/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190721.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, July 21, 2019, Vol. 23, No. 201 Headlines ALM VII: S&P Assigns BB- (sf) Rating to $33.5MM Class D-R2 Notes ANCHORAGE CAPITAL 9: S&P Rates $20.68MM Class E-R Notes 'BB-(sf)' BALLYROCK CLO 2019-1: Moody's Rates $19MM Class D Notes 'Ba3' BANC OF AMERICA 2007-3: Fitch Lowers Class G Debt Rating to Csf BEAR STEARNS 2004-AC3: Moody's Lowers Ratings on 2 Tranches to B1 BEAR STEARNS 2004-PWR5: Fitch Affirms Dsf Rating on 2 Tranches BEAR STEARNS 2006-TOP22: Moody's Hikes Class H Certs Rating to B1 BUNKER HILL 2019-2: S&P Assigns Prelim B (sf) Rating to B-2 Notes CD COMMERCIAL 2007-CD5: Fitch Lowers Class G Debt Rating to C CFG INVESTMENTS 2019-1: S&P Rates $25.5MM Class B Notes 'BB(sf)' COMM 2013-CCRE11: Fitch Affirms Bsf Rating on Class F Certs CPS AUTO 2019-C: DBRS Assigns Prov. B Rating on Class F Notes DRYDEN 75 CLO: S&P Rates $23.75MM Class E-R Notes 'BB- (sf)' ELLINGTON CLO IV: Moody's Affirms B3 Rating on 2 Tranches FREDDIE MAC 2019-DNA3: S&P Assigns Prelim 'B' Rating to B-1B Notes GALTON FUNDING 2019-2: S&P Assigns Prelim B- Rating to Cl. B5 Certs GS MORTGAGE 2019-GC40: Fitch Rates $8.8MM Class G-RR Debt 'B-sf' GS MORTGAGE 2019-PJ2: DBRS Assigns Prov. B Rating on Cl. B-5 Certs GS MORTGAGE 2019-PJ2: Moody's Assigns (P)B3 Rating on Cl. B-5 Debt JP MORGAN 2019-LTV2: DBRS Assigns Prov. B Rating on B-5 Certs JP MORGAN 2019-LTV2: Moody's Gives (P)B3 Rating on Class B-5 Debt KEYCORP STUDENT 2004-A: Fitch Affirms CC Rating on Class II-D Debt KEYCORP STUDENT 2004-A: Fitch Affirms CC Rating on Class II-D Notes KKR CLO 26: Moody's Assigns (P)Ba3 Rating on $29.7MM Class E Notes LTI HOLDINGS: Moody's Affirms B3 CFR, Outlook Stable MCF CLO V: S&P Assigns Prelim BB- (sf) Rating to Class E Notes MORGAN STANLEY 2016-C30: Fitch Affirms BB-sf Rating on 2 Tranches MORGAN STANLEY 2019-H7: Fitch to Rate $8.4MM Cl. G-RR Debt 'B-' NEW RESIDENTIAL 2019-3: DBRS Finalizes B Rating on 10 Tranches NEW RESIDENTIAL 2019-3: DBRS Gives Prov. B Rating on 10 Tranches NEW RESIDENTIAL 2019-3: Moody's Assigns B1 Rating on 5 Tranches NRZ ADVANCE 2019-T1: S&P Assigns Prelim BB Rating to Cl. E-T1 Notes OBX TRUST 2019-EXP2: Fitch to Rate $2.317MM Class B-5 Notes Bsf PARK PLACE 2005-WCW1: Moody's Lowers Cl. M-2 Certs Rating to B1 PEPPER SPARKZ 1: Fitch Assigns Bsf Rating on Class F Notes PRESTIGE AUTO 2019-1: DBRS Assigns Prov. BB Rating on Cl. E Notes SANTANDER SYNTHETIC 2019-A: DBRS Assigns B(low) Rating on F Notes SIERRA TIMESHARE 2019-2: Fitch to Rate Class D Notes BB SILVER AIRCRAFT: Fitch Assigns BBsf Rating on Class C Debt SLM STUDENT 2003-2: Fitch Affirms Bsf Rating on 5 Tranches TCP RAINIER: DBRS Confirms BB Rating on Class C Notes TIDEWATER AUTO 2018-A: S&P Affirms BB (sf) Rating on Class E Notes UBS COMMERCIAL 2012-C1: Moody's Affirms B3 Rating on Class F Certs VERUS 2019-INV2: S&P Assigns Prelim B (sf) Rating to Cl. B-2 Certs WELLS FARGO 2016-LC24: Fitch Affirms BB-sf Rating on 2 Tranches WELLS FARGO 2017-C39: Fitch Affirms B-sf Rating on Cl. G-RR Certs WELLS FARGO 2019-C51: Fitch Rates $7.295MM Class G-RR Certs B-sf [*] DBRS Reviews 144 Classes From 33 US RMBS Transactions ********* ALM VII: S&P Assigns BB- (sf) Rating to $33.5MM Class D-R2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1a-R2, A-1b-R2, A-2-R2, B-R2, C-R2, and D-R2 replacement notes from ALM VII Ltd., a collateralized loan obligation originally issued in 2012 that is managed by Apollo Credit Management. S&P withdrew its ratings on the original class A-1R, A-2R, B-R, C-R, and D-R notes on the July 15, 2019, refinancing date. On the July 15, 2019, refinancing date, the proceeds from the class A-1a-R2, A-1b-R2, A-2-R2, B-R2, C-R2, and D-R2 replacement note issuances were used to redeem the original class A-1R, A-2R, B-R, C-R, and D-R notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED ALM VII Ltd. Replacement class Rating Amount (mil. $) A-1a-R2 AAA (sf) 450.00 A-1b-R2 AAA (sf) 10.00 A-2-R2 (deferrable) AA (sf) 66.50 B-R2 (deferrable) A (sf) 46.25 C-R2 (deferrable) BBB- (sf) 34.75 D-R2 (deferrable) BB- (sf) 33.50 Subordinated notes NR NR--Not rated. RATINGS WITHDRAWN ALM VII Ltd. Rating Original class To From A-1R NR AAA (sf) A-2R NR AA (sf) B-R NR A (sf) C-R NR BBB (sf) D-R NR BB (sf) NR—Not rated. ANCHORAGE CAPITAL 9: S&P Rates $20.68MM Class E-R Notes 'BB-(sf)' ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Anchorage Capital CLO 9 Ltd./ Anchorage Capital CLO 9 LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated, speculative-grade (rated 'BB+' and lower), senior-secured term loans that are governed by collateral quality tests. This is a reset of a transaction that S&P Global didn't initially rate. The ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Anchorage Capital CLO 9 Ltd./Anchorage Capital CLO 9 LLC Class Rating Amount (mil. $) A-R NR 347.825 B-R AA (sf) 58.65 C-R (deferrable) A (sf) 39.05 D-R (deferrable) BBB- (sf) 33.00 E-R (deferrable) BB- (sf) 20.68 Subordinated notes NR 84.87 BALLYROCK CLO 2019-1: Moody's Rates $19MM Class D Notes 'Ba3' ------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of notes issued by Ballyrock CLO 2019-1 Ltd. Moody's rating action is as follows: US$256,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned Aaa (sf) US$46,000,000 Class A-2 Senior Secured Floating Rate Notes due 2032 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$22,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class B Notes"), Assigned A2 (sf) US$24,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned Baa3 (sf) US$19,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned Ba3 (sf) The Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes and the Class D Notes are referred to herein, collectively, as the "Rated Notes." RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodology. Ballyrock CLO 2019-1 Ltd. is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. The portfolio is approximately 85% ramped as of the closing date. Ballyrock Investment Advisors LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, 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. BANC OF AMERICA 2007-3: Fitch Lowers Class G Debt Rating to Csf --------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed 10 classes of Banc of America Commercial Mortgage Trust, commercial mortgage pass-through certificates, series 2007-3. Banc of America Commercial Mortgage Trust 2007-3 Debt Current Rating Prior Rating Class F 059512AT0; LT Bsf Affirmed; previously at Bsf Class G 059512AU7; LT Csf Downgrade; previously at CCsf Class H 059512AV5; LT Csf Affirmed; previously at Csf Class J 059512AW3; LT Dsf Affirmed; previously at Dsf Class K 059512AX1; LT Dsf Affirmed; previously at Dsf Class L 059512AY9; LT Dsf Affirmed; previously at Dsf Class M 059512AZ6; LT Dsf Affirmed; previously at Dsf Class N 059512BA0; LT Dsf Affirmed; previously at Dsf Class O 059512BB8; LT Dsf Affirmed; previously at Dsf Class P 059512BC6; LT Dsf Affirmed; previously at Dsf Class Q 059512BD4; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS Increased Loss Expectations; High Concentration of Specially Serviced Loans/Assets: The downgrade of class G reflects the greater certainty of loss since Fitch's last rating action. Losses are considered inevitable due to increased loss expectations on the nine specially serviced loans/assets that comprise 74.4% of the current pool, including eight real estate owned assets (REO; 68.3%) and one non-performing matured balloon loan (6.1%). Significant losses are anticipated upon liquidation due to continued performance deterioration. The largest REO asset is Stonecrest Marketplace (30% of pool), a 264,609 square foot (sf) shopping center located in Lithonia, GA, adjacent to the Mall at Stonecrest. The loan transferred to special serving in February 2017 for imminent maturity default and the asset became REO in February 2018. Property occupancy declined to 70% as of January 2019 from 95% in June 2018 following the closure of Babies R Us after their bankruptcy filing and Big Lots vacating upon its scheduled January 2019 lease expiration. The asset did not trade at the most recent May 2019 auction. The special servicer continues to market the property's vacancies for lease, with limited recent leasing momentum. The largest in-place tenants include Ross Dress for Less (11% NRA), Marshall's (11%) and DSW (10%), all of which have lease expirations in 2023. Increased Credit Enhancement: Although credit enhancement for class F has increased slightly due to overall better recoveries than expected on two REO assets disposed since the last rating action, the pool remains highly concentrated with only 12 loans/assets remaining. As of the June 2019 remittance report, the pool has been reduced by 96.7% to $114.7 million from $3.52 billion at issuance. Realized losses to date total $194.9 million (5.5% of original pool balance). Cumulative interest shortfalls totalling $25 million are currently affecting classes G through K and classes Q through S. Concentrated Pool: Due to the concentrated nature of the pool, Fitch performed a sensitivity analysis that grouped the remaining loans/assets based on structural features, collateral quality and performance, and ranked them by their perceived likelihood of repayment. The rating of class F is capped at 'Bsf' due to the class' reliance on the largest performing loan, Yuba City Marketplace (23% of pool), which is designated a Fitch Loan of Concern. The Yuba City Marketplace loan, which is secured by a 142,808 sf power center located in Yuba City, CA, has reported declining cash flow and less than 1.0x net operating income debt service coverage ratio (NOI DSCR) since 2017. Although the property is 100% occupied, the cash flow declines have been the result of lower expenses reimbursements and increased operating expenses, primarily repairs and maintenance and taxes. The property is considered a dominant retail center in its market, with non-collateral anchors including a Walmart and Home Depot. The largest collateral tenants include Marshalls (21% NRA; lease expiry in 1/2032), Bed Bath & Beyond (16%; 1/2037), Michaels (15%; 3/2036) and ULTA (13%; 2027). YE 2018 NOI DSCR dropped to 0.76x from 0.91x in 2017 and 1.01x in 2016. The loan began to amortize in July 2017, with the borrower coming out of pocket to cover debt service shortfalls. Near-term rollover is concentrated in 2021 with 18.3% of the NRA, including Petco (10.1% NRA) and Famous Footwear (5.6%). BEAR STEARNS 2004-AC3: Moody's Lowers Ratings on 2 Tranches to B1 ----------------------------------------------------------------- Moody's Investors Service downgraded the ratings of 2 tranches from Bear Stearns Asset-Backed Securities I Trust 2004-AC3, backed by a single pool of Alt-A mortgages. The complete rating actions are as follows: Issuer: Bear Stearns Asset-Backed Securities I Trust 2004-AC3 Cl. A-1, Downgraded to B1 (sf); previously on Jun 29, 2015 Downgraded to Ba2 (sf) Cl. A-2, Downgraded to B1 (sf); previously on Jun 29, 2015 Downgraded to Ba2 (sf) RATINGS RATIONALE The 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 outstanding interest shortfalls on the bonds which are not expected to be recouped as the impacted bonds have weak structural mechanisms to reimburse accrued interest shortfalls 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 3.7% in June 2019 from 4.0% in June 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 this transaction. BEAR STEARNS 2004-PWR5: Fitch Affirms Dsf Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed two classes of Bear Stearns Commercial Mortgage Securities Trust, commercial mortgage pass-through certificates, series 2004-PWR5. Bear Stearns Commercial Mortgage Securities Trust 2004-PWR5 Debt Current Rating Prior Rating Class M 07383FS25; LT Asf Upgrade; previously at BBBsf Class N 07383FS33; LT Dsf Affirmed; previously at Dsf Class P 07383FS41; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS Increased Credit Enhancement: The upgrade of class M is due to increased credit enhancement since Fitch's last rating action from three loan payoffs; the pool has paid down by 90.9% of the last rating action pool balance. As of the June 2019 distribution, the pool's aggregate principal balance was reduced by 99.6% to $4.8 million from $1.233 billion at issuance. Stable Loss Expectations: The performance of the remaining pool collateral, which consists of five low leveraged and fully amortizing loans, remains stable. All loans are current and none are considered Fitch Loans of Concern. The loans are secured by a parking garage in downtown Providence, RI (67.3% of pool), a retail center in Herriman, UT (29.5%), a movie theater in Layton, UT (1.2%), a mobile home community in San Jose, CA (1.2%) and a mixed-use property in the Financial District of San Francisco (0.7%). The remaining loans are significantly deleveraged with a weighted average Fitch stressed loan-to-value ratio of 21.8%. The two largest loans (96.9% of pool) mature in 2024 and the three smaller loans mature in 2019 (3.1%). Class M is expected to be paid off by August 2020 from continued scheduled amortization. Concentrated Pool; Alternative Loss Consideration: The pool is highly concentrated with only five of the original 130 loans remaining. Due to the concentrated nature of the pool, Fitch performed a look-through analysis which grouped the remaining loans based on the likelihood of repayment and credit characteristics; the upgrade of class M to 'Asf' reflects this analysis. RATING SENSITIVITIES The Stable Outlook on class M reflects the expected payoff of the class from continued scheduled amortization by August 2020. No further rating changes are expected. BEAR STEARNS 2006-TOP22: Moody's Hikes Class H Certs Rating to B1 ----------------------------------------------------------------- Moody's Investors Service upgraded the ratings on four classes and affirmed the ratings on two classes in Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Commercial Pass-Through Certificates, Series 2006-TOP22: Cl. D, Affirmed Aaa (sf); previously on Oct 25, 2018 Upgraded to Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Oct 25, 2018 Upgraded to A2 (sf) Cl. F, Upgraded to Aaa (sf); previously on Oct 25, 2018 Upgraded to Baa1 (sf) Cl. G, Upgraded to A2 (sf); previously on Oct 25, 2018 Upgraded to Ba2 (sf) Cl. H, Upgraded to B1 (sf); previously on Oct 25, 2018 Upgraded to Caa1 (sf) Cl. J, Affirmed C (sf); previously on Oct 25, 2018 Affirmed C (sf) RATINGS RATIONALE The ratings on four principal and interest (P&I) classes were upgraded primarily due to a significant increase in defeasance, as well as an increase in credit support resulting from loan paydowns and amortization. Defeasance increased to 65% of the current pool balance from 43% at the last review, and the deal has paid down by 9% since Moody's last review. The rating on the P&I class, Cl. D, was affirmed because the transaction's key metrics, including Moody's loan-to-value (LTV) ratio, Moody's stressed debt service coverage ratio (DSCR) and the transaction's Herfindahl Index (Herf), are within acceptable ranges. The rating on the P&I class, Cl. J, was affirmed because the ratings are consistent with Moody's expected loss plus realized loss. Cl. J has already experienced a 18% realized loss as a result of previously liquidated loans. Moody's rating action reflects a base expected loss of 0.6% of the current pooled balance, compared to 1.0% at Moody's last review. Moody's base expected loss plus realized losses is now 1.9% of the original pooled balance, the same as at Moody's last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in these ratings was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. DEAL PERFORMANCE As of the June 12, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 95% to $85 million from $1.70 billion at securitization. The certificates are collateralized by 13 mortgage loans ranging in size from less than 1% to 21% of the pool. Seven loans, constituting 65% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 5, compared to 6 at Moody's last review. Three loans, constituting 18% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. Thirteen loans have been liquidated from the pool, resulting in an aggregate realized loss of $32 million (for an average loss severity of 47%). No loans are currently in special servicing. Moody's received full year 2017 operating results for 83% of the pool, and full or partial year 2018 operating results for 100% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 62%, compared to 73% 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 value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 3.14X and 2.82X, respectively, compared to 2.21X and 2.00X 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 non-defeased loans represent 24% of the pool balance. The largest loan is the Webster Square Loan ($8.7 million -- 10.3% of the pool), which is secured by a 230,000 square feet (SF) anchored retail center located eleven miles northeast of Rochester in Webster, New York. Major tenants include a BJ's Wholesale and Dollar Tree. BJ's Wholesale lease runs through November 2023. The former second largest tenant, Kmart, which occupied approximately 38% of the net rentable area (NRA), vacated their space in November 2017. As of December 2018, the property was 61% leased, unchanged from December 2017 and compared to 100% in December 2016. The loan has amortized over 32% since securitization. Moody's LTV and stressed DSCR are 98% and 1.13X, respectively, compared to 102% and 1.09X at the last review. The second largest loan is the 1312-1320 3rd Street Promenade Loan ($6.5 million -- 7.7% of the pool), which is secured by a 30,000 SF mixed use building, comprised of office and retail spaces located in Santa Monica, California. The property is approximately four blocks from the beach. As of December 2018, the property was 97% leased, compared to 87% leased as of December 2017 and December 2016. The loan has amortized over 23% since securitization. Moody's LTV and stressed DSCR are 44% and 2.32X, respectively, compared to 51% and 2.02X at the last review. The third largest loan is the 161 West 75th Street Coop Loan ($5.3 million -- 6.3% of the pool), which is secured by a fifteen-story co-op building located in the Upper West Side of Manhattan in New York City. Built in 1924, the building has gracious four, five, six, and seven room apartments. As of December 2018, the property was 97% occupied, compared to 100% occupied between 2017 and 2012. Moody's LTV and stressed DSCR are 16% and 6.35X, respectively, the same as at Moody's last review. BUNKER HILL 2019-2: S&P Assigns Prelim B (sf) Rating to B-2 Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Bunker Hill Loan Depository Trust 2019-2's mortgage-backed notes. