-2 and A-3 certificates have paid in full. Fitch does not rate the class G or interest-only class X-B certificates. WELLS FARGO 2012-C6: Fitch Affirms Bsf Rating on Class F Certs -------------------------------------------------------------- Fitch Ratings has affirmed nine classes of Wells Fargo Commercial Mortgage Securities Inc. commercial mortgage pass-through certificates series 2012-C6. KEY RATING DRIVERS Stable Loss Expectations: Since issuance, base case loss expectations have remained relatively stable. While there are five Fitch Loans of Concern totaling 6.6% of the pool, overall performance of the pool has been stable. The Fitch Loans of Concern include two specially serviced hotel loans (2.0% of the pool), and two loans in the top 20, Commerce Park IV &V (2.0%) and Montclair on the Park - Missouri (1.8%), both of which have experienced declines in occupancy. Increasing Credit Enhancement: The pool has paid down approximately 25.7% since issuance, which has resulted in an increase in credit enhancement. In addition, 10 loans totaling 11.9% of the pool are currently defeased. Alternative Loss Considerations: Fitch Loans of Concern total 6.6% of the pool. Fitch's analysis also included an additional sensitivity stress on the Commerce Park IV & V (2.0%) loan which applied a total 50% loss. The loan's performance has declined due to a decline in occupancy as of June 2018 to 72.4% compared to 93.2% at issuance. In addition, 34.6% of space has leases that roll by year end 2019. This contributed to the Negative Outlook on class F. The two specially serviced loans (2.0%) are collateralized by hotel properties. The Holiday Inn - Odessa (1.0%) is a 102-key hotel located in Odessa, TX, on the Permian Shale basin. The property was affected by the downturn in the oil & gas industry and the borrower executed a forbearance agreement in November 2017, in order to complete a substantial PIP to boost property performance. Cash flow at the property has subsequently increased. The Hampton Inn - Pennsylvania (1.0%) recently transferred to special servicing as a result of declines in the Pittsburgh hotel market, related to new and increasing supply in the market. The loan remains current and the borrower is in the process of renovating the hotel, in an effort to remain competitive. Concentration: Approximately 31 loans in the pool, totaling 39.7% of total balance are collateralized by retail properties. However, none of the loans in the pool are secured by regional malls, reflecting only a modest increase, from 34.7% at issuance. Additionally, concentrations in several property types, such as lodging, self-storage, and manufactured housing have decreased, given loan payoffs and defeasance. RATING SENSITIVITIES The Rating Outlook on class F remains Negative based on sensitivity testing performed on the Commerce Park IV & V loan. 50% loss was applied given substantial declines in occupancy and cash flow since issuance, as well as significant tenant rollover through year-end 2019. Downgrades are possible if pool performance deteriorates or if the Commerce Park IV & V loan defaults and transfers to special servicing. The Stable Outlooks on classes A-3 through E reflect the generally stable performance of the pool since issuance as well as the increased credit enhancement due to paydown and defeasance. Upgrades are possible in the event of improved pool performance, paydown, and/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 the following ratings: -- $24.1 million class A-3 at 'AAAsf'; Outlook Stable; -- $385.4 million class A-4 at 'AAAsf'; Outlook Stable; -- $510.1 million class X-A at 'AAAsf'; Outlook Stable; -- $100.6 million class A-S at 'AAAsf'; Outlook Stable; -- $42.8 million class B at 'AAsf'; Outlook Stable; -- $31.2 million class C at 'Asf'; Outlook Stable; -- $47.4 million class D at 'BBB-sf'; Outlook Stable; -- $13.9 million class E at 'BBsf'; Outlook Stable; -- $13.9 