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         T R O U B L E D   C O M P A N Y   R E P O R T E R

              Sunday, March 24, 2019, Vol. 23, No. 82

                            Headlines

ALM LTD VIII: Moody's Cuts $9.6MM Class E-R Notes Rating to Caa1
AMERICAN CREDIT 2019-1: DBRS Finalizes B Rating on Class F Certs
ANGEL OAK 2019-2: DBRS Assigns Prov. B (high) Rating on B-2 Certs
ANGEL OAK 2019-2: Fitch to Rate $23.5MM Class B-2 Certs 'Bsf'
BANK 2019-BNK17: Fitch to Rate $7.9MM Class G Certs 'B-'

BATTALION CLO XIV: Moody's Rates $29.5MM Class E Notes 'Ba3'
BEAR STEARNS 2004-SD3: Moody's Lowers Cl. M-1 Debt Rating to B1
BENCHMARK MORTGAGE 2019-B10: Fitch to Rate $10MM Class G Certs 'B-'
CARVANA AUTO 2019-1: Moody's Gives (P)B2 Rating on Class E Notes
CFCRE COMMERCIAL 2011-C2: Moody's Affirms B2 Rating on Cl. G Certs

CGGS COMMERCIAL 2018-WSS: DBRS Confirms B Rating on HRR Certs
CIM TRUST 2019-INV1: Moody's Gives (P)B2 Rating on Class B-5 Debt
FREDDIE MAC 2019-1: DBRS Finalizes B(low) Rating on Class M Certs
HOME CAPITAL: DBRS Hikes Long Term Issuer Rating to BB(low)
KAYNE CLO III: Moody's Rates $25.9MM Class E Notes Ba3

LEHMAN XS 2007-3: Moody's Hikes Cl. 2-A3 Certs Rating to Ca
LIBERTY TRUST 2016-1: Moody's Raises Class F Notes Rating to Ba3
MADISON PARK XXXIV: Fitch to Rate $21.3MM Class E Notes 'BB-'
MORGAN STANLEY 2019-AGLN: DBRS Gives Prov. B(low) Rating on G Certs
MSBAM TRUST 2013-C10: Fitch Affirms B Rating on $16.7MM H Certs

MSBAM TRUST 2014-C15: Fitch Affirms BB- Rating on Class F Debt
NEW RESIDENTIAL 2017-4: Moody's Hikes Ratings on 5 Tranches to Ba2
NEW RESIDENTIAL 2019-NQM2: Fitch Rates $6.5MM Class B-2 Notes 'Bsf'
PREFERRED TERM XX: Moody's Hikes Rating on $75MM Cl. B Notes to Ba1
PREFERRED TERM XXVI: Moody's Hikes $39.5MM Class C-2 Notes to B3

SDART 2018-2: Fitch Affirms Class E Debt Rating at 'BB-sf'
SHERRITT INT'L: DBRS Lowers Sr. Unsecured Debt Rating to CCC(high)
SIERRA TIMESHARE 2019-1: Fitch Rates $50MM Class D Notes 'BB'
SLM TRUST: Fitch Affirms Bsf Ratings on 3 Student Loan Trusts
SOUNDVEST SPLIT: DBRS Confirms Pfd-5(high) on Preferred Securities

UBS COMMERCIAL 2019-C16: Fitch to Rate $6MM Class H-RR Certs 'B-'
WELLFLEET CLO X: Moody's Rates $16.1MM Class D Notes 'Ba3'
WESTLAKE AUTOMOBILE: DBRS Reviews 29 Classes Issued by 5 Deals
ZIGGURAT CLO: Moody's Lowers $10MM Class F-R Notes Rating to Caa1
[*] DBRS Reviews 1,257 Classes From 87 US RMBS Transactions

[*] DBRS Reviews 17 Ratings From 3 AMCAR Trust Securitizations

                            *********

ALM LTD VIII: Moody's Cuts $9.6MM Class E-R Notes Rating to Caa1
----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on the
following notes issued by ALM VIII, Ltd.:

  US$9,650,000 Class E-R Secured Deferrable Floating Rate Notes
  due October 15, 2028, Downgraded to Caa1 (sf); previously on
  October 20, 2016 Assigned B2 (sf)

ALM VIII, Ltd., originally issued in December 2013 and refinanced
in October 2016, is a collateralized loan obligation (CLO or CBO)
backed primarily by a portfolio of senior secured loans. The
transaction's reinvestment period will end in October 2020.

RATINGS RATIONALE

The rating downgrade on the Class E-R notes is primarily due to par
erosion and a decrease in the weighted average spread (WAS) of the
underlying loan portfolio since February 2018. Based on trustee's
February 7, 2019 report, the Class D overcollateralization ratio
has fallen to 107.11% from 107.97% 12 months prior, reflecting an
approximate par loss of $4.7 million. Over the same period, WAS has
decreased, and is currently reported at 3.57%, versus the February
2018 level of 3.72%. Additionally, WARF has remained high at 3020
in February 2019 compared with 3024 12 months earlier.

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 $588.17 million, no defaulted par, a
weighted average default probability of 24.60% (implying a WARF of
3020), a weighted average recovery rate upon default of 48.33%, a
diversity score of 58 and a weighted average spread of 3.57%
(before accounting for LIBOR floors).

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:

1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.

2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.

3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.

4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.

5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.

6) Weighted average life: The notes' ratings are sensitive to the
weighted average life assumption of the portfolio, which could
lengthen owing to any decision by the Manager to reinvest into new
issue loans or loans with longer maturities, or participate in
amend-to-extend offerings. Life extension can increase the default
risk horizon and assumed cumulative default probability of CLO
collateral.

7) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.


AMERICAN CREDIT 2019-1: DBRS Finalizes B Rating on Class F Certs
----------------------------------------------------------------
DBRS, Inc. finalized its provisional ratings on the following
classes of notes issued by American Credit Acceptance Receivables
Trust 2019-1 (ACAR 2019-1 or the Issuer):

-- $101,500,000 Class A Notes rated AAA (sf)
-- $30,520,000 Class B Notes rated AA (sf)
-- $49,700,000 Class C Notes rated A (sf)
-- $32,620,000 Class D Notes rated BBB (sf)
-- $25,900,000 Class E Notes rated BB (sf)
-- $14,280,000 Class F Notes rated B (sf)

The ratings are based on DBRS's review of the following analytical
considerations:

-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.

-- Credit enhancement is in the form of over-collateralization,
subordination, amounts held in the Reserve Fund and excess spread.
Credit enhancement levels are sufficient to support the
DBRS-projected expected cumulative net loss assumption under
various stress scenarios.

-- The ability of the transaction to withstand stressed cash flow
assumptions and repay investors according to the terms under which
they have invested. For this transaction, the ratings address the
timely payment of interest on a monthly basis and the payment of
principal by the legal final maturity date.

-- ACAR 2019-1 provides for Class A, B, C and D coverage multiples
that are slightly below the DBRS range of multiples set forth in
the criteria for this asset class. DBRS believes that this is
warranted given the magnitude of expected loss and the structural
features of the transaction.

-- The capabilities of American Credit Acceptance, LLC (ACA) with
regard to originations, underwriting, and servicing.

-- DBRS has performed an operational review of ACA and considers
the entity to be an acceptable originator and servicer of subprime
automobile loan contracts.

-- The ACA senior management team has considerable experience,
with an average of 18 years in banking, finance, and auto finance
companies, as well as an average of approximately five years of
company tenure.

-- ACA has completed 25 securitizations since 2011, including four
transactions in 2018.

-- ACA maintains a strong corporate culture of compliance and a
robust compliance department.

-- The credit quality of the collateral and the consistent
performance of ACA's auto loan portfolio.

-- Considerable availability of historical performance data and a
history of consistent performance on the ACA portfolio.

The ratings also consider the following statistical pool
characteristics:

-- The average remaining life of the collateral pool is
approximately 69 months.

-- The weighted average FICO score of the pool is 544.

-- 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 ACA, that the trust has a valid
first-priority security interest in the assets and the consistency
with DBRS's "Legal Criteria for U.S. Structured Finance"
methodology.

The ACAR 2019-1 transaction represents the 26th securitization
completed by ACA since 2011 and offers both senior and subordinate
rated securities. The receivables securitized in ACAR 2019-1 are
subprime automobile loan contracts secured primarily by used
automobiles, light-duty trucks, vans, motorcycles, and minivans.

The rating on the Class A Notes reflects the 65.25% of initial hard
credit enhancement provided by the subordinated notes in the pool,
the Reserve Fund (1.50%) and over-collateralization (9.10%). The
ratings on Class B, Class C, Class D, Class E, and Class F Notes
reflect 54.35%, 36.60%, 24.95%, 15.70% and 10.60% of initial hard
credit enhancement, respectively. Additional credit support may be
provided from excess spread available in the structure.

Notes: All figures are in U.S. dollars unless otherwise noted.


ANGEL OAK 2019-2: DBRS Assigns Prov. B (high) Rating on B-2 Certs
-----------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following
Mortgage-Backed Certificates, Series 2019-2 (the Certificates)
issued by Angel Oak Mortgage Trust I 2019-2 (AOMT 2019-2 or the
Trust):

-- $393.1 million Class A-1 at AAA (sf)
-- $56.2 million Class A-2 at AA (sf)
-- $49.1 million Class A-3 at A (sf)
-- $43.2 million Class M-1 at BBB (sf)
-- $21.1 million Class B-1 at BB (high) (sf)
-- $23.6 million Class B-2 at B (high) (sf)

The AAA (sf) rating on the Class A-1 Certificates reflects the
36.70% of credit enhancement provided by subordinated Certificates
in the pool. The AA (sf), A (sf), BBB (sf), BB (high) (sf) and B
(high) (sf) ratings reflect 27.65%, 19.75%, 12.80%, 9.40% and 5.60%
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 primarily
first-lien fixed- and adjustable-rate non-prime and prime
residential mortgages funded by the issuance of the Certificates.
The Certificates are backed by 1,807 loans with a total principal
balance of $620,945,387 as of the Cut-Off Date (March 1, 2019).

Angel Oak Home Loans LLC (AOHL), Angel Oak Mortgage Solutions LLC
(AOMS) and Angel Oak Prime Bridge LLC (AOPB) (together, Angel Oak)
originated 97.5% of the portfolio (1,611 loans). The Angel Oak
first-lien mortgages were mainly originated under the following
nine programs:

(1) Portfolio Select (48.4%) – Made to borrowers with near-prime
credit scores who are unable to obtain financing through
conventional or governmental channels because (a) they fail to
satisfy credit requirements, (b) they are self-employed and need an
alternate income calculation using 12 or 24 months of bank
statements to qualify, (c) they may have a credit score that is
lower than that required by government-sponsored entity
underwriting guidelines or (d) they may have been subject to a
bankruptcy or foreclosure 24 or more months prior to origination.

(2) Platinum (30.6%) – Made to borrowers who have prime or
near-prime credit scores but who are unable to obtain financing
through conventional or governmental channels because (a) they fail
to satisfy credit requirements, (b) they are self-employed and need
alternative income calculations using 12 or 24 months of bank
statements or (c) they may have been subject to a bankruptcy or
foreclosure 48 or more months prior to origination.

(3) Non-Prime General (6.8%) – Made to borrowers who have not
sustained a housing event in the past 24 months, but whose credit
reports show multiple 30+-day and/or 60+-day delinquencies on any
reported debt in the past 12 months.

(4) Investor Cash Flow (4.7%) – Made to real estate investors who
are experienced in purchasing, renting and managing investment
properties with an established five-year credit history and at
least 24 months of clean housing payment history, but who are
unable to obtain financing through conventional or governmental
channels because (a) they fail to satisfy the requirements of such
programs or (b) may be over the maximum number of properties
allowed. Loans originated under the Investor Cash Flow program are
considered business-purpose and are not covered by the
Ability-to-Repay (ATR) or TRID rules.

(5) Prime Jumbo (4.2%) – Made to borrowers who have prime credit
scores and cleaner housing history with no bankruptcy or
foreclosures in the 60 months prior to origination. The loan
amounts will exceed the conforming loan limits and possibly exceed
high balance conforming loan limits. This program also allows for
an interest-only feature. The income documentation requirements for
these loans follow Appendix Q.

(6) Asset Qualifier (1.1%) – Made to borrowers with prime credit
and significant assets who can purchase the property with their
assets but choose to use a financing instrument for cash flow
purposes. Assets should cover the purchase of the home plus 60
months of debt service and six months of reserves. No income
documentation is obtained, but the borrower is qualified based on
certain credit requirements (minimum score 700) and significant
asset requirements. These loans are available within both the
Platinum and Portfolio Select programs.

(7) Non-Prime Recent Housing (0.8%) – Made to borrowers who have
completed or have had their properties subject to a short sale,
deed-in-lieu, and notice of default or foreclosure. Borrowers who
have filed bankruptcy 12 or more months prior to origination or
have experienced severe delinquencies may also be considered for
this program.

(8) Non-Prime Foreign National (0.7%) – Made to investment
property borrowers who are citizens of foreign countries and who do
not reside or work in the United States. Borrowers may use
alternative income and credit documentation. Income is typically
documented by the employer or accountant, and credit is verified by
letters from overseas credit holders.

(9) Non-Prime Investment Property (0.2%) – Made to real estate
investors who may have financed up to four mortgaged properties
with the originators (or 20 mortgaged properties with all
lenders).

In addition, the pool contains 0.1% second-lien mortgage loans,
which were originated under the guidelines established by the
Federal National Mortgage Association (Fannie Mae) and overlaid by
Angel Oak.

The remaining 196 mortgage loans (2.5% of the aggregate pool
balance) were originated by two third-party originators. Of the
third-party origination loans, eight loans (0.8% of the aggregate
pool balance) were originated by HomeBridge Financial Services
(HomeBridge).

Select Portfolio Servicing Inc. (SPS) is the Servicer for all loans
not originated by HomeBridge. HomeBridge will be the Servicer and
the Servicing Administrator for HomeBridge-originated loans. AOMS
will act as Servicing Administrator for the remaining loans, and
Wells Fargo Bank, N.A. (Wells Fargo; rated AA, Stable by DBRS) will
act as the Master Servicer. U.S. Bank National Association (rated
AA (high), Stably by DBRS) will serve as Trustee and Custodian.

Although the mortgage loans were originated to satisfy the Consumer
Financial Protection Bureau (CFPB) ATR rules, they were made to
borrowers who generally do not qualify for an agency, government or
private label non-agency prime products for various reasons
described above. In accordance with the CFPB Qualified Mortgage
(QM) rules, 4.4% of the loans are designated as QM Safe Harbor,
1.5% as QM Rebuttable Presumption and 83.3% as non-QM.
Approximately 10.8% of the loans are made to investors for business
purposes and thus not subject to the QM rules.

The remaining 213 mortgage loans (4.5% of the aggregate pool
balance) were originated by two third-party originators. Of the
third-party origination loans, 29 loans (3.0% of the aggregate pool
balance) were originated by HomeBridge.

The Servicers or Servicing Administrators will generally fund
advances of delinquent principal and interest on any mortgage until
such loan becomes 180 days delinquent. The Servicers or Servicing
Administrators are obligated to make advances in respect of taxes,
insurance premiums and reasonable costs incurred in the course of
servicing and disposing of properties.

On or after the three-year anniversary of the Closing Date, the
Depositor has the option to purchase all of the outstanding
certificates at a price equal to the outstanding class balance plus
accrued and unpaid interest, including any cap carryover amounts.
After such purchase, the Depositor then has the option to complete
a "qualified liquidation," which requires a complete liquidation of
assets within the trust, and proceeds to be distributed to the
appropriate holders of regular or residual interests.

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
Certificates as the outstanding senior Certificates are paid in
full. Further, the excess spread can be used to cover realized
losses first before being allocated to unpaid cap carryover amounts
up to Class B-2.

The ratings reflect transactional strengths that include the
following:

(1) Improved Underwriting Standards: Whether for prime or non-prime
mortgages, generally underwriting standards have improved
significantly from the pre-crisis era with respect to certain
attributes such as income, asset, and employment verification as
well as appraisal and reserve requirements. All of the mortgage
loans (except for Investor Cash Flow, Investment Property and
Foreign National) were underwritten in accordance with the eight
underwriting factors of the ATR rules, although they may not
necessarily comply with Appendix Q of Regulation Z.

(2) Robust Loan Attributes and Pool Composition:

-- The mortgage loans in this portfolio generally have robust loan
attributes, as reflected in the combined loan-to-value (LTV)
ratios, borrower household incomes and liquid reserves, including
the loans in the Non-Prime programs that have weaker borrower
credit.

-- LTV ratios gradually reduce as the programs move down the
credit spectrum, suggesting the consideration of compensating
factors for riskier pools.

-- The pool comprises 66.9% hybrid adjustable-rate mortgages with
an initial fixed period of five to ten years, allowing borrowers
sufficient time to credit cure before rates reset. The remaining
33.1% of the pool comprises fixed-rate mortgages, which typically
have the lowest default risk because of the stability of monthly
payments.

(3) Satisfactory Third-Party Due Diligence Review: Third-party due
diligence firms conducted property valuation and credit reviews on
100% of the loans in the pool. For 95.5% of the loans (i.e., the
entire pool excluding 83 Investor Cash Flow loans), third-party due
diligence firms performed a regulatory compliance review. Data
integrity checks were also performed on the pool.

(4) Strong Servicer: SPS, a strong residential mortgage servicer
and a wholly owned subsidiary of Credit Suisse AG, services most of
the loans (99.2%) in the pool. In this transaction, AOMS and
HomeBridge, as the Servicing Administrators, or SPS, as the main
servicer, are responsible for funding advances to the extent
required. In addition, the transaction employs Wells Fargo, which
is rated AA by DBRS, as the Master Servicer. If the Servicing
Administrators or the Servicers fail in their obligations to make
principal and interest advances, Wells Fargo will be obligated to
fund such servicing advances.

(5) Current Loans and Faster Prepayments: Angel Oak began
originating non-agency loans in Q4 2013. Since the first
transaction was issued in December 2015, voluntary prepayment rates
have been relatively high, as these borrowers tend to credit cure
and refinance into lower-cost mortgages. Also, the loans in the
AOMT 2019-2 portfolio are 100% current. Although 2.3% of the pool
has experienced prior delinquencies, these loans have all cured.

The transaction also includes the following challenges and
mitigating factors:

(1) Although slightly stronger than other comparable non-QM
transactions rated by DBRS, the representations and warranties
(R&W) framework for AOMT 2019-2 is weaker compared with post-crisis
prime securitization frameworks. Instead of an automatic review
when a loan becomes seriously delinquent, this transaction employs
a mandatory review upon less immediate triggers. In addition, the
R&W providers are unrated entities, have limited performance
history in 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:

-- Satisfactory third-party due diligence was conducted on 100% of
the loans included in the pool with respect to credit, property
valuation, and data integrity. A regulatory compliance review was
performed on all but 83 Investor Cash Flow loans. A comprehensive
due diligence review mitigates the risk of future R&W violations.

-- An independent third-party R&W reviewer, Covius Real Estate
Services, LLC, is named in the transaction to review loans for
alleged breaches of R&W.

-- DBRS conducted an on-site originator review of AOHL and AOMS
and deems the mortgage companies to be acceptable.

-- The Sponsor, an affiliate of Angel Oak, will retain an eligible
vertical interest in at least 5% of each class' certificates,
aligning sponsor and investor interest in the capital structure.

-- Notwithstanding the above, DBRS adjusted the originator scores
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, QM-Rebuttable Presumption or Non-QM Loans: As
compared with post-crisis prime transactions, this portfolio
contains mortgages originated to borrowers with weaker credits or
who have prior derogatory credit events, as well as QM-rebuttable
presumption or non-QM loans. In addition, certain loans were
underwritten using 24-month bank statements for income verification
(33.6%), 12-month bank statements for income verification (26.1%),
and assets in lieu of income verification (1.1%) or as Investor
Cash Flow loans (4.7%). DBRS notes the following mitigating
factors:

-- All loans subject to the ATR rules were originated to meet the
eight required underwriting factors.

-- Underwriting standards have improved substantially since the
pre-crisis era.

-- Bank statements as income, Investor Cash Flow and Asset
Qualifier loans are treated as less-than-full documentation in the
RMBS Insight model, which increases expected losses on those
loans.

-- The 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 report.

-- For loans in this portfolio that were originated through the
Non-Prime General and Non-Prime Recent Housing Event programs,
borrower credit events had generally happened, on average, 41
months and 15 months, respectively, prior to the cut-off date. In
its analysis, DBRS applies additional penalties for borrowers with
recent credit events within the past two years.