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by first-lien, fixed-, and adjustable-rate and interest-only residential mortgage loans secured by single-family residences, planned-unit developments, two- to four-family residences, and condominiums to both prime and nonprime borrowers. The pool has 1,093 loans, which are primarily non-qualified mortgage loans. The preliminary ratings are based on information as of July 15, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition, -- The credit enhancement provided for this transaction, -- The transaction's associated structural mechanics, -- The transaction's representation and warranty (R&W) framework, and -- The mortgage aggregator. PRELIMINARY RATINGS ASSIGNED Bunker Hill Loan Depository Trust 2019-2 Class Rating Amount (mil. $) A-1 AAA (sf) 313,282,000 A-2 AA- (sf) 34,391,000 A-3 A- (sf) 37,069,000 M-1 BBB- (sf) 15,232,000 B-1 BB-(sf) 9,758,000 B-2 B (sf) 4,395,000 B-3 NR 2,492,599 XS NR Notional(i) A-IO-S NR Notional(i) R NR N/A (i)The notional amount equals the loans' aggregate stated principal balance. WAC--Weighted average coupon. NR--Not rated. N/A--Not applicable. CD COMMERCIAL 2007-CD5: Fitch Lowers Class G Debt Rating to C ------------------------------------------------------------- Fitch Ratings has downgraded one and affirmed twelve classes of CD Commercial Mortgage Trust commercial mortgage pass-through certificates series 2007-CD5. CD Commercial Mortgage Trust 2007-CD5 Debt Current Rating Prior Rating Class D 12514AAT8; LT BBsf Affirmed; previously at BBsf Class E 12514AAU5; LT Bsf Affirmed; previously at Bsf Class F 12514AAV3; LT CCCsf Affirmed; previously at CCCsf Class G 12514AAW1; LT Csf Downgrade; previously at CCsf Class H 12514AAX9; LT Csf Affirmed; previously at Csf Class J 12514AAY7; LT Dsf Affirmed; previously at Dsf Class K 12514AAZ4; LT Dsf Affirmed; previously at Dsf Class L 12514ABA8; LT Dsf Affirmed; previously at Dsf Class M 12514ABB6; LT Dsf Affirmed; previously at Dsf Class N 12514ABC4; LT Dsf Affirmed; previously at Dsf Class O 12514ABD2; LT Dsf Affirmed; previously at Dsf Class P 12514ABE0; LT Dsf Affirmed; previously at Dsf Class Q 12514ABF7; LT Dsf Affirmed; previously at Dsf KEY RATING DRIVERS High Loss Expectations/Concentrated Pool: Fitch's overall loss expectations for the specially serviced loans/assets remain high. The downgrade to class G reflects the increased certainty of losses from liquidations in addition to the prolonged workout and limited recoveries for the remaining loan/assets. The pool is concentrated and consists of ten specially serviced loans/assets (97.8%) and one loan (2.2%) that did not pay off at its July 2019 maturity but remains current on payments. Due to the concentrated nature of the pool, the ratings reflect a sensitivity analysis that grouped the remaining loans based on expected paydown and losses from liquidations as well as the perceived likelihood of repayment. The largest specially-serviced loan is the Versar Center Office Building (24.1%), which is secured by two office properties totaling 217,396 square feet (sf) located in Springfield, VA. The loan transferred to the special servicer in October 2014 due to imminent default. The property has struggled with occupancy issues since the economic downturn and the borrower has indicated that it can no longer fund shortfalls. The special servicer is considering selling the note while maintaining contact with the borrower as new leases are being pursued. According to the December 2018 rent roll, the property is 50% occupied. Increase in Credit Enhancement: Credit enhancement has improved since Fitch's last rating action from the liquidation of two specially serviced loans/assets at better than expected recoveries. Although credit enhancement has improved since the last rating action, the remaining pool is adversely selected and expected losses remain high. As of the June 2019 distribution date, the pool's aggregate principal balance has been reduced by 94.9% to $106.3 million from $2.09 billion at issuance. Realized losses since issuance total $119 million (5.7% of original pool balance). Interest shortfalls are currently affecting classes D through S. CFG INVESTMENTS 2019-1: S&P Rates $25.5MM Class B Notes 'BB(sf)' ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to CFG Investments Ltd.'s series 2019-1 notes. S&P also withdrew its ratings on the series 2017-1 notes due to the proceeds of the series 2019-1 issuance being used to redeem the series 2017-1 notes early. The note issuance is an asset-backed securities (ABS) transaction backed by unsecured personal loan receivables originated in four different jurisdictions: Aruba ('BBB+/Negative/A-2'), Curacao ('BBB+/Stable/A-2'), Bonaire (not rated), and Panama ('BBB+/Stable/A-2'). The ratings reflect: -- The characteristics of the pool being securitized, which include loans from four different jurisdictions: Aruba, Curacao, Bonaire, and Panama. The transaction has a two-year revolving period during which the loan composition can change. As such, S&P considered the worst-case pool allowed by the transaction's concentration limits. -- The availability of approximately 26.72% and 16.84% credit support to the class A and B notes, respectively, in the form of subordination, overcollateralization, a reserve account, and excess spread. The excess spread calculation is only an estimate for the first month because the future excess spread will still need to be realized and is unknown at the expected closing date. Additionally, the credit support level is sufficient to withstand stresses commensurate with the ratings on the notes based on S&P's stressed cash flow scenarios. -- The transaction's payment structure and mechanisms, which incorporate performance-based triggers linked to a monthly cumulative net loss percentage defined in the transaction documents that lead to revolving period termination events, and early amortization triggers that are linked to a servicer default, among others. -- CFG Holdings Ltd.'s (CFG's) established management and its experience in origination and servicing consumer loan products across all jurisdictions, and S&P's assessment of the operational risks associated with CFG's decentralized business model across certain jurisdictions. -- The transaction's exposure to the counterparty risk of the bank account providers in each relevant jurisdiction, which have credit quality consistent with the ratings. Additionally, the transaction's commingling risk, which S&P believes is mitigated by the two-day transfer of funds, the existence of a reserve account, and the small amount of exposure to this risk. -- The transaction's legal structure, which includes a Cayman Islands special-purpose vehicle issuing the notes, and special-purpose entities in each jurisdiction called borrowers, to which the portfolio of loans, or beneficial interests therein, has been transferred by the respective sellers. Since S&P issued preliminary ratings, the following key changes have occurred, among others: -- The final coupons for each class were updated; -- The first payment date for interest on the notes is Aug. 15, 2019; and -- The legal final maturity is Aug. 15, 2029. None of the changes outlined above affected any of the ratings. Please see the updated credit enhancement table below: CREDIT ENHANCEMENT SUMMARY Subordination (% of the initial target loan principal balance) Class A 9.88 Class B 0.00 Class RR 0.00 Reserve account (% of the initial target loan principal balance) Initial 1.00 Target 1.00 Floor 1.00 Overcollateralization (% of the initial target principal balance) Initial (including the initial balance of class RR) 14.00 Target 14.00 Floor 14.00 Total initial hard credit enhancement (% of the initial target loan principal balance) Class A 24.88 Class B 15.00 Class RR 15.00 Total credit enhancement, including excess spread (% of the initial target loan principal balance)(i) Class A 26.72 Class B 16.84 Initial target loan principal balance ($) 258,143,164.54 Total securities issued (including class RR notes) 234,500,000.00 (i)Excess spread calculation is only an estimate for the first month because the future excess spread will still need to be realized and is unknown at the closing date. RATINGS ASSIGNED CFG Investments Ltd. (series 2019-1) Class Rating Amount (mil. $) Interest rate (%) A BBB (sf) 196.5 5.56 B BB (sf) 25.5 7.62 RR NR 12.5 7.63 RATINGS WITHDRAWN CFG Investments Ltd. (series 2017-1) Rating Class To From A NR BBB (sf) B NR BB (sf) RR NR NR NR--Not rated. COMM 2013-CCRE11: Fitch Affirms Bsf Rating on Class F Certs ----------------------------------------------------------- Fitch Ratings has affirmed 11 classes of Deutsche Bank Securities, Inc.'s COMM 2013-CCRE11 commercial mortgage pass-through certificates. COMM 2013-CCRE11 Current Rating Prior Rating Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-4 LT AAAsf Affirmed; previously at AAAsf Class A-M LT AAAsf Affirmed; previously at AAAsf Class A-SB LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BBsf Affirmed; previously at BBsf Class F LT Bsf Affirmed; previously at Bsf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT AA-sf Affirmed; previously at AA-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Pool performance and loss expectations have remained stable since issuance. Fitch has identified two small loans outside of the top 15 (0.4% of pool) as Fitch Loans of Concern (FLOCs). The Mariner Village Center loan (0.3%), which is secured by a neighborhood retail center located in Spring Hills, FL, was flagged for upcoming lease rollover concern. The grocery anchor tenant, Winn Dixie (70% of NRA), has an upcoming lease expiration in May 2020. The tenant failed to renew its lease 24 months prior to its lease expiration, which has sprung the lockbox. The Marion & Jefferson loan (0.1%), which is secured by a portfolio of two rent-stabilized multifamily properties consisting of 24 units located in Brooklyn, NY, was flagged for low debt service coverage ratio (DSCR). Per the most recent servicer reported commentary, although overall portfolio occupancy was 84%, the consolidated DSCR was low at 0.54x due to both properties being subject to New York rent stabilization rules, thus preventing rent increases to bring properties more in line with the market. The specially serviced iPark Hudson Buildings 4 & 5 loan (1.9%), which had transferred to the special servicer in November 2017 for non-monetary default after the borrower failed to utilize the clearing account following the non-renewal of a major tenant's lease 12 months prior to expiration, was recently returned to the master servicer on June 18, 2019. The tenant has renewed its lease through May 2023 and loan documents have been modified to cure the non-monetary default. There are currently no loans in special servicing and there have been no realized losses to date. Increased Credit Enhancement: As of the June 2019 distribution date, the pool's aggregate principal balance has paid down by 10.9% to $1.13 billion from $1.27 billion at issuance. Since Fitch's last rating action, one loan, the One and Only Palmilla, repaid in full at its scheduled January 2019 maturity date. Six loans representing 26.3% of the current pool are full-term, interest-only and one additional loan (2.2%) is still in its partial interest-only term and has yet begun to amortize. Six loans (9%) are fully defeased. ADDITIONAL CONSIDERATIONS Retail Concentration: Retail loans represent 30.7% of the current pool, including two loans in the top five secured by regional mall properties. The Miracle Mile Shops loan (12.7%) is secured by a 448,835-sf mall located on the Las Vegas Strip and at the base of Planet Hollywood Resort & Casino. The mall has strong foot traffic and comparable in-line sales are strong at $817 psf as of TTM March 2019. The Oglethorpe Mall loan (7.8%) is secured by a 626,966-sf portion of a 942-726-sf regional mall located in Savannah, GA. The mall is considered the dominant center in its trade area and is anchored by JC Penney, Macy's, Belk (non-collateral) and a dark former Sears (non-collateral). As of the December 2018 rent roll, the collateral was 95.5% occupied, while the entire mall was 80.4% occupied. Approximately 13% of the collateral NRA rolls over the next year. YE 2018 comparable in-line sales were reported at $374 psf compared with $374 psf at YE 2017, $385 psf at YE 2016 and $395 psf at YE 2015. Loan Maturities: All of the remaining loans in the pool mature in 2023. CPS AUTO 2019-C: DBRS Assigns Prov. B Rating on Class F Notes ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by CPS Auto Receivables Trust 2019-C (CPS 2019-C): -- $105,095,000 Class A Notes rated AAA (sf) -- $41,501,000 Class B Notes rated AA (sf) -- $35,398,000 Class C Notes rated A (sf) -- $31,248,000 Class D Notes rated BBB (sf) -- $24,656,000 Class E Notes rated BB (sf) -- $5,615,000 Class F Notes rated B (sf) The provisional ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement will be in the form of 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 rating addresses the payment of timely interest on a monthly basis and the payment of principal by the legal final maturity date. -- The capabilities of Consumer Portfolio Services, Inc. (CPS) with regard to originations, underwriting, and servicing. -- DBRS has performed an operational review of CPS and considers the entity to be an acceptable originator and servicer of subprime automobile loan contracts. This transaction also has an acceptable backup servicer. -- The CPS senior management team has considerable experience and a successful track record within the auto finance industry, having managed the company through multiple economic cycles. -- The quality and consistency of provided historical static pool data for CPS originations and performance of the CPS auto loan portfolio. -- The May 29, 2014, settlement of the Federal Trade Commission (FTC) inquiry relating to allegedly unfair trade practices. CPS paid imposed penalties and restitution payments to consumers. -- CPS has made considerable improvements to the collections process, including management changes, upgraded systems, and software as well as the implementation of new policies and procedures focused on maintaining compliance and will be subject to ongoing monitoring of certain processes by the FTC. -- The legal structure and presence of legal opinions that address the true sale of the assets to the Issuer, the non-consolidation of the special-purpose vehicle with CPS, that the trust has a valid first-priority security interest in the assets and the consistency with DBRS's "Legal Criteria for U.S. Structured Finance" methodology. The CPS 2019-C transaction represents the 34th securitization completed by CPS since 2010 and will offer both senior and subordinate rated securities. The receivables securitized in CPS 2019-C will be subprime automobile loan contracts secured primarily by used automobiles, light-duty