million class F at 'Bsf'; Outlook Negative. Fitch does not rate the class X-B or G certificates. Class A-1 and A-2 have paid in full. WFRBS COMM'L 2014-C21: DBRS Confirms B Rating on Class F Certs -------------------------------------------------------------- DBRS Limited confirmed the ratings on the Commercial Mortgage Pass-Through Certificates, Series 2014-C21 issued by WFRBS Commercial Mortgage Trust 2014-C21 as follows: -- Class A-2 at AAA (sf) -- Class A-3 at AAA (sf) -- Class A-4 at AAA (sf) -- Class A-5 at AAA (sf) -- Class A-S at AAA (sf) -- Class A-SB at AAA (sf) -- Class A-SBFL at AAA (sf) -- Class A-SBFX 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 X-C at BB (high) (sf) -- Class E at BB (sf) -- Class X-D at B (high) (sf) -- Class F at B (sf) All trends are Stable. In addition, due to investor request, DBRS has provided a European Union (EU) endorsement for Class D. The transaction was last reviewed in August 2018, when all classes were confirmed with Stable trends. This review confirms that as of the October 2018 remittance, there have been no material changes to this transaction since the previous review, thereby supporting the confirmations. The rating confirmations reflect the overall stable performance of the transaction since issuance. The collateral consists of 120 fixed-rate loans secured by 140 commercial properties. As of the July 2018 remittance, there has been a total collateral reduction of 5.3% as a result of scheduled loan amortization and one loan paid in full. The remaining loans in the pool have a current trust balance of $1,351 million. Based on the most recent year-end (YE) reporting available, the portfolio exhibited a weighted-average (WA) debt service coverage ratio (DSCR) and in-place debt yield of 1.71x and 10.2%, respectively, compared with 1.81x and 10.2%, respectively, at issuance. The top 15 loans reported a WA DSCR and debt yield of 1.75x and 9.8%, respectively, reflective of a WA cash flow improvement of 6.8% since issuance, based on the YE2017 cash flow figures. It is noteworthy that there are two regional malls located in secondary markets within the top 15 loans, collectively representing 4.9% of the pool in Montgomery Mall (Prospectus ID #9, 3.2% of the pool) and Oak Court Mall (Prospectus ID #15, 1.7% of the pool). Cash flows are generally healthy for both loans, but there are some concerns with the Oak Court Mall occupancy trends. For further detail, please see the loan commentary for both on the DBRS Viewpoint site, for which information has been provided below. Six loans, comprising 7.9% of the pool, are scheduled to mature in June and July of 2019, including the Sheraton Austin loan (Prospectus ID #3, 4.7% of the pool). In general, the refinance profile for these loans is healthy, with a WA DSCR and debt yield of 2.52x and 11.4%, respectively. One exception is the Fitch Apartments loan (Prospectus ID #52, 0.5% of the pool), which currently in special servicing and further is discussed below. As of the October 2018 remittance, there are 23 loans, representing 25.3% of the pool balance, on the servicer’s watch list. Eighteen of these loans, representing 19.2% of the pool balance, were also on the servicer’s watch list at the time of the August 2018 review. Additionally, one loan, representing 0.5% of the pool balance, is in special servicing. The watch listed loans are being monitored for a variety of reasons, and while the high watch list concentration is notable, in general, DBRS believes the outlook is healthy for the largest loans being monitored, including four of the top 15 loans in the pool, which cumulatively represent 17.0% of the pool. In the event the risk for these loans is significantly increased from issuance, DBRS applied a stressed cash flow scenario in the analysis to reflect those developments. The specially serviced loan, Fitch Apartments, was also in special servicing at the time of