(3) Geographic Concentration: Compared with other recent
securitizations, the AOMT 2019-2 pool has a high concentration of
loans located in Florida (26.2% of the pool). Mitigating factors
include the following:

-- Although the pool is concentrated in Florida, the loans are
well dispersed among metropolitan statistical areas (MSAs). The
largest Florida MSA, Miami-Miami Beach-Kendall, represents only
5.6% of the entire transaction. DBRS does not believe the AOMT
2019-2 pool is particularly sensitive to any deterioration in
economic conditions or to the occurrence of a natural disaster in
any specific region.

-- DBRS's RMBS Insight Model generates an elevated asset
correlation for this portfolio, as determined by the loan size and
geographic concentration resulting in higher expected losses across
all rating categories.

(4) Servicer Advances of Delinquent Principal and Interest: The
related Servicer will advance scheduled principal and interest on
delinquent mortgages until such loans become 180 days delinquent or
until such advances are deemed unrecoverable. 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 Certificate
holders. Mitigating factors include the fact that (a) principal
proceeds can be used to pay interest shortfalls to the Certificates
as the outstanding senior Certificates are paid in full and (b)
subordination levels are greater than expected losses, which may
provide for the payment of interest to the Certificates. 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 report.

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 Certificates. The DBRS ratings of A (sf), BBB (sf), BB
(high) (sf) and B (high) (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
Certificates.


ANGEL OAK 2019-2: Fitch to Rate $23.5MM Class B-2 Certs 'Bsf'
-------------------------------------------------------------
Fitch Ratings expects to rate Angel Oak Mortgage Trust I 2019-2
(AOMT 2019-2) as follows:

  -- $393,058,000 class A-1 certificates 'AAAsf'; Outlook Stable;

  -- $56,196,000 class A-2 certificates 'AAsf'; Outlook Stable;

  -- $49,055,000 class A-3 certificates 'Asf'; Outlook Stable;

  -- $43,155,000 class M-1 certificates 'BBB-sf'; Outlook Stable;

  -- $21,113,000 class B-1 certificates 'BBsf'; Outlook Stable;

  -- $23,595,000 class B-2 certificates 'Bsf'; Outlook Stable.

Fitch will not be rating the following classes:

  -- $34,773,387 class B-3 certificates;

  -- $449,482,017 class A-IO-S notional certificates.

TRANSACTION SUMMARY

The certificates in AOMT 2019-2 are secured mainly by non-qualified
mortgages (Non-QM) as defined by the Ability to Repay Rule (ATR).
97.5% of the loans were originated by several Angel Oak entities,
which include Angel Oak Mortgage Solutions LLC (AOMS) (84.7%),
Angel Oak Home Loans LLC (AOHL) (12.5%) and Angel Oak Prime Bridge
LLC (AOPB) (0.2%). HomeBridge Financial Services, Inc. (HomeBridge)
and a third-party originator originated the remaining 2.5% of the
loans. Approximately 83% of the pool is designated as Non-QM, 1.5%
as a higher priced QM (HPQM), 4.4% as safe harbor QM (SHQM) and the
remaining 10.8% is not subject to ATR.

Initial credit enhancement (CE) for the class A-1 certificates of
36.70% is higher than Fitch's 'AAAsf' rating stress loss of 31.50%.
The additional initial CE is primarily driven by the pro rata
principal distribution between the A-1, A-2 and A-3 certificates,
which will result in a significant reduction of the class A-1
subordination over time through principal payments to the A-2 and
A-3.

KEY RATING DRIVERS

Nonprime Credit Quality (Negative): The pool has a weighted average
(WA) model credit score of 710 and WA original combined
loan-to-value ratio (CLTV) of 78.3%. Approximately 14% of the pool
consists of borrowers with prior credit events in the past seven
years, 0.7% is foreign nationals, and 1.7% is second liens. The
pool characteristics resemble recent non-prime collateral, and,
therefore, the pool was analyzed using Fitch's non-prime model. A
key distinction between this pool and legacy Alt-A loans is that
these loans adhere to underwriting and documentation standards
required under the CFPB's ATR Rule (Rule), which reduce the risk of
borrower default arising from lack of affordability,
misrepresentation or other operational quality risks due to the
rigor of the Rule's mandates for underwriting and documenting a
borrower's ability to repay.

Bank Statement Loans Included (Negative): Approximately 60% (888
loans) was made to self-employed borrowers underwritten to a bank
statement program (33.6% to a 24-month bank statement program and
26.1% to a 12-month bank statement program) for verifying income in
accordance with either AOHL's or AOMS's guidelines, which is not
consistent with Appendix Q standards and Fitch's view of a full
documentation program. While employment is fully verified and
assets partially confirmed, the limited income verification
resulted in application of a probability of default (PD) penalty of
approximately 1.4x for the bank statement loans at the 'AAAsf'
rating category. Additionally, Fitch's assumed probability of ATR
claims was doubled, which increased the loss severity (LS).

High Investor Property Concentration (Negative): Approximately 11%
of the pool comprises investment properties, 4.7% of which were
originated through the originators' investor cash flow program that
targets real estate investors qualified on a debt service coverage
ratio (DSCR) basis. While the borrower's credit score and LTV are
used in the underwriting of the investor cash flow loans, the ratio
of market rent as a multiple of mortgage principal, interest,
taxes, insurance and homeowner association dues determines the
DSCR, which averages 1.27. Since Fitch's model was developed using
a debt-to-income (DTI) ratio, in its analysis, Fitch mapped the
DSCR to a DTI ratio of comparable credit risk. The remaining
investor properties were underwritten to borrower DTIs.

Modified Sequential Payment Structure (Mixed): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes have been reduced to zero. To the extent that either
the cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero. The transaction benefits from a relatively tight
cumulative loss trigger.

Limited Advancing Structure (Mixed): The transaction has a stop
advance feature where the servicer or servicing administrator will
advance delinquent principal and interest (P&I) up to 180 days.
While the limited advancing of delinquent P&I benefits the pool's
projected LS, it reduces liquidity. To account for the reduced
liquidity of a limited advancing structure, principal collections
are available to pay timely interest to the 'AAAsf', 'AAsf' and
'Asf' rated bonds. Fitch expects 'AAAsf' and 'AAsf' rated bonds to
receive timely payments of interest.

Low Operational Risk (Mixed): The operational risk in this
transaction is adequately controlled for despite the non-prime
credit quality of the loan pool. Angel Oak has an 'Average'
originator assessment from Fitch and the transaction benefits from
100% third-party due diligence performed by AMC Diligence, LLC and
Clayton Services LLC, both Tier 1 diligence firms. The due
diligence results indicated a low level of material defects and the
issuer's retention of at least 5% of the bonds help ensure an
alignment of interest between issuer and investor.

Alignment of Interests (Positive): The transaction benefits from an
alignment of interest between the issuer and investors. Angel Oak
Mortgage, Inc. as sponsor and securitizer, or an affiliate will
retain a vertical interest in the transaction of at least 5% of the
aggregate certificate balance of all certificates in the
transaction.

Servicing and Master Servicer (Positive): Select Portfolio
Servicing (SPS), rated 'RPS1-'/Stable by Fitch, will be the primary
servicer on 99% of the loans, while HomeBridge will be servicing
the remaining 1%. Wells Fargo Bank, N.A. (Wells Fargo), rated
'RMS1-'/Stable, will act as master. Advances required but not paid
by SPS, AOMS or HomeBridge will be paid by Wells Fargo. Fitch does
not rate any primary servicer higher than SPS and does not rate any
master servicer higher than Wells Fargo.

R&W Framework (Negative): Angel Oak Mortgage Solutions LLC,
HomeBridge and the third-party originator will be providing
loan-level representations and warranties (R&W) for their
respective loans in the trust. While the loan-level reps for this
transaction are substantially consistent with a Tier I framework,
the lack of an automatic review for loans other than those with ATR
realized loss and the nature of the prescriptive breach tests,
which limit the breach reviewers' ability to identify or respond to
issues not fully anticipated at closing, resulted in a Tier 2
framework. Fitch increased its loss expectations (225 bps at the
'AAAsf' rating category) to mitigate the limitations of the
framework and the non-investment-grade counterparty risk of the
providers.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 7.3% at the base case. The analysis indicates that
there is some potential rating migration with higher MVDs, compared
with the model projection.

Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade and to 'CCCsf'.


BANK 2019-BNK17: Fitch to Rate $7.9MM Class G Certs 'B-'
--------------------------------------------------------
Fitch Ratings has issued a presale report on BANK 2019-BNK17
commercial mortgage pass-through certificates, series 2019-BNK17.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

-- $16,000,000 class A-1 'AAAsf'; Outlook Stable;
-- $6,500,000 class A-2 'AAAsf'; Outlook Stable;
-- $28,600,000 class A-SB 'AAAsf'; Outlook Stable;
-- $183,000,000a class A-3 'AAAsf'; Outlook Stable;
-- $319,862,000a class A-4 'AAAsf'; Outlook Stable;
-- $553,962,000b class X-A 'AAAsf'; Outlook Stable;
-- $123,653,000b class X-B 'AA-sf'; Outlook Stable;
-- $81,116,000 class A-S 'AAAsf'; Outlook Stable;
-- $42,537,000 class B 'AA-sf'; Outlook Stable;
-- $30,665,000 class C 'A-sf'; Outlook Stable;
-- $34,623,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $16,817,000bc class X-F 'BB-sf'; Outlook Stable;
-- $7,913,000bc class X-G 'B-sf'; Outlook Stable;
-- $20,774,000c class D 'BBBsf'; Outlook Stable;
-- $13,849,000c class E 'BBB-sf'; Outlook Stable;
-- $16,817,000c class F 'BB-sf'; Outlook Stable;
-- $7,913,000c class G 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

-- $23,742,234bc class X-H;
-- $23,742,234bc class H;
-- $41,651,328.11d RR Interest.

(a) The initial certificate balances of class A-3 and class A-4
     are unknown and expected to be within the range of
     $116,000,000-$250,000,000 and $252,862,000-$386,862,000,
     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 $502,862,000 in aggregate.

(b) Notional amount and interest-only.
(c) Privately placed and pursuant to Rule 144A.
(d) 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.

The expected ratings are based on information provided by the
issuer as of March 15, 2019.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 49 loans secured by 239
commercial properties having an aggregate principal balance of
$833,026,562 as of the cut-off date. The loans were contributed to
the trust by: Morgan Stanley Mortgage Capital Holdings LLC, Bank of
America, National Association and Wells Fargo Bank, National
Association.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.0% of the properties
by balance, cash flow analysis of 85.5% and asset summary reviews
on 100.0% of the pool.

KEY RATING DRIVERS

Credit Opinion Loans: Four loans, representing 20.88% of the pool,
have investment-grade credit opinions, which is above both the 2018
average of 13.57% and YTD 2019 average of 7.24%. Tower 28 (6.7% of
the pool) has an investment-grade credit opinion of 'BBB-sf*' on a
stand-alone basis. ILPT Hawaii Portfolio (6.0% of the pool) has an
investment-grade credit opinion of 'BBBsf*' on a stand-alone basis.
Landmark West Loop (4.8% of the pool) has an investment-grade
credit opinion of 'BBBsf*' on a stand-alone basis. Southgate Owners
Corp (3.4% of the pool) has an investment-grade credit opinion of
'AAAsf*' on a stand-alone basis. Combined, the four loans have a
weighted average (WA) Fitch DSCR and LTV of 2.11x and 59.1%,
respectively.

Lower Fitch Leverage than Recent Transactions: The pool's
Fitch-calculated leverage is significantly 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 2018 and YTD 2019 averages of 1.22x and 1.20x,
respectively. The pool's Fitch LTV of 96.7% is also superior to the
2018 and YTD 2019 averages of 102.0% and 104.4%, respectively.
Excluding investment-grade credit opinion and multifamily
cooperative loans, the pool has a Fitch DSCR and LTV of 1.16x and
106.6%, respectively.

Above-Average Asset Quality: The pool's collateral overall
exhibited better than average quality, with 23.6% of
Fitch-inspected properties receiving property quality grades of
"A-" or higher. No properties received property quality grades of
"C+" or lower.

RATING SENSITIVITIES

For this transaction, Fitch's NCF was 13.2% 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). The
rating sensitivities describe how the ratings would react to
further NCF declines below Fitch's NCF. The implied rating
sensitivities are only indicative of some of the potential outcomes
and do not consider other risk factors to which the transaction is
exposed. Stressing additional risk factors may result in different
outcomes. Furthermore, the implied ratings, after the further NCF
stresses are applied, are more akin to what the ratings would be at
deal issuance had those further stressed NCFs been in place at that
time.

Fitch evaluated the sensitivity of the ratings assigned to the BANK
2019-BNK17 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.


BATTALION CLO XIV: Moody's Rates $29.5MM Class E Notes 'Ba3'
------------------------------------------------------------
Moody's Investors Service has assigned ratings to seven classes of
notes issued by Battalion CLO XIV Ltd.

Moody's rating action is as follows:

US$305,000,000 Class A-1 Senior Secured Floating Rate Notes due
2032 (the "Class A-1 Notes"), Assigned Aaa (sf)

US$22,500,000 Class B-1 Senior Secured Floating Rate Notes due 2032
(the "Class B-1 Notes"), Assigned Aa2 (sf)

US$20,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032
(the "Class B-2 Notes"), Assigned Aa2 (sf)

US$20,250,000 Class C-1 Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C-1 Notes"), Assigned A2 (sf)

US$5,000,000 Class C-2 Mezzanine Secured Deferrable Fixed Rate
Notes due 2032 (the "Class C-2 Notes"), Assigned A2 (sf)

US$30,500,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf)

US$29,500,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Assigned Ba3 (sf)

The Class A-1 Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C-1 Notes, the Class C-2 Notes, the Class D Notes and the
Class E Notes are referred to herein, collectively, as the "Rated
Notes."

RATINGS RATIONALE

The rationale for the rating is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in our methodology.

Battalion XIV is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 95% of the portfolio must consist of
first lien senior secured loans and eligible investments, and up to
5% of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 90% ramped as of the closing
date.

Brigade Capital Management, LP (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

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 March 2019.

For modeling purposes, Moody's used the following base-case
assumptions:

Par amount: $500,000,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2974

Weighted Average Spread (WAS): 3.20%

Weighted Average Coupon (WAC): 7.00%

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
March 2019.

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.


BEAR STEARNS 2004-SD3: Moody's Lowers Cl. M-1 Debt Rating to B1
---------------------------------------------------------------
Moody's Investors Service has downgraded the ratings of 3 tranches
and upgraded 3 tranches from 4 transactions backed by Scratch and
Dent loans issued by Bear Stearns Asset Backed Securities Trust.

Complete rating actions are:

Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD3

Cl. M-1, Downgraded to B1 (sf); previously on Jul 5, 2012
Downgraded to Baa3 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2004-SD4

Cl. M-1, Downgraded to B1 (sf); previously on Sep 19, 2013
Downgraded to Ba1 (sf)

Cl. M-2, Downgraded to Caa2 (sf); previously on Sep 19, 2013
Downgraded to B3 (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2005-SD1

Cl. I-M-5, Upgraded to B2 (sf); previously on May 24, 2013
Downgraded to Caa2 (sf)

Cl. I-M-6, Upgraded to Caa3 (sf); previously on May 20, 2011
Downgraded to Ca (sf)

Issuer: Bear Stearns Asset Backed Securities Trust 2007-2

Cl. A-3, Upgraded to B3 (sf); previously on Jul 5, 2012 Downgraded
to 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
rating downgrades are primarily due to the weaker performance of
the underlying collateral. The rating downgrade of Bear Stearns
Asset Backed Securities Trust 2004-SD4 Cl. M-1 and Bear Stearns
Asset Backed Securities Trust 2004-SD3 Cl. M-1 reflect the
outstanding interest shortfall on the bonds which is not expected
to be recouped as these bonds have weak structural mechanisms to
reimburse unpaid interest shortfalls. The ratings upgraded are
primarily due to the increase in credit enhancement available to
the bonds as a result of funds distributed to the transactions in
February 2019 pursuant to a settlement between J.P.Morgan and
certain RMBS investors.

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019.

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 3.8% in February 2019 from 4.1% in
February 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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.


BENCHMARK MORTGAGE 2019-B10: Fitch to Rate $10MM Class G Certs 'B-'
-------------------------------------------------------------------
Fitch Ratings has issued a presale report on BENCHMARK 2019-B10
Mortgage Trust commercial mortgage pass-through certificates,
Series 2019-B10.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

-- $18,060,000 class A-1 'AAAsf'; Outlook Stable;
-- $130,611,000 class A-2 'AAAsf'; Outlook Stable;
-- $36,997,000 class A-SB 'AAAsf'; Outlook Stable;
-- $167,500,000a class A-3 'AAAsf'; Outlook Stable;
-- $412,247,000a class A-4 'AAAsf'; Outlook Stable;
-- $873,393,000b class X-A 'AAAsf'; Outlook Stable;
-- $107,978,000 class A-M 'AAAsf'; Outlook Stable;
-- $45,105,000 class B 'AA-sf'; Outlook Stable;
-- $45,105,000 class C 'A-sf'; Outlook Stable;
-- $90,210,000bc class X-B 'A-sf'; Outlook Stable;
-- $51,939,000bc class X-D 'BBB-sf'; Outlook Stable;
-- $24,602,000bc class X-F 'BB-sf'; Outlook Stable;
-- $10,935,000bc class X-G 'B-sf'; Outlook Stable;
-- $28,703,000c class D 'BBBsf'; Outlook Stable;
-- $23,236,000c class E 'BBB-sf'; Outlook Stable;
-- $24,602,000c class F 'BB-sf'; Outlook Stable;
-- $10,935,000c class G 'B-sf'; Outlook Stable.

The following classes are not expected to be rated by Fitch:

-- $42,371,344bc class X-H;
-- $42,371,341c class H;
-- $57,550,018cd class VRR Interest;
-- The transaction includes three classes of non-offered, loan-
    specific certificates (non-pooled rake classes) related to the

    companion loan of 3 Columbus Circle. Classes 3CC-A, 3CC-B and
    3CC-VRR Interest are all not rated by Fitch.

(a) The initial certificate balances of class A-3 and class A-4
     are unknown and expected to be $579,747,000 in aggregate. The

     certificate balances will be determined based on the final
     pricing of those classes of certificates. The expected class
     A-3 balance range is $75,000,000 to $260,000,000, and the
     expected class A-4 balance range is $319,747,000 to
     $504,747,000. Fitch's certificate balances for classes A-3
     and A-4 are assumed at the midpoint of the range for each
     class.
(b) Notional amount and interest only.
(c) Privately placed and pursuant to Rule 144A.
(d) Vertical credit-risk retention interest, which represents
     approximately 5.00% of the certificate balance, notional
     amount or percentage interest of each class of certificates.

The expected ratings are based on information provided by the
issuer as of March 18, 2019.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 46 loans secured by 98
commercial properties having an aggregate principal balance of
$1,151,000,363 as of the cut-off date. The loans were contributed
to the trust by Citi Real Estate Funding Inc., JPMorgan Chase Bank,
National Association, and German American Capital Corporation.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 77.6% of the properties
by balance, cash flow analysis of 83.6%, and asset summary reviews
on 100% of the pool.

KEY RATING DRIVERS

Average Fitch Leverage Relative to Recent Transactions: The pool's
Fitch DSCR of 1.15x is lower than the YTD 2019 and 2018 averages of
1.20x and 1.22x, respectively. However, the pool's Fitch LTV of
102.8% is better than the YTD 2019 LTV of 104.4% and in-line with
the 2018 average of 102.0%. Excluding investment-grade credit
opinion loans, the pool has a Fitch DSCR and LTV of 1.11x and
109.4%, respectively.

Investment-Grade Credit Opinion Loans: Three loans, representing
15.2% of the pool, have investment-grade credit opinions. This is
above the YTD 2019 and 2018 averages of 7.2% and 13.6%,
respectively. ARC Apartments (5.2% of the pool) received a credit
opinion of 'A-sf'* on a stand-alone basis. 3 Columbus Circle (6.5%)
and 101 California (3.5%) each received stand-alone credit opinions
of 'BBB-sf'*.