trucks, vans, and minivans. The rating on the Class A Notes reflects the 57.95% of initial hard credit enhancement provided by the subordinated notes in the pool (56.70%), the Reserve Account (1.00%) and overcollateralization (0.25%). The ratings on Class B, Class C, Class D, Class E, and Class F Notes reflect 40.95%, 26.45%, 13.65%, 3.55% and 1.25% 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. DRYDEN 75 CLO: S&P Rates $23.75MM Class E-R Notes 'BB- (sf)' ------------------------------------------------------------ S&P Global Ratings assigned its ratings to the class A-R, B-R, C-R, D-R, and E-R replacement notes from Dryden 75 CLO Ltd./Dryden 75 CLO LLC, a collateralized loan obligation originally issued in February 2019 that is managed by PGIM Fixed Income. S&P withdrew its ratings on the original class A, B, C, D, and E notes following payment in full on the July 15, 2019, refinancing date. On the July 15, 2019, refinancing date, the proceeds from the class A-R, B-R, C-R, D-R, and E-R replacement note issuances were used to redeem the original class A, B, C, D, and E notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary." RATINGS ASSIGNED Dryden 75 CLO Ltd./Dryden 75 CLO LLC Class Rating Amount (mil. $) A-R AAA (sf) 341.25 B-R AA (sf) 57.75 C-R (deferrable) A (sf) 31.50 D-R (deferrable) BBB- (sf) 28.75 E-R (deferrable) BB- (sf) 23.75 Subordinated notes NR 45.80 RATINGS WITHDRAWN Dryden 75 CLO Ltd./Dryden 75 CLO LLC Rating Original class To From A NR AAA (sf) B NR AA (sf) C NR A (sf) D NR BBB- (sf) E NR BB- (sf) NR--Not rated. ELLINGTON CLO IV: Moody's Affirms B3 Rating on 2 Tranches --------------------------------------------------------- Moody's Investors Service has affirmed the ratings on the following notes issued by Ellington CLO IV, Ltd.: US$237,500,000 Class A Senior Secured Floating Rate Notes due 2029, Affirmed Aaa (sf); previously on March 8, 2019 Assigned Aaa (sf) US$45,125,000 Class B Senior Secured Floating Rate Notes due 2029, Affirmed Aa2 (sf); previously on March 8, 2019 Assigned Aa2 (sf) US$29,212,500 Class C Secured Deferrable Floating Rate Notes due 2029, Affirmed A2 (sf); previously on March 8, 2019 Assigned A2 (sf) US$32,775,000 Class D-1 Secured Deferrable Floating Rate Notes due 2029, Affirmed Baa3 (sf); previously on March 8, 2019 Assigned Baa3 (sf) US$5,700,000 Class D-2 Secured Deferrable Fixed Rate Notes due 2029, Affirmed Baa3 (sf); previously on March 8, 2019 Assigned Baa3 (sf) US$44,450,000 Class E-1 Secured Deferrable Floating Rate Notes due 2029, Affirmed Ba3 (sf); previously on March 8, 2019 Assigned Ba3 (sf) US$3,050,000 Class E-2 Secured Deferrable Fixed Rate Notes due 2029, Affirmed Ba3 (sf); previously on March 8, 2019 Assigned Ba3 (sf) US$6,975,000 Class F-1 Secured Deferrable Floating Rate Notes due 2029, Affirmed B3 (sf); previously on March 8, 2019 Assigned B3 (sf) US$150,000 Class F-2 Secured Deferrable Fixed Rate Notes due 2029, Affirmed B3 (sf); previously on March 8, 2019 Assigned B3 (sf) The Class A Notes, the Class B Notes, the Class C Notes, the Class D-1 Notes, the Class D-2 Notes, the Class E-1 Notes, the Class E-2 Notes, the Class F-1 Notes, and the Class F-2 Notes are referred to herein, collectively, as the "Rated Notes." Ellington CLO IV, Ltd. is a collateralized loan obligation backed primarily by a portfolio of senior secured loans. The issuer declared the transaction's Effective Date as June 14, 2019. Ellington CLO Management LLC directs the selection, acquisition and disposition of assets on behalf of the Issuer. 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 its methodology. In particular, the affirmation rating actions on the Rated Notes reflect the Issuer's failure to reach the target par required as of the deal's Effective Date, as well as the credit quality of the portfolio, which includes exposure to assets rated Ca. 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 or portfolio par of $460.0 million, defaulted par of $15.3 million, a weighted average default probability of 37.42% (implying a WARF of 4648), a weighted average recovery rate upon default of 42.5%, a diversity score of 35 and a weighted average spread of 5.6%. 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. FREDDIE MAC 2019-DNA3: S&P Assigns Prelim 'B' Rating to B-1B Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR Trust 2019-DNA3's notes. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by fully amortizing, first-lien, fixed-rate residential mortgage loans secured by one- to four-family residences, planned-unit developments, condominiums, cooperatives, and manufactured housing to mostly prime borrowers. The preliminary ratings are based on information as of July 12, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The credit enhancement provided by the subordinated reference tranches, as well as the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pool; -- A credit-linked note structure that reduces the counterparty exposure to Freddie Mac for periodic principal payments while also relying on credit premium payments from Freddie Mac (a highly rated counterparty) to make monthly interest payments and to make up for any investment losses; -- The issuer's aggregation experience and the alignment of interests between the issuer and noteholders in the deal's performance, which in S&P's view, enhances the notes' strength; and -- The enhanced credit risk management and quality control (QC) processes Freddie Mac uses in conjunction with the underlying representations and warranties framework. PRELIMINARY RATINGS ASSIGNED Freddie Mac STACR Trust 2019-DNA3 Class Rating Amount (mil. $) A-H(i) NR 24,448,323,015 M-1 A- (sf) 180,000,000 M-1H(i) NR 75,334,966 M-2 BB- (sf) 390,000,000 M-2R BB- (sf) 390,000,000 M-2S BB- (sf) 390,000,000 M-2T BB- (sf) 390,000,000 M-2U BB- (sf) 390,000,000 M-2I BB- (sf) 390,000,000 M-2A BBB (sf) 195,000,000 M-2AR BBB (sf) 195,000,000 M-2AS BBB (sf) 195,000,000 M-2AT BBB (sf) 195,000,000 M-2AU BBB (sf) 195,000,000 M-2AI BBB (sf) 195,000,000 M-2AH(i) NR 79,485,088 M-2B BB- (sf) 195,000,000 M-2BR BB- (sf) 195,000,000 M-2BS BB- (sf) 195,000,000 M-2BT BB- (sf) 195,000,000 M-2BU BB- (sf) 195,000,000 M-2BI BB- (sf) 195,000,000 M-2RB BB- (sf) 195,000,000 M-2SB BB- (sf) 195,000,000 M-2TB BB- (sf) 195,000,000 M-2UB BB- (sf) 195,000,000 M-2BH(i) NR 79,485,088 B-1 B (sf) 90,000,000 B-1A B+ (sf) 45,000,000 B-1AR B+ (sf) 45,000,000 B-1AI B+ (sf) 45,000,000 B-1AH(i) NR 18,833,741 B-1B B (sf) 45,000,000 B-1BH(i) NR 18,833,741 B-2 NR 96,000,000 B-2A NR 48,000,000 B-2AR NR 48,000,000 B-2AI NR 48,000,000 B-2AH(i) NR 15,833,741 B-2B NR 48,000,000 B-2BH(i) NR 15,833,741 B-3H(i) NR 25,533,500 (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. GALTON FUNDING 2019-2: S&P Assigns Prelim B- Rating to Cl. B5 Certs ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Galton Funding Mortgage Trust 2019-2's mortgage pass-through certificates. The issuance is a residential mortgage-backed securities (RMBS) transaction backed by first-lien, fixed-rate, and adjustable-rate mortgage loans secured by one- to four-family residential properties, condominiums, and planned unit developments to primarily prime borrowers. The preliminary ratings are based on information as of July 15, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The high-quality collateral in the pool; -- The available credit enhancement; -- The 100% due diligence sampling results, which is consistent with the represented loan characteristics; -- The representation and warranty framework for this transaction; and -- The transaction's associated structural mechanics. PRELIMINARY RATINGS ASSIGNED Galton Funding Mortgage Trust 2019-2 Class Rating Amount ($) A11 AA (sf) 262,851,000 AX11 AA (sf) 262,851,000(i) A12 AA (sf) 262,851,000 AX12 AA (sf) 262,851,000(i) A13 AA (sf) 262,851,000 AX13 AA (sf) 262,851,000(i) A21 AAA (sf) 231,587,000 AX21 AAA (sf) 231,587,000(i) A22 AAA (sf) 231,587,000 AX22 AAA (sf) 231,587,000(i) A23 AAA (sf) 231,587,000 AX23 AAA (sf) 231,587,000(i) A31 AA (sf) 31,264,000 AX31 AA (sf) 31,264,000(i) A32 AA (sf) 31,264,000 AX32 AA (sf) 31,264,000(i) A33 AA (sf) 31,264,000 AX33 AA (sf) 31,264,000(i) A41 AAA (sf) 185,269,600 AX41 AAA (sf) 185,269,600(i) A42 AAA (sf) 185,269,600 AX42 AAA (sf) 185,269,600(i) A43 AAA (sf) 185,269,600 AX43 AAA (sf) 185,269,600(i) A51 AAA (sf) 46,317,400 AX51 AAA (sf) 46,317,400(i) A52 AAA (sf) 46,317,400 AX52 AAA (sf) 46,317,400(i) A53 AAA (sf) 46,317,400 AX53 AAA (sf) 46,317,400(i) A61 AAA (sf) 34,738,050 AX61 AAA (sf) 34,738,050(i) A62 AAA (sf) 34,738,050 AX62 AAA (sf) 34,738,050(i) A63 AAA (sf) 34,738,050 AX63 AAA (sf) 34,738,050(i) A71 AAA (sf) 11,579,350 AX71 AAA (sf) 11,579,350(i) A72 AAA (sf) 11,579,350 AX72 AAA (sf) 11,579,350(i) A73 AAA (sf) 11,579,350 AX73 AAA (sf) 11,579,350(i) AX AA (sf) 62,851,000(i) B1 AA- (sf) 3,039,000 BX1 AA- (sf) 3,039,000(i) B2 A- (sf) 9,553,000 BX2 A- (sf) 9,553,000(i) B3 BBB- (sf) 5,935,000 B4 BB- (sf) 3,618,000 B5 B- (sf) 2,461,000 B6 NR 2,026,839 XS NR 89,483,839(i) R NR N/A LT-R NR N/A (i)Notional balance. NR--Not rated. N/A--Not applicable. GS MORTGAGE 2019-GC40: Fitch Rates $8.8MM Class G-RR Debt 'B-sf' ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to GS Mortgage Securities Trust 2019-GC40 commercial mortgage pass-through certificates, Series 2019-GC40: -- $16,403,000 class A-1 'AAAsf'; Outlook Stable; -- $131,938,000 class A-2 'AAAsf'; Outlook Stable; -- $191,600,000 class A-3 'AAAsf'; Outlook Stable; -- $251,415,000 class A-4 'AAAsf'; Outlook Stable; -- $24,636,000 class A-AB 'AAAsf'; Outlook Stable; -- $714,991,000a class X-A 'AAAsf'; Outlook Stable; -- $76,999,000a class X-B 'A-sf'; Outlook Stable; -- $98,999,000 class A-S 'AAAsf'; Outlook Stable; -- $41,799,000 class B 'AA-sf'; Outlook Stable; -- $35,200,000 class C 'A-sf'; Outlook Stable; -- $19,800,000b class D 'BBBsf'; Outlook Stable; -- $36,299,000ab class X-D 'BBB-sf'; Outlook Stable; -- $16,499,000b class E 'BBB-sf'; Outlook Stable; -- $16,500,000b class F 'BB-sf'; Outlook Stable; -- $16,500,000ab class X-F 'BB-sf'; Outlook Stable; -- $8,800,000bc class G-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: -- $26,400,274bc class H-RR; -- $34,190,317bd class Pooled VRR Interest -- The transaction includes eight classes of non-offered, loan-specific certificates (non-pooled rake classes) related to the loans for Diamondback Industrial Portfolio I and Diamondback Industrial Portfolio II. Classes DB-A, DB-X, DB-B, DB-C, DB-D, DB-E, DB-F, and DB-RR Interest are all not rated by Fitch. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit-risk retention interest. (d) Vertical credit-risk retention interest. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 35 loans secured by 44 commercial properties having an aggregate principal balance of $914,179,590 as of the cut-off date. The loans were contributed to the trust by Goldman Sachs Mortgage Securities, Citi Real Estate Funding Inc. and German American Capital Corporation. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 74.2% of the properties by balance, cash flow analysis of 86.4% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch leverage is better compared with other recent Fitch-rated, fixed-rate, multiborrower transactions. The pool's Fitch DSCR of 1.24x is better than the YTD 2019 and 2018 averages of 1.22x. The pool's Fitch LTV of 92.8% is significantly better than the YTD 2019 and 2018 averages of 101.5% and 102.0%, respectively. Excluding investment-grade credit opinion loans, the pool has a Fitch DSCR and LTV of 1.16x and 108.2%, respectively. Investment-Grade Credit Opinion Loans: Six loans, representing 34.8% of the pool, have investment-grade credit opinions. This is significantly above the YTD 2019 and 2018 averages of 12.7% and 13.6%, respectively. ARC Apartments (3.8% of the pool) received a credit opinion of 'A-sf'* on a standalone basis. Diamondback Industrial Portfolio 2 (8.5% of the pool), 101 California Street (7.9% of the pool), Moffett Towers II Building V (6.8% of the pool), Newport Corporate Center (5.5% of the pool) and Diamondback Industrial Portfolio 1 (2.2% of the pool) each received standalone credit opinions of 'BBB-sf'*. Limited Amortization: There are 23 loans that are full interest only (74.4% of the pool), six loans (8.5%) that are partial interest only and six loans (17.1%) that are amortizing balloon loans. Based on the scheduled balance at maturity, the pool will pay down by just 4.9%, which is below the YTD 2019 and 2018 averages of 6.0% and 7.2%, respectively. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 9.8% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the GSMS 2019-GC40 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'A+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. GS MORTGAGE 2019-PJ2: DBRS Assigns Prov. B Rating on Cl. B-5 Certs ------------------------------------------------------------------ DBRS, Inc. assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2019-PJ2 (the Certificates) to be issued by GS Mortgage-Backed Securities Trust 2019-PJ2 as follows: -- $451.0 million Class A-1 at AAA (sf) -- $451.0 million Class A-2 at AAA (sf) -- $44.8 million Class A-3 at AAA (sf) -- $44.8 million Class A-4 at AAA (sf) -- $338.3 million Class A-5 at AAA (sf) -- $338.3 million Class A-6 at AAA (sf) -- $112.8 million Class A-7 at AAA (sf) -- $112.8 million Class A-8 at AAA (sf) -- $495.9 million Class A-9 at AAA (sf) -- $495.9 million Class A-10 at AAA (sf) -- $495.9 million Class A-X-1 at AAA (sf) -- $44.8 million Class A-X-3 at AAA (sf) -- $338.3 million Class A-X-5 at AAA (sf) -- $112.8 million Class A-X-7 at AAA (sf) -- $9.3 million Class B-1 at AA (sf) -- $9.0 million Class B-2 at A (sf) -- $8.0 million Class B-3 at BBB (sf) -- $4.5 million Class B-4 at BB (sf) -- $1.6 million Class B-5 at B (sf) Classes A-X-1, A-X-3, A-X-5, and A-X-7 are interest-only certificates. The class balances represent notional amounts. Classes A-1, A-2, A-4, A-6, A-8, A-9 and A-10 are exchangeable certificates. These classes can be exchanged for a combination of exchange certificates as specified in the offering documents. Classes A-1, A-2, A-5, A-6, A-7 and A-8 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-3 and A-4) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 6.55% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 4.80%, 3.10%, 1.60%, 0.75% and 0.45% 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 prime, first-lien, fixed-rate residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 791 loans with a total principal balance of $530,631,934 as of the Cut-Off Date (July 1, 2019). The originators for the mortgage pool are Flagstar Bank, FSB (52.8%), loanDepot.com, LLC (18.8%) and various other originators, each comprising less than 10.0% of the mortgage loans. Goldman Sachs Mortgage Company is the Sponsor and the Mortgage Loan Seller of the transaction. NewRez LLC doing business as Shellpoint Mortgage Servicing will service all mortgage loans within the pool. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. U.S. Bank Trust National Association will serve as Delaware Trustee. Pentalpha Surveillance LLC will serve as the representations and warranties (R&W) File Reviewer. The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average (WA) loan age of eight months. Approximately 16.3% of the pool is conforming, high-balance mortgage loans that were primarily underwritten by Caliber Home Loans, Inc. (9.9% of the aggregate pool) and Homebridge Financial Services Inc. (7.2% of the aggregate pool) using an automated underwriting system designated by Fannie Mae or Freddie Mac and was eligible for purchase by such agencies. The remaining 83.7% of the pool are traditional, non-agency, prime jumbo mortgage loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related presale report. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, some unrated R&W providers, knowledge qualifiers and sunset provisions that allow for certain R&Ws to expire within three to five years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS reduced the originator scores in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. Notes: All figures are in U.S. dollars unless otherwise noted. GS MORTGAGE 2019-PJ2: Moody's Assigns (P)B3 Rating on Cl. B-5 Debt ------------------------------------------------------------------ Moody's Investors Service assigned provisional ratings to 15 classes of residential mortgage-backed securities issued by GS Mortgage-Backed Securities Trust 2019-PJ2. The ratings range from (P)Aaa (sf) to (P)B3 (sf). GSMBS 2019-PJ2 is the second prime jumbo transaction of 2019 issued by Goldman Sachs Mortgage Company. GSMC is a wholly owned subsidiary of Goldman Sachs Bank USA and Goldman Sachs. The certificates are backed by 791 30-year (one 20-year), fully-amortizing fixed-rate mortgage loans with a total balance of $530,631,934 as of the July 1, 2019 cut-off date. GSE eligible loans comprise $86,398,460 of the pool balance, representing 16.28% of the total pool. All the loans are subject to the Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules and are categorized as Higher Priced QM-Agency (1 loan or 0.11% by loan balance), QM-Safe Harbor or QM-Agency Safe Harbor. The mortgage loans for this transaction were acquired by the seller and sponsor, GSMC, from Flagstar Bank, FSB (Flagstar) (52.78%), loanDepot.com, LLC (loanDepot) (18.76%), Caliber Home Loans, Inc. (Caliber) (9.93%), Homebridge Financial Services Inc. (7.16%), Pentagon Federal Credit Union (PenFed) (5.54%), Fifth Third Bank (3.01%), Angel Oak Home Loans (2.01%) and Provident Funding Associates, L.P. (Provident) (0.82%), (by loan balance of the pool). The weighted average (WA) loan-to-value (LTV) ratio of the mortgage pool is 72.28%, which is in line with the previous GS Mortgage-Backed Securities Trust 2019-PJ1 (GSMBS 2019-PJ1) transaction and also with other prime jumbo J.P. Morgan Mortgage Trust (JPMMT) and Sequoia Mortgage Trust (SEMT) transactions which had WA LTVs of approximately 70%. Similar to GSMBS 2019-PJ1, JPMMT and SEMT prime jumbo transactions, the borrowers in the pool have a WA FICO score of 767 and a WA debt-to-income ratio of 35.32%. The WA mortgage rate of the pool is 4.79%. In addition, 19 loans in the pool have mortgage insurance. Certain loan characteristics may differ from the data provided by GSMC because the calculations reflect its assumptions or adjustments based either on third-party review results or other information provided. NewRez LLC (formerly known as New Penn Financial, LLC) d/b/a Shellpoint Mortgage Servicing (Shellpoint) will service 100% of the pool. The servicing fee for loans serviced by Shellpoint will be 0.030%. Moody's considers the servicing fee charged by Shellpoint low compared to the industry standard of 0.25% for prime fixed rate loans and in the event of a servicing transfer, the successor servicer may not accept such an arrangement. However, the transaction documents provide that any successor servicer to Shellpoint will be paid the successor servicing fee rate of 0.25%, which is not limited to the Shellpoint servicing fee rate. Wells Fargo Bank, N.A. (Wells Fargo) will be the master servicer and securities administrator. U.S. Bank Trust National Association will be the trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure that benefits from a senior and subordination floor. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2019-PJ2 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aa1 (sf) Cl. A-4, Assigned (P)Aa1 (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. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba2 (sf) Cl. B-5, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.45% in a base scenario and reaches 5.75% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Its final loss estimates also incorporate adjustments for origination quality and overall Representation & Warranty (R&W) framework. Its ratings on the certificates take into consideration the credit quality of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the strength of the third party due diligence and the representations and warranties (R&W) framework of the transaction. Collateral Description GSMBS 2019-PJ2 is a securitization of a pool of 790 30-year (one 20-year), fully-amortizing fixed-rate mortgage loans with a total balance of $530,631,934 as of the cut-off date, with a WA remaining term to maturity of 353 months and a WA seasoning of 7 months. The WA current FICO score of the borrowers in the pool is 767. The WA LTV ratio of the mortgage pool is 72.28%, which is in line with GSMBS 2019-PJ1 and JPMMT and SEMT prime jumbo transactions which had WA LTVs of about 70% on average. Other characteristics of the loans in the pool are also generally comparable to that of GSMBS 2019-PJ1 and recent JPMMT and SEMT prime jumbo transactions. The mortgage loans in the pool were originated mostly in California (37.60% by loan balance). In addition, 19 loans in the pool have mortgage insurance. Aggregator/Origination Quality Moody's considers GSMC's aggregation platform to be weaker than that of peers due to the lack of historical performance and limited quality control process. Nevertheless, since these loans were originated to the originators' underwriting guidelines and Moody's reviewed each of the originators which contributed at least 10% of the loans to the transaction (Flagstar and loanDepot), among other considerations, their underwriting guidelines, performance history, policies and documentation (where available), Moody's did not apply a separate loss-level adjustment for aggregation quality. Instead, Moody's based its loss-level adjustments on its reviews of each of the originators. Furthermore, because Moody's considers Provident and Caliber to have stronger residential prime jumbo loan origination practices than their peers due to their strong underwriting processes and solid loan performance, Moody's decreased its base case and Aaa (sf) loss expectations for non-conforming loans originated by Provident and Caliber. Moody's considers Flagstar, LoanDepot and PenFed adequate originators of prime jumbo loans. As a result, Moody's did not make any adjustments to its loss levels for these loans. Moody's did not make an adjustment for GSE-eligible loans, regardless of the originator, since those loans were underwritten in accordance with GSE guidelines. Flagstar, loanDepot, Caliber, Homebridge Financial Services Inc., PenFed, Fifth Third Bank, Angel Oak Home Loans and Provident originated approximately 52.78%, 18.76%, 9.93%, 7.16%, 5.54%, 3.01%, 2.01% and 0.82% of the mortgage loans (by balance) in the pool, respectively. Servicing Arrangement Shellpoint will be the named primary servicer for this transaction and will service 100% of the pool. Shellpoint will be paid a flat servicing fee of 0.030% per annum. Moody's considers the servicing fee charged by Shellpoint as low compared to the industry standard of 0.25% for prime fixed rate loans. In the event of a servicing transfer, the successor servicer may not accept such an arrangement. However, the transaction documents provide that any successor servicer to Shellpoint will be paid the successor servicing fee rate of 0.25%, which is not limited to the Shellpoint servicing fee rate. Third-party Review AMC Diligence, LLC (AMC), Clayton Services LLC (Clayton) and Digital Risk, LLC (Digital Risk), which are third party review (TPR) firms, verified the accuracy of the loan-level information that Moody's received from the sponsor. The TPR firms conducted detailed credit, regulatory compliance, property valuation and data integrity reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for the vast majority of loans, no material compliance issues and no appraisal defects. The loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as significant liquid assets, low LTVs and consistent long-term employment. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then were cured and disclosed. Moody's did not make any adjustments to its expected or Aaa (sf) loss levels due to the TPR results. Representations & Warranties GSMBS 2019-PJ2's R&W framework is in line with that of recent GSMBS 2019-PJ1 and JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Its review of the R&W framework takes into account the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. Pursuant to the related purchase agreement, each of the originators in this pool will make certain R&Ws concerning the mortgage loans (R&W providers). The R&W providers vary in financial strength. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. Because the R&W providers are unrated and/or exhibit limited financial flexibility Moody's applied an adjustment to the loans for which these entities provided R&Ws, with an exception of Fifth Third Bank, which Moody's considers to be a highly rated entity (rated A3). With respect to certain R&Ws made by these originators, GSMC will make a "gap" representation covering the period from the date on which the related originator made the related representation and warranty to the cut-off date or closing date, as applicable. GSMC will not backstop any R&W providers who may become financially incapable of repurchasing mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's 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 the mortgage. The transaction has a number of knowledge qualifiers, which do not appear material. While a few R&Ws sunset after three years, all of these provisions are subject to performance triggers which extend the R&W an additional three years based on the occurrence of certain events of delinquency. The R&W enforcement mechanisms are adequate. Moody's analyzed the triggers for breach review, the scope of the review, the consistency and transparency of the review, and the likelihood that a breached R&W would be put back to the R&W provider. The breach review is systematic, transparent, consistent and independent. The transaction documents prescribe a comprehensive set of tests that the reviewer will perform to test whether the R&Ws are breached. The tests, for the most part, are thorough, transparent and consistent because the same tests will be performed for each loan and the reviewer will report the results. Of note, in accordance with the representations and warranties review procedures undertaken by the breach reviewer, if the breach reviewer determines that there has been a material test failure of a test in respect of a representation and warranty, a repurchase request will be made of the related responsible party. In such case, the related responsible party may (1) dispute the repurchase request, (2) cure the breach, (3) repurchase the affected mortgage loan from the issuing entity or pay the loss amount with respect to such affected mortgage loan, as applicable, or (4) in some circumstances, substitute another mortgage loan. While GSMBS 2019-PJ1 did not have the aforementioned loan substitution option as an available remedy for certain representation and warranty violations, this remedy mechanism is consistent with JPMMT and SEMT prime jumbo transactions. Because third-party review was conducted on 100% of the pool with adequate results, this mitigates the risk of future R&W violations. Trustee and Master Servicer The transaction trustee is U.S. Bank Trust National Association. The custodian, paying agent, and cash management functions will be performed by Wells Fargo Bank. In addition, as master servicer, Wells Fargo is responsible for servicer oversight, the termination of servicers and the appointment of successor servicers. Moody's considers the presence of an experienced master servicer such as Wells Fargo to be a mitigant for any servicing disruptions. Wells Fargo is committed to act as successor servicer if no other successor servicer can be engaged. Tail Risk and Locked Out Percentage The securitization is a single pool which has a shifting interest structure that benefits from a senior subordination floor and a subordinate floor. For deals in which the issuer does not exercise a clean-up call option, the remaining subordination at the tail end of transaction's life could become insufficient to support high ratings on senior bonds as tranche performance depends highly on the performance of a small number of loans. To address this risk, the transaction has a senior floor of 1.10% and a locked out percentage of 0.85%, both expressed as a percentage of the closing pool balance. The subordinate locked out amount protects both the senior tranches and non-locked subordinate tranches. It diverts allocable principal payments from locked out subordinate tranches to the non-locked subordinate tranches. Of note, other than the Class B1, a subordinate tranche is locked out if its outstanding balance plus the outstanding balance of all classes subordinate to it. Class B1 will not be subject to the locked out amount. If the Class B1 is paid to zero and the aggregate amount of outstanding subordinate tranches is equal to or less than the locked out amount, than the allocable principal payments from all subordinate tranches are diverted to pay senior tranches until they are paid off. Transaction Structure The transaction uses the shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bond have been reduced to zero, i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. JP MORGAN 2019-LTV2: DBRS Assigns Prov. B Rating on B-5 Certs ------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage Pass-Through Certificates, Series 2019-LTV2 (the Certificates) to be issued by J.P. Morgan Mortgage Trust 2019-LTV2: -- $339.0 million Class A-1 at AAA (sf) -- $308.2 million Class A-2 at AAA (sf) -- $200.3 million Class A-3 at AAA (sf) -- $150.3 million Class A-4 at AAA (sf) -- $50.1 million Class A-5 at AAA (sf) -- $125.2 million Class A-6 at AAA (sf) -- $75.2 million Class A-7 at AAA (sf) -- $25.1 million Class A-8 at AAA (sf) -- $35.0 million Class A-9 at AAA (sf) -- $15.1 million Class A-10 at AAA (sf) -- $107.9 million Class A-11 at AAA (sf) -- $107.9million Class A-11-X at AAA (sf) -- $107.9 million Class A-12 at AAA (sf) -- $107.9 million Class A-13 at AAA (sf) -- $30.8 million Class A-14 at AAA (sf) -- $30.8 million Class A-15 at AAA (sf) -- $220.4 million Class A-16 at AAA (sf) -- $118.7 million Class A-17 at AAA (sf) -- $240.4 million Class A-18 at AAA (sf) -- $308.2 million Class A-19 at AAA (sf) -- $339.0 million Class A-X-1 at AAA (sf) -- $339.0 million Class A-X-2 at AAA (sf) -- $107.9 million Class A-X-3 at AAA (sf) -- $30.8 million Class A-X-4 at AAA (sf) -- $308.2 million Class A-X-5 at AAA (sf) -- $11.9 million Class B-1 at AA (sf) -- $11.2 million Class B-2 at A (sf) -- $9.2 million Class B-3 at BBB (sf) -- $7.1 million Class B-4 at BB (sf) -- $1.7 million Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5 and A-11-X are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-12, A-13, A-14, A-16, A-17, A-18, A-19, A-X-2, A-X-3 and A-X-5 are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-18 and A-19 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 12.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 8.90%, 6.00%, 3.60%, 1.75% and 1.30% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Certificates are backed by 607 loans with a total principal balance of $385,276,468 as of the Cut-Off Date (July 1, 2019). Compared with other post-crisis prime pools, this portfolio consists of higher loan-to-value (LTV), fully amortizing fixed-rate mortgages with original terms to maturity of 30 years. The weighted-average original combined LTV (CLTV) for the portfolio is 87.9%, and almost the entire pool (99.3%) comprises loans with current CLTV ratios greater than 79.0%. The high LTV attribute of this portfolio is mitigated by certain strengths, such as high FICO scores, a low debt-to-income ratio, and robust income and reserves, as well as other strengths detailed in the Key Probability of Default Drivers section of the report. The mortgage loans were originated by United Shore Financial Services (77.1%) and various other originators, each comprising less than 5.0% of the mortgage loans. Approximately 3.28% of the loans sold to the mortgage loan seller were acquired by MAXEX Clearing LLC, which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators. The mortgage loans will be serviced or sub-serviced by Shellpoint Mortgage Servicing (SMS; 99.5%) and USAA Federal Savings Bank (0.5%). Servicing will be transferred from SMS to JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS) on the servicing transfer date (September 1, 2019, or a later date) as determined by the issuing entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by SMS (and subsequently serviced by JPMCB) is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS) will act as Securities Administrator and Delaware Trustee. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as Custodian. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. JP MORGAN 2019-LTV2: Moody's Gives (P)B3 Rating on Class B-5 Debt ----------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to 24 classes of residential mortgage-backed securities issued by J.P. Morgan Mortgage Trust 2019-LTV2. The ratings range from (P)Aaa (sf) to (P)B3 (sf). The certificates are backed by 607 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $385,276,468 as of the July 1, 2019 cut-off date. Conforming loans comprise only 0.5% of the pool balance. All the loans are subject to the Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules and are categorized as either QM-Safe Harbor or QM-Agency Safe Harbor. JPMMT 2019-LTV2 is the third JPMMT transaction with the LTV designation. The weighted average (WA) loan-to-value (LTV) ratio of the mortgage pool is approximately 88%, which is in line with those of the other JPMMT LTV transactions, but higher than those of previous JPMMT transactions which had WA LTVs of about 70% on average. United Shore Financial Services, LLC (United Shore) originated 77% of the mortgage loans by balance. The remaining originators each account for less than 5% of the aggregate principal balance of the loans in the pool. At closing, Shellpoint Mortgage Servicing (Shellpoint) and USAA Federal Savings Bank (USAA) will be the named servicers for approximately 99.5% and 0.5% of the aggregate stated unpaid principal balance of the pool, respectively. Shellpoint will be an interim servicer from the closing date until the servicing transfer date, which is expected to occur on or about September 1, 2019. After the servicing transfer date, JPMorgan Chase Bank, N.A. (Chase) will assume servicing responsibilities for the mortgage loans previously serviced by Shellpoint. The servicing fee for loans serviced by Shellpoint and Chase will be based on a step-up incentive fee structure with a $20 base servicing fee and additional fees for servicing delinquent and defaulted loans. Nationstar Mortgage LLC (Nationstar) will be the master servicer and Citibank, N.A. (Citibank) will be the securities administrator and Delaware trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure that benefits from senior and subordination floors. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2019-LTV2 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)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aa1 (sf) Cl. A-15, Assigned (P)Aa1 (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A2 (sf) Cl. B-3, Assigned (P)Baa2 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 1.10% in a base scenario and reaches 12.10% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default based on borrower debt-to-income ratios (DTIs), borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. The losses also include adjustments for borrower and geographic concentration. Its final loss estimates incorporate adjustments for origination quality and the financial strength of representation & warranty (R&W) providers. Moody's bases its provisional ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its evaluation of the origination quality and servicing arrangement, the strength of the third-party due diligence and the R&W framework of the transaction. Collateral Description JPMMT 2019-LTV2 is a securitization of a pool of 607 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $385,276,468 as of the cut-off date, with a WA remaining term to maturity of 356 months and a WA seasoning of 4 months. The WA current FICO score of the borrowers in the pool is 759. The WA LTV ratio of the mortgage pool is 88%, which is in line with those of the other JPMMT LTV transactions, but higher than those of previous JPMMT transactions which had WA LTVs of about 70% on average. All loans have LTVs of between 80% and 90%, and about 74% of the loans by balance have LTVs greater than 85%. None of the loans in the pool have mortgage insurance. Consistent with previous JPMMT transactions, the borrowers in the pool have a WA FICO score of 759 and a WA debt-to-income ratio of 35%. The WA mortgage rate of the pool is 4.9%. The mortgage loans in the pool were originated mostly in California (approximately 33% by loan balance). United Shore originated 77% of the mortgage loans by balance. The remaining originators each account for less than 5% of the aggregate principal balance of the loans in the pool. About 75% of the mortgage pool was originated under United Shore's High Balance Nationwide program, in which, using the Desktop Underwriter (DU) automated underwriting system, loans are underwritten to Fannie Mae guidelines with overlays. The loans receive a DU Approve Ineligible feedback due to the loan amount exceeding the GSE limit for certain markets. Servicing Arrangement At closing, Shellpoint and USAA will be the named servicers for 99.5% and 0.5% of the aggregate stated unpaid principal balance of the pool, respectively. Shellpoint will be an interim servicer from the closing date until the servicing transfer date, which is expected to occur on or about September 1, 2019. Chase will assume servicing responsibilities for the mortgage loans previously serviced by Shellpoint. Nationstar will be the master servicer. Moody's considers the overall servicing arrangement for this pool to be adequate given the servicers' extensive experience and capabilities, as well as the presence of an experienced master servicer to oversee the servicers. Servicing Fee Framework The servicing fee for loans serviced by Shellpoint and Chase will be based on a step-up incentive fee structure with a monthly base fee of $20 per loan and additional fees for servicing delinquent and defaulted loans. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor-intensive. The fee-for-service compensation is reasonable and adequate for this transaction because it better aligns the servicer's costs with the deal's performance. Furthermore, higher fees for the more labor-intensive tasks make the transfer of these loans to another servicer easier, should that become necessary. By contrast, in typical RMBS transactions a servicer can take actions, such as modifications and prolonged workouts, that increase the value of its mortgage servicing rights. The incentive structure includes an initial monthly base servicing fee of $20 for all performing loans and increases according to the delinquent and incentive fee schedules. The delinquent and incentive servicing fees will be deducted from the available distribution amount and Class B-6 net WAC. The Class B-6 is first in line to absorb any increase in servicing costs above the base servicing fee. Once the Class B-6 is written off, the Class B-5 will absorb any increase in servicing costs. The transaction does not have a servicing fee cap, so, in the event of a servicer replacement, any increase in the base servicing fee beyond the current fee will be paid out of the available distribution amount. Third-party Review and Reps & Warranties Three third-party review (TPR) firms verified the accuracy of the loan-level information that Moody's received from the sponsor. These firms conducted detailed credit, regulatory compliance and data integrity reviews on 100% of the mortgage pool. The property valuation portion of the TPR was conducted on a sample of 316 non-conforming loans out of 603 non-conforming loans using a third-party collateral desk appraisal (CDA), broker price opinion (BPO) or automated valuation model (AVM). A CDA, BPO or AVM was not provided for the remaining 287 loans (about 45% of the aggregate pool balance) because these loans were originated under United Shore's High Balance Nationwide program and had a Collateral Underwriter (CU) risk score less than or equal to 2.5. Moody's considers the use of Collateral Underwriter for non-conforming loans to be credit negative due to (1) the lack of human intervention which increases the likelihood of missing emerging risk trends, (2) the limited track record of the software and limited transparency into the model and (3) GSE focus on non-jumbo loans which may lower reliability on jumbo loan appraisals. However, Moody's did not apply an adjustment to the loss for such loans since the sample size and valuation result of the loans that were reviewed using a third-party valuation product were sufficient, and the original appraisal balances for such loans (average of approximately $698,000) were not significantly higher than that of appraisal values for GSE-eligible loans. In addition, there were 55 loans for which the original appraisal was evaluated using only an AVM. Moody's applied an adjustment to the loss for such loans, since Moody's considers AVM valuations to be less accurate than desk reviews and field reviews. Moody's considers the use of AVM valuations to be credit negative due to inherent data limitations that could adversely impact the reliability of AVM results. The TPR results indicated compliance with the originators' underwriting guidelines for most loans, no material compliance issues, and no appraisal defects. The loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then were cured and disclosed. Moody's did not make any adjustments to its expected or Aaa (sf) loss levels due to the TPR results for compliance and credit. JPMMT 2019-LTV2's R&W framework is in line with that of other JPMMT transactions where an independent reviewer is named at closing, and the costs and manner of review are clearly outlined at issuance. Its review of the R&W framework considers the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. The R&W providers vary in financial strength. Moody's made no adjustments to the loans for which JPMMAC (an affiliate of JPMorgan Chase Bank, N.A. which is rated Aa2) and USAA (a subsidiary of USAA Capital Corporation which is rated Aa1) provided R&Ws since they are affiliates of highly rated entities. In contrast, the rest of the R&W providers are unrated and/or financially weaker entities and Moody's applied an adjustment to the loans for which these entities provided R&Ws. JPMMAC will not backstop any R&W providers who may become financially incapable of repurchasing mortgage loans. For loans that JPMMAC acquired via the MaxEx platform, MaxEx under the assignment, assumption and recognition agreement with JPMMAC, will make the R&Ws. The R&Ws provided by MaxEx to JPMMAC and assigned to the trust are in line with the R&Ws found in the JPMMT transactions. Five Oaks Acquisition Corp. will backstop the obligations of MaxEx with respect to breaches of the mortgage loan representations and warranties made by MaxEx for 5.82% of the mortgage loans acquired via the MaxEx platform. Other Transaction Parties The Delaware trustee and securities administrator is Citibank. The custodian is Wells Fargo Bank, N.A. As master servicer, Nationstar is responsible for servicer oversight, the termination of servicers and the appointment of successor servicers. Nationstar is committed to act as successor servicer if no other successor servicer can be engaged. Transaction Structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bond have been reduced to zero, i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. If there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. Tail Risk & Subordination Floor This deal has a standard shifting interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 1.75% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 12.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than approximately 1.30% of the original pool balance, those tranches do not receive principal distributions. Principal those tranches would have received are directed to pay more senior subordinate bonds pro-rata. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. KEYCORP STUDENT 2004-A: Fitch Affirms CC Rating on Class II-D Debt ------------------------------------------------------------------ Fitch Ratings has taken the following rating actions on the Keycorp Student Loan Trust (KSLT) 2004-A (Grp. II), 2005-A (Grp II) and 2006-A (Grp. II). The upgrades for the senior notes are based on stable performance and sufficient credit enhancement. KeyCorp Student Loan Trust 2004-A (Group II) Class II-C LT AAsf Upgrade; A+sf Class II-D LT CCsf Affirmed; CCsf KeyCorp Student Loan Trust 2005-A (Group II) Class II-B LT AAsf Upgrade; AA-sf Class II-C LT Bsf Affirmed; Bsf KeyCorp Student Loan Trust 2006-A (Group II) Class II-B LT AAsf Upgrade; Asf Class II-C LT CCsf Affirmed; CCsf KEY RATING DRIVERS Collateral Performance: The trust is collateralized by private student loans originated by KeyBank N.A. Fitch assumes a base case default rate of 10.5% for all transactions and the base case default rate implies a sustainable CDR of 2.75%. Default multiples of 2.8x, 3.1x and 2.5x were applied at 'A+sf' for 2004-A, 'AA-sf' for 2005-A, and 'Asf' for 2006-A, respectively. Fitch assumes a base case recovery rate of 12% based on transaction data provided by the issuer. Payment Structure: KSLT 2004-A and 2006-A are undercollateralized and each trust can receive excess spread from the respective Group I pool consisting of FFELP loans. For the most recent distribution, 2004-A and 2006-A received excess spread from their Group I pool. Senior notes benefit from subordination of junior notes andtotal parity as of the most recent distribution was approximately 94.6% for 2004-A, 101% for 2005-A and 96.2% for 2006-A. Liquidity support is provided by reserve accounts of $4.2 million, $3.4 million and $4.7 million for 2004-A, 2005-A and 2006-A, respectively. Operational Capabilities: Day-to-day servicing is provided by KeyBank, NA (master servicer), Pennsylvania Higher Education Assistance Agency (sub-servicer), and Nelnet Inc. Fitch believes all servicers are acceptable servicers of student loans due to their long servicing history. KEYCORP STUDENT 2004-A: Fitch Affirms CC Rating on Class II-D Notes ------------------------------------------------------------------- Fitch Ratings has taken the following rating actions on the Keycorp Student Loan Trust (KSLT) 2004-A (Grp. II), 2005-A (Grp II) and 2006-A (Grp. II). The upgrades for the senior notes are based on stable performance and sufficient credit enhancement. KeyCorp Student Loan Trust 2004-A (Group II) Class II-C LT AAsf Upgrade; A+sf Class II-D LT CCsf Affirmed; CCsf KeyCorp Student Loan Trust 2005-A (Group II) Class II-B LT AAsf Upgrade; AA-sf Class II-C LT Bsf Affirmed; Bsf KeyCorp Student Loan Trust 2006-A (Group II) Class II-B LT AAsf Upgrade; Asf Class II-C LT CCsf Affirmed; CCsf KEY RATING DRIVERS Collateral Performance: The trust is collateralized by private student loans originated by KeyBank N.A. Fitch assumes a base case default rate of 10.5% for all transactions and the base case default rate implies a sustainable CDR of 2.75%. Default multiples of 2.8x, 3.1x and 2.5x were applied at 'A+sf' for 2004-A, 'AA-sf' for 2005-A, and 'Asf' for 2006-A, respectively. Fitch assumes a base case recovery rate of 12% based on transaction data provided by the issuer. Payment Structure: KSLT 2004-A and 2006-A are undercollateralized and each trust can receive excess spread from the respective Group I pool consisting of FFELP loans. For the most recent distribution, 2004-A and 2006-A received excess spread from their Group I pool. Senior notes benefit from subordination of junior notes andtotal parity as of the most recent distribution was approximately 94.6% for 2004-A, 101% for 2005-A and 96.2% for 2006-A. Liquidity support is provided by reserve accounts of $4.2 million, $3.4 million and $4.7 million for 2004-A, 2005-A and 2006-A, respectively. Operational Capabilities: Day-to-day servicing is provided by KeyBank, NA (master servicer), Pennsylvania Higher Education Assistance Agency (sub-servicer), and Nelnet Inc. Fitch believes all servicers are acceptable servicers of student loans due to their long servicing history. KKR CLO 26: Moody's Assigns (P)Ba3 Rating on $29.7MM Class E Notes ------------------------------------------------------------------ Moody's Investors Service assigned provisional ratings to five classes of notes to be issued by KKR CLO 26 Ltd. Moody's rating action is as follows: US$310,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$48,000,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$25,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned (P)A2 (sf) US$30,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$29,700,000 Class E Senior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class A-1 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE The rationale for the ratings is based on a consideration of the risks associated with the CLO's portfolio and structure as described in its methodology. KKR CLO 26 is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 75% ramped as of the closing date. KKR Financial Advisors II, LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's 5.2 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 will issue one other class of secured notes and 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): 3000 Weighted Average Spread (WAS): 3.35% Weighted Average Coupon (WAC): 7.5% Weighted Average Recovery Rate (WARR): 48.5% Weighted Average Life (WAL): 9.17 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. LTI HOLDINGS: Moody's Affirms B3 CFR, Outlook Stable ---------------------------------------------------- Moody's Investors Service affirmed the ratings of LTI Holdings, Inc. including: Corporate Family Rating -- B3; Probability of Default -- B3-PD; first-lien secured debt -- B2; and, second-lien secured debt -- Caa2. Moody's also assigned a B2 rating to the company's new $125 million first-lien term loan being issued to fund the acquisition of Lytron, Inc. RATINGS RATIONALE Boyd's ratings reflect its expectation that Boyd will maintain its competitive and