the August 2018 review. The loan is being marketed for sale by the receiver and the special servicer expects the loan to be resolved by YE2018. DBRS assumed a loss severity in excess of 35.0% for this loan, based on the most recent appraised value and the time expected to resolve. In addition, Best Western Premier Hotel (Prospectus ID #19, 1.3% of the pool), was in special servicing at the time of the August 2018 review, which was anticipated to return to the master servicer. The loan was returned to the master servicer with the August 2018 remittance and was subsequently removed from the servicer’s watch list with the October 2018 remittance, as performance has rebounded following the completion of the renovation work and the conversion of the property to the Hotel Indigo flag. 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. Notes: All figures are in U.S. dollars unless otherwise noted. WFRBS COMMERCIAL 2014-C19: Fitch Affirms BB- Rating on Cl. E Certs ------------------------------------------------------------------ Fitch Ratings has affirmed 14 classes of WFRBS Commercial Mortgage Trust, 2014-C19 commercial mortgage pass-through certificates. KEY RATING DRIVERS Sufficient Credit Enhancement to Offset Higher Loss Expectations: The affirmations reflect sufficient credit enhancement to offset Fitch Ratings' higher loss expectations. The increase in loss expectations was primarily driven by the concentrated and upcoming tenant rollover risk in connection with the largest Fitch Loans of Concern, and expected losses associated with the specially serviced loans/assets. As of the October 2018 distribution date, the pool has been reduced by 7.8% to $1.02 billion from $1.10 billion at issuance. The pool has experienced 0.1%, or $1.3 million, in losses to date, which have been isolated to the non-rated, G class. Additionally, six loans (5.9%) are defeased, including the Charlottesville Apartment Portfolio, which is the 8th largest loan (2.7%). Over 89% of the pool is amortizing, which includes 23.5% that have exited an interest-only period. The initial pool is expected to pay down by 16.8% prior to maturity. Fitch Loans of Concern: Fitch has designated 12 Fitch Loans of Concern (11.5%), including two (4.3%) in the top 15 due to significant upcoming tenant rollover concerns and four (3.8%) specially serviced loans. The sixth largest loan, Brunswick Square (2.7%), is secured by a 292,685 square foot (sf) anchored retail center located in East Brunswick, NJ. Approximately 32% of the total square footage is expected to roll through 2019, including two top tenants, Barnes & Noble (8.5% of NRA) and Against All Odds (3.6% of NRA). The 13th largest loan, Alcoa Exchange (1.6%), is secured by a 134,390 sf anchored retail center in Bryant, AR. The largest collateral anchor, Best Buy (rated 'BBB' by Fitch; 21.9% of NRA) has an upcoming lease expiration in January 2019. Recent local news outlets indicate the tenant has announced they intend to vacate on November 1. The FLOCs outside of the top 15 were mainly flagged for declining performance. The largest specially serviced loan, Residence Inn Houston - Katy Mills (1.4%), which is secured by a 126-key Residence Inn located in Katy, TX, transferred to special servicing in June 2017 due to imminent monetary default. Property performance has been impacted by new market supply and exposure to the oil and gas industry. The HBO Self Storage loan (0.3%) is secured by a 523-unit self-storage property located in Panama City, FL which sustained significant damage from Hurricane Michael. Additional Loss Considerations: In addition to modeling a base case loss, Fitch applied additional stresses on the two largest FLOCs to address the potential for higher, outsized losses. Fitch applied a 50% loss on Brunswick Square and a 25% loss on Alcoa Exchange loans given the potential for further performance declines based on the expectation of a