Limited Amortization: There are 21 loans that are full
interest-only (55.2%), 15 loans (31.7% of the pool) that are
partial interest-only, and 10 loans (13.1%) that are amortizing
balloon loans. Based on the scheduled balance at maturity, the pool
will pay down by 5.3%, which is below the YTD 2019 and 2018
averages of 5.9% and 7.2%, respectively.


CARVANA AUTO 2019-1: Moody's Gives (P)B2 Rating on Class E Notes
----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to the
notes to be issued by Carvana Auto Receivables Trust 2019-1 (CRVNA
2019-1). This is the inaugural 144A auto loan transaction for
Carvana, LLC (Carvana), an indirect wholly owned subsidiary of
Carvana Co. (B3 stable). The notes will be backed by a pool of
retail automobile loan contracts originated by Carvana, who is also
the administrator of the transaction. Bridgecrest Credit Company,
LLC (Bridgecrest Credit), an indirect wholly owned subsidiary of
DriveTime Auto Group (B3 stable), will be the servicer of the
transaction.

Issuer: Carvana Auto Receivables Trust 2019-1

Class A-2 Asset-Backed Notes, Assigned (P)Aaa (sf)

Class A-3 Asset-Backed Notes, Assigned (P)Aaa (sf)

Class B Asset-Backed Notes, Assigned (P)Aa1 (sf)

Class C Asset-Backed Notes, Assigned (P)A1 (sf)

Class D Asset-Backed Notes, Assigned (P)Baa3 (sf)

Class E Asset-Backed Notes, Assigned (P)B2 (sf)

RATINGS RATIONALE

The ratings are based on the quality of the underlying collateral
originated by Carvana and its expected performance, the strength of
the capital structure, the experience and expertise of Bridgecrest
Credit as the servicer and the presence of First Associates Loan
Servicing, LLC (unrated) as the backup servicer.

Moody's median cumulative net loss expectation for the 2019-1 pool
is 11% and the loss at a Aaa stress is 50%. Moody's based its
cumulative net loss expectation on an analysis of the credit
quality of the underlying collateral; the historical performance of
similar collateral including Carvana's managed portfolio
performance; the ability of Bridgecrest Credit 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 and Class E notes are expected to benefit from 50.05%,
35.40%, 25.60%, 12.45% and 4.45% 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 E notes which do not
benefit from subordination. The notes may also benefit from excess
spread.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the subordinated 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.


CFCRE COMMERCIAL 2011-C2: Moody's Affirms B2 Rating on Cl. G Certs
------------------------------------------------------------------
Moody's Investors Service has affirmed these ratings on 11 classes
in CFCRE Commercial Mortgage Trust 2011-C2, Commercial Mortgage
Pass-Through Certificates Series 2011-C2:

Cl. A-3, Affirmed Aaa (sf); previously on Feb 1, 2018 Affirmed Aaa
(sf)

Cl. A-4, Affirmed Aaa (sf); previously on Feb 1, 2018 Affirmed Aaa
(sf)

Cl. A-J, Affirmed Aaa (sf); previously on Feb 1, 2018 Affirmed Aaa
(sf)

Cl. B, Affirmed Aaa (sf); previously on Feb 1, 2018 Affirmed Aaa
(sf)

Cl. C, Affirmed Aa3 (sf); previously on Feb 1, 2018 Affirmed Aa3
(sf)

Cl. D, Affirmed A2 (sf); previously on Feb 1, 2018 Affirmed A2 (sf)


Cl. E, Affirmed Baa3 (sf); previously on Feb 1, 2018 Affirmed Baa3
(sf)

Cl. F, Affirmed Ba2 (sf); previously on Feb 1, 2018 Affirmed Ba2
(sf)

Cl. G, Affirmed B2 (sf); previously on Feb 1, 2018 Affirmed B2 (sf)


Cl. X-A*, Affirmed Aaa (sf); previously on Feb 1, 2018 Affirmed Aaa
(sf)

Cl. X-B*, Affirmed B1 (sf); previously on Feb 1, 2018 Affirmed B1
(sf)

* Reflects Interest Only Classes

RATINGS RATIONALE

The ratings on nine principal and interest (P&I) classes were
affirmed because the transaction's key metrics, including Moody's
loan-to-value (LTV) ratio, Moody's stressed debt service coverage
ratio (DSCR) and the transaction's Herfindahl Index (Herf), are
within acceptable ranges.

The ratings on two IO classes were affirmed based on the credit
quality of the referenced classes.

Moody's rating action reflects a base expected loss of 4.2% of the
current pooled balance, compared to 5.3% at Moody's last review.
Moody's base expected loss plus realized losses is now 2.0% of the
original pooled balance, compared to 2.6% 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 methodologies used in ratings all classes except interest-only
class 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 interest-only class 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 February 2019.

DEAL PERFORMANCE

As of the February 15, 2019 distribution date, the transaction's
aggregate certificate balance has decreased by 53.2% to $362.5
million from $774.1 million at securitization. The certificates are
collateralized by 30 mortgage loans ranging in size from less than
1% to 24.3% of the pool, with the top ten loans (excluding
defeasance) constituting 67.8% of the pool. Five loans,
constituting 10.5% of the pool, have defeased and are secured by US
government securities.

Moody's uses a variation of Herf to measure the diversity of loan
sizes, where a higher number represents greater diversity. Loan
concentration has an important bearing on potential rating
volatility, including the risk of multiple notch downgrades under
adverse circumstances. The credit neutral Herf score is 40. The
pool has a Herf of 9, the same as at Moody's last review.

Eight loans, constituting 22.1% 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.

Two loans have been liquidated from the pool, resulting in no
realized loss to the trust. One loan, constituting 2% of the pool,
is currently in special servicing. The specially serviced loan is
the Crossroads Center Loan ($7.7 million -- 2.1% of the pool),
which is secured by a mixed-use office and retail property located
in Roanoke, Virginia near the Roanoke Airport. The loan transferred
to special servicing in December 2016 for maturity default and
became REO in July 2017.

Moody's received full year 2017 operating results and full or
partial year 2018 operating results for 100.0% of the pool
(excluding specially serviced and defeased loans). Moody's weighted
average conduit LTV is 78%, compared to 84% at Moody's last review.
Moody's conduit component excludes loans with structured credit
assessments, defeased and CTL loans, and specially serviced and
troubled loans. Moody's net cash flow (NCF) reflects a weighted
average haircut of 16% to the most recently available net operating
income (NOI). Moody's value reflects a weighted average
capitalization rate of 9.6%.

Moody's actual and stressed conduit DSCRs are 1.58X and 1.40X,
respectively, compared to 1.51X and 1.30X at the last review.
Moody's actual DSCR is based on Moody's NCF and the loan's actual
debt service. Moody's stressed DSCR is based on Moody's NCF and a
9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 41.6% of the pool balance.
The largest loan is the RiverTown Crossings Mall Loan ($88.2
million -- 24.3% of the pool), which represents a pari-passu
portion of a $137.6 million senior mortgage loan. The loan is
secured by a 635,769 square foot (SF) portion of a 1.2 million SF
regional mall located in Grandville, Michigan. The property was
built in 2000 and is anchored by Macy's, Sears, Kohl's, J.C.
Penney, Dick's Sporting Goods and Celebration Cinemas. The property
contains one vacant anchor space, a former Younkers that vacated in
2018 as a result of Bon-Ton's bankruptcy. Only Dick's and
Celebration Cinemas are part of the collateral. As of September
2018, the inline space was 91% leased. The loan has amortized
approximately 11% since securitization. Property performance has
declined recently, from 2016 to 2017, as a result of lower rental
revenue, however, property performance remains above the levels at
securitization. Moody's LTV and stressed DSCR are 76% and 1.39X,
respectively, compared to 72% and 1.36X at the last review.

The second largest loan is the Shops at Solaris Loan ($39.6 million
-- 10.9% of the pool), which is secured by a 70,023 SF retail space
with a 304-space two-story subterranean garage located in Vail,
Colorado. The property was built in 2010. As of June 2018, the
property was 100% leased, compared to 97% leased at Moody's last
review. The loan has amortized approximately 10% since
securitization. Moody's LTV and stressed DSCR are 60% and 1.55X,
respectively, compared to 61% and 1.51X at Moody's last review.

The third largest loan is the Hanford Mall Loan ($23.2 million --
6.4% of the pool), which is secured by a 331,080 SF portion within
a 488,833 SF enclosed regional mall located in Hanford, California,
As of September 2018, the collateral space was 93% leased, compared
to 97% leased as of December 2017. At securitization the mall was
anchored by Sears, J.C. Penney, Forever 21, and Kohl's. However,
Forever 21 vacated in 2016 and Sears in 2018 and both spaces remain
vacant. The vacant former Sears box and the J.C. Penney are
included as collateral for the loan. The property is located in a
tertiary market and performance has declined since securitization
as a result of lower rental revenues. Due to the decline in
performance, Moody's has identified this as a troubled loan.


CGGS COMMERCIAL 2018-WSS: DBRS Confirms B Rating on HRR Certs
-------------------------------------------------------------
DBRS, Inc. confirmed the ratings of the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2018-WSS
issued by CGGS Commercial Mortgage Trust 2018-WSS:

-- Class A at AAA (sf)
-- Class B at AA (high) (sf)
-- Class X-CP at AA (low) (sf)
-- Class X-NCP at AA (low) (sf)
-- Class C at A (high) (sf)
-- Class D at BBB (low) (sf)
-- Class E at BB (low) (sf)
-- Class HRR at B (sf)

All trends are Stable.

The rating confirmations reflect the stable performance of the
transaction since issuance, which is secured by the borrower's fee
interest in a portfolio of 92 extended-stay economy hotels totaling
10,978 keys located in 22 different states. The portfolio is
encumbered by a total debt load of $530.0 million, with a $405.0
million A-note contributed to the subject transaction and $125.0
million structured as mezzanine debt. All 92 collateral assets were
acquired by the sponsor, Brookfield Strategic Real Estate Partners
II (Brookfield), at closing for $707.3 million, with Brookfield
contributing $177.3 million of cash equity to facilitate the
purchase. Simultaneously, Choice Hotels International, Inc.
acquired the WoodSpring Suites brand and executed new 20-year
individual franchise agreements across the portfolio. The loan has
an initial two-year interest-only term with five one-year extension
options.

Spread across 22 states and 55 metropolitan statistical areas, the
portfolio is geographically diverse with all properties now
operating under the WoodSpring Suites flag. The hotels were built
between 2003 and 2016, and approximately $54.6 million ($4.9k per
key) of capital expenditures has been invested across the
collateral portfolio, including rebranding costs. The portfolio
benefits from granularity by allocated loan amount and by a market,
as no single property comprises more than 2.2% of the total
allocated loan amount and Florida has the highest concentration
with an allocation balance of 22.3%, followed by Colorado at 9.7%.

DBRS has yet to receive YE2018 financial reporting for the
portfolio; however, it did confirm all 92 properties remain in the
portfolio, and it received November 2018 Smith Travel Research
reports for 85 of the hotels in the portfolio, representing 90.2%
of the allocated loan balance. According to the trailing-12-month
(T-12) figures, the weighted-average occupancy, average daily rate
(ADR) and revenue per available room (RevPAR) based on the
allocated loan balance were 83.2%, $43.30 and $36.09, respectively.
In comparison, the previous year's T-12 figures were 85.6%, $40.62
and $38.85, respectively. While occupancy declined by 2.4%,
performance remained stable as RevPAR improved by 3.5% due to a
6.8% increase in ADR. At issuance, DBRS determined a net cash flow
equating to a DBRS Term Debt Service Coverage Ratio of 2.05 times.


CIM TRUST 2019-INV1: Moody's Gives (P)B2 Rating on Class B-5 Debt
-----------------------------------------------------------------
Moody's Investors Service has assigned provisional ratings to 19
classes of residential mortgage-backed securities (RMBS) issued by
CIM Trust 2019-INV1 (CIM 2019-INV1). The ratings range from (P)Aaa
(sf) to (P)B2 (sf).

CIM 2019-INV1, the first rated issue from Chimera Trust in 2019, is
a prime RMBS securitization of fixed-rate investment property
mortgage loans secured by first liens on agency-eligible non-owner
occupied residential properties with 30-year original term to
maturity. All of the loans are underwritten in accordance with
Freddie Mac or Fannie Mae guidelines, which take into
consideration, among other factors, the income, assets, employment
and credit score of the borrower. All the loans were run through
one of the government-sponsored enterprises' (GSE) automated
underwriting systems (AUS) and received an "Approve" or "Accept"
recommendation.

The mortgage loans for this transaction were acquired by the
affiliates of the sponsor, Chimera Funding TRS LLC and Chimera
Residential Mortgage Inc. (the Sellers) from Bank of America,
National Association (BANA). BANA acquired the mortgage loans
through its whole loan purchase program from various originators.

Shellpoint Mortgage Servicing (Shellpoint) and TIAA, FSB will
service 91% and 9% of the aggregate balance of the mortgage pool,
respectively, and Wells Fargo Bank, N.A. (Aa2) will be the master
servicer. The servicers will be primarily responsible for funding
certain servicing advances and delinquent scheduled interest and
principal payments for the mortgage loans, unless the servicer
determines that such amounts would not be recoverable. The master
servicer is obligated to fund any required monthly advances if the
servicer fails in its obligation to do so. The master servicer and
servicer will be entitled to reimbursements for any such monthly
advances from future payments and collections (including insurance
and liquidation proceeds) with respect to those mortgage loans.

CIM 2019-INV1 has a shifting interest structure with a five-year
lockout period that benefits from a senior subordination floor and
a subordinate floor. We coded the cash flow to each of the
certificate classes using Moody's proprietary cash flow model. In
our analysis of tail risk, we considered the increased risk from
borrowers with more than one mortgage in the pool.

The complete rating actions are as follows:

Issuer: CIM Trust 2019-INV1

Cl. A-1, Assigned (P)Aaa (sf)

Cl. A-2, Assigned (P)Aaa (sf)

Cl. A-3, Assigned (P)Aaa (sf)

Cl. A-4, Assigned (P)Aaa (sf)

Cl. A-5, Assigned (P)Aaa (sf)

Cl. A-6, Assigned (P)Aaa (sf)

Cl. A-7, Assigned (P)Aaa (sf)

Cl. A-8, Assigned (P)Aaa (sf)

Cl. A-9, Assigned (P)Aaa (sf)

Cl. A-10, Assigned (P)Aaa (sf)

Cl. A-11, Assigned (P)Aa1 (sf)

Cl. A-12, Assigned (P)Aa1 (sf)

Cl. B-1, Assigned (P)Aa2 (sf)

Cl. B-1A, Assigned (P)Aa2 (sf)

Cl. B-2, Assigned (P)A1 (sf)

Cl. B-2A, Assigned (P)A1 (sf)

Cl. B-3, Assigned (P)A3 (sf)

Cl. B-4, Assigned (P)Ba1 (sf)

Cl. B-5, Assigned (P)B2 (sf)

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

Moody's expected cumulative net loss on the aggregate pool is 1.00%
in a base scenario and reaches 11.30% at a stress level consistent
with the Aaa ratings.

Moody's loss estimates are based on a loan-by-loan assessment of
the securitized collateral pool as of the cut-off date using
Moody's Individual Loan Level Analysis (MILAN) model. Loan-level
adjustments to the model included adjustments to borrower
probability of default for higher and lower borrower debt-to-income
ratios (DTIs), for borrowers with multiple mortgaged properties,
self-employed borrowers, and for risks related to mortgaged
properties in Homeownership associations (HOAs) in super lien
states. Our loss levels and provisonal ratings on the certificates
also took into consideration qualitative factors such as the
results of the third-party due diligence review, origination
quality, the servicing arrangement, alignment of interest of the
sponsor with investors, the representations and warranties (R&W)
framework, and the transaction's legal structure and
documentation.

Collateral Description

The CIM 2019-INV1 transaction is a securitization of 1,304
investment property mortgage loans secured by first liens on
one-to-four family residential investment properties, planned unit
developments and condominiums with an unpaid principal balance of
$382,903,313. All the loans have a 30-year original term to
maturity. The mortgage pool has a weighted average (WA) seasoning
of six months. The loans in this transaction have strong borrower
characteristics with a WA original FICO score of 769 and a WA
original combined loan-to-value ratio (CLTV) of 68.7%. In addition,
33% of the borrowers are self-employed and refinance loans comprise
about 33% of the aggregate pool. The pool has a high geographic
concentration with 35% of the aggregate pool located in California
and 13% located in the Los Angeles-Long Beach-Anaheim, CA MSA. The
characteristics of the loans underlying the pool are generally
comparable to CIM Trust 2018-INV1.

About 5.4% of the aggregate stated balance of the Mortgage Loans as
of the Cut-off Date, have been 30 days or more delinquent and are
now current under the methodology used by the Mortgage Bankers
Association (the "MBA Method"). All such delinquencies occurred
around the time of a servicing transfer and the Sponsor believes
that these delinquencies were related to the transfer of the
servicing on such Mortgage Loans. The servicer confirmed that there
were issues with contacting the borrower and transferring automated
clearing house (ACH) but were subsequently resolved. All the loans
post transfer have been current. Out of the total 67 mortgage loans
with delinquent history, four loans have been 90 days or more
delinquent. We took into consideration updated FICO scores for
borrowers with over 90 days delinquency and adjusted our base case
and Aaa loss assumptions accordingly.

Origination

Loans in the pool were originated by 10 different originators. The
largest originators in the pool with more than 10% by balance are
Caliber Home Loans, Inc. (28%), and Home Point Financial
Corporation (23%). We took into consideration the origination
quality of these originators and factored it in our analysis. We
increased our base case and Aaa loss assumption for the loans
originated by Home Point Financial Corporation due to limited
historical performance data, reduced retail footprints which will
limit the seller's oversight on originations and lack of strong
controls to support recent rapid growth.

Third Party Review and Reps & Warranties (R&W)

Two third party review (TPR) firms verified the accuracy of the
loan-level information that we received from the sponsor. These
firms conducted detailed credit, property valuation, data integrity
and regulatory compliance reviews on 100% of the mortgage pool. The
TPR results indicated compliance with the originators' and
aggregators' underwriting guidelines for the vast majority of the
loans, no material compliance issues, and no material appraisal
defects.

Each originator will provide comprehensive loan level reps and
warranties for their respective loans. BANA will assign each
originator's R&W to the Sellers, who will in turn assign to the
depositor, which will assign to the trust. To mitigate the
potential concerns regarding the originators' ability to meet their
respective R&W obligations, the Sellers will backstop the R&Ws for
all originators loans. The Sellers obligation to backstop third
party R&Ws will terminate 5 years after the closing date, subject
to certain performance conditions. The Sellers will also provide
the gap reps.

The R&W framework is adequate in part because the results of the
independent TPRs revealed a high level of compliance with
underwriting guidelines and regulations, as well as overall
adequate appraisal quality. These results give confidence that the
loans do not systemically breach the R&Ws the originators have made
and that the originators are unlikely to face material repurchase
requests in the future. The loan-level R&Ws are strong and, in
general, either meet or exceed the baseline set of credit-neutral
R&Ws we identified for US RMBS. Among other considerations, the
R&Ws address property valuation, underwriting, fraud, data
accuracy, regulatory compliance, the presence of title and hazard
insurance, the absence of material property damage, and the
enforceability of mortgage.

Tail Risk and Subordination Floor

The transaction cash flows follow a shifting interest structure
that allows subordinated bonds to receive principal payments under
certain defined scenarios. Because a shifting interest structure
allows subordinated bonds to pay down over time as the loan pool
shrinks, senior bonds are exposed to increased performance
volatility, known as tail risk. The transaction provides for a
senior subordination floor of 1.60% of the closing pool balance,
which mitigates tail risk by protecting the senior bonds from
eroding credit enhancement over time. Additionally there is a
subordination lock-out amount which is 0.70% of the closing pool
balance.

Exposure to Extraordinary expenses

Extraordinary trust expenses in this transaction are deducted from
net WAC. We believe there is a very low likelihood that the rated
certificates in CIM 2019-INV1 will incur any losses from
extraordinary expenses or indemnification payments from potential
future lawsuits against key deal parties. Firstly, the loans are of
prime quality and were originated under a regulatory environment
that requires tighter controls for originations than pre-crisis,
which reduces the likelihood that the loans have defects that could
form the basis of a lawsuit. Secondly, the transaction has
reasonably well-defined processes in place to identify loans with
defects on an ongoing basis. In this transaction, an independent
breach reviewer must review loans for breaches of representations
and warranties when certain clearly defined triggers have been
breached which reduces the likelihood that parties will be sued for
inaction. Furthermore, the issuer has disclosed results of the
credit, compliance and valuation review of 100% of the mortgage
loans by independent third parties.