profitable position in highly-engineered thermal management and environmental sealing products. Factors that support this position include: 1) strong relationships with key customers; 2) the broad geographic diversity of its customers and its manufacturing footprint; 3) the favorable long-term outlook for demand in the markets it serves; and, 4) its successful implementation of value creation initiatives. The rating also reflects the sound strategic fit of Lytron within Boyd's existing portfolio of businesses. Despite these strengths, Moody's believes that Boyd will maintain a highly leveraged capital structure, largely as a result of its appetite for debt-funded acquisitions. This is reflected in the all-debt funding of the Lytron transaction, which will likely result in Boyd's ratio of debt-to-EBITDA approximating 8x for 2019 (reflecting Moody's standard adjustments). Boyd's track record of improving the cost position of acquired businesses, combined with its high EBITDA margins and relatively reliable free cash generation, should enable the company to reduce leverage. However, Moody's expects that significant and sustained deleveraging is unlikely, with debt-to-EBITDA remaining in the mid-7x area. The risks associated with this level of leverage are somewhat mitigated by Boyd's strong business model and high EBITDA margins. Boyd faces the additional risk of trade tensions between the US and China. These risks include the prospect of a 25% tariff on products imported into the US from China, and potential restrictions on the sale of certain products. This risk is highlighted by certain customer concentrations. Moody's believes that Boyd has the ability to adequately contend with these risks. Key to this is the company's broad geographic manufacturing footprint, and the resulting ability to move production from China to other Asian facilities with minimal relocation cost. Factors that would support an upgrade of Boyd's rating include a financial strategy with run-rate leverage below the mid-6x level, a preservation of its existing core operating and competitive strengths, and the maintenance of EBITDA margins near current levels. The rating could be downgraded if Boyd is unable to contend with the pressures resulting from trade tensions, with a resulting erosion in contracts from major customers or a sustained step-down in EBITDA margins. The rating could also be pressured by debt-financed acquisitions if Moody's does not anticipate a rapid deleveraging following such transactions, with leverage returning to the mid-7x level. Boyd has adequate liquidity that is supported by an unused $125 million revolving credit facility, minimal debt maturities during the coming 18 months, and solid prospects for generating free cash flow. Assignments: Issuer: LTI Holdings, Inc. (Boyd) Senior Secured 1st Lien Bank Credit Facility, Assigned B2 (LGD3) Affirmations: Issuer: LTI Holdings, Inc. (Boyd) Probability of Default Rating, Affirmed B3-PD Corporate Family Rating, Affirmed B3 Senior Secured 1st Lien Bank Credit Facility, Affirmed B2 (LGD3) Senior Secured 2nd Lien Bank Credit Facility, Affirmed Caa2 (LGD6 from LGD5) Outlook Actions: Issuer: LTI Holdings, Inc. (Boyd) Outlook, Remains Stable The principal methodology used in these ratings was Global Manufacturing Companies published in June 2017. LTI Holdings, Inc. is a California-based manufacturer of precision products converted from engineered polymer and composite raw materials and supplier of engineered, specialty material-based energy management and sealing solutions. The Company maintains production facilities operating throughout the United States of America, Europe and Asia. Revenues for the last twelve months ended March 31, 2019 approached approximately $1 billion. MCF CLO V: S&P Assigns Prelim BB- (sf) Rating to Class E Notes -------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R, B-R, C-R, and D-R notes from MCF CLO V LLC, a collateralized loan obligation (CLO) originally issued in 2017 that is managed by Madison Capital Funding LLC. Based on a proposed supplemental indenture, this transaction is expected to refinance its class A, B, C, and D notes on July 22, 2019, through an optional redemption and new note issuance. The currently outstanding class E notes are unaffected by this proposed amendment. The preliminary ratings on the proposed refinancing notes reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. On the July 22, 2019, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. S&P said, "At that time, we anticipate withdrawing the ratings on the original refinanced notes, assigning ratings to the new notes, and affirming our rating on the class E notes. However, if the refinancing does not occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes." CASH FLOW ANALYSIS RESULTS Current date after proposed refinancing Class Amount Interest BDR SDR Cushion (mil. $) rate(%) (%) (%) (%) A-R 173.50 L + 1.55 75.69 69.65 6.05 B-R 25.00 L + 2.20 75.89 61.51 14.38 C-R 23.50 L + 3.20 71.77 54.92 16.85 D-R 18.00 L + 4.45 61.26 45.15 16.11 BDR--Break-even default rate. SDR--Scenario default rate. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating action as we deem necessary." PRELIMINARY RATINGS ASSIGNED MCF CLO V LLC Replacement class Rating Amount (mil. $) A-R AAA (sf) 173.50 B-R AA (sf) 25.00 C-R A (sf) 23.50 D-R BBB-(sf) 18.00 OTHER OUTSTANDING RATINGS MCF CLO V LLC Class Rating E BB- (sf) Subordinate notes NR NR--Not rated. MORGAN STANLEY 2016-C30: Fitch Affirms BB-sf Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2016-C30. MSBAM 2016-C30 Class A-1 LT AAAsf Affirmed; previously at AAAsf Class A-2 LT AAAsf Affirmed; previously at AAAsf Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-4 LT AAAsf Affirmed; previously at AAAsf Class A-5 LT AAAsf Affirmed; previously at AAAsf Class A-S LT AAAsf Affirmed; previously at AAAsf Class A-SB LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BB-sf Affirmed; previously at BB-sf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT AA-sf Affirmed; previously at AA-sf Class X-D LT BBB-sf Affirmed; previously at BBB-sf Class X-E LT BB-sf Affirmed; previously at BB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations are based on the overall stable performance and loss expectations of the pool with no material changes to pool metrics since issuance. One loan (0.5%) is specially serviced, and two non-specially serviced loans (3.4% of pool) were designated Fitch Loans of Concern (FLOCs) because of occupancy/performance declines. Specially Serviced Loan: Tinley Pointe Centre (0.5% of pool), secured by a 18,214 sf neighborhood retail center in Tinley Park, IL, transferred to special servicing in May 2019 for payment default. The property has experienced cash flow declines since issuance due to delinquent lease payments from the second largest tenant (17.3% NRA), which was subsequently evicted in mid 2018. The space remains vacant, and occupancy has fallen to 83% as of March 2019 from 100% at issuance. As a result, servicer-reported NOI DSCR declined to 0.56x as of YTD March 2019 from 1.37x at issuance. The servicer is in the process of determining a workout strategy. Fitch Loans of Concern: Simon Premium Outlets (2.7% of pool), secured by a portfolio of three outlet malls in Lee, MA, Gaffney, SC and Calhoun GA, was designated a FLOC due to occupancy declines. Portfolio occupancy declined to 83% at YE 2018 from 90% at YE 2017 and 94% at issuance. As of YTD September 2018, servicer-reported NOI DSCR was 2.75x. One additional loan (0.7%), outside of the top 30, was designated a FLOC due to performance concerns. Minimal Change to Credit Enhancement: As of the June 2019 distribution date, the pool's aggregate balance has been reduced by 1.7% to $870.7 million from $885.2 million at issuance. Based on the loans' scheduled maturity balances, the pool is expected to amortize 9.9% during the term. Ten loans (37.4% of pool) are full-term, interest-only and 22 loans (33.9%) have a partial-term, interest-only component. One loan (0.8%) is fully defeased. ADDITIONAL CONSIDERATIONS Pool Concentration: The top 10 loans make up 57% of the pool. Loans maturities are concentrated in 2027 (96.1%). One loan (0.2%) matures in 2020, one (0.5%) in 2021, two (1.5%) in 2023 and one (1.6%) in 2025. Retail Concentration/High Regional Mall Exposure: Twenty-two loans (41.2% of pool) are secured by retail properties, including one lifestyle center and two regional malls in the top five (23.5%). Easton Town Center (8.6%), the second largest loan in the pool, is secured by approximately 1.3 million sf of 1.8 million sf of retail, office and storage space, which is part of a larger lifestyle center comprised of an office, residential, hospitality and retail component. The property features Macy's and Nordstrom, which are both non-collateral, Lifetime Fitness, which is on a ground lease and AMC 30, which is collateral. Property performance remains stable. While recent tenant sales were not provided, YE 2017 in-line sales excluding Apple and Tesla were $512 psf. As of March 2019, collateral occupancy was 94.5%, and as of YE 2018, servicer-reported NOI DSCR was 1.95x. Briarwood Mall (8%), the third largest loan, is secured by approximately 370,000 sf of a one million sf regional mall located in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. Non-collateral Sears closed at the end of 2018 and remains vacant. Per servicer updates, the borrower is formulating a plan and there is strong interest in the space, which is owned by a Seritage/SPG joint venture. While recent tenant sales were not provided, YE 2017 in-line sales excluding Apple were $423 psf. As of YE 2018, collateral occupancy was 92.9% and servicer-reported NOI DSCR was 3.33x. Coconut Point (6.8%) is secured by approximately 840,000 sf of a 1.2 million sf regional mall located in Estero, FL, 20 miles from Fort Meyers. The mall benefits from strong anchor tenants including Super Target (non-collateral), Hollywood Theaters, TJ Maxx and Ross Dress for Less. Property performance remains stable. While recent tenant sales were not provided, YE 2017 in-line sales excluding Apple were $383 psf. As of March 2019, collateral occupancy was 89.4%, and as of YE 2018, servicer-reported NOI DSCR was 1.67x (based on fully amortizing principal and interest payments). Investment-Grade Credit Opinion Loans: Four loans (22.1% of pool), Vertex Pharmaceuticals (8.9%), Easton Town Center (8.6%), The Shops at Crystals (2.3%) and International Square (2.3%) received stand-alone investment-grade credit opinions of 'BBB-sf', 'A+sf', 'BBB+sf' and 'AA-sf' at issuance, respectively. MORGAN STANLEY 2019-H7: Fitch to Rate $8.4MM Cl. G-RR Debt 'B-' --------------------------------------------------------------- Fitch Ratings has issued a presale report on Morgan Stanley Capital I Trust 2019-H7 commercial mortgage pass-through certificates, series 2019-H7. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $19,200,000 class A-1 'AAAsf'; Outlook Stable; -- $29,900,000 class A-2 'AAAsf'; Outlook Stable; -- $26,600,000 class A-SB 'AAAsf'; Outlook Stable; -- $152,500,000c class A-3 'AAAsf'; Outlook Stable; -- $294,691,000c class A-4 'AAAsf'; Outlook Stable; -- $522,891,000b class X-A 'AAAsf'; Outlook Stable; -- $130,723,000b class X-B 'A-sf'; Outlook Stable; -- $62,560,000 class A-S 'AAAsf'; Outlook Stable; -- $33,614,000 class B 'AA-sf'; Outlook Stable; -- $34,549,000 class C 'A-sf'; Outlook Stable; -- $15,873,000abe class X-D 'BBBsf'; Outlook Stable; -- $15,873,000ae class D 'BBBsf'; Outlook Stable; -- $22,410,000ade class E-RR 'BBB-sf'; Outlook Stable; -- $17,741,000ad class F-RR 'BB-sf'; Outlook Stable; -- $8,403,000abd class G-RR 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $28,946,514ad class H-RR. (a) Privately placed and pursuant to Rule 144A. (b) Notional amount and interest-only. (c) The initial certificate balances of classes A-3 and A-4 are unknown and expected to be approximately $447,191,000 in aggregate. The expected class A-3 balance range is $100,000,000 to $205,000,000 and the expected class A-4 balance range is $242,191,000 to $347,191,000. The balances shown reflect the midpoint of the ranges. (d) Horizontal credit risk retention interest. (e) The initial certificate balance of each class of the class D and class E-RR certificates and the initial notional amount of the class X-D certificates are subject to change based on final pricing of all certificates and the final determination of the fair market value of the class E-RR, F-RR, G-RR and H-RR certificates. The expected ratings are based on information provided by the issuer as of July 7, 2019. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 53 loans secured by 81 commercial properties having an aggregate principal balance of $746,987,514 as of the cut-off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Argentic Real Estate Finance LLC, Starwood Mortgage Capital LLC and Cantor Commercial Real Estate Lending, L.P. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 69.1% of the properties by balance, cash flow analysis of 81.9% of the pool and asset summary reviews on 100.0% of the pool. KEY RATING DRIVERS High Fitch Leverage: The pool's Fitch loan-to-value (LTV) is 106.3%, which is above the 2018 and 2019 YTD average of 102.0% for other Fitch-rated multiborrower transactions. Additionally, the pool's Fitch debt service coverage ratio (DSCR) of 1.17x is lower than the 2018 and 2019 YTD averages of 1.22x and 1.21x, respectively. Investment-Grade Credit Opinion Loans: Three loans, representing 14.5% of the pool, received an investment-grade credit opinion on a stand-alone basis. This is above the 2018 and 2019 YTD averages of 13.6% and 12.7%, respectively. Net of these loans, the Fitch LTV and DSCR are 111.9% and 1.17x, respectively, for this transaction. Loans with investment-grade credit opinions include Shoppes at Grand Canal (9.4%), Tower 28 (3.5%), and 3 Columbus Circle (1.7%). Each of these loans received an investment-grade credit opinion of 'BBB-sf*'. Above-Average Pool Diversification: The pool is more diverse than recent Fitch-rated transactions. The largest 10 loans comprise 48.5% of the pool, which is lower than the average top 10 concentrations for 2018 and 2019 YTD of 52.0% and 50.6%, respectively. The concentration results in an LCI of 360, which is lower than the 2018 and 2019 YTD averages of 373 and 392, respectively. Additionally, the pool's SCI is lower than the 2018 average of 398 and 2019 YTD average of 412. NEW RESIDENTIAL 2019-3: DBRS Finalizes B Rating on 10 Tranches -------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2019-3 (the Notes) issued by New Residential Mortgage Loan Trust 2019-3 (NRMLT or the Trust): -- $336.3 million Class A-1 at AAA (sf) -- $336.3 million Class A-IO at AAA (sf) -- $336.3 million Class A-1A at AAA (sf) -- $336.3 million Class A-1B at AAA (sf) -- $336.3 million Class A-1C at AAA (sf) -- $336.3 million Class A1-IOA at AAA (sf) -- $336.3 million Class A1-IOB at AAA (sf) -- $336.3 million Class A1-IOC at AAA (sf) -- $352.1 million Class A-2 at AA (low) (sf) -- $336.3 million Class A at AAA (sf) -- $15.7 million Class B-1 at AA (low) (sf) -- $15.7 million Class B1-IO at AA (low) (sf) -- $15.7 million Class B-1A at AA (low) (sf) -- $15.7 million Class B-1B at AA (low) (sf) -- $15.7 million Class B-1C at AA (low) (sf) -- $15.7 million Class B-1D at AA (low) (sf) -- $15.7 million Class B1-IOA at AA (low) (sf) -- $15.7 million Class B1-IOB at AA (low) (sf) -- $15.7 million Class B1-IOC at AA (low) (sf) -- $10.1 million Class B-2 at A (low) (sf) -- $10.1 million Class B2-IO at A (low) (sf) -- $10.1 million Class B-2A at A (low) (sf) -- $10.1 million Class B-2B at A (low) (sf) -- $10.1 million Class B-2C at A (low) (sf) -- $10.1 million Class B-2D at A (low) (sf) -- $10.1 million Class B2-IOA at A (low) (sf) -- $10.1 million Class B2-IOB at A (low) (sf) -- $10.1 million Class B2-IOC at A (low) (sf) -- $7.0 million Class B-3 at BBB (low) (sf) -- $7.0 million Class B3-IO at BBB (low) (sf) -- $7.0 million Class B-3A at BBB (low) (sf) -- $7.0 million Class B-3B at BBB (low) (sf) -- $7.0 million Class B-3C at BBB (low) (sf) -- $7.0 million Class B-3D at BBB (low) (sf) -- $7.0 million Class B3-IOA at BBB (low) (sf) -- $7.0 million Class B3-IOB at BBB (low) (sf) -- $7.0 million Class B3-IOC at BBB (low) (sf) -- $4.3 million Class B-4 at BB (sf) -- $4.3 million Class B-4A at BB (sf) -- $4.3 million Class B-4B at BB (sf) -- $4.3 million Class B-4C at BB (sf) -- $4.3 million Class B4-IOA at BB (sf) -- $4.3 million Class B4-IOB at BB (sf) -- $4.3 million Class B4-IOC at BB (sf) -- $3.3 million Class B-5 at B (sf) -- $3.3 million Class B-5A at B (sf) -- $3.3 million Class B-5B at B (sf) -- $3.3 million Class B-5C at B (sf) -- $3.3 million Class B-5D at B (sf) -- $3.3 million Class B5-IOA at B (sf) -- $3.3 million Class B5-IOB at B (sf) -- $3.3 million Class B5-IOC at B (sf) -- $3.3 million Class B5-IOD at B (sf) -- $7.6 million Class B-7 at B (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC, and B5-IOD are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA, B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 13.50% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf) and B (sf) ratings reflect 9.45%, 6.85%, 5.05%, 3.95% and 3.10% 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 seasoned portfolio of performing and re-performing first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 3,143 loans with a total principal balance of $388,831,794 as of the Cut-off Date (June 1, 2019). The loans are significantly seasoned with a weighted-average age of 175 months. As of the Cut-off Date, 95.6% of the pool is current, 3.6% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 0.7% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 80.7% and 86.9% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 20.4% modified loans. The modifications happened more than two years ago for 90.3% of the modified loans. The entire pool is exempt from the Ability-to-Repay/Qualified Mortgage rules because of seasoning. The Seller, NRZ Sponsor V LLC (NRZ), acquired the loans prior to the Closing Date in connection with the termination of various securitization trusts. Upon acquiring the loans, NRZ, through an affiliate, New Residential Funding 2019-3 LLC, will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-off Date, 100.0% of the pool is serviced by Nationstar Mortgage LLC d/b/a Mr. Cooper Group Inc. (Nationstar). Nationstar will also act as the Master Servicer, and Shellpoint Mortgage Servicing, LLC will act as the Special Servicer. The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any real estate-owned property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-off Date. Unlike other seasoned re-performing loan securitizations, the Servicer in this transaction will advance principal and interest on delinquent mortgages to the extent that such advances are deemed to be recoverable. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets with significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historically, NRMLT securitizations have exhibited fast voluntary prepayment rates. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien and payment history. Updated Home Data Index and/or broker price opinions were provided for the pool; however, a reconciliation was not performed on the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes that the risk of impeding or delaying foreclosure is remote. Notes: All figures are in U.S. dollars unless otherwise noted. NEW RESIDENTIAL 2019-3: DBRS Gives Prov. B Rating on 10 Tranches ---------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following Mortgage-Backed Notes, Series 2019-3 (the Notes) to be issued by New Residential Mortgage Loan Trust 2019-3 (NRMLT or the Trust): -- $336.3 million Class A-1 at AAA (sf) -- $336.3 million Class A-IO at AAA (sf) -- $336.3 million Class A-1A at AAA (sf) -- $336.3 million Class A-1B at AAA (sf) -- $336.3 million Class A-1C at AAA (sf) -- $336.3 million Class A1-IOA at AAA (sf) -- $336.3 million Class A1-IOB at AAA (sf) -- $336.3 million Class A1-IOC at AAA (sf) -- $352.1 million Class A-2 at AA (low) (sf) -- $336.3 million Class A at AAA (sf) -- $15.7 million Class B-1 at AA (low) (sf) -- $15.7 million Class B1-IO at AA (low) (sf) -- $15.7 million Class B-1A at AA (low) (sf) -- $15.7 million Class B-1B at AA (low) (sf) -- $15.7 million Class B-1C at AA (low) (sf) -- $15.7 million Class B-1D at AA (low) (sf) -- $15.7 million Class B1-IOA at AA (low) (sf) -- $15.7 million Class B1-IOB at AA (low) (sf) -- $15.7 million Class B1-IOC at AA (low) (sf) -- $10.1 million Class B-2 at A (low) (sf) -- $10.1 million Class B2-IO at A (low) (sf) -- $10.1 million Class B-2A at A (low) (sf) -- $10.1 million Class B-2B at A (low) (sf) -- $10.1 million Class B-2C at A (low) (sf) -- $10.1 million Class B-2D at A (low) (sf) -- $10.1 million Class B2-IOA at A (low) (sf) -- $10.1 million Class B2-IOB at A (low) (sf) -- $10.1 million Class B2-IOC at A (low) (sf) -- $7.0 million Class B-3 at BBB (low) (sf) -- $7.0 million Class B3-IO at BBB (low) (sf) -- $7.0 million Class B-3A at BBB (low) (sf) -- $7.0 million Class B-3B at BBB (low) (sf) -- $7.0 million Class B-3C at BBB (low) (sf) -- $7.0 million Class B-3D at BBB (low) (sf) -- $7.0 million Class B3-IOA at BBB (low) (sf) -- $7.0 million Class B3-IOB at BBB (low) (sf) -- $7.0 million Class B3-IOC at BBB (low) (sf) -- $4.3 million Class B-4 at BB (sf) -- $4.3 million Class B-4A at BB (sf) -- $4.3 million Class B-4B at BB (sf) -- $4.3 million Class B-4C at BB (sf) -- $4.3 million Class B4-IOA at BB (sf) -- $4.3 million Class B4-IOB at BB (sf) -- $4.3 million Class B4-IOC at BB (sf) -- $3.3 million Class B-5 at B (sf) -- $3.3 million Class B-5A at B (sf) -- $3.3 million Class B-5B at B (sf) -- $3.3 million Class B-5C at B (sf) -- $3.3 million Class B-5D at B (sf) -- $3.3 million Class B5-IOA at B (sf) -- $3.3 million Class B5-IOB at B (sf) -- $3.3 million Class B5-IOC at B (sf) -- $3.3 million Class B5-IOD at B (sf) -- $7.6 million Class B-7 at B (sf) Classes A-IO, A1-IOA, A1-IOB, A1-IOC, B1-IO, B1-IOA, B1-IOB, B1-IOC, B2-IO, B2-IOA, B2-IOB, B2-IOC, B3-IO, B3-IOA, B3-IOB, B3-IOC, B4-IOA, B4-IOB, B4-IOC, B5-IOA, B5-IOB, B5-IOC, and B5-IOD are interest-only notes. The class balances represent notional amounts. Classes A-1A, A-1B, A-1C, A1-IOA, A1-IOB, A1-IOC, A-2, A, B-1A, B-1B, B-1C, B-1D, B1-IOA, B1-IOB, B1-IOC, B-2A, B-2B, B-2C, B-2D, B2-IOA, B2-IOB, B2-IOC, B-3A, B-3B, B-3C, B-3D, B3-IOA, B3-IOB, B3-IOC, B-4A, B-4B, B-4C, B4-IOA, B4-IOB, B4-IOC, B-5A, B-5B, B-5C, B-5D, B5-IOA, B5-IOB, B5-IOC, B5-IOD and B-7 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents. The AAA (sf) ratings on the Notes reflect the 13.50% of credit enhancement provided by subordinated notes in the pool. The AA (low) (sf), A (low) (sf), BBB (low) (sf), BB (sf) and B (sf) ratings reflect 9.45%, 6.85%, 5.05%, 3.95% and 3.10% 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 seasoned portfolio of performing and re-performing first-lien residential mortgages funded by the issuance of the Notes. The Notes are backed by 3,143 loans with a total principal balance of $388,831,794 as of the Cut-off Date (June 1, 2019). The loans are significantly seasoned with a weighted-average age of 175 months. As of the Cut-off Date, 95.6% of the pool is current, 3.6% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 0.7% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 80.7% and 86.9% of the mortgage loans have been zero times 30 days delinquent for the past 24 months and 12 months, respectively, under the MBA delinquency method. The portfolio contains 20.4% modified loans. The modifications happened more than two years ago for 90.3% of the modified loans. The entire pool is exempt from the Ability-to-Repay/Qualified Mortgage rules because of seasoning. The Seller, NRZ Sponsor V LLC (NRZ), acquired the loans prior to the Closing Date in connection with the termination of various securitization trusts. Upon acquiring the loans, NRZ, through an affiliate, New Residential Funding 2019-3 LLC, will contribute the loans to the Trust. As the Sponsor, New Residential Investment Corp., through a majority-owned affiliate, will acquire and retain a 5% eligible vertical interest in each class of securities to be issued (other than the residual notes) to satisfy the credit risk retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. These loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Cut-off Date, 100.0% of the pool is serviced by Nationstar Mortgage LLC d/b/a Mr. Cooper Group Inc. (Nationstar). Nationstar will also act as the Master Servicer and Shellpoint Mortgage Servicing, LLC will act as the Special Servicer. The Seller will have the option to repurchase any loan that becomes 60 or more days delinquent under the MBA method or any real estate owned property acquired in respect of a mortgage loan at a price equal to the principal balance of the loan (Optional Repurchase Price), provided that such repurchases will be limited to 10% of the principal balance of the mortgage loans as of the Cut-Off Date. Unlike other seasoned re-performing loan securitizations, the Servicer in this transaction will advance principal and interest on delinquent mortgages to the extent that such advances are deemed to be recoverable. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include underlying assets with significant seasoning, relatively clean payment histories and robust loan attributes with respect to credit scores, product types and loan-to-value ratios. Additionally, historically, NRMLT securitizations have exhibited fast voluntary prepayment rates. The transaction employs a relatively weak representations and warranties framework that includes an unrated representation provider (NRZ), certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Satisfactory third-party due diligence was performed on the pool for regulatory compliance, title/lien and payment history. Updated Home Data Index and/or broker price opinions were provided for the pool; however, reconciliation was not performed on the updated values. Certain loans have missing assignments or endorsements as of the Closing Date. Given the relatively clean performance history of the mortgages and the operational capability of the servicers, DBRS believes that the risk of impeding or delaying foreclosure is remote. NEW RESIDENTIAL 2019-3: Moody's Assigns B1 Rating on 5 Tranches --------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to 31 classes of notes issued by New Residential Mortgage Loan Trust 2019-3. The NRMLT 2019-3 transaction is a $388.8 million securitization of first lien, seasoned performing and re-performing mortgage loans with weighted average seasoning of 175 months, a weighted average updated LTV ratio of 44.9% and a weighted average updated FICO score of 725. Based on the OTS methodology, 92.6% of the loans by scheduled balance have been continuously current for at least the last 24 months. Additionally, the pool consists of 25.7% adjustable-rate mortgages (ARMs) and 20.4% of the loans in the pool (by balance) have been previously modified. Nationstar Mortgage LLC will act as primary servicer. Nationstar Mortgage will act as master servicer and successor servicer and NewRez LLC d/b/a Shellpoint Mortgage Servicing will act as the special servicer. The complete rating action is as follows: Issuer: New Residential Mortgage Loan Trust 2019-3 Cl. A, Definitive Rating Assigned Aaa (sf) Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1A, Definitive Rating Assigned Aaa (sf) Cl. A-1B, Definitive Rating Assigned Aaa (sf) Cl. A-1C, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa2 (sf) Cl. B-1A, Definitive Rating Assigned Aa2 (sf) Cl. B-1B, Definitive Rating Assigned Aa2 (sf) Cl. B-1C, Definitive Rating Assigned Aa2 (sf) Cl. B-1D, Definitive Rating Assigned Aa2 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-2A, Definitive Rating Assigned A3 (sf) Cl. B-2B, Definitive Rating Assigned A3 (sf) Cl. B-2C, Definitive Rating Assigned A3 (sf) Cl. B-2D, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-3A, Definitive Rating Assigned Baa3 (sf) Cl. B-3B, Definitive Rating Assigned Baa3 (sf) Cl. B-3C, Definitive Rating Assigned Baa3 (sf) Cl. B-3D, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-4A, Definitive Rating Assigned Ba2 (sf) Cl. B-4B, Definitive Rating Assigned Ba2 (sf) Cl. B-4C, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B1 (sf) Cl. B-5A, Definitive Rating Assigned B1 (sf) Cl. B-5B, Definitive Rating Assigned B1 (sf) Cl. B-5C, Definitive Rating Assigned B1 (sf) Cl. B-5D, Definitive Rating Assigned B1 (sf) Cl. B-7, Definitive Rating Assigned Ba3 (sf) RATINGS RATIONALE Its losses on the collateral pool equal 1.95% in an expected scenario and reach 12.00% at a stress level consistent with the Aaa (sf) ratings on the senior classes. Moody's based its expected losses for the pool on its estimates of (1) the default rate on the remaining balance of the loans and (2) the principal recovery rate on the defaulted balances. The final expected losses for the pool reflect the third party review (TPR) findings and its assessment of the representations and warranties (R&Ws) framework for this transaction. Also, the transaction contains a mortgage loan sale provision, the exercise of which is subject to potential conflicts of interest. As a result of this provision, Moody's increased its expected losses for the pool. To estimate the losses on the pool, Moody's used an approach similar to its surveillance approach. Under this approach, Moody's applies expected annual delinquency rates, conditional prepayment rates (CPRs), loss severity rates and other variables to estimate future losses on the pool. Its assumptions on these variables are based on the observed performance of seasoned modified and non-modified loans, the collateral attributes of the pool including the percentage of loans that were delinquent in the past 36 months. For this pool, Moody's used default burnout assumptions similar to those detailed in its "US RMBS Surveillance Methodology" for Alt-A loans originated pre-2005. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Of note, since the overall profile of this pool is more similar to RPL pools, Moody's applied similar RPL loss assumptions to this pool to derive collateral losses. Collateral Description NRMLT 2019-3 is a securitization of seasoned performing and re-performing residential mortgage loans which the seller, NRZ Sponsor V LLC, has purchased in connection with the termination of various securitization trusts. Similar to prior NRMLT transactions Moody's has rated, all of the collateral was sourced from terminated securitizations. Approximately 20.4% of the loans had previously been modified and are now current and cash flowing and 25.7% of the collateral consists of ARM loans. The transaction is comprised of 3,143 loans. The updated value of properties in this pool were provided by a third party firm using a home data index (HDI) and/or an updated broker price opinion (BPO). BPOs were provided for a sample of 622 out of the 3,143 properties contained within the securitization. HDI values were provided for all but one property contained within the securitization. The weighted average updated LTV ratio on the collateral is 44.9%, implying an average of 55.1% borrower equity in the properties. Third-Party Review and Representations & Warranties Two third party due diligence providers, AMC and Recovco, conducted a compliance review on a sample of 257 and 603 seasoned mortgage loans respectively for the initial due diligence pool. The regulatory compliance review consisted of a review of compliance with the federal Truth in Lending Act (TILA) as implemented by Regulation Z, the federal Real Estate Settlement Procedures Act (RESPA) as implemented by Regulation X, the disclosure requirements and prohibitions of Section 50(a)(6), Article XVI of the Texas Constitution, federal, state and local anti-predatory regulations, federal and state specific late charge and prepayment penalty regulations, and document review. AMC found that 229 out of 257 loans had compliance exceptions with 30 having rating agency grade C or D level exceptions. Recovco reviewed 603 loans and found that 89 loans have a rating of C or D, fits loans have a rating of A and the remaining 510 loans have a rating of B. Also, based on information provided by the seller, there were additional loans dropped from the securitization due to compliance exceptions. Based on its analysis of the TPR reports, Moody's determined that a portion of the loans with some cited violations are at enhanced risk of having violated TILA through an under-disclosure of the finance charges or other disclosure deficiencies. Although the TPR report indicated that the statute of limitations for borrowers to rescind their loans has already passed, borrowers can still raise these legal claims in defense against foreclosure as a set off or recoupment and win damages that can reduce the amount of the foreclosure proceeds. Such damages include up to $4,000 in statutory damages, borrowers' legal fees and other actual damages. Moody's increased its losses for these loans to account for such damages. AMC and Recovco reviewed the findings of various title search reports covering 158 and 390 mortgage loans respectively in the preliminary sample population in order to confirm the first lien position of the related mortgages. Overall, AMC's review confirmed that 157 mortgages were in first lien position. For the one remaining loan reviewed by AMC, proof of first lien position could only be confirmed using the final title policy as of loan origination. Recovco reported that 385 of the mortgage loans it reviewed were