significant drop in occupancy due to upcoming rollover. Additionally, Fitch applied a 100% loss scenario on the HBO Self Storage as the property was significantly impacted by Hurricane Michael. This stress scenario contributed to the Negative Outlooks on classes E and F. ADDITIONAL CONSIDERATIONS Pool and Loan Concentrations: The pool has a high concentration of retail (31.1%) and hotel (23.1%) properties. The largest loan, Renaissance Chicago Downtown, comprises 8.6% of the pool. Additionally, the pool has exposure to non-traditional property types, including healthclub (6.7%), cold storage (5.3%) and independent senior housing (4.8%) in the top 15. RATING SENSITIVITIES The Negative Rating Outlook for classes E and F reflect an additional sensitivity analysis on the two largest FLOCs and a loan secured by a property damaged by Hurricane Michael. Rating downgrades are possible with further performance deterioration or limited positive leasing momentum. The Rating Outlooks on classes A-1 through D remain Stable due to increasing credit enhancement and expected continued paydown. Future rating upgrades may occur with improved pool performance and additional defeasance or paydown. USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10 No third party due diligence was provided to or reviewed by Fitch in relation to this rating action. Fitch has affirmed the following ratings: -- $27.9 million class A-2 at 'AAAsf'; Outlook Stable; -- $98.9 million class A-3 at 'AAAsf'; Outlook Stable; -- $210 million class A-4 at 'AAAsf'; Outlook Stable; -- $249.2 million class A-5 at 'AAAsf'; Outlook Stable; -- $101.9 million class A-SB at 'AAAsf'; Outlook Stable; -- $73.1 million class A-S at 'AAAsf'; Outlook Stable; -- $760.5 million class X-A* at 'AAA'; Outlook Stable; -- $175.2 million class X-B* at 'BBB-'; Outlook Stable; -- $75.9 million class B at 'AA-sf'; Outlook Stable; -- $40.0 million class C at 'A-sf'; Outlook Stable; -- $189.0 million class PEX at 'A-sf'; Outlook Stable; -- $59.3 million class D at 'BBB-sf'; Outlook Stable; -- $27.6 million class E at 'BB-sf'; Outlook Negative; -- $11.0 million class F at 'B-sf'; Outlook Negative. Class A-1 has been paid in full. Class A-S, B and C certificates may be exchanged for a related amount of class PEX certificates, and class PEX certificates may be exchanged for class A-S, B and C certificates. Fitch does not rate the $42.5 million class G certificates. * Notional amount and interest-only. WORLD OMNI 2018-1: S&P Assigns Prelim. BB Rating on Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to World Omni Select Auto Trust 2018-1's (WOSAT 2018-1's) asset-backed notes series 2018-1. The note issuance is an asset-backed securities transaction backed by Subprime auto loan receivables. The preliminary ratings are based on information as of Oct. 31, 2018. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 34.4%, 28.7%, 22.8%, 17.7%, and 14.9% credit support for the class A, B, C, D, and E notes, respectively, based on stressed break-even cash flow scenarios (including excess spread). These credit support levels provide coverage of approximately 3.75x, 3.15x, 2.45x, 1.85x, and 1.55x our 8.75%-9.25% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively, and are commensurate with the assigned preliminary ratings. -- S&P said, "Our expectation that, under a moderate ('BBB') stress scenario of 1.85x our expected net loss level, all else equal, the preliminary ratings on the class A through C notes would remain within one rating category while they are outstanding, and the preliminary rating on the class D notes would not decline by more than two rating categories within its life. The preliminary rating on the class E notes would remain within two rating categories during the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 41% of its principal. These rating migrations are consistent with our credit stability criteria." -- The