Other Considerations

In CIM 2019-INV1, the controlling holder has the option to hire at
its own expense the independent reviewer upon the occurrence of a
review event. If there is no Controlling Holder (no single entity
holds a majority of the Class Principal Amount of the most
subordinate class of certificates outstanding), the trustee will
appoint an independent reviewer at the cost of the trust. However,
if the controlling holder does not hire the independent reviewer,
the holders of more than 50% of the aggregate voting interests of
all outstanding certificates may direct (at their expense) the
trustee to appoint an independent reviewer. In this transaction,
the controlling holder can be the depositor or a seller (or an
affiliate of these parties). If the controlling holder is
affiliated with the depositor, seller or Sponsor, then the
controlling holder may not be motivated to discover and enforce R&W
breaches for which its affiliate is responsible.

The servicer will not commence foreclosure proceedings on a
mortgage loan unless the servicer has notified the controlling
holder at least five business days in advance of the foreclosure
and the controlling holder has not objected to such action. If the
controlling holder objects, the servicer has to obtain three
appraisals from the appraisal firms as listed in the pooling and
servicing agreement. The cost of the appraisals are borne by the
controlling holder. The controlling holder will be required to
purchase such mortgage loan at a price equal to the highest of the
three appraisals plus accrued and unpaid interest on such mortgage
loan as of the purchase date. If the servicer cannot obtain three
appraisals there are alternate methods for determining the purchase
price . If the controlling holder fails to purchase the mortgage
loan within the time frame, the controlling holder forfeits any
foreclosure rights thereafter. We consider this credit neutral
because a) the appraiser is chosen by the servicer from the
approved list of appraisers, b) the fair value of the property is
decided by the servicer, based on third party appraisals, and c)
the controlling holder will pay the fair price and accrued
interest.

Factors that would lead to an upgrade or downgrade of the ratings:

Down

Levels of credit protection that are insufficient to protect
investors against current expectations of loss could drive the
ratings down. Losses could rise above Moody's original expectations
as a result of a higher number of obligor defaults or deterioration
in the value of the mortgaged property securing an obligor's
promise of payment. Transaction performance also depends greatly on
the US macro economy and housing market. Other reasons for
worse-than-expected performance include poor servicing, error on
the part of transaction parties, inadequate transaction governance
and fraud.

Up

Levels of credit protection that are higher than necessary to
protect investors against current expectations of loss could drive
the ratings up. Losses could decline from Moody's original
expectations as a result of a lower number of obligor defaults or
appreciation in the value of the mortgaged property securing an
obligor's promise of payment. Transaction performance also depends
greatly on the US macro economy and housing market.


FREDDIE MAC 2019-1: DBRS Finalizes B(low) Rating on Class M Certs
-----------------------------------------------------------------
DBRS, Inc. finalized its provisional rating on the following
Mortgage-Backed Security, Series 2019-1 (the Certificate) issued by
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-1 (the
Trust):

-- $78.6 million Class M at B (low) (sf)

The B (low) (sf) rating on the Certificate reflects 5.50% of credit
enhancement provided by subordinated certificates in the pool.

Other than the specified class above, DBRS does not rate any other
classes in this transaction.

This transaction is a securitization of a portfolio of seasoned
re-performing first-lien residential mortgages funded by the
issuance of the certificates, which are backed by 12,185 loans with
a total principal balance of $2,096,796,997 as of the Cut-Off Date
(January 31, 2019).

The mortgage loans were either purchased by Freddie Mac from
securitized Freddie Mac Participation Certificates or retained by
Freddie Mac in whole-loan form since their acquisition. The loans
are currently held in Freddie Mac's retained portfolio and will be
deposited into the Trust on the Closing Date (March 13, 2019).

The portfolio contains 100% modified loans. Each mortgage loan was
modified under either the government-sponsored enterprise (GSE)
Home Affordable Modification Program (HAMP) or GSE non-HAMP
modification programs. Within the pool, 5,007 mortgages have
forborne principal amounts as a result of a modification, which
equates to 12.2% of the total unpaid principal balance as of the
Cut-Off Date. For 90.6% of the modified loans, the modifications
happened more than two years ago. The loans are approximately 151
months seasoned, and all are current as of the Cut-Off Date.
Furthermore, 62.7% of the mortgage loans have been zero times 30
days delinquent for at least the past 24 months under the Mortgage
Bankers Association delinquency methods. There are five loans that
are subject to the Consumer Financial Protection Bureau's Qualified
Mortgage (QM) rules. Four of them are QM Safe Harbor, and the last
is Non-QM, according to the third-party due diligence results.
Additionally, there are 53 loans whose QM status is not available;
DBRS assumed these loans to be Non-QM.

The mortgage loans will be serviced by Specialized Loan Servicing
LLC. There will not be any advancing of delinquent principal or
interest on any mortgages by the Servicer; however, the Servicer is
obligated to advance to third parties any amounts necessary for the
preservation of mortgaged properties or real-estate¬-owned
properties acquired by the Trust through foreclosure or a loss
mitigation process.

Freddie Mac will serve as the Sponsor, Seller and Trustee of the
transaction, as well as Guarantor of the senior certificates (the
Class HT, Class HA, Class HB, Class HV, Class HZ, Class MT, Class
MA, Class MB, Class MV, Class MZ, Class M55D, Class M55E, Class
M55G and Class M55I certificates). Wilmington Trust National
Association (Wilmington Trust; rated A (high) with a Positive trend
by DBRS) will serve as the Trust Agent. Wells Fargo Bank, N.A.
(rated AA with a Stable trend by DBRS) will serve as the Custodian
for the Trust. U.S. Bank National Association (rated AA (high) with
a Stable trend by DBRS) will serve as the Securities Administrator
for the Trust and will act as Paying Agent, Registrar, Transfer
Agent, and Authenticating Agent.

Freddie Mac, as the Seller, will make certain representations and
warranties (R&Ws) with respect to the mortgage loans. It will be
the only party from which the Trust may seek indemnification (or in
certain cases, a repurchase) as a result of a breach of R&Ws. If a
breach review trigger occurs during the warranty period, the Trust
Agent, Wilmington Trust, will be responsible for the enforcement of
R&Ws. The warranty period will only be effective through March 11,
2022 (approximately three years from the Closing Date), for
substantially all R&Ws other than the real estate mortgage
investment conduit R&Ws, which will not expire.

The mortgage loans will be divided into three loan groups: Group H,
Group M, and Group M55. The Group H loans (8.1% of the pool) were
subject to step-rate modifications. Group M loans (83.6% of the
pool) and Group M55 loans (8.3% of the pool) were subject to either
fixed-rate modifications or step-rate modifications that have
reached their final step dates as of December 31, 2018, and the
borrowers have made at least one payment after such loans reached
their final step dates as of the Cut-Off Date. Each Group M loan
has a mortgage interest rate less than or equal to 5.5% or has
forbearance. Each Group M55 loan has a mortgage interest rate
greater than 5.5% and has no forbearance. Principal and interest
(P&I) on the senior certificates (the Guaranteed Certificates) will
be guaranteed by Freddie Mac. The Guaranteed Certificates will be
backed by collateral from each group, respectively. The remaining
certificates (including the subordinate, non-guaranteed,
interest-only mortgage insurance and residual certificates) will be
cross-collateralized among the three groups.

The transaction employs a pro rata pay cash flow structure with a
sequential-pay feature among the subordinate certificates. Certain
principal proceeds can be used to cover interest shortfalls on the
rated Class M certificates. Senior classes benefit from guaranteed
P&I payments by the Guarantor, Freddie Mac; however, such
guaranteed amounts, if paid, will be reimbursed to Freddie Mac from
the P&I collections prior to any allocation to the subordinate
certificates. The senior principal distribution amounts vary
subject to the satisfaction of a step-down test. Realized losses
are allocated sequentially in reverse order.

The rating reflects transactional strengths that include underlying
assets that have generally performed well through the crisis (62.7%
of the pool has remained consistently current in the past 24
months). Additionally, a third-party due diligence review, albeit
on less than 100% of the portfolio with respect to regulatory
compliance and payment histories, was performed on a sample that
exceeds DBRS's criteria. The due diligence results and findings on
the sampled loans were satisfactory.

This transaction employs a weak R&W framework that includes a
36-month sunset without an R&W reserve account, substantial
knowledge qualifiers and fewer mortgage loan representations
relative to DBRS's criteria for seasoned pools. In addition, a
breach review trigger for loans that are 180 days or more
delinquent (delinquency review trigger) that existed in previous
securitizations has been removed from this transaction. DBRS
increased loss expectations from the model results to capture the
weaknesses in the R&W framework. Other mitigating factors include
(1) significant loan seasoning and very clean performance history
in the past two years, (2) Freddie Mac as the R&W provider and (3)
a satisfactory third-party due diligence review.

The lack of P&I advances on delinquent mortgages may increase the
possibility of periodic interest shortfalls to the noteholders;
however, certain principal proceeds can be used to pay interest to
the rated Certificate, and subordination levels are greater than
expected losses, which may provide for interest payments to the
rated Certificate.

Notes: All figures are in U.S. dollars unless otherwise noted.


HOME CAPITAL: DBRS Hikes Long Term Issuer Rating to BB(low)
-----------------------------------------------------------
DBRS Limited upgraded the long-term ratings of Home Capital Group
Inc. (HCG or the Group) to BB (low) from B and upgraded the Group's
short-term ratings to R-4 from R-5. DBRS also upgraded the
long-term ratings of HCG's primary operating subsidiary, Home Trust
Company (HTC or the Trust Company), to BB from BB (low) and
confirmed HTC's short-term rating at R-4. The trends on all ratings
have been revised to Positive from Stable, with the exception of
the trends on HCG's short-term ratings, which remain Stable. The
Intrinsic Assessment for HTC was raised one notch to BB from BB
(low), while the Support Assessment for HCG remains at SA3, which
implies no expected systemic support for the Group.

KEY RATING CONSIDERATIONS

The rating actions and Positive trends reflect DBRS's recognition
of the speed of the progress made by HCG in restoring market
confidence, stabilizing its performance and regaining its position
in the mortgage finance industry. The Group has taken strides to
repair relationships with brokers and regain some of its lost
market shares as it emerged from its liquidity crisis in 2017.
Furthermore, HCG has secured more traditional sources of liquidity
and has reduced its funding costs. Importantly, with asset quality
remaining strong, the Group has returned to a full year of
profitability. However, DBRS notes that as the Group continues to
rebuild, changing dynamics in the Canadian mortgage market are
making the industry more competitive and putting pressure on
margins.

RATING DRIVERS

A continued buildup of stable-term direct deposits and further
diversification of funding away from dependence on brokered
deposits could lead to positive rating actions. Moreover, regaining
market share in originations while improving profitability and
maintaining sound asset quality would be viewed positively.
Conversely, the ratings could come under pressure should there be
significant losses in the loan portfolio as a result of unforeseen
weakness in underwriting and/or risk management. Furthermore,
disproportionate growth in commercial originations that would
weaken HCG's risk profile could also have a negative impact on the
ratings, as would substantive funding pressure caused by deposit
outflows or insufficient liquidity to meet redemptions.

RATING RATIONALE

In 2018, HCG undertook various initiatives to repair and improve
its mortgage broker relationships in order to drive stronger
originations with the ultimate goal of regaining its position as
Canada's largest Alternative-A mortgage provider. The Group had
lost its top position in Q2 2017 due to a liquidity event that
stemmed from a crisis of investor confidence resulting from the
Group's issues with broker fraud. During that period, HCG's loans
under administration (LUA) shrunk to $22.5 billion at YE2017 from
$25.8 billion at YE2016, as the Group sold some of its residential
and commercial assets. However, the Group's efforts have proven
successful, with total originations up 15% during 2018 to $5.4
billion. Furthermore, the Group announced a three-year technology
investment plan aimed at improving operating efficiency, client
interaction and service levels to brokers. The "IT Roadmap"
involves an upgrade of the core banking system and the addition of
new digital tools.

Earnings rebounded in F2018, with the Group reporting net income of
$133 million, up from $8 million in F2017, yet still well below
historical levels. Despite increases in originations and renewals,
interest income declined by 7% to $765 million in 2018 from $819
million in 2017, as the Group reported under a full year of lower
LUA. Positively, HCG has reduced its funding costs considerably,
with interest expense down by 20% year over year (YOY) to $413
million. The rates HCG now pays on deposits are in line with the
rest of the market. Furthermore, in Q3 2018, the Group was able to
secure a $500 million standby facility from two of Canada's largest
banks to replace the $2 billion line of credit provided by a wholly
owned subsidiary of Berkshire Hathaway Inc. (Berkshire), thus
further reducing costs.

Asset quality remained sound in 2018, with impaired loans-to-gross
loans at 0.59% as of December 31, 2018. Management continues to
invest in improving risk policies and procedures in order to
maintain the Group's reputation for good underwriting, which DBRS
believes is crucial at this point as HCG attempts to regain its
position in the mortgage market. Positively, the Office of the
Superintendent of Financial Institutions' new B-20 mortgage
underwriting guidelines, which include a higher stress test on
uninsured mortgages, have had a positive impact on HCG. The new
guidelines, which include higher hurdle stress tests, have
benefitted the Group, as some of the large bank borrowers chose to
obtain their mortgages at HCG knowing they would not easily qualify
for mortgages at the larger institutions, thereby improving the
overall credit profile of HCG's clients. Nevertheless, DBRS is
cognizant that HCG could be more susceptible to a real estate
market correction than its large bank peers that have a more
diversified business model, as the bulk of the Group's retail
credit risk lies in mortgage lending within the riskier non-prime
market segment.

The Group continues to be highly dependent on broker deposits,
which comprised 79% of its $13 billion total deposits as of
December 31, 2018. Nevertheless, HCG is growing its
direct-to-consumer channel through its Oaken Financial offering,
and as such, directly sourced deposits have increased by 32% YOY to
$2.7 billion. Meanwhile, unencumbered liquid assets totaled $1.0
billion as at YE2018, almost triple the amount of demand deposits
on the balance sheet. In the aftermath of the 2017 crisis and the
outflow of broker-sourced demand deposits, HCG now limits demand
deposits to a level that is commensurate with its available
liquidity.

During Q4 2018, HCG initiated a substantial issuer bid (SIB)
offering to purchase for cancellation up to $300 million of common
shares. The SIB, which was oversubscribed, saw the subsidiary of
Berkshire reduce its holding in the Group to less than 10% from
approximately 20%. Consequently, HTC's Common Equity Tier 1 ratio
declined to 18.9% as at YE2018 from 23.2% as at YE2017.
Nevertheless, capitalization remains strong in DBRS's opinion, with
a healthy capital cushion. Additionally, no dividends were declared
as the Group focuses on reigniting growth.

The Grid Summary Grades for the Trust Company are as follows:
Franchise Strength – Moderate/Weak; Earnings Power –
Moderate/Weak; Risk Profile – Moderate; Funding & Liquidity –
Moderate/Weak; and Capitalization – Moderate/Weak.

Notes: All figures are in Canadian dollars unless otherwise noted.


KAYNE CLO III: Moody's Rates $25.9MM Class E Notes Ba3
------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Kayne CLO III, Ltd.

Moody's rating action is as follows:

US$288,000,000 Class A Senior Secured Floating Rate Notes due 2032
(the "Class A Notes"), Assigned Aaa (sf)

US$38,700,000 Class B-1 Senior Secured Floating Rate Notes due 2032
(the "Class B-1 Notes"), Assigned Aa2 (sf)

US$10,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2032
(the "Class B-2 Notes"), Assigned Aa2 (sf)

US$20,550,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C Notes"), Assigned A2 (sf)

US$26,800,000 Class D Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class D Notes"), Assigned Baa3 (sf)

US$25,900,000 Class E Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class E Notes"), Assigned Ba3 (sf)

The Class A Notes, the Class B-1 Notes, the Class B-2 Notes, the
Class C Notes, the Class D Notes and the Class E Notes are referred
to herein, collectively, as the "Rated Notes."

RATINGS RATIONALE

The rationale for the rating is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's methodology.

Kayne CLO III is a managed cash flow CLO. The issued notes will be
collateralized primarily by broadly syndicated senior secured
corporate loans. At least 95% of the portfolio must consist of
senior secured loans, cash, and eligible investments, and up to 5%
of the portfolio may consist of second lien loans and unsecured
loans. The portfolio is approximately 90% ramped as of the closing
date.

Kayne Anderson Capital Advisors, L.P. (the "Manager") will direct
the selection, acquisition and disposition of the assets on behalf
of the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.


LEHMAN XS 2007-3: Moody's Hikes Cl. 2-A3 Certs Rating to Ca
-----------------------------------------------------------
Moody's Investors Service has upgraded the rating of three tranches
from two transactions, backed by Alt-A RMBS issued by Lehman XS
Trust.

Complete rating actions are as follows:

Issuer: Lehman XS Trust Mortgage Pass-Through Certificates, Series
2007-3

  Cl. 2-A2, Upgraded to Caa3 (sf); previously on Feb 10, 2011
  Downgraded to Ca (sf)

  Cl. 2-A3, Upgraded to Ca (sf); previously on Feb 10, 2011
  Downgraded to C (sf)

Issuer: Lehman XS Trust Series 2005-2

  Cl. 1-M1, Upgraded to Caa3 (sf); previously on Sep 3, 2010
  Downgraded to C (sf)

RATINGS RATIONALE

The rating upgrades are primarily due to the payments distributed
to the transactions in January 2019 pursuant to a settlement
between Lehman and certain RMBS investors.The actions further
reflect the recent performance of the underlying pools and Moody's
updated loss expectations on the pools.

The principal methodology used in these ratings was "US RMBS
Surveillance Methodology" published in February 2019. Please see
the Rating Methodologies page on www.moodys.com for a copy of this
methodology.

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 3.8% in February 2019 from 4.1% in
February 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. 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.


LIBERTY TRUST 2016-1: Moody's Raises Class F Notes Rating to Ba3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on four classes
of notes issued by Liberty Series 2016-1 Trust.

The affected ratings are:

Issuer: Liberty Series 2016-1 Trust

  -- Class C, Upgraded to Aa1 (sf); previously on Aug 29, 2017
Upgraded to Aa3 (sf)

  -- Class D, Upgraded to Aa3 (sf); previously on Aug 29, 2017
Upgraded to A3 (sf)

  -- Class E, Upgraded to Baa1 (sf); previously on Mar 16, 2016
Definitive Rating Assigned Ba1 (sf)

  -- Class F, Upgraded to Ba3 (sf); previously on Mar 16, 2016
Definitive Rating Assigned B1 (sf)

RATINGS RATIONALE

The upgrade is prompted by an increase in the credit enhancement
available to the affected notes and the lowering of Moody's'
expected loss assumption.

Sequential amortization of the notes since closing led to the
increase in notes subordination.

The transaction could have switched to pro-rata principal repayment
among the rated notes as early as March 2018 if all step-down
conditions were met; it switched to pro-rata principal repayments
in November 2018.

The transaction could switch back to sequential principal payment
if the average 60-plus days arrears ratio, one of the step-down
conditions for pro-rata principal repayment, breaches the 4%
trigger. As of January 2019, this ratio was very close to 4%.

In its analysis, Moody's has considered both scenarios, assuming
(1) no breach of the arrears ratio trigger and pro-rata principal
repayment until the first call date and (2) breach of the arrears
ratio and sequential principal repayment until deal maturity.

The notes subordination available for the Class C, Class D, Class E
and Class F notes has increased to 12.7%, 8.5%, 5.3% and 2.6% from
8.3%, 5.6%, 2.1% and 1.0% at the time of the last rating action in
August 2017 for the Class C and Class D notes and the closing date
for the Class E and Class F notes.

The Guarantee Fee Reserve Account has accumulated AUD1.2 million
(1.1% of the total current note balance) from excess spread.

As of January 2019, 6.2% of the outstanding pool was 30-plus-days
delinquent, and 3.3% was 90-plus-days delinquent. The portfolio has
incurred AUD346,237 of losses to date, all of which have been
covered by excess spread.

Based on the observed defaults and delinquencies, current pool
factor and economic outlook, Moody's has lowered its expected loss
assumption to 1% of the original pool balance (2.3% of current pool
balance) from 1.4% at closing.

Moody's has decreased its MILAN CE assumption to 11.2% from 11.6%
since the last rating action, based on the current portfolio
characteristics.

The MILAN CE and expected loss assumptions are the two key
parameters used by Moody's to calibrate the loss distribution
curve, which is one of the inputs into the cash-flow model.

The transaction is an Australian RMBS secured by a portfolio of
residential mortgage loans, originated by Liberty Financial Pty
Ltd, a large Australian non-bank mortgage lender. A portion of the
portfolio consists of loans extended to borrowers with impaired
credit histories or made on a limited documentation basis.

The principal methodology used in these ratings was "Moody's
Approach to Rating RMBS Using the MILAN Framework" published in
March 2019.

Factors that would lead to an upgrade or downgrade of the ratings:


Factors that could lead to an upgrade of the ratings include (1)
performance of the underlying collateral that is better than
Moody's expectations and (2) an increase in the notes' available
credit enhancement.

Factors that could lead to a downgrade of the ratings include (1)
performance of the underlying collateral that is worse than Moody's
expectations, (2) a decrease in the notes' available credit
enhancement and (3) a deterioration in the credit quality of the
transaction counterparties.


MADISON PARK XXXIV: Fitch to Rate $21.3MM Class E Notes 'BB-'
-------------------------------------------------------------
Fitch Ratings expects to assign the following ratings and Rating
Outlooks to Madison Park Funding XXXIV, Ltd.:

-- $294,500,000 class A-1 notes 'AAAsf'; Outlook Stable;
-- $27,800,000 class A-2 notes 'AAAsf'; Outlook Stable;
-- $21,300,000 class E notes 'BB-sf'; Outlook Stable.

Fitch does not expect to rate the class B, C or D notes or the
subordinated notes.

TRANSACTION SUMMARY

Madison Park Funding XXXIV, Ltd. (the issuer) is an arbitrage cash
flow collateralized loan obligation (CLO) managed by Credit Suisse
Asset Management, LLC. Net proceeds from the issuance of the
secured and subordinated notes will provide financing on a
portfolio of approximately $500 million of primarily first lien
senior secured leveraged loans. The CLO will have an approximately
five-year reinvestment period and two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 41.1% for
class A-1 notes, 35.5% for class A-2 notes (collectively, the class
A notes) and 9.2% for class E notes, in addition to excess spread,
is sufficient to protect against portfolio default and recovery
rate projections in an 'AAAsf' stress scenario for class A notes
and in a 'BB-sf' stress scenario for class E notes. The level of CE
available to the class A-1 notes is above the average CE of recent
'AAAsf' CLO issuances, while CE available to class A-2 notes is
below such average. The level of CE available to the class E notes
is in line with the average CE of recent 'BBsf' CLO issuances. Cash
flow modeling results for these classes of notes indicate
performance in line with that of other Fitch-rated notes with
similar ratings.

'B'/'B-' Asset Quality: The average credit quality of the
indicative portfolio is 'B'/'B-', which is in line with that of
recent CLOs. Issuers rated in the 'B'/'B-' rating category denote a
highly speculative credit quality; however, in Fitch's opinion, the
class A and E notes are unlikely to be affected by the foreseeable
level of defaults. Class A-1, A-2 and E notes are projected to be
able to withstand default rates of up to 69.3%, 64.0% and 39.5%,
respectively.

Strong Recovery Expectations: The indicative portfolio consists of
98.7% first lien senior secured loans and 1.3% second lien loans.
Approximately 91.7% of the indicative portfolio has either strong
recovery prospects or a Fitch-assigned recovery rating of 'RR2' or
higher, resulting in a base case recovery assumption of 79.1%.
Fitch stressed the indicative portfolio by assuming a higher
portfolio concentration of assets with lower recovery prospects,
and further reduced recovery assumptions for higher rating stress,
resulting in a 38.2% recovery rate in Fitch's 'AAAsf' scenario and
a 67.9% recovery rate in Fitch's 'BB-sf' scenario.


MORGAN STANLEY 2019-AGLN: DBRS Gives Prov. B(low) Rating on G Certs
-------------------------------------------------------------------
DBRS, Inc. assigned provisional ratings to the following classes of
Commercial Mortgage Pass-Through Certificates, Series 2019-AGLN to
be issued by Morgan Stanley Capital I Trust 2019-AGLN (the
Issuer):

-- Class A at AAA (sf)
-- Class X-CP at AAA (sf)
-- Class X-NCP at AAA (sf)
-- Class B at AA (high) (sf)
-- Class C at A (high) (sf)
-- Class D at A (low) (sf)
-- Class E at BBB (low) (sf)
-- Class F at BB (low) (sf)
-- Class G at B (low) (sf)

All trends are Stable.

All classes will be privately placed. Classes X-CP and X-NCP are
notional.

The loan collateral consists of 42 properties totaling 5,746,649
sf. The portfolio, comprising 38 industrial and four office
properties, is currently 96.5% leased to over 250 tenants. Tenants'
industries include grocery, health care, business services,
biotech, manufacturing, insurance and retail, among others. The
largest tenants are United Natural Foods, Inc. (8.1% of net
rentable area (NRA)); General Motors LLC (7.0% of NRA); and CEVA
Logistics (5.8% of NRA). The largest concentration by state is
Texas with 37.9% of NRA, followed by Florida with 15.8% of NRA,
Illinois with 13.9% of NRA and Georgia with 13.7% of NRA. The
largest property by value is Naperville Woods Office Center, an
office property located in Naperville, Illinois, which accounts for
12.7% of the total portfolio appraised value of $472.5 million.
This portfolio is part of the take-private of Agellan Commercial
REIT by the Sponsor and this securitization is part of the
acquisition financing provided by the Originator.

DBRS reviewed the portfolio net cash flow (NCF), which increased to
$35.6 million for the trailing 12-month period ending September
2018 from $25.9 million in 2015. The increase in the portfolio NCF
is primarily the result of additional properties. In 2015, the
portfolio consisted of 28 assets compared with its current size of
42 assets. On a same-store basis, cash flow growth has been
generally flat. The DBRS NCF was $28.9 million, a -7.5% variance
from the Issuer's NCF of $31.2 million. The main drivers of the
variance were DBRS's estimates of ongoing CapEx, tenant improvement
(TI) assumptions and mark-to-market adjustments of some tenants'
rents. DBRS estimated capex based on a weighted average (WA) of the
inflated costs indicated in the property condition reports. DBRS
used the appraiser's estimate for TI expenses for the 38 industrial
properties in the portfolio, but assumed $30.00 per square foot
(psf) and $15.00 psf for new and renewal TIs, respectively, for the
four office properties. DBRS made mark-to-market adjustments for 47
tenants where total rent exceeded DBRS's estimate of market rent,
including a 110.0% tolerance factor.

DBRS considers the term default risk to be moderate as the DBRS
Term debt service coverage ratio (DSCR) is 1.75 times (x), which is
derived using a stressed LIBOR of 3.24%, based on DBRS's "Interest
Rate Stresses for U.S. Structured Finance Transactions"
methodology, and a spread of 1.89%. The DBRS Refinance DSCR is
0.98x, indicating maturity risk, especially as the collateral is
encumbered by two mezzanine loans totaling $82.4 million. In
addition, the loan has high leverage with a DBRS loan-to-value
(LTV) ratio of 99.6% for the trust debt and 125.1% for the total
debt. However, the DBRS LTV is based on a stressed valuation
assuming a significant increase in market cap rates. Based on the
appraiser's current market valuation of $470.8 million, the LTV is
66.3%, which is moderate and considerably lower than the DBRS LTV.

The DBRS value is $322.4 million, a -31.5% variance from the
appraised value. The DBRS value is based on the DBRS NCF divided by
the DBRS cap rate of 8.95%. The cap rate is developed on a WA basis
across market types and ranges from 8.0% to 10.0%. The DBRS cap
rate is 230 basis points higher than the implied market cap rate
based on the portfolio NCF and appraised value, allowing for
significant reversion to the mean in industrial valuation metrics.

Classes X-CP and X-NCP 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.


MSBAM TRUST 2013-C10: Fitch Affirms B Rating on $16.7MM H Certs
---------------------------------------------------------------
Fitch Ratings has affirmed 16 classes of Morgan Stanley Bank of
America Merrill Lynch Trust, commercial mortgage pass-through
certificates, series 2013-C10 (MSBAM 2013-C10). Fitch has also
revised the Rating Outlook for class F to Negative from Stable.

KEY RATING DRIVERS

Increased Credit Enhancement: Credit enhancement has increased
since issuance due to loan payoffs, scheduled amortization and
defeased collateral. As of the February 2019 distribution date, the
pool's aggregate principal balance has been paid down by 10.9% to
$1.32 billion from $1.49 billion at issuance. Six loans
representing 3.4% of the original pool balance have paid off since
issuance. Four loans (5.7% of pool) are fully defeased, including
one loan in the top 15 since Fitch's last rating action. Seven
loans (21.4%) are full-term and interest only, and the remaining 62
loans (78.6%) are amortizing.

Relatively Stable Performance: The performance and loss expectation
for the majority of the pool has remained relatively stable since
issuance. There have been no specially serviced loans or realized
losses since issuance. Fitch has designated six loans (25.5% of
pool) as Fitch Loans of Concern (FLOCs), including five loans in
the top 15.

High Retail Concentration; Regional Mall Exposure: Loans secured by
retail properties represent 42.7% of the current pool, including
three of the top 15 loans (19.2%), which are secured by regional
malls sponsored by Unibail-Rodamco/O'Connor Capital Partners (10%)
and Simon Property Group (9.2%). All three of these regional mall
loans are flagged as FLOCs for declining occupancy from the loss of
anchor tenants. The Westfield Citrus Park loan (10%), which is
secured by a 495,673-sf portion of a 1.13 million-sf regional mall
located in Tampa, FL, lost its non-collateral Sears in the third
quarter of 2018. The property also faces declining anchor and
in-line tenant sales, near-term lease rollover concerns and
significant competition within its trade area.

The Southdale Center loan (7%), which is secured by a 634,880-sf
portion of a 981,675-sf regional mall located in Edina, MN, lost
its largest collateral tenant, Herberger's (22.6% of NRA) in August
2018. As a result, collateral occupancy has declined to 53.6% as of
September 2018 from 79.7% at YE 2017 and 93.3% at YE 2016.

The Mall at Tuttle Crossing loan (2.1%), which is secured by a
378,891-sf portion of a 1.12 million-sf regional mall located in
Dublin, OH, will lose its non-collateral Sears in March 2019; the
store was included in the most recently announced store closure
list. Total mall occupancy is expected to decline to 79.2% from
92.5% as of September 2018. Macy's had previously closed one of its
non-collateral Furniture/Home/Men's/Kid's store in the spring of
2017. The entertainment center, Scene 75, has leased this former
vacant non-collateral Macy's store in March 2018 with an expected
opening date in spring 2019.

Alternative Loss Considerations: Fitch applied an additional
sensitivity scenario on the Westfield Citrus Park, Southdale Center
and Mall at Tuttle Crossing loans, which considered potential
outsized losses of 25%, 15% and 25%, respectively, on these loans'
balloon balances. The Negative Rating Outlooks on classes F, G and
H reflect this analysis.

Fitch Loans of Concern: In addition to the three regional mall
loans, Fitch designated three other loans as FLOCs, including two
in the top 15. The Canton Marketplace loan (2.4% of pool), which is
secured by a 356,528-sf retail property located in Canton, GA
(approximately 35 miles northeast of the Atlanta CBD), was flagged
for significant near-term lease rollover concerns. Approximately
29% of the NRA rolls in 2019 and 48% in 2020. The five largest
tenants all have lease expiries either in 2019 or 2020. Fitch
requested a leasing update from the servicer and is awaiting a
response.

The Summerhill Square loan (2.3%), which is secured by a 125,862-sf
retail center located in East Brunswick, NJ, lost its largest
collateral tenant in the spring of 2018. Toys R' Us/Babies R' Us
formerly occupied 51.5% of the NRA and contributed to 42.5% of the
total annual base rent. Per the servicer, this triggered co-tenancy
violations with three tenants, Annie Sez, ULTA and David's Bridal.
Property occupancy as of July 2018 was 48.5%.

The Oak Brook Office Center loan outside of the top 15 (1.6%),
which is secured by a portfolio of four suburban office properties
located in Oak Brook, IL (25 miles west of the Chicago CBD), has
experienced a significant decline in occupancy and limited positive
leasing momentum. Portfolio occupancy declined to 71.3% as of
September 2018 from 76.3% as of January 2018, 89.7% at YE 2016 and
90.7% at YE 2015. Occupancy declined as a result of several tenants
vacating in 2017, the largest being Metropolitan Construction (1.4%
of NRA), which vacated upon lease their July 2017 lease
expiration.

RATING SENSITIVITIES

The Negative Rating Outlooks on classes F, G and H reflect the
alternative sensitivity scenario performed on the Westfield Citrus
Park, Southdale Center and Mall at Tuttle Crossing loans.
Downgrades are possible should performance of the FLOCs continue to
further decline. The Stable Rating Outlooks on classes A-SB through
E reflect the relatively stable performance of the majority of the
remaining pool, increasing credit enhancement and expected
continued amortization. Rating upgrades, although unlikely due to
the high retail concentration, may occur with improved pool
performance and additional paydown or defeasance.

Fitch has affirmed the following ratings and revised Rating
Outlooks as indicated:

-- $110.1 million class A-SB at 'AAAsf'; Outlook Stable;
-- $189.4 million class A-3 at 'AAAsf'; Outlook Stable;
-- $118.4 million class A-3FL at 'AAAsf'; Outlook Stable;
-- $0 class A-3FX at 'AAAsf'; Outlook Stable;
-- $417.9 million* class X-A at 'AAAsf'; Outlook Stable;
-- $359.5 million class A-4 at 'AAAsf'; Outlook Stable;
-- $100 million class A-5 at 'AAAsf'; Outlook Stable;
-- $111.4 million class A-S(a) at 'AAAsf'; Outlook Stable;
-- $100.3 million class B(a) at 'AA-sf'; Outlook Stable;
-- $52 million class C(a) at 'A-sf'; Outlook Stable;
-- $263.7 million class PST(a) at 'A-sf'; Outlook Stable;
-- $53.9 million class D at 'BBB-sf'; Outlook Stable;
-- $22.3 million class E at 'BBB-sf'; Outlook Stable;
-- $16.7 million class F at 'BB+sf'; Outlook revised to Negative
    from Stable;
-- $20.4 million class G at 'BB-sf'; Outlook Negative;
-- $16.7 million class H at 'Bsf'; Outlook Negative.

*Notional and interest-only.

(a) Classes A-S, B, and C certificates may be exchanged for class
PST certificates, and class PST certificates may be exchanged for
classes A-S, B, and C certificates.

Classes A-1 and A-2 have paid in full. Fitch does not rate the
class J certificates.


MSBAM TRUST 2014-C15: Fitch Affirms BB- Rating on Class F Debt
--------------------------------------------------------------
Fitch Ratings has upgraded four and affirmed eight classes of
Morgan Stanley Bank of America Merrill Lynch (MSBAM) Trust
2014-C15.

KEY RATING DRIVERS

Stable Overall Loss Expectations: Fitch's base case losses remain
stable since issuance as the result of the underlying pool
performing in-line with or better than expectations at issuance.
Four loans (2.8%) are designated Fitch Loans of Concern (FLOCs),
but none are in the Top 20.

At Fitch's last rating action, five loans (approximately 10% of the
pool) were considered FLOCs. This included the third largest loan
in the pool by balance, the La Concha Hotel & Tower (8.3%), which
was previously classified as a FLOC due to the potential impact of
Hurricane Maria. However, the loan has remained current, and the
property stayed open after suffering only minor damage. As of
September 2018, the servicer-reported NOI DSCR was 3.42x and
occupancy was 92%. As of year-end 2017, NOI DSCR and occupancy were
2.44x and 89%, respectively.

Seven loans (8.7%) are on the servicer's watchlist for large tenant
vacancy, deferred maintenance issues, fire damage and declining
performance due to increased vacancy.

All of the loans in the pool are current, and none are in special
servicing.

Increased Credit Enhancement: Credit enhancement has improved since
issuance, primarily due to loan amortization and payoffs. The pool
has paid down by 15.3% since issuance to $914.5 million from $1.1
billion. Seven loans totalling approximately $105 million paid in
2018 or 2019 at or before their respective maturity dates. The
remaining pool matures in 2023 or 2024. As of the March 2019
reporting period, 77.7% of the pool was amortizing. Additionally,
two loans totalling 2.5% of the pool are defeased. Since Fitch's
2018 review class A-2 class has paid in full.

Additional Loss Considerations: Prior to considering upgrades,
Fitch applied two independent stress scenarios. In the first, Fitch
applied loss severities (LS) in the form of additional loss
assumptions to three loans in the top 15: Aspen Heights -
Harrisonburg (25% LS%), Northway Mall (50% LS) and The Pointe at
Western (25% LS). Stressed loss assumptions on Aspen Heights and
the Pointe at Western were 25% and based on the potential for
performance volatility given that both are student housing. The
stressed loss assumption on Northway Mall was 50% due to
approximately 25% of the NRA's leases expiring in 2021 with no
updated sales provided. The second stress scenario assumed an
additional 100 bps to Fitch stress cap rates, as well as an
additional 10% to Fitch's stressed cash flows. Neither stress
scenario affected the ability to upgrade classes B, C, X-B and PST
given the increased credit enhancement from paydown and
defeasance.

Fitch Loans of Concern:

US Storage and La Crescenta (1%) is a mixed use, storage/retail
property located in La Crescenta, CA. The loan has been designated
a FLOC due to a decrease in occupancy since issuance. While
servicer-reported Q1 2018 NOI DSCR of 1.98x is comparable to
issuance NOI DSCR of 1.78x, occupancy has declined to 79% from 100%
over the same timeframe. Servicer commentary points to the cyclical
nature of self-storage demand as the reason for the decline in
occupancy.

Fenton Plaza (0.8%) is securitized by an unanchored retailer
located in Fenton, MO. The loan is on the watchlist due to a
decline in performance. The reported YE 2018 NOI DSCR was 1.16x
with a net cash flow DSCR of 0.88x. The borrower reported the
decline is a result of the loss of a tenant that resulted in a
decline in occupancy to 82% as of year-end 2017 from 91% in 2016.
Occupancy remains at 82% as of YE 2018.

11000 Richmond Office Building (0.6%) is securitized by an office
property located in Houston, TX. National Oilwell DHT (17.7% of
NRA) vacated its space in 2016 before their lease expired in 2017.
As a result of this as well as other tenants vacating since
issuance, occupancy declined to 58% as of September 2018. The
reported NOI DSCR for the same period was 1.00x. Per the servicer,
rental rates have declined from $15.23 as of YE 2016 to $10.23 as
of September 2018.

Darby Row & The Belfrey Apartments (0.4%) is a student housing
property in South Bend, IN. As of TTM ending in September 2018, NOI
DSCR was 1.10x. Occupancy has remained relatively stable in the
mid- to low-90s. New supply has entered the market closer to
campus, and Notre Dame is implementing policies to require students
to live on-campus for six semesters instead of the current
requirement of four semesters.

RATING SENSITIVITIES

The upgrades to classes B, C, X-B and PST reflect additional stress
scenarios that assumed higher than currently expected losses on
three loans in the top 15. They also reflect pool-wide increased
stressed cap rates and cash flows. The Rating Outlooks for all
classes remain Stable given overall stable pool performance and
lack of defaulted or specially serviced loans. Additional upgrades
are possible with continued amortization and/or defeasance.
Downgrades, while not expected, are possible if overall pool
performance declines or if loans transfer to the special servicer.

Fitch has upgraded the following classes:

-- $28.5 million class B to 'AAsf' from 'AA-sf', Outlook Stable;

-- $28.5 million class C to 'Asf' from 'A-sf', Outlook Stable;

-- $28.5* million class X-B to 'AAsf' from 'AA-sf', Outlook  
    Stable;

-- $0 class PST to 'Asf' from 'A-sf', Outlook Stable.

Fitch has affirmed the following classes:

-- $86.6 million class A-SB at 'AAAsf', Outlook Stable;
-- $181.4 million class A-3 at 'AAAsf', Outlook Stable;
-- $321.2 million class A-4 at 'AAAsf', Outlook Stable;
-- $52.6 million class A-S at 'AAAsf', Outlook Stable;
-- $64.8 million class D at 'BBB-sf', Outlook Stable;
-- $13.5 million class E at 'BB+sf', Outlook Stable;
-- $10.8 million class F at 'BB-sf', Outlook Stable;
-- $641.9 million* class X-A at 'AAAsf', Outlook Stable.