transaction's credit enhancement in the form of subordination, a nonamortizing reserve account, overcollateralization that builds to a target level as a percentage of the initial aggregate collateral balance and is nonamortizing, and excess spread. -- The timely interest and full principal payments made to the preliminary rated notes under our stressed cash flow modeling scenarios, which S&P believes are appropriate for the assigned preliminary ratings. -- S&P's review of World Omni Financial Corp.'s (World Omni; BBB+/Stable/A-2) origination static pool data, managed portfolio data, 27-year auto loan securitization track record, and deal-level collateral characteristics, as well as its forward-looking view of the economy. -- The collateral characteristics of the securitized pool. -- S&P's view of the transaction's payment, credit enhancement, and legal structures. PRELIMINARY RATINGS ASSIGNED World Omni Select Auto Trust 2018-1 Class Rating Amount (mil. $) A-1 A-1+ (sf) 103.00 A-2 AAA (sf) 215.00 A-3 AAA (sf) 110.45 B AA (sf) 34.63 C A (sf) 50.37 D BBB (sf) 37.78 E BB (sf) 21.73 [*] Moody's Takes Action on $298.6MM RMBS Issued 2004-2006 ---------------------------------------------------------- Moody's Investors Service has downgraded the ratings of 16 tranches and upgraded the ratings of two tranches from 12 transactions, backed by Alt-A and Subprime loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Aegis Asset Backed Securities Trust 2005-2 Cl. M2, Downgraded to B1 (sf); previously on Aug 28, 2014 Upgraded to Ba1 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-AC4 Cl. A-4, Downgraded to B1 (sf); previously on Apr 15, 2016 Upgraded to Ba3 (sf) Cl. M-1, Downgraded to Caa3 (sf); previously on Apr 17, 2012 Downgraded to Caa2 (sf) Issuer: Bear Stearns Asset Backed Securities I Trust 2004-HE10 Cl. M-1, Downgraded to Baa3 (sf); previously on Mar 11, 2011 Downgraded to Baa1 (sf) Cl. M-3, Upgraded to B1 (sf); previously on Apr 9, 2018 Upgraded to B3 (sf) Cl. M-4, Upgraded to Caa2 (sf); previously on Apr 9, 2018 Upgraded to Ca (sf) Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4 Cl. M-1, Downgraded to B1 (sf); previously on Aug 6, 2018 Upgraded to Ba2 (sf) Issuer: Encore Credit Receivables Trust 2005-2 Cl. M-2, Downgraded to B1 (sf); previously on Oct 23, 2013 Upgraded to Baa3 (sf) Cl. M-3, Downgraded to B1 (sf); previously on Mar 12, 2015 Upgraded to Ba2 (sf) Cl. M-4, Downgraded to B2 (sf); previously on Dec 16, 2016 Upgraded to B1 (sf) Issuer: Fieldstone Mortgage Investment Trust 2006-3 Cl. 1-A, Downgraded to B1 (sf); previously on Jun 14, 2017 Upgraded to Ba3 (sf) Issuer: MASTR Asset Backed Securities Trust 2004-FRE1 Cl. M-6, Downgraded to Caa1 (sf); previously on Apr 1, 2013 Downgraded to B2 (sf) Issuer: MASTR Asset Backed Securities Trust 2005-AB1 Cl. A-4, Downgraded to Caa1 (sf); previously on Nov 25, 2013 Downgraded to B2 (sf) Issuer: MASTR Asset Backed Securities Trust 2005-WMC1 Cl. M-4, Downgraded to B1 (sf); previously on Nov 19, 2014 Upgraded to Ba1 (sf) Issuer: Morgan Stanley ABS Capital I Inc. Trust 2005-HE4 Cl. M-2, Downgraded to B1 (sf); previously on Feb 3, 2015 Upgraded to Ba2 (sf) Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1 Cl. M-2, Downgraded to B1 (sf); previously on Apr 1, 2013 Affirmed Ba3 (sf) Issuer: People's Choice Home Loan Securities Trust 2005-2 Cl. M3, Downgraded to B2 (sf); previously on Jul 21, 2014 Upgraded to B1 (sf) Cl. M4, Downgraded to B2 (sf); previously on Apr 14, 2017 Upgraded to B1 (sf) RATINGS RATIONALE The rating actions reflect the recent performance and Moody's updated loss expectations on the underlying pools. The rating upgrades are due to an increase in the credit enhancement available to the bonds. The rating downgrades are primarily due to the outstanding interest shortfalls on the bonds, which are not expected to be reimbursed. The rating action on C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4 Cl. M-1 also reflects the correction of an error. In the August 2018 rating action, the interest shortfalls were incorrectly not taken into consideration. The rating action properly reflects the current outstanding interest shortfall of $144,864. 