*Notional and interest-only

Classes A-1 and A-2 have paid in full. Fitch does not rate the
class G, H, J or the interest-only class X-C certificates. The
class A-S, B and C certificates may be exchanged for class PST
certificates and vice versa.


NEW RESIDENTIAL 2017-4: Moody's Hikes Ratings on 5 Tranches to Ba2
------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings of 35 tranches
from two transactions issued by New Residential Mortgage Loan Trust
in 2017. The transactions are backed by seasoned performing and
re-performing mortgage loans with a large percentage of the loans
that have never been modified.

The complete rating actions are:

Issuer: New Residential Mortgage Loan Trust 2017-4

Cl. A-2, Upgraded to Aa1 (sf); previously on Jun 30, 2017
Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Upgraded to A2 (sf); previously on Jun 30, 2017 Definitive
Rating Assigned A3 (sf)

Cl. B-2A, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Cl. B-2B, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Cl. B-2C, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Cl. B-2-IO*, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Cl. B-2-IOA*, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Cl. B-2-IOB*, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Cl. B-2-IOC*, Upgraded to A2 (sf); previously on Jun 30, 2017
Definitive Rating Assigned A3 (sf)

Issuer: New Residential Mortgage Loan Trust 2017-5

Cl. A-3, Upgraded to Aa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned A1 (sf)

Cl. A-6, Upgraded to Aa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned A1 (sf)

Cl. B-1, Upgraded to Aa1 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Aa2 (sf)

Cl. B-1A, Upgraded to Aa1 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Aa2 (sf)

Cl. B-IO*, Upgraded to Aa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned A1 (sf)

Cl. B1-IO*, Upgraded to Aa1 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Aa2 (sf)

Cl. B-2, Upgraded to A1 (sf); previously on Jul 31, 2017 Definitive
Rating Assigned A2 (sf)

Cl. B-2A, Upgraded to A1 (sf); previously on Jul 31, 2017
Definitive Rating Assigned A2 (sf)

Cl. B2-IO*, Upgraded to A1 (sf); previously on Jul 31, 2017
Definitive Rating Assigned A2 (sf)

Cl. B-3, Upgraded to A3 (sf); previously on Jul 31, 2017 Definitive
Rating Assigned Baa2 (sf)

Cl. B-3A, Upgraded to A3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Baa2 (sf)

Cl. B-3B, Upgraded to A3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Baa2 (sf)

Cl. B-3C, Upgraded to A3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Baa2 (sf)

Cl. B3-IOA*, Upgraded to A3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Baa2 (sf)

Cl. B3-IOB*, Upgraded to A3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Baa2 (sf)

Cl. B3-IOC*, Upgraded to A3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Baa2 (sf)

Cl. B-4, Upgraded to Baa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Ba2 (sf)

Cl. B-4A, Upgraded to Baa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Ba2 (sf)

Cl. B-4B, Upgraded to Baa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Ba2 (sf)

Cl. B4-IOA*, Upgraded to Baa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Ba2 (sf)

Cl. B4-IOB*, Upgraded to Baa3 (sf); previously on Jul 31, 2017
Definitive Rating Assigned Ba2 (sf)

Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 31, 2017
Definitive Rating Assigned B1 (sf)

Cl. B-5A, Upgraded to Ba2 (sf); previously on Jul 31, 2017
Definitive Rating Assigned B1 (sf)

Cl. B-5B, Upgraded to Ba2 (sf); previously on Jul 31, 2017
Definitive Rating Assigned B1 (sf)

Cl. B5-IOA*, Upgraded to Ba2 (sf); previously on Jul 31, 2017
Definitive Rating Assigned B1 (sf)

Cl. B5-IOB*, Upgraded to Ba2 (sf); previously on Jul 31, 2017
Definitive Rating Assigned B1 (sf)

*Reflects Interest-Only Classes

RATINGS RATIONALE

The rating upgrades are primarily due to the higher than expected
rate of prepayments on the underlying pool, and the related
increase in credit enhancement (CE) available to the bonds. The
actions also reflect the recent performance of the underlying pools
and Moody's' updated projected losses on the pools.

As of January 2019, serious delinquencies (60 days or greater
delinquent, including foreclosures and real estate owned) as a
percentage of current pool balance were approximately 2.1% for New
Residential Mortgage Loan Trust (NRMLT) 2017-4 and 1.4% for NRMLT
2017-5. Average monthly prepayment rate over the past 12 months is
approximately 14.3% for NRMLT 2017-4 and 21.1% for NRMLT 2017-5.

The cash flow waterfall for both transactions follows a shifting
interest structure that allows subordinated bonds to receive
principal payments under certain defined scenarios. Because a
shifting interest structure allows subordinated bonds to pay down
over time as the loan pool shrinks, senior bonds could be exposed
to increased performance volatility later in the transaction's
life. The transactions provide for a subordination floor which will
provide protection to the senior notes towards the tail end of the
transaction. The subordination floor for NRMLT 2017-4 is 1.2% of
the original collateral balance while the subordination floor for
NRMLT 2017-5 is 1.5% of the original collateral balance.

The methodologies used in rating all classes except interest-only
classes were "Moody's Approach to Rating Securitizations Backed by
Non-Performing and Re-Performing Loans" published in February 2019,
and "US RMBS Surveillance Methodology" published in February 2019.
The methodologies used in rating interest-only classes were
"Moody's Approach to Rating Securitizations Backed by
Non-Performing and Re-Performing Loans" published in February 2019,
"US RMBS Surveillance Methodology" published in February 2019, and
"Moody's Approach to Rating Structured Finance Interest Only (IO)
Securities" published in February 2019.

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 3.8% in February 2019 from 4.1% in
February 2018. Moody's forecasts an unemployment central range of
3.5% to 4.5% for the 2019 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 2019. Lower increases than
Moody's expects or decreases could lead to negative rating actions.
Finally, performance of RMBS continues to remain highly dependent
on servicer procedures. Any change resulting from servicing
transfers or other policy or regulatory change can impact the
performance of these transactions.

An IO bond may be upgraded or downgraded, within the constraints
and provisions of the IO methodology, based on lower or higher
realized and expected loss due to an overall improvement or decline
in the credit quality of the reference bonds and/or pools.


NEW RESIDENTIAL 2019-NQM2: Fitch Rates $6.5MM Class B-2 Notes 'Bsf'
-------------------------------------------------------------------
Fitch Ratings rates these New Residential Mortgage Loan Trust
2019-NQM2 (NRMLT 2019-NQM2):

  -- $213,924,000 class A-1 notes 'AAAsf'; Outlook Stable;

  -- $27,219,000 class A-2 notes 'AAsf'; Outlook Stable;

  -- $27,524,000 class A-3 notes 'Asf'; Outlook Stable;

  -- $13,609,000 class M-1 notes 'BBBsf'; Outlook Stable;

  -- $11,316,000 class B-1 notes 'BBsf'; Outlook Stable;

  -- $6,575,000 class B-2 notes 'Bsf'; Outlook Stable.

Fitch will not be rating these classes:

  -- $5,658,065 class B-3 notes;

  -- $305,825,065 class XS-1 notional notes;

  -- $305,825,065 class XS-2 notional notes.

The 'AAAsf' rating for NRMLT 2019-NQM2 reflects the satisfactory
operational review conducted by Fitch of the originator, 100%
loan-level due diligence review with no material findings, a Tier 2
representation and warranty framework, and the transaction's
structure.

TRANSACTION SUMMARY

Fitch rates the residential mortgage-backed notes issued by New
Residential Mortgage Loan Trust 2019-NQM2 (NRMLT 2019-NQM2) as
indicated above. The notes are supported by 591 loans with a
balance of $305.83 million as of the cutoff date. This will be the
second Fitch-rated expanded prime transaction consisting of loans
solely originated by NewRez LLC (NewRez), who was formerly known as
New Penn Financial, LLC.

The notes are secured mainly by nonqualified mortgages (NQMs) as
defined by the Ability to Repay (ATR) Rule. Approximately 75% of
the pool is designated as NQM, and the remaining 25% is investor
properties, which are not subject to the ATR Rule.

Initial credit enhancement (CE) for the class A-1 notes of 30.05%
is higher than Fitch's 'AAAsf' rating stress loss of 22.75%. The
additional initial CE is primarily driven by the pro rata principal
distribution between the A-1, A-2 and A-3 notes, which will result
in a significant reduction of the class A-1 subordination over time
through principal payments to the A-2 and A-3.

KEY RATING DRIVERS

Expanded Prime Credit Quality (Positive): The collateral consists
of 30-year fixed rate (48%) and five-, seven-, and 10-year
adjustable rate mortgage (ARM) loans (36%). Roughly 6.91% is
five-year ARM interest only (IO) loans and roughly 5.5% are
seven-year ARM IO loans. The weighted average (WA) credit score is
730, and the WA combined loan-to-value ratio (CLTV) is 74%. While
only 4% consists of borrowers with prior credit events in the past
seven years, which is lower than that observed in other Fitch-rated
NQM transactions, over 74% of the pool is made to self-employed
borrowers.

Alternative Income Documentation (Negative): Approximately 63% of
the loans in the pool were self-employed borrowers underwritten
using bank statements to verify income (61.7% was underwritten
using 12 months of statements and 1.7% using 24 months). Fitch
views the use of bank statements as a less reliable method of
calculating income than the traditional method of two-years of tax
returns. Fitch applied approximately a 1.4x increase in default
probability for bank-statement loans in the base-case to reflect
the higher risk. This adjustment assumes slightly less relative
risk than a "stated income" loan.

Investor Loans (Negative): Approximately 25% of the pool is
investment property loans, including 7% of the pool that was
underwritten to a cash flow ratio rather than the borrower's
debt-to-income ratio. Investor property loans exhibit a higher
default probability and higher loss-severity than owner-occupied
homes. The borrowers of the investor properties in the pool have a
WA FICO of 740 and an original combined LTV of 66.4% (the loans
underwritten to cash flow ratio have a WA FICO of 730 and an
original combined LTV of 60.9%). Fitch increased the default
probability by more than 2x for the cash flow ratio loans (relative
to a traditional income documentation investor loan) to account for
the increased risk.

Geographic Concentration (Negative): Approximately 38% of the pool
is concentrated in California with relatively moderate MSA
concentrations. The largest MSAs are New York (25%) followed by the
Los Angeles (19%) and San Francisco MSA (4%). The top three MSAs
account for 48% of the pool. As a result, Fitch applied a 1.08x PD
penalty to account for the NY and LA MSA concentrations.

Low Operational Risk (Positive): Operational risk is low for this
transaction. NewRez, a wholly owned subsidiary of NRZ, contributed
100% of the loans in the securitization pool. NewRez employs robust
sourcing and underwriting processes and is assessed by Fitch as an
'Average' originator. Fitch believes NRZ has solid RMBS experience
despite their limited non-QM issuance, and is an 'Acceptable'
aggregator. Strong loan quality was evidenced by the third-party
due diligence performed on 100% of the pool by AMC Diligence, LLC -
a Tier 1 diligence firm. The results of the diligence showed less
than 3% loans with 'C credit'. The issuer's retention of at least
5% of each class of bonds helps to ensure an alignment of interest
between the issuer and investors.

R&W Framework (Negative): The seller is providing loan-level
representations (reps) and warranties (R&W) with respect to the
loans in the trust. The R&W framework for this transaction is
classified as a Tier 2 due to the lack of an automatic review for
loans other than those with ATR realized losses.

While the seller, NRZ Sponsor VI LLC, is not rated by Fitch, its
parent, NRZ, has an internal credit opinion from Fitch. Through an
agreement, NRZ ensures that the seller will meet its obligations
and remain financially viable. Fitch increased its loss
expectations 85bps at the 'AAAsf' rating category to account for
the limitations of the Tier 2 framework and the counterparty risk.

Modified Sequential Payment Structure (Neutral): The structure
distributes collected principal pro rata among the class A notes
while shutting out the subordinate bonds from principal until all
three classes are reduced to zero. To the extent that either the
cumulative loss trigger event or the delinquency trigger event
occurs in a given period, principal will be distributed
sequentially to the class A-1, A-2 and A-3 bonds until they are
reduced to zero.

Servicer and Master Servicer: Shellpoint Mortgage Servicing
(Shellpoint), rated 'RPS3+'/Stable by Fitch, will be the primary
servicer for the loans. Nationstar Mortgage, LLC (Nationstar/Mr.
Cooper), rated 'RMS2+'/Stable, will act as master servicer.
Delinquent principal and interest (P&I) advances required but not
paid by Shellpoint will be paid by Nationstar, and if Nationstar is
unable to advance, advances will be made by Citibank, N.A., the
transaction's paying agent. The servicer will be responsible for
advancing P&I for 180 days of delinquency.

RATING SENSITIVITIES

Fitch's analysis incorporates a sensitivity analysis to demonstrate
how the ratings would react to steeper market value declines (MVDs)
than assumed at the MSA level. The implied rating sensitivities are
only an indication of some of the potential outcomes and do not
consider other risk factors that the transaction may become exposed
to or may be considered in the surveillance of the transaction. Two
sets of sensitivity analyses were conducted at the state and
national levels to assess the effect of higher MVDs for the subject
pool.

This defined stress sensitivity analysis demonstrates how the
ratings would react to steeper MVDs at the national level. The
analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the
model projected 4.6% at the base case. The analysis indicates that
there is some potential rating migration with higher MVDs, compared
with the model projection.

Fitch also conducted sensitivities to determine the stresses to
MVDs that would reduce a rating by one full category, to
non-investment grade, and to 'CCCsf'.


PREFERRED TERM XX: Moody's Hikes Rating on $75MM Cl. B Notes to Ba1
-------------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on these notes
issued by Preferred Term Securities XX, Ltd.:

US$332,300,000 Floating Rate Class A-1 Senior Notes Due 2038
(current balance of $167,360,276), Upgraded to Aa1 (sf); previously
on April 17, 2017 Upgraded to Aa2 (sf)

US$84,600,000 Floating Rate Class A-2 Senior Notes Due 2038
(current balance of $78,328,731), Upgraded to Aa3 (sf); previously
on April 17, 2017 Upgraded to A2 (sf)

US$75,500,000 Floating Rate Class B Mezzanine Notes Due 2038
(current balance of $69,903,300), Upgraded to Ba1 (sf); previously
on April 17, 2017 Upgraded to Ba3 (sf)

US$42,850,000 Floating Rate Class C Mezzanine Notes Due 2038
(current balance including interest shortfall of $45,163,283),
Upgraded to Caa2 (sf); previously on June 24, 2010 Downgraded to C
(sf)

Preferred Term Securities XX, Ltd., issued in December 2005, is a
collateralized debt obligation (CDO) backed by a portfolio of bank,
insurance and REIT trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios, and the improvement in the
credit quality of the underlying portfolio since March 2018.

The Class A-1 notes have paid down by approximately 6.5% or $11.6
million since March 2018, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class B and Class C notes have improved
to 223.8%, 152.5%, 118.7% and 103.8%, respectively, from March 2018
levels of 213.8%, 148.4%, 116.6% and 101.4%, respectively. Moody's
gave full par credit in its analysis to one deferring asset with
$4.0 million of par that meets certain criteria. Since March 2018,
one previously deferring bank with $4 million of par has resumed
making interest payments on its TruPS; three assets with a total
par of $7.9 million have redeemed at par. The Class A-1 notes will
continue to benefit from the use of proceeds from redemptions of
any assets in the collateral pool. Additionally, the Class C
deferred interest balance has been paid down by approximately $4.3
million from excess interest since June 2018. Once the Class C
notes' deferred interest balance is reduced to zero, the Class A-1,
Class A-2, and Class B notes will benefit from the pro rata
diversion of excess interest as long as the Class C OC test
continues to fail.

The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 1194 from 1273 in
March 2018.

Methodology Underlying the Rating Action:

The principal methodology used in these ratings was "Moody's
Approach to Rating TruPS CDOs" published in March 2019.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:


This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:

1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.

2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.

4) Resumption of interest payments by deferring assets: The timing
and amount of deferral cures could have significant positive impact
on the transaction's over-collateralization ratios and the ratings
on the notes.

5) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.

Moody's obtained a loss distribution for this CDO's portfolio by
simulating defaults using Moody's CDOROM™, which used Moody's
assumptions for asset correlations and fixed recoveries in a Monte
Carlo simulation framework. Moody's then used the resulting loss
distribution, together with structural features of the CDO, as an
input in its CDOEdg(TM) cash flow model.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par (after treating
deferring securities as performing if they meet certain criteria)
of $374.6 million, defaulted par of $55.6 million, a weighted
average default probability of 13.3% (implying a WARF of 1194), and
a weighted average recovery rate upon default of 10%.

In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.

The portfolio of this CDO contains mainly TruPS issued by small to
medium sized U.S. community banks, insurance companies and REIT
companies that Moody's does not rate publicly. To evaluate the
credit quality of bank TruPS that do not have public ratings,
Moody's uses RiskCalc™, an econometric model developed by Moody's
Analytics, to derive credit scores. Moody's evaluation of the
credit risk of most of the bank obligors in the pool relies on the
latest FDIC financial data. For insurance TruPS that do not have
public ratings, Moody's relies on the assessment of its Insurance
team, based on the credit analysis of the underlying insurance
firms' annual statutory financial reports. For REIT TruPS that do
not have public ratings, Moody's REIT group assesses their credit
quality using the REIT firms' annual financials.


PREFERRED TERM XXVI: Moody's Hikes $39.5MM Class C-2 Notes to B3
----------------------------------------------------------------
Moody's Investors Service has upgraded the ratings on the following
notes issued by Preferred Term Securities XXVI, Ltd.:

  US$530,250,000 Floating Rate Class A-1 Senior Notes Due
  September 22, 2037 (current balance of $229,546,690), Upgraded
  to Aa1 (sf); previously on October 16, 2017 Upgraded to Aa2 (sf)

  US$140,250,000 Floating Rate Class A-2 Senior Notes Due
  September 22, 2037 (current balance of $132,036,483), Upgraded
  to Aa3 (sf); previously on October 16, 2017 Upgraded to A1 (sf)

  US$59,900,000 Floating Rate Class B-1 Mezzanine Notes Due
  September 22, 2037 (current balance of $56,392,052), Upgraded to

  Baa3 (sf); previously on October 16, 2017 Upgraded to Ba1 (sf)

  US$37,500,000 Fixed/Floating Rate Class B-2 Mezzanine Notes Due
  September 22, 2037 (current balance of $35,303,872), Upgraded to

  Baa3 (sf); previously on October 16, 2017 Upgraded to Ba1 (sf)

  US$71,500,000 Floating Rate Class C-1 Mezzanine Notes Due
  September 22, 2037 (current balance of $68,117,309), Upgraded to

  B3 (sf); previously on October 16, 2017 Upgraded to Caa2 (sf)

  US$39,500,000 Fixed/Floating Rate Class C-2 Mezzanine Notes Due
  September 22, 2037 (current balance of $37,631,240), Upgraded to

  B3 (sf); previously on October 16, 2017 Upgraded to Caa2 (sf)

Preferred Term Securities XXVI, Ltd., issued in June 2007, is a
collateralized debt obligation (CDO) backed by a portfolio of bank
and insurance trust preferred securities (TruPS).

RATINGS RATIONALE

The rating actions are primarily a result of the deleveraging of
the Class A-1 notes, an increase in the transaction's
over-collateralization (OC) ratios, and the improvement in the
credit quality of the underlying portfolio since March 2018.

The Class A-1 notes have paid down by approximately 26.3% or $82.0
million since March 2018, using principal proceeds from the
redemption of the underlying assets and the diversion of excess
interest proceeds. Based on Moody's calculations, the OC ratios for
the Class A-1, Class A-2, Class B, and Class C notes have improved
to 249.0%, 158.1%, 126.1% and 102.0%, respectively, from March 2018
levels of 206.0%, 144.0%, 119.1% and 99.3%, respectively. Since
March 2018, four assets with a total par of $70.2 million have
redeemed at par. The Class A-1 notes will continue to benefit from
the use of proceeds from redemptions of any assets in the
collateral pool. The Class A-1, A-2, B-1, B-2, C-1 and C-2 notes
will benefit from the pro rata diversion of excess interest as long
as the Class C OC test continues to fail.

The deal has also benefited from improvement in the credit quality
of the underlying portfolio. According to Moody's calculations, the
weighted average rating factor (WARF) improved to 846 from 1011 in
March 2018.