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 October 2018 from 4.1% in October 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 $448.4MM RMBS Issued in 2005-2006 ------------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 14 tranches from nine transactions, backed by subprime RMBS loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Accredited Mortgage Loan Trust 2005-4 Cl. M-2, Upgraded to B1 (sf); previously on Feb 27, 2018 Upgraded to B3 (sf) Issuer: Accredited Mortgage Loan Trust 2006-1 Cl. M-1, Upgraded to B2 (sf); previously on Mar 26, 2018 Upgraded to Caa1 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE3 Cl. M-4, Upgraded to B1 (sf); previously on Feb 27, 2018 Upgraded to B3 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP1 Cl. A-1A, Upgraded to A3 (sf); previously on Mar 6, 2017 Upgraded to Baa2 (sf) Cl. A-2C, Upgraded to Aaa (sf); previously on Feb 27, 2018 Upgraded to Aa3 (sf) Cl. A-2D, Upgraded to B1 (sf); previously on Mar 6, 2017 Upgraded to B2 (sf) Issuer: ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2 Cl. A-1, Upgraded to Baa1 (sf); previously on Feb 27, 2018 Upgraded to Ba1 (sf) Cl. A-2C, Upgraded to Baa2 (sf); previously on Mar 6, 2017 Upgraded to B1 (sf) Cl. A-2D, Upgraded to Ba1 (sf); previously on Mar 6, 2017 Upgraded to B2 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R10 Cl. M-5, Upgraded to B3 (sf); previously on Apr 13, 2016 Upgraded to Ca (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2005-R8 Cl. M-5, Upgraded to B3 (sf); previously on Apr 18, 2016 Upgraded to Caa3 (sf) Issuer: Ameriquest Mortgage Securities Inc., Series 2006-R2 Cl. A-1, Upgraded to Aaa (sf); previously on Jun 29, 2016 Upgraded to Aa2 (sf) Cl. M-2, Upgraded to B1 (sf); previously on Jun 29, 2016 Upgraded to Caa1 (sf) Issuer: Argent Securities Inc., Series 2005-W2 Cl. M-2, Upgraded to B2 (sf); previously on Feb 27, 2018 Upgraded to Caa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on those pools. The rating upgrades are primarily due to improvement in pool performances and credit enhancement available to the bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in October 2018 from 4.1% in October 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 $64.1MM RMBS Issued 2003-2006 --------------------------------------------------------- Moody's Investors Service has upgraded the ratings of 23 tranches from 13 deals backed by Closed End Second-Lien, High LTV, and/or HELOC RMBS loans. Complete rating actions are as follows: Issuer: GMACM Home Loan Trust 2004-HLTV1 Cl. A-4, Upgraded to Baa3 (sf); previously on May 21, 2010 Downgraded to Ba3 (sf) Underlying Rating: Upgraded to Baa3 (sf); previously on May 21, 2010 Downgraded to Ba3 (sf) Financial Guarantor: Financial Guaranty Insurance Company (Insured Rating Withdrawn 3/25/2009) Issuer: Irwin Home Equity Loan Trust 2005-1 Cl. I-A, Upgraded to A2 (sf); previously on Jun 30, 2010 Downgraded to Baa1 (sf) Cl. B-1, Upgraded to Baa3 (sf); previously on Sep 29, 2015 Upgraded to Ba2 (sf) Cl. B-2, Upgraded to Ba1 (sf); previously on Sep 29, 2015 Upgraded to B1 (sf) Cl. B-3, Upgraded to Ba1 (sf); previously on Sep 29, 2015 Upgraded to B3 (sf) Cl. M-1, Upgraded to A3 (sf); previously on Jun 30, 2010 Downgraded to Baa2 (sf) Cl. M-2, Upgraded to Baa2 (sf); previously on Sep 29, 2015 Upgraded to Ba1 (sf) Issuer: Irwin Home Equity Loan Trust 2006-P1 Cl. II-A-3, Upgraded to Caa3 (sf); previously on Jun 30, 2010 Downgraded to C (sf) Issuer: Irwin Whole Loan Home Equity Trust 2003-C B-2, Upgraded to Baa1 (sf); previously on Mar 23, 2018 Upgraded to Baa3 (sf) Issuer: Merrill Lynch Mortgage Investors Trust Series 2005-NCB Cl. M-1, Upgraded