Factors that Would Lead to an Upgrade or Downgrade of the Ratings:

This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings, as described below:

1) Macroeconomic uncertainty: TruPS CDOs performance could be
negatively affected by uncertainty about credit conditions in the
general economy. Moody's has a stable outlook on the US banking
sector. Moody's maintains its stable outlook on the US insurance
sector.

2) Portfolio credit risk: Credit performance of the assets
collateralizing the transaction that is better than Moody's current
expectations could have a positive impact on the transaction's
performance. Conversely, asset credit performance weaker than
Moody's current expectations could have adverse consequences on the
transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is
whether deleveraging from unscheduled principal proceeds and excess
interest proceeds will continue and at what pace. Note repayments
that are faster than Moody's current expectations could have a
positive impact on the notes' ratings, beginning with the notes
with the highest payment priority.

4) Exposure to non-publicly rated assets: The deal contains a large
number of securities whose default probability Moody's assesses
through credit scores derived using RiskCalc™ or credit
estimates. Because these are not public ratings, they are subject
to additional uncertainties.

Moody's obtained a loss distribution for this CDO's portfolio by
simulating defaults using Moody's CDOROM, which used Moody's
assumptions for asset correlations and fixed recoveries in a Monte
Carlo simulation framework. Moody's then used the resulting loss
distribution, together with structural features of the CDO, as an
input in its CDOEdge cash flow model.

The key model inputs Moody's used in its analysis, such as par,
weighted average rating factor, and weighted average recovery rate,
are based on its methodology and could differ from the trustee's
reported numbers. In its base case, Moody's analyzed the underlying
collateral pool as having a performing par of $571.6 million,
defaulted par of $150.6 million, a weighted average default
probability of 9.22% (implying a WARF of 846), and a weighted
average recovery rate upon default of 10%.

In addition to the quantitative factors Moody's explicitly models,
qualitative factors are part of rating committee considerations.
Moody's considers the structural protections in the transaction,
the risk of an event of default, recent deal performance under
current market conditions, the legal environment and specific
documentation features. All information available to rating
committees, including macroeconomic forecasts, inputs from other
Moody's analytical groups, market factors, and judgments regarding
the nature and severity of credit stress on the transactions, can
influence the final rating decision.

The portfolio of this CDO contains TruPS issued by small to medium
sized U.S. community banks, and insurance companies that Moody's
does not rate publicly. To evaluate the credit quality of bank
TruPS that do not have public ratings, Moody's uses RiskCalc, an
econometric model developed by Moody's Analytics, to derive credit
scores. Moody's evaluation of the credit risk of most of the bank
obligors in the pool relies on the latest FDIC financial data. For
insurance TruPS that do not have public ratings, Moody's relies on
the assessment of its Insurance team, based on the credit analysis
of the underlying insurance firms' annual statutory financial
reports.


SDART 2018-2: Fitch Affirms Class E Debt Rating at 'BB-sf'
----------------------------------------------------------
As part of its ongoing surveillance, Fitch Ratings has taken these
rating actions on Santander Drive Auto Receivables Trust (SDART),
Series 2017-2 and 2018-2:

Santander Drive Auto Receivables Trust 2017-2:

  -- Class B affirmed at 'AAAsf'; Outlook Stable;

  -- Class C upgraded to 'AAAsf' from 'Asf'; Outlook revised to
Stable from Positive;

  -- Class D upgraded to 'Asf' from 'BBBsf'; Outlook Positive;

  -- Class E upgraded to 'BBBsf' from 'BBsf'; Outlook Positive.

Santander Drive Auto Receivables Trust 2018-2:

  -- Class A-2A/A-2B affirmed at 'AAAsf'; Outlook Stable;

  -- Class A-3 affirmed at 'AAAsf'; Outlook Stable;

  -- Class B upgraded to 'AAAsf' from 'AA-sf', Outlook Stable;

  -- Class C upgraded to 'Asf' from 'A-sf'; Outlook revised to
Positive from Stable;

  -- Class D affirmed at 'BBBsf'; Outlook revised to Positive from
Stable;

  -- Class E affirmed at 'BB-sf'; Outlook revised to Positive from
Stable.

KEY RATING DRIVERS

The rating actions are based on available credit enhancement (CE)
and cumulative net loss (CNL) performance to date. The collateral
pools continue to perform within Fitch's expectations and hard CE
is building for the notes. The securities are able to withstand
stress scenarios consistent with the recommended ratings and make
full payments to investors in accordance with the terms of the
documents. The Positive Outlooks on the applicable classes reflect
the possibility for an upgrade in the next 12 months.

The revised CNL proxies listed below take into account each
transaction's remaining pool factor and pool composition. Further,
the proxies consider future macro-economic conditions which drive
loss frequency, along with the state of wholesale vehicle values,
which impact recovery rates and ultimately transaction losses.

Santander Drive Auto Receivables Trust 2017-2

As of the March 2019 distribution, 61+ day delinquencies were 5.27%
of the remaining collateral balance, and CNL were at 7.36%,
tracking below Fitch's initial base case of 17.00%. Hard CE has
grown to 86.64% for class B, 55.70% for class C, 32.35% for class D
and 20.67% for class E notes.

Based on transaction specific performance to date, Fitch revised
the lifetime CNL proxy down to 14.95% from 15.75% in the prior
review. Under Fitch's stressed cash flow assumptions, loss coverage
for the notes are able to support multiples consistent with 3.00x,
2.00x and 1.50x for 'AAAsf', 'Asf' and 'BBBsf' ratings,
respectively.

Santander Drive Auto Receivables Trust 2018-2

As of the March 2019 distribution, 61+ day delinquencies were 4.09%
of the remaining collateral balance, and CNL were at 3.26%,
tracking below Fitch's initial base case of 16.60%. Hard CE has
grown to 78.47% for class A, 57.81% for class B, 39.00% for class
C, 25.80% for class D and 15.48% for class E notes.

Based on transaction specific performance to date, Fitch revised
the lifetime CNL proxy to 15.70% down from the initial 16.60%
proxy. Under Fitch's stressed cash flow assumptions, loss coverage
for the notes are able to support multiples consistent with 3.00x,
2.00x, 1.50x,and 1.25x for 'AAAsf', Asf', 'BBBsf', and 'BB-sf'
ratings, respectively.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults and loss
severity could produce loss levels higher than the current
projected base case loss proxies and impact available loss coverage
and multiples levels for the transactions. Lower loss coverage
could impact ratings and Rating Outlooks, depending on the extent
of the decline in coverage.

To date, the transaction has exhibited consistent performance with
losses within Fitch's initial expectations, with rising loss
coverage and multiple levels consistent with the current ratings. A
material deterioration in performance would have to occur within
the asset pools to have potential negative impact on the
outstanding ratings.


SHERRITT INT'L: DBRS Lowers Sr. Unsecured Debt Rating to CCC(high)
------------------------------------------------------------------
DBRS Limited downgraded the Senior Unsecured Debt of Sherritt
International Corporation to CCC (high) from B (low) and confirmed
the Issuer Rating at B. The Senior Unsecured Debt was downgraded
two notches below the Issuer Rating as a result of changing the
Recovery Rating to RR6 from RR5, due largely to DBRS, on a
consistent basis across sectors, including environmental and
reclamation obligations into Sherritt's recovery analysis. All
trends are Stable. The confirmation and downgrade take into account
higher nickel price forecasts that are expected to be offset by a
lower cobalt price forecast for 2019, as the price recovers from
recent lows in the USD 14 per pound (lb) range to reach USD 28 per
lb by the end of 2019, or an average 2019 price of USD 23.50 per
lb. Longer term, DBRS expects cobalt prices to remain in the USD 30
range as both global electric vehicle and lithium-ion battery
production ramp up. As well, lower Cuban oil production due to
natural field decline is expected to continue until the Company
brings its Block 10 concession into commercial production,
potentially as soon as H2 2019.

DBRS expects 2019, similar 2018, to be a transition year for the
Company as the exploration/evaluation of the Block 10 concession
progress with management's goal of providing the latest results in
Q2 2019 and hopefully advancing to production later in the year. At
the Sherritt corporate level, the lower Cuban oil production is
expected to be more than offset by higher forecast oil prices and
result in a recovery in EBITDA to the $35 million to $40 million
range. Adjusted operating cash flow is also expected to recover to
the $20 million range, while capital expenditures (CapEx) are
expected to be in the $21 million range, as per management
guidance, as the evaluation and development drilling on the Block
10 concession progresses. Capex at the equity-accounted Metals
operations is expected to be in the $50 million range. As well, a
modest usage of non-cash working capital in the $5 million range is
expected to result in a net free cash flow deficit in the $5
million to $10 million range. As such, unless commodity prices
decline to levels at least as low as at the beginning of 2016, or
Sherritt's economic evaluation of its Block 10 concession in Cuba
proves negative, DBRS does not anticipate a downgrade from the
current rating. Conversely, barring a significant, sustained
increase in commodity prices above consensus or oil exploration
results that exceed expectations, DBRS does not see a catalyst for
a rating upgrade at this time.

Notes: All figures are in Canadian dollars unless otherwise noted.


SIERRA TIMESHARE 2019-1: Fitch Rates $50MM Class D Notes 'BB'
-------------------------------------------------------------
Fitch Ratings has assigned the following ratings and Outlooks to
notes issued by Sierra Timeshare 2019-1 Receivables Funding LLC:

  -- $163,260,000 class A timeshare loan backed notes 'AAAsf';
     Outlook Stable;

  -- $103,270,000 class B timeshare loan backed notes 'Asf';
     Outlook Stable;

  -- $83,470,000 class C timeshare loan backed notes 'BBBsf';
     Outlook Stable;

  -- $50,000,000 class D timeshare loan backed notes 'BBsf';
     Outlook Stable.

KEY RATING DRIVERS

Borrower Risk - Stable Collateral Quality: Approximately 71.7% of
Sierra 2019-1 consists of WVRI-originated loans; the remainder are
WRDC loans. Fitch has determined that on a like-for-like FICO basis
WRDC's receivables perform better than WVRI's. The weighted average
(WA) original FICO score of the pool is 725. Overall, the 2019-1
pool shows a decrease in WRDC loans and a moderate shift upward in
FICO band concentrations for the WVRI platform relative to the
2018-3 transaction.

Forward-Looking Approach on CGD Proxy - Stabilizing CGD
Performance: Similar to other timeshare originators, Wyndham
Destinations' delinquency and default performance exhibited notable
increases in the 2007-2008 vintages, stabilizing in 2009 and
thereafter. However, more recent vintages from 2014-2016 have begun
to show increasing gross defaults versus vintages back to 2009,
partially driven by increased paid product exits (PPEs). Fitch's
cumulative gross default (CGD) proxy for this pool is 19.40%
(unchanged from 2018-3). Furthermore, given the expected stable
economic conditions, no adjustments were made to Fitch's CGD
proxy.

Structural Analysis - Higher Credit Enhancement Structure: Initial
hard credit enhancement (CE) is expected to be 62.50%, 37.20%,
16.75% and 4.50% for class A, B, C and D notes, respectively,
unchanged for class A and D, and increased for class B and C from
2018-3. Hard CE comprises overcollateralization (OC), a reserve
account and subordination. Soft CE is also provided by excess
spread and is 9.45% per annum. Loss coverage for all notes are able
to support default multiples of 3.50x, 2.50x, 1.75x and 1.25x for
'AAAsf', 'Asf', 'BBBsf' and 'BBsf', respectively.

Originator/Seller/Servicer Operational Review - Quality of
Origination/Servicing: Wyndham Destinations has demonstrated
sufficient abilities as an originator and servicer of timeshare
loans. This is evidenced by the historical delinquency and loss
performance of securitized trusts and of the managed portfolio.

Legal Structure Integrity: The legal structure of the transaction
should provide that a bankruptcy of Wyndham Destinations and
Wyndham Consumer Finance, Inc. (WCF) would not impair the
timeliness of payments on the securities.

RATING SENSITIVITIES

Unanticipated increases in the frequency of defaults could produce
CGD levels higher than the base case and would likely result in
declines of CE and remaining default coverage levels available to
the notes. Additionally, unanticipated increases in prepayment
activity could also result in a decline in coverage. Decreased
default coverage may make certain notes' ratings susceptible to
potential negative rating actions, depending on the extent of the
decline in coverage.

Fitch conducts sensitivity analysis by stressing a transaction's
initial base case CGD to the level required to reduce each rating
by one full category, to non-investment grade (BBsf) and to
'CCCsf'. Fitch also stresses base prepayment assumptions by 1.5x
and 2.0x and examines the rating implications on all classes of
issued notes. The 1.5x and 2.0x increases of the prepayment
assumptions represent moderate and severe stresses, respectively,
and are intended to provide an indication of the rating sensitivity
of notes to unexpected deterioration of a trust's performance.


SLM TRUST: Fitch Affirms Bsf Ratings on 3 Student Loan Trusts
-------------------------------------------------------------
Fitch Ratings has affirmed SLM Student Loan Trust 2008-5, SLM
Student Loan Trust 2008-8 and SLM Student Loan Trust 2008-9 as
follows:

SLM Student Loan Trust 2008-5 (SLM 2008-5)

  -- Class A-4 at 'Bsf'; Outlook Stable;

  -- Class B at 'Bsf'; Outlook Stable.

SLM Student Loan Trust 2008-8 (SLM 2008-8)

  -- Class A-4 at 'Bsf'; Outlook Stable;

  -- Class B at 'Bsf'; Outlook Stable.

SLM Student Loan Trust 2008-9 (SLM 2008-9)

  -- Class A at 'Bsf'; Outlook Stable;

  -- Class B at 'Bsf'; Outlook Stable.

Fitch has reviewed these transactions following Navient's exercise
of its option to purchase loans equal to 10% of the respective
initial pool balances from the trusts, thereby accelerating payment
of the notes. While the maturity risk improved as a result, the
purchases ultimately do not have rating impact as the class A notes
of each trust still miss their legal final maturity dates under
both Fitch's credit and maturity base cases. This technical default
would result in interest payments being diverted away from class B
notes, causing them to default as well.

In affirming at 'Bsf' rather than downgrading to 'CCCsf' or below,
Fitch considered qualitative factors such as Navient's ability to
call the notes upon reaching 10% pool factor, the revolving credit
agreement in place for the benefit of the noteholders, and the
eventual full payment of principal in cash flow modelling. The
trusts have entered into a revolving credit agreement with Navient
by which they may borrow funds at maturity in order to pay off the
notes. Because Navient has the option but not the obligation to
lend to the trusts, Fitch cannot give full quantitative credit to
this agreement. However, the agreement does provide qualitative
comfort that Navient is committed to limiting investors' exposure
to maturity risk.

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. Currently, the U.S. sovereign rating by Fitch is
'AAA'/Stable.

Collateral Performance of SLM 2008-5: Based on transaction specific
performance to date, Fitch assumes a base case cumulative default
rate of 18.3% and a 54.8% default rate under the 'AAA' credit
stress scenario. Fitch assumes a sustainable constant default rate
of 4.0% and a sustainable constant prepayment rate (voluntary and
involuntary) of 11.5% in cash flow modeling. Fitch applies the
standard default timing curve. The claim reject rate is assumed to
be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM
average of deferment and forbearance are 8.3% and 16.7%,
respectively. As of the January 2019 distribution date,
income-based repayment (prior to adjustment) was at 12.0%. Fitch
used these deferment, forbearance and income-based repayment
metrics as the starting point in cash flow modeling. Subsequent
declines or increases are modeled as per criteria. The borrower
benefit is assumed to be approximately 0.03%, based on information
provided by the sponsor.

Collateral Performance of SLM 2008-8: Based on transaction specific
performance to date, Fitch assumes a base case cumulative default
rate of 18.5% and a 55.5% default rate under the 'AAA' credit
stress scenario. Fitch assumes a sustainable constant default rate
of 4.0% and a sustainable constant prepayment rate (voluntary and
involuntary) of 11.0% in cash flow modeling. Fitch applies the
standard default timing curve. The claim reject rate is assumed to
be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM
averages of deferment and forbearance are 8.6% and 16.3%,
respectively. As of the January 2019 distribution date,
income-based repayment (prior to adjustment) was at 12.8%. Fitch
used these deferment, forbearance and income-based repayment
metrics as the starting point in cash flow modeling. Subsequent
declines or increases are modeled as per criteria. The borrower
benefit is assumed to be approximately 0.03%, based on information
provided by the sponsor.

Collateral Performance of SLM 2008-9: Based on transaction specific
performance to date, Fitch assumes a base case cumulative default
rate of 19.8% and a 59.3% default rate under the 'AAA' credit
stress scenario. Fitch assumes a sustainable constant default rate
of 4.3% and a sustainable constant prepayment rate (voluntary and
involuntary) of 11.5% in cash flow modeling. Fitch applies the
standard default timing curve. The claim reject rate is assumed to
be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM
averages of deferment and forbearance are 8.3% and 16.7%,
respectively. As of the January 2019 distribution date,
income-based repayment (prior to adjustment) was at 11.5%. Fitch
used these deferment, forbearance and income-based repayment
metrics as the starting point in cash flow modeling. Subsequent
declines or increases are modeled as per criteria. The borrower
benefit is assumed to be approximately 0.06%, based on information
provided by the sponsor.

Basis and Interest Rate Risk: Basis risk for this transaction
arises from any rate and reset frequency mismatch between interest
rate indices for SAP and the securities. Fitch applies its standard
basis and interest rate stresses to this transaction as per
criteria.

Payment Structure of SLM 2008-5: Credit enhancement (CE) is
provided by overcollateralization (OC), excess spread and for the
class A notes, subordination. As of January 2019 distribution date,
senior and total effective parity ratios (including the reserve)
are 126.95% (21.23% CE) and 104.39% (4.20% CE), respectively.
Liquidity support is provided by a reserve account currently sized
at its floor of $4,124,895. The transaction will continue to
release cash as long as the current 103.79% total parity (excluding
the reserve) is maintained.

Payment Structure of SLM 2008-8: CE is provided by OC, excess
spread and for the class A notes, subordination. As of January 2019
distribution date, senior and total effective parity ratios
(including the reserve) are 126.07% (20.68% CE) and 103.7% (3.56%
CE), respectively. Liquidity support is provided by a reserve
account currently sized at its floor of $1,000,088. The transaction
will continue to release cash as long as the current 103.09% total
parity (excluding the reserve) is maintained.

Payment Structure of SLM 2008-9: CE is provided by OC, excess
spread and for the class A notes, subordination. As of January 2019
distribution date, senior and total effective parity ratios
(including the reserve) are 126.55% (20.98% CE) and 104.75% (4.54%
CE), respectively. Liquidity support is provided by a reserve
account currently sized at its floor of $4,175,980. The transaction
will continue to release cash as long as the current 104.17% total
parity (excluding the reserve) is maintained.

Maturity Risk: Fitch's SLABS cash flow model indicates that the
notes are not paid in full prior to the legal final maturity dates
under the credit and maturity base case scenarios.

Operational Capabilities: Day-to-day servicing is provided by
Navient Solutions, LLC. (formerly known as Sallie Mae, Inc.). Fitch
believes Navient to be an acceptable servicer, due to its extensive
track record as the largest servicer of FFELP loans.


SOUNDVEST SPLIT: DBRS Confirms Pfd-5(high) on Preferred Securities
------------------------------------------------------------------
DBRS Limited confirmed the rating on the Preferred Securities
issued by Soundvest Split Trust (the Trust) at Pfd-5 (high). The
Trust invests in a diversified portfolio of Canadian companies (the
Portfolio). Eligible investments of the Trust currently include
common shares and preferred shares, income trusts, income
securities (including bonds and debentures), real estate investment
trusts, Canadian mortgage-backed securities, and other equity
securities. The Trust may engage in securities lending to generate
additional income.

Holders of the Preferred Securities receive fixed quarterly
interest payments of $0.15, yielding 6.0% annually on the issue
price of $10.00 per security. Holders of capital units of the Trust
(the Capital Units) may receive regular monthly cash distributions,
provided that the Preferred Security asset coverage ratio is
greater than 1.4 times (x). Capital Unit distributions were
suspended in August 2011 because the asset coverage test was not
met.

Based on the latest Portfolio yield as of February 28, 2019, the
Preferred Securities distribution coverage ratio was approximately
0.5x. The insufficient amount of Portfolio dividends to cover
Preferred Security distributions is projected to create an average
annual grind of approximately 3.1% until maturity. As of February
28, 2019, the downside protection available to the Preferred
Securities was approximately 6.3%. Downside protection has
experienced a decline in the past year but has shown slow recovery
in the last two months.