to Caa3 (sf); previously on Oct 20, 2010 Downgraded to C (sf) Issuer: SACO I Trust 2005-2 Cl. M-3, Upgraded to B2 (sf); previously on Sep 2, 2010 Downgraded to C (sf) Issuer: SACO I Trust 2005-5 Cl. II-M-4, Upgraded to Baa3 (sf); previously on Feb 24, 2015 Upgraded to B1 (sf) Cl. II-M-6, Upgraded to Ca (sf); previously on Oct 30, 2008 Downgraded to C (sf) Issuer: SACO I Trust 2005-9 Cl. A-1, Upgraded to A1 (sf); previously on Mar 23, 2018 Upgraded to Baa1 (sf) Cl. A-3, Upgraded to A1 (sf); previously on Mar 23, 2018 Upgraded to Baa1 (sf) Issuer: Structured Asset Securities Corp Trust 2004-S2 Cl. M6, Upgraded to Baa2 (sf); previously on Mar 23, 2018 Upgraded to Ba1 (sf) Cl. M7, Upgraded to Caa3 (sf); previously on May 28, 2009 Downgraded to C (sf) Issuer: Structured Asset Securities Corp Trust 2004-S3 Cl. M1, Upgraded to Aa3 (sf); previously on Sep 28, 2015 Upgraded to A3 (sf) Cl. M6, Upgraded to Caa1 (sf); previously on Sep 28, 2015 Upgraded to Caa2 (sf) Issuer: Structured Asset Securities Corp Trust 2004-S4 Cl. M6, Upgraded to Ba1 (sf); previously on Apr 17, 2017 Upgraded to Caa1 (sf) Issuer: Structured Asset Securities Corp Trust 2005-S2 Cl. M4, Upgraded to Aa1 (sf); previously on Mar 23, 2018 Upgraded to Baa3 (sf) Issuer: Structured Asset Securities Corp Trust 2005-S7 Cl. M1, Upgraded to A1 (sf); previously on Mar 23, 2018 Upgraded to Ba3 (sf) Cl. M2, Upgraded to Ca (sf); previously on Jul 6, 2010 Downgraded to C (sf) RATINGS RATIONALE The actions reflect the recent performance of the underlying pools and reflect Moody's updated loss expectations on the pools. The ratings upgraded are a result of improving performance of the related pools and/or an increase in credit enhancement available to the bonds. SACO I Trust 2005-2 Class M-3, Structured Asset Securities Corp Trust 2005-S7 Classes M1 and M2, Structured Asset Securities Corp Trust 2004-S4 Classes M6, and Structured Asset Securities Corp Trust 2005-S2 Classes M4 have further received settlement proceeds in the past year which has led to the increase in credit enhancement available to these bonds. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in January 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in October 2018 from 4.1% in October 2017. Moody's forecasts an unemployment central range of 3.5% to 4.5% for the 2018 year. Deviations from this central scenario could lead to rating actions in the sector. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2018. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. [*] Moody's Takes Action on 27 Tranches From 4 US RMBS Deals ------------------------------------------------------------ Moody's Investors Service has upgraded two tranches and downgraded 25 tranches from four transactions, backed by Alt-A loans, issued by multiple issuers. Complete rating actions are as follows: Issuer: Lehman Mortgage Trust 2005-2 Cl. AX, Downgraded to Caa2 (sf); previously on Feb 12, 2018 Confirmed at Caa1 (sf) Cl. 1-A1, Downgraded to Caa2 (sf); previously on Apr 10, 2013 Affirmed Caa1 (sf) Cl. 1-A2, Downgraded to Caa2 (sf); previously on Apr 10, 2013 Affirmed Caa1 (sf) Cl. 2-A1, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 2-A2, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 2-A4, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 2-A5, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 3-A1, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 3-A2, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 3-A3, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Downgraded to Caa2 (sf) Cl. 3-A4, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 3-A5, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 3-A7, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 5-A1, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 5-A2, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 5-A3, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Upgraded to Caa2 (sf) Cl. 5-A4, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Affirmed Caa2 (sf) Cl. 5-A5, Downgraded to Caa3 (sf); previously on Apr 10, 2013 Upgraded to Caa2 (sf) Issuer: Lehman Mortgage Trust 2007-5 Cl. 1-A2, Upgraded to Caa2 (sf); previously on Jan 14, 2011 Confirmed at Caa3 (sf) Cl. 1-A5, Upgraded to Caa2 (sf); previously on Jan 14, 2011 Confirmed at Caa3 (sf) Issuer: CSMC 2005-1R Cl. 2-A-1, Downgraded to Caa3 (sf); previously on May 12, 2011 Downgraded to Caa2 (sf) Cl. 2-A-3, Downgraded to Caa3 (sf); previously on May 12, 2011 Downgraded to Caa2 (sf) Cl. 2-A-5, Downgraded to Caa3 (sf); previously on May 12, 2011 Downgraded to Caa2 (sf) Cl. 2-A-6, Downgraded to Caa3 (sf); previously on May 12, 2011 Downgraded to Caa2 (sf) Cl. 2-A-8, Downgraded to Caa3 (sf); previously on May 12, 2011 Downgraded to Caa2 (sf) Cl. 2-A-9, Downgraded to Caa3 (sf); previously on May 12, 2011 Downgraded to Caa2 (sf) Issuer: CWALT, Resecuritization Pass-Through Certificates, Series 2008-2R Cl. 4-A-1, Downgraded to Ca (sf); previously on Oct 6, 2016 Confirmed at Caa3 (sf) RATINGS RATIONALE The rating actions reflect the recent performance of the underlying pools and Moody's updated loss expectations on the pools. The ratings downgraded are due to the weaker performance of the underlying collateral and increase in undercollateralization. The rating downgrade on tranches from CSMC 2005-1R and CWALT 2008-2R resecuritization transactions reflect the rating downgrades to the bonds underlying these transactions. The rating upgrade on exchangeable tranches Cl.1-A2 and Cl.1-A5 from Lehman Mortgage Trust 2007-5 reflects their exchange combination and tranches. The principal methodology used in rating Lehman Mortgage Trust 2005-2 Cl. 3-A1, Cl. 3-A3 , Cl. 3-A4 , Cl. 3-A5 , Cl. 3-A7 , Cl. 1-A1 , Cl. 2-A1 , Cl. 2-A4 , Cl. 2-A5 , Cl. 5-A3 , Cl. 5-A4 , Cl. 5-A5 , Cl. 5-A1 and Cl. 5-A2 , Lehman Mortgage Trust 2007-5 Cl. 1-A2 and Cl. 1-A5 was US RMBS Surveillance Methodology" published in January 2017.The principal methodology used in rating CSMC 2005-1R Cl. 2-A-3, Cl. 2-A-1 , Cl. 2-A-5 , Cl. 2-A-6, Cl. 2-A-8 and Cl. 2-A-9 and CWALT, Resecuritization Pass-Through Certificates, Series 2008-2R Cl. 4-A-1 was "Moody's Approach to Rating Resecuritizations" published in February 2014 . The methodologies used in rating Lehman Mortgage Trust 2005-2 Cl. 3-A2 , Cl. 1-A2 , Cl. AX and Cl. 2-A2 were "US RMBS Surveillance Methodology" published in January 2017 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in June 2017. Factors that would lead to an upgrade or downgrade of the ratings: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 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 Takes Various Actions on 27 Classes From 20 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 27 classes from 20 U.S. residential mortgage-backed securities (RMBS) transactions issued between 2002 and 2006. All of these transactions are backed by second-lien collateral. The review yielded 17 upgrades, nine affirmations, 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 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; -- Expected short 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." The majority of the upgrades are due to increased credit support. As a result, the upgrades on these classes reflect their ability to withstand a higher level of projected losses than previously anticipated. The upgrade on class M1 from Structured Asset Securities Corp. Mortgage Loan Trust 2005-S7 reflects received funds related to a Lehman RMBS trust settlement. Settlement proceeds for this transaction were distributed in the September 2018 remittance period and were applied as subsequent recoveries and unscheduled principal payments. As such, S&P raised ist rating on class M1 because its credit support sufficiently increased to cover projected losses at a higher 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 ***