Considering the amount of downside protection available to the
Preferred Securities and projected grind until the expected end of
the term on March 31, 2020, DBRS confirmed the rating on the
Preferred Securities issued by the Trust at Pfd-5 (high).


UBS COMMERCIAL 2019-C16: Fitch to Rate $6MM Class H-RR Certs 'B-'
-----------------------------------------------------------------
Fitch Ratings has issued a presale report on UBS Commercial
Mortgage Trust 2019-C16 Commercial Mortgage Pass-Through
Certificates, Series 2019-C16.

Fitch expects to rate the transaction and assign Rating Outlooks as
follows:

-- $18,368,000 class A-1 'AAAsf'; Outlook Stable;
-- $78,496,000 class A-2 'AAAsf'; Outlook Stable;
-- $36,080,000 class A-SB 'AAAsf'; Outlook Stable;
-- $117,500,000a class A-3 'AAAsf'; Outlook Stable;
-- $227,426,000a class A-4 'AAAsf'; Outlook Stable;
-- $477,870,000b class X-A 'AAAsf'; Outlook Stable;
-- $105,814,000b class X-B 'AA-sf'; Outlook Stable;
-- $75,094,000 class A-S 'AAAsf'; Outlook Stable;
-- $30,720,000 class B 'AA-sf'; Outlook Stable;
-- $22,180,000 class C 'A-sf'; Outlook Stable;
-- $32,420,000bc class X-C 'BBB+sf'; Outlook Stable;
-- $10,240,000c class D 'BBB+sf'; Outlook Stable;
-- $11,954,000c class D-RR 'BBBsf'; Outlook Stable;
-- $10,240,000c class E-RR 'BBB-sf'; Outlook Stable;
-- $6,827,000c class F-RR 'BB+sf'; Outlook Stable;
-- $8,533,000c class G-RR 'BB-sf'; Outlook Stable.
-- $6,827,000c class H-RR 'B-sf'; Outlook Stable.

The following class is not expected to be rated:

-- $22,187,051c class NR-RR.

(a) The initial certificate balances of class A-3 and A-4 are
    unknown and expected to be $344,926,000 in aggregate. The
    expected class A-3 balance range is $95,000,000 to
    $140,000,000, and the expected class A-4 balance range is
    $204,926,000 to $249,926,000.
(b) Notional amount and interest-only.
(c) Privately placed and pursuant to Rule 144A.

The expected ratings are based on information provided by the
issuer as of March 20, 2018.

The certificates represent the beneficial ownership interest in the
trust, primary assets of which are 54 loans secured by 488
commercial properties having an aggregate principal balance of
$682,672,051 as of the cut-off date. The loans were contributed to
the trust by UBS AG, Ladder Capital Finance, Rialto Mortgage
Finance and Morgan Stanley Mortgage Capital Holdings LLC.

Fitch reviewed a comprehensive sample of the transaction's
collateral, including site inspections on 68.7% of the properties
by balance, cash flow analysis of 77.4%, and asset summary reviews
on 100% of the pool.

KEY RATING DRIVERS

Lower Leverage Relative to Recent Transactions: The pool has lower
leverage relative to other recent Fitch-rated multiborrower
transactions. The pool's Fitch DSCR of 1.28x is higher than the YTD
2019 average of 1.20x and the 2018 average of 1.22x. The pool's
Fitch LTV of 96.1% is lower than the YTD 2019 average of 104.4% and
the 2018 average of 102.0%. Excluding the credit opinion loans, the
Fitch DSCR is 1.27x, and the Fitch LTV is 98.7%.

Diverse Pool: The pool is more diverse than recent Fitch-rated
transactions. The top 10 loans make up 45.7% of the pool, which is
less than the YTD 2019 average of 50.5% and the 2018 average of
50.6%. The loan concentration index (LCI) of 320 is lower than the
YTD 2019 average of 377 and the 2018 average of 373. Likewise, the
sponsor concentration index (SCI) of 343 is lower than the YTD 2019
average of 418 and the 2018 average of 398.

Credit Opinion Loans: Two loans, representing 7.8% of the pool,
have investment-grade credit opinions, which is below the 2018
average of 13.6% and in line with the YTD 2019 average of 7.2%.
Great Value Storage Portfolio (4.4% of the pool) has an
investment-grade credit opinion of 'BBB-sf*' on a stand-alone
basis. ILPT Hawaii Portfolio (3.4% of the pool) has an
investment-grade credit opinion of 'BBBsf*' on a stand-alone basis.
In addition, two of the largest three loans in the pool (12.2% of
the pool) have Fitch expected losses below 2.5%.


WELLFLEET CLO X: Moody's Rates $16.1MM Class D Notes 'Ba3'
----------------------------------------------------------
Moody's Investors Service has assigned ratings to six classes of
notes issued by Wellfleet CLO X, Ltd. (the "Issuer" or "Wellfleet
CLO X").

Moody's rating action is:

US$187,500,000 Class A-1a Senior Secured Floating Rate Notes due
2032 (the "Class A-1a Notes"), Definitive Rating Assigned Aaa (sf)


US$12,500,000 Class A-1b Senior Secured Fixed Rate Notes due 2032
(the "Class A-1b Notes"), Definitive Rating Assigned Aaa (sf)

US$37,500,000 Class A-2 Senior Secured Floating Rate Notes due 2032
(the "Class A-2 Notes"), Definitive Rating Assigned Aa2 (sf)

US$13,930,000 Class B Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class B Notes"), Definitive Rating Assigned A2
(sf)

US$19,180,000 Class C Mezzanine Secured Deferrable Floating Rate
Notes due 2032 (the "Class C Notes"), Definitive Rating Assigned
Baa3 (sf)

US$16,100,000 Class D Junior Secured Deferrable Floating Rate Notes
due 2032 (the "Class D Notes"), Definitive Rating Assigned Ba3 (sf)


The Class A-1a Notes, the Class A-1b Notes, the Class A-2 Notes,
the Class B Notes, the Class C Notes and the Class D Notes are
referred to herein, collectively, as the "Rated Notes."

RATINGS RATIONALE

The rationale for the ratings is based on a consideration of the
risks associated with the CLO's portfolio and structure as
described in Moody's' methodology.

Wellfleet CLO X is a managed cash flow CLO. The issued notes will
be collateralized primarily by broadly syndicated senior secured
corporate loans. At least 92.5% of the portfolio must consist of
senior secured loans, and up to 7.5% of the portfolio may consist
of second lien loans and senior unsecured loans. The portfolio is
approximately 90% ramped as of the closing date.

Wellfleet Credit Partners, LLC (the "Manager") will direct the
selection, acquisition and disposition of the assets on behalf of
the Issuer and may engage in trading activity, including
discretionary trading, during the transaction's five year
reinvestment period. Thereafter, subject to certain restrictions,
the Manager may reinvest unscheduled principal payments and
proceeds from sales of credit risk assets.

In addition to the Rated Notes, the Issuer issued subordinated
notes.

The transaction incorporates interest and par coverage tests which,
if triggered, divert interest and principal proceeds to pay down
the notes in order of seniority.

Moody's modeled the transaction using a cash flow model based on
the Binomial Expansion Technique, as described in Section 2.3.2.1
of the "Moody's Global Approach to Rating Collateralized Loan
Obligations" rating methodology published in March 2019.

For modeling purposes, Moody's used these base-case assumptions:

Par amount: $312,500,000

Diversity Score: 65

Weighted Average Rating Factor (WARF): 2792

Weighted Average Spread (WAS): 3.50%

Weighted Average Coupon (WAC): 6.25%

Weighted Average Recovery Rate (WARR): 47.0%

Weighted Average Life (WAL): 9.09 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
March 2019.

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.


WESTLAKE AUTOMOBILE: DBRS Reviews 29 Classes Issued by 5 Deals
--------------------------------------------------------------
DBRS, Inc. took rating actions on 29 classes issued by five
Westlake Automobile Receivables Trust transactions. Of the 29
outstanding publicly rated classes reviewed, DBRS upgraded 17
classes, confirmed five classes and discontinued seven classes due
to repayment. For the ratings that were upgraded, performance
trends are such that credit enhancement levels are sufficient to
cover DBRS's expected losses at their new respective rating levels.
For the ratings that were confirmed, performance trends are such
that credit enhancement levels are sufficient to cover DBRS's
expected losses at their current respective rating levels.

The issuers' ratings are based on DBRS's review of the following
analytical considerations:

-- Transaction capital structure, proposed ratings and form and
sufficiency of available credit enhancement.

-- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

-- Credit quality of the collateral pool and historical
performance.

The Affected Ratings is available at https://bit.ly/2OfJ6Mp


ZIGGURAT CLO: Moody's Lowers $10MM Class F-R Notes Rating to Caa1
-----------------------------------------------------------------
Moody's Investors Service has downgraded the rating on these notes
issued by Ziggurat CLO Ltd.:

  -- US$10,000,000 Class F-R Secured Deferrable Floating Rate Notes
Due April 17, 2029, Downgraded to Caa1 (sf); previously on May 11,
2017 Assigned B3 (sf)

Ziggurat CLO Ltd., issued in December 2014 and refinanced in May
2017, is a collateralized loan obligation (CLO) backed primarily by
a portfolio of senior secured loans. The transaction's reinvestment
period will end in April 2021.

RATINGS RATIONALE

This rating action is primarily a result of a decrease in the
transaction's Overcollateralization Tests, and par erosion since
February 2018. Based on the trustee's February 2019 report, the
Reinvestment Overcollateralization ratio, which corresponds to the
Class F-R Overcollateralization ratio, is reported at 105.03%,
versus the February 2018 level of 105.82%. Also, since February
2018, the portfolio has lost approximately $3.7 million or 0.8% of
the portfolio par. Additionally as of the February 2019 trustee
report, the weighted average rating factor test (WARF) is currently
at 2823, failing its covenant level of 2796.

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 $491.4 million, defaulted par of $5
million, a weighted average default probability of 24.37% (implying
a WARF of 2879), a weighted average recovery rate upon default of
47.92%, a diversity score of 67 and a weighted average spread of
3.49% (before accounting for LIBOR floors).

Methodology Underlying the Rating Action:

The principal methodology used in this rating was "Moody's Global
Approach to Rating Collateralized Loan Obligations" published in
March 2019.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors and
circumstances that could lead to either an upgrade or downgrade of
the ratings:

1) Macroeconomic uncertainty: CLO performance is subject to
uncertainty about credit conditions in the general economy.

2) Collateral Manager: Performance can also be affected positively
or negatively by a) the manager's investment strategy and behavior
and b) differences in the legal interpretation of CLO documentation
by different transactional parties owing to embedded ambiguities.

3) Collateral credit risk: A shift towards collateral of better
credit quality, or better credit performance of assets
collateralizing the transaction than Moody's current expectations,
can lead to positive CLO performance. Conversely, a negative shift
in credit quality or performance of the collateral can have adverse
consequences for CLO performance.

4) Deleveraging: An important source of uncertainty in this
transaction is whether deleveraging from unscheduled principal
proceeds will commence and at what pace. Deleveraging of the CLO
could accelerate owing to high prepayment levels in the loan market
and/or collateral sales by the manager, which could have a
significant impact on the notes' ratings. Note repayments that are
faster than Moody's current expectations will usually have a
positive impact on CLO notes, beginning with those with the highest
payment priority.

5) Recovery of defaulted assets: Fluctuations in the market value
of defaulted assets could result in volatility in the deal's
overcollateralization levels. Further, the timing of recovery
realization and whether the Manager decides to work out or sell
defaulted assets create additional uncertainty. Realization of
recoveries that are either materially higher or lower than assumed
in Moody's analysis would impact the CLO positively or negatively,
respectively.

6) Weighted Average Spread (WAS): CLO performance can be sensitive
to WAS, which is a key factor driving the amount of excess spread
available as credit enhancement when a deal fails its
over-collateralization or interest coverage tests. A decrease in
excess spread, including as a result of losing the net interest
benefit of LIBOR floors, or because market conditions make it
difficult for the deal to source assets of appropriate credit
quality in order to maintain its WAS target, would reduce the
effective credit enhancement available for the notes.


[*] DBRS Reviews 1,257 Classes From 87 US RMBS Transactions
-----------------------------------------------------------
DBRS, Inc. reviewed 1,257 classes from 87 U.S. residential
mortgage-backed securities (RMBS) transactions. Of the 1,257
classes reviewed, DBRS upgraded 112 ratings, confirmed 1,143
ratings and discontinued two ratings.

The rating upgrades reflect positive performance trends and
increases in credit support sufficient to withstand stresses at
their new rating levels. The rating confirmations reflect asset
performance and credit support levels that are consistent with the
current ratings. The discontinued ratings are the result of the
full repayment of principal to bondholders.

The rating actions are the result of DBRS's application of "RMBS
Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and
Rating Methodology" published on September 27, 2018.

The pools backing these U.S. RMBS transactions consist of prime,
subprime, Alt-A, non-QM, and reperforming collateral.

The ratings assigned to the securities listed below differ from the
ratings implied by the quantitative model. DBRS considers this
difference to be a material deviation, but in this case, the
ratings of the subject notes reflect actual deal or tranche
performance that is not fully reflected in the projected cash flows
or model output.

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 7-A-1-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 7-A-1-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 7-A-2-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-7, Class 7-A-2-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-9, Class 5-A-1

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-9, Class 5-A-2-2

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable
Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed
Pass-Through Certificates, Series 2005-9, Class 5-A-3

-- Citigroup Mortgage Loan Trust 2006-HE3, Asset-Backed
Pass-Through Certificates, Series 2006-HE3, Class A-1

-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed
Pass-Through Certificates, Series 2006-NC1, Class A-1

-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed
Pass-Through Certificates, Series 2006-NC1, Class A-2C

-- Citigroup Mortgage Loan Trust 2006-NC2, Asset-Backed
Pass-Through Certificates, Series 2006-NC2, Class A-1

-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE2, Class M-1

-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE4, Class M-1

-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed
Pass-Through Certificates, Series 2006-WFHE4, Class M-2

-- Citigroup Mortgage Loan Trust Inc., Series 2007-SHL1,
Asset-Backed Pass-Through Certificates, Series 2007-SHL1, Class A

-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed
Pass-Through Certificates, Series 2007-WFHE1, Class M-1

-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005 AR6, Class 1A-1A

-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005 AR6, Class 2A-1A

-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005 AR6, Class 2A-1B

-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through
Certificates, Series 2005 AR6, Class 2A-1C

-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage
Pass-Through Certificates, Series 2005-FF1, Class M-1

-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage
Pass-Through Certificates, Series 2005-FF9, Class A1

-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage
Pass-Through Certificates, Series 2005-FF9, Class A4

-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage
Pass-Through Certificates, Series 2005-FF9, Class M1

-- First Franklin Mortgage Loan Trust 2006-FF2, Mortgage
Pass-Through Certificates, Series 2006-FF2, Class A4

-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed
Certificates, Series 2006-FF8, Class I-A1

-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed
Certificates, Series 2006-FF8, Class II-A3

-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan
Asset-Backed Notes, Series 2005-2, Class AF-4

-- Securitized Asset Backed Receivables LLC Trust 2006-NC2,
Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-3

-- Securitized Asset Backed Receivables LLC Trust 2007-NC2,
Mortgage Pass-Through Certificates, Series 2007-NC2, Class A-1

-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust,
Home Equity Asset-Backed Certificates, Series 2006-3, Class A-2

-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust,
Home Equity Asset-Backed Certificates, Series 2006-3, Class A-3

-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through
Certificates, Series 2018-2, Class B-2

-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through
Certificates, Series 2018-2, Class B-4

-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through
Certificates, Series 2018-2, Class B-5

-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class
B2-IO

-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class
B3-IO

-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class
B-5

-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through
Certificates, Series 2015-A, Class B-4

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B2

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B2-IO

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B3

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B3-IOA

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B3-IOB

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B4

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B4-IOA

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B4-IOB

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B5

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B5-IOA

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B5-IOB

-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1,
Asset-Backed Notes, Series 2016-SPL1, Class B6

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B2

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B2-IO

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B3

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOA

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOB

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B4

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B4-IOA

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B4-IOB

-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2,
Mortgage-Backed Securities, Series 2016-SPL2, Class B5

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL1,
Asset-Backed Notes, Series 2017-SPL1, Class B2

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL1,
Asset-Backed Notes, Series 2017-SPL1, Class B2-IO

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL2,
Asset-Backed Notes, Series 2017-SPL2, Class B2

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL2,
Asset-Backed Notes, Series 2017-SPL2, Class B2-IO

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B2

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B2-IO

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B3

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B3-IOA

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B3-IOB

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B4

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B4-IOA

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B4-IOB

-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes,
Series 2017-SPL3, Class B5

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B2

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B2-IO

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B3

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B3-IOA

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B3-IOB

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B4

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B4-IOA

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B4-IOB

-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4,
Mortgage-Backed Notes, Series 2017-SPL4, Class B5

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B2

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B2-IO

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B3

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B3-IOA

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B3-IOB

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B4

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B4-IOA

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B4-IOB

-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5,
Mortgage-Backed Notes, Series 2017-SPL5, Class B5

-- Bayview Opportunity Master Fund IVa Trust 2017-RT1,
Mortgage-Backed Securities, Series 2017-RT1, Class B2

-- Bayview Opportunity Master Fund IVa Trust 2017-RT1,
Mortgage-Backed Securities, Series 2017-RT1, Class B3

-- Bayview Opportunity Master Fund IVb Trust 2017-RT2,
Mortgage-Backed Securities, Series 2017-RT2, Class B2

-- Bayview Opportunity Master Fund IVb Trust 2017-RT2,
Mortgage-Backed Securities, Series 2017-RT2, Class B2-IO

-- Bayview Opportunity Master Fund IVb Trust 2017-RT2,
Mortgage-Backed Securities, Series 2017-RT2, Class B3

-- Bayview Opportunity Master Fund IVb Trust 2017-RT2,
Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOA

-- Bayview Opportunity Master Fund IVb Trust 2017-RT2,
Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOB

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B2

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B2-IO

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B3

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B3-IOA

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B3-IOB

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B4

-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed
Securities, Series 2017-RT3, Class B5

-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class B1

-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed
Securities, Series 2016-1, Class B2

-- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed
Securities, Series 2017-1, Class M3

-- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed
Securities, Series 2017-1, Class B1

-- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed
Securities, Series 2017-1, Class B2

-- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed
Securities, Series 2017-2, Class M3

-- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed
Securities, Series 2017-2, Class B1

-- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed
Securities, Series 2017-2, Class B2

-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed
Securities, Series 2017-3, Class A4

-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed
Securities, Series 2017-3, Class M3

-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed
Securities, Series 2017-3, Class B1

-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed
Securities, Series 2017-3, Class B2

-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed
Securities, Series 2018-1, Class A3

-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed
Securities, Series 2018-1, Class A4

-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed
Securities, Series 2018-1, Class M2

-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed
Securities, Series 2018-1, Class M3

-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed
Certificates, Series 2018-1, Class A-3

-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed
Certificates, Series 2018-1, Class M-1

-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed
Certificates, Series 2018-1, Class B-1

-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed
Certificates, Series 2018-1, Class B-2

The Affected Ratings is available at https://bit.ly/2Tdhrgd


[*] DBRS Reviews 17 Ratings From 3 AMCAR Trust Securitizations
--------------------------------------------------------------
DBRS, Inc. reviewed 17 ratings from three American Credit
Acceptance Receivables Trust securitizations. Of the 17 outstanding
publicly rated classes reviewed, DBRS upgraded six, confirmed ten
and discontinued one due to repayment. For the ratings that were
upgraded, performance trends are such that credit enhancement
levels are sufficient to cover DBRS's expected losses at their new
respective rating levels. For the ratings that were confirmed,
performance trends are such that credit enhancement levels are
sufficient to cover DBRS's expected losses at their current
respective rating levels.

The ratings are based on DBRS's review of the following analytical
considerations:

  -- Transaction capital structure, ratings and form and
sufficiency of available credit enhancement.

  -- The transaction parties' capabilities with regard to
origination, underwriting, and servicing.

  -- The credit quality of the collateral pool and historical
performance.

The Affected Ratings is available at https://bit.ly/2FcA9j9


                            *********

Monday's edition of the TCR delivers a list of indicative prices
for bond issues that reportedly trade well below par.  Prices are
obtained by TCR editors from a variety of outside sources during
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