in first-lien position and for the remaining five loans it reviewed, proof of first lien position could only be confirmed using the final title policy as of loan origination. The seller, NRZ Sponsor V LLC, is providing a representation and warranty for missing mortgage files. To the extent that the master servicer, related servicer or depositor has actual knowledge, or a responsible officer of the Indenture Trustee has received written notice, of a defective or missing mortgage loan document or a breach of a representation or warranty regarding the completeness of the mortgage file or the accuracy of the mortgage loan documents, and such missing document, defect or breach is preventing or materially delaying the (a) realization against the related mortgaged property through foreclosure or similar loss mitigation activity or (b) processing of any title claim under the related title insurance policy, the party with such actual knowledge will give written notice of such breach, defect or missing document, as applicable, to the seller, indenture trustee, depositor, master servicer and related servicer. Upon notification of a missing or defective mortgage loan file, the seller will have 120 days from the date it receives such notification to deliver the missing document or otherwise cure the defect or breach. If it is unable to do so, the seller will be obligated to replace or repurchase the mortgage loan. Trustee, Custodian, Paying Agent, Servicers, Master Servicer, Successor Servicer and Special Servicer The transaction indenture trustee is Wilmington Trust, National Association. The custodian functions will be performed by Wells Fargo Bank, N.A. The paying agent and cash management functions will be performed by Citibank, N.A. In addition, Nationstar Mortgage, as master servicer, is responsible for servicer oversight, termination of servicers, and the appointment of successor servicers. Having Nationstar Mortgage as a master servicer mitigates servicing-related risk due to the performance oversight that it will provide. Shellpoint will serve as the special servicer and, as such, will be responsible for servicing mortgage loans that become 60 or more days delinquent. Nationstar Mortgage will serve as the designated successor servicer for Shellpoint. Nationstar Mortgage will act as the primary servicer of the collateral pool. Moody's considers the overall servicing arrangement to be adequate. Transaction Structure The transaction cash flows follow a shifting interest structure that allows subordinated bonds to increasingly receive principal prepayments after an initial lock-out period of five years, provided two performance tests are met. To pass the first test, the delinquent and recently modified loan balance cannot exceed 50% of the subordinate bonds outstanding. To pass the second test, cumulative losses cannot exceed certain thresholds that gradually increase over time. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to tail risk, i.e., risk of back-ended losses when fewer loans remain in the pool. The transaction provides for a senior and subordination floor that helps to reduce this tail risk. Specifically, the subordination floor prevents subordinate bonds from receiving any principal if the amount of subordinate bonds outstanding falls below 2.25% of the cut-off date principal balance. There is also a provision that prevents subordinate bonds from receiving principal if the credit enhancement for the Class A-1 note falls below its percentage at closing, 13.50%. In addition, there are provisions that "lock out" certain subordinate bonds and allocate principal to more senior subordinate bonds if, for a given class, credit enhancement levels decline below their initial percentages or below 2.25% of the cut-off date principal balance. These provisions have been incorporated into its cash flow model and are reflected in its ratings. Other Considerations The transaction contains a mortgage loan sale provision, the exercise of which is subject to potential conflicts of interest. The servicers in the transaction may sell mortgage loans that become 60 or more days delinquent according to the MBA methodology to any party in the secondary market in an arms-length transaction and at a fair market value. For such sale to take place, the related servicer must determine, in its reasonable commercial judgment, that such sale would maximize proceeds on a present value basis. If the sponsor or any of its subsidiaries is the purchaser, the related servicer must obtain at least two additional independent bids. The transaction documents provide little detail on the method of receipt of bids and there is no set minimum sale price. Such lack of detail creates a risk that the independent bids could be weak bids from purchasers that do not actively participate in the market. Furthermore, the transaction documents provide little detail regarding how servicers should conduct present value calculations when determining if a note sale should be pursued. The special servicer, Shellpoint, is an affiliate of the sponsor. The servicer in the transaction, Nationstar Mortgage, has a commercial relationship with the sponsor outside of the transaction. These business arrangements could lead to conflicts of interest. Moody's took this into account and adjusted its losses accordingly. When analyzing the transaction, Moody's reviewed the transaction's exposure to large potential indemnification payments owed to transaction parties due to potential lawsuits. In particular, Moody's assessed the risk that the indenture trustee would be subject to lawsuits from investors for a failure to adequately enforce the R&Ws against the seller. Moody's believes that NRMLT 2019-3 is adequately protected against such risk primarily because the loans in this transaction are highly seasoned with a weighted average seasoning is approximately 175 months. Although some loans in the pool were previously delinquent and modified, the loans all have a substantial history of payment performance. This includes payment performance during the recent recession. As such, if loans in the pool were materially defective, such issues would likely have been discovered prior to the securitization. Furthermore, third party due diligence was conducted on a significant random sample of the loans for issues such as data integrity, compliance, and title. As such, Moody's did not apply adjustments in this transaction to account for indemnification payment risk. In addition, prior to closing, the collateral pool has approximately $291,801 of unreimbursed servicing advances such as taxes and insurance. The mortgage borrower is responsible for reimbursing the servicer for the pre-existing servicing advances. The servicer may choose to set the pre-existing advances as escrow to be repaid by the borrower as part of monthly mortgage payments. However, in the event the borrower defaults on the mortgage prior to fully repaying the pre-existing servicing advances, the servicer will recoup the outstanding amount of pre-existing advances from the loan liquidation proceeds. The amount of pre-existing servicing advances only represent 7.5 basis points of total pool balance. As borrowers make monthly mortgage payments, this amount would likely decrease. Moreover, its loan loss severity assumption incorporates reimbursement of servicing advances from liquidation proceeds. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from its original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above its original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. The methodologies used in these ratings 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. NRZ ADVANCE 2019-T1: S&P Assigns Prelim BB Rating to Cl. E-T1 Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to NRZ Advance Receivables Trust 2015-ON1's $400 million advance receivables-backed notes series 2019-T1. The note issuance is a servicer advance transaction backed by servicer advance reimbursements and accrued and unpaid servicing fees. The preliminary ratings are based on information as of July 12, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The strong likelihood of reimbursement of servicer advance receivables given the priority of such reimbursement payments; -- The transaction's revolving period, during which collections or draws on the outstanding variable-funding note may be used to fund additional advance receivables, and the specified eligibility requirements, collateral value exclusions, credit enhancement test (the collateral test), and amortization triggers intended to maintain pool quality and credit enhancement during this period; -- The transaction's use of predetermined, rating category-specific advance rates for each receivable type in the pool that discount the receivables, which are non-interest bearing, to satisfy the interest obligations on the notes, as well as provide for dynamic overcollateralization; -- The projected timing of reimbursements of the servicer advance receivables, which, in the 'AAA', 'AA', and 'A' scenarios, reflects S&P's assumption that the servicer would be replaced, while in the 'BBB' and 'BB' scenarios, reflects the servicer's historical reimbursement experience; The credit enhancement in the form of overcollateralization, subordination, and the series reserve accounts; -- The timely interest and full principal payments made under S&P's stressed cash flow modeling scenarios consistent with the assigned preliminary ratings; and -- The transaction's sequential turbo payment structure that applies during any full amortization period. PRELIMINARY RATINGS ASSIGNED NRZ Advance Receivables Trust 2015-ON1 Series 2019-T1 Class Rating Amount (mil. $) A-T1 AAA (sf) 328.841 B-T1 AA (sf) 12.223 C-T1 A (sf) 14.286 D-T1 BBB (sf) 40.182 E-T1 BB (sf) 4.468 OBX TRUST 2019-EXP2: Fitch to Rate $2.317MM Class B-5 Notes Bsf --------------------------------------------------------------- Fitch Ratings expects to rate OBX 2019-EXP2 Trust (OBX 2019-EXP2) as follows: -- $146,430,000 class 1-A-1 notes 'AAAsf'; Outlook Stable; -- $36,607,000 class 1-A-2 notes 'AAAsf'; Outlook Stable; -- $183,037,000 class 1-A-3 exchangeable notes 'AAAsf'; Outlook Stable; -- $20,592,000 class 1-A-4 notes 'AAAsf'; Outlook Stable; -- $203,629,000 class 1-A-5 exchangeable notes 'AAAsf'; Outlook Stable; -- $146,430,000 class 1-A-IO1 notional notes 'AAAsf'; Outlook Stable; -- $36,607,000 class 1-A-IO2 notional notes 'AAAsf'; Outlook Stable; -- $183,037,000 class 1-A-IO3 notional exchangeable notes 'AAAsf'; Outlook Stable; -- $20,592,000 class 1-A-IO4 notional notes 'AAAsf'; Outlook Stable; -- $203,629,000 class 1-A-IO5 notional exchangeable notes 'AAAsf'; Outlook Stable; -- $203,629,000 class 1-A-IO6 notional notes 'AAAsf'; Outlook Stable; -- $146,430,000 class 1-A-6 exchangeable notes 'AAAsf'; Outlook Stable; -- $36,607,000 class 1-A-7 exchangeable notes 'AAAsf'; Outlook Stable; -- $183,037,000 class 1-A-8 exchangeable notes 'AAAsf'; Outlook Stable; -- $20,592,000 class 1-A-9 exchangeable notes 'AAAsf'; Outlook Stable; -- $203,629,000 class 1-A-10 exchangeable notes 'AAAsf'; Outlook Stable; -- $187,687,000 class 2-A-1 exchangeable notes 'AAAsf'; Outlook Stable; -- $150,150,000 class 2-A-1A notes 'AAAsf'; Outlook Stable; -- $37,537,000 class 2-A-1B notes 'AAAsf'; Outlook Stable; -- $21,114,000 class 2-A-2 notes 'AAAsf'; Outlook Stable; -- $208,801,000 class 2-A-IO notional notes 'AAAsf'; Outlook Stable; -- $208,801,000 class 2-A-3 exchangeable notes 'AAAsf'; Outlook Stable; -- $4,866,000 class B-1 notes 'AA-sf'; Outlook Stable; -- $4,866,000 class B1-IO notional notes 'AA-sf'; Outlook Stable; -- $4,866,000 class B1-A exchangeable notes 'AA-sf'; Outlook Stable; -- $23,864,000 class B-2 notes 'Asf'; Outlook Stable; -- $23,864,000 class B2-IO notional notes 'Asf'; Outlook Stable; -- $23,864,000 class B2-A exchangeable notes 'Asf'; Outlook Stable; -- $9,964,000 class B-3 notes 'BBBsf'; Outlook Stable; -- $6,024,000 class B-4 notes 'BBsf'; Outlook Stable; -- $2,317,000 class B-5 notes 'Bsf'; Outlook Stable. The following class will not be rated by Fitch: -- $3,939,935 class B-6 notes. The notes are supported by 737 loans with a total unpaid principal balance of approximately $463.4 million as of the cut-off date. The pool consists of fixed-rate mortgages (FRMs) and adjustable-rate mortgages (ARMs) acquired by Annaly Capital Management, Inc. from various originators and aggregators. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, shifting-interest Y-structure. The 'AAAsf' rating on the class A notes reflects the 11.00% subordination provided by the 1.05% class B-1, 5.15% class B-2, 2.15% class B-3, 1.30% class B-4, 0.50% class B-5 and 0.85% class B-6 notes. KEY RATING DRIVERS High-Quality Mortgage Pool (Positive): The pool consists primarily of 30-year fixed-rate and adjustable-rate fully amortizing loans to borrowers with strong credit profiles, relatively low leverage and large liquid reserves. The loans are seasoned an average of 20 months. The pool has a weighted average (WA) model FICO score of 754, high average balance of $628,772 and a low sustainable loan-to-value (sLTV) ratio of 64.3%. However, the pool also contains a meaningful amount of investor properties (23%), non-qualified mortgage (non-QM) or higher-priced qualified mortgage (HPQM) loans (65%), and non-full documentation loans (53%). Fitch's loss expectations reflect the higher default risk associated with these attributes as well as loss severity adjustments for potential ability-to-repay (ATR) challenges. Low Operational Risk (Positive): Operational risk is well-controlled in this transaction. Annaly employs an effective loan aggregation process and has an 'Average' assessment from Fitch. Approximately 67% of the loans are being serviced by Select Portfolio Servicing, Inc. (SPS), which is rated 'RPS1-', and the remaining 33% is being serviced by Specialized Loan Servicing, LLC (SLS), which is rated 'RPS2' for this product. The issuer's retention of at least 5% of the bonds helps ensure an alignment of interest between issuer and investor. Representation and Warranty Framework (Negative): Fitch considers the transaction's representation, warranty and enforcement (RW&E) mechanism framework to be consistent with Tier 2 quality. The RW&Es are being provided by Onslow Bay Financial, LLC, which does not have a financial credit opinion or public rating from Fitch. While an automatic review can be triggered by loan delinquencies and losses, the triggers can toggle on and off from period to period. Additionally, a high threshold of investors is needed to direct the trustee to initiate a review. The Tier 2 framework and non-rated counterparty resulted in a loss penalty of 66 bps AAAsf. Third-Party Due Diligence (Positive): A very low incidence of material defects was found in the third-party credit, compliance and valuation due diligence performed on 100% of the pool. A third party review (TPR) was conducted by AMC, Clayton and Opus; both AMC and Clayton are assessed by Fitch as 'Acceptable - Tier 1' and Opus is assessed as 'Acceptable - Tier 2'. The due diligence results are in line with industry averages, and based on loan count, 98% were graded 'A' or 'B'. Since loan exceptions either had strong mitigating factors or were accounted for in Fitch's loan loss model, no additional adjustments were made. The model credit for the high percentage of loan level due diligence combined with the adjustments for loan exceptions reduced the 'AAAsf' loss expectation by 28 bps. Servicing Advancing (Neutral): Advances of delinquent P&I will be made on the mortgage loans for the first 120 days of delinquency to the extent such advances are deemed recoverable. P&I advances will be made from amounts on deposit for future distribution, the excess servicing strip fee that would otherwise be allocable to the class A-IO-S notes and the P&I advancing party fee. If such amounts are insufficient, the P&I advancing party (Onslow Bay Financial LLC) will be responsible for any remaining amounts. In the event the underlying obligations are not fulfilled, Wells Fargo Bank, N.A. (Wells Fargo), as master servicer, will be required to made advances. High California Concentration (Negative): Approximately 53% of the pool is located in California, which is higher than many other recent Fitch-rated transactions. In addition, the metropolitan statistical area (MSA) concentration is large, as the top three MSAs (Los Angeles, New York and San Francisco) account for 51.4% of the pool. As a result, a geographic concentration penalty of 1.09x was applied to the probability of default (PD). Straightforward Deal Structure (Positive): The mortgage cash flow and loss allocations are based on a traditional senior-subordinate, shifting-interest Y-structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. CE Floor (Positive): To mitigate tail risk, which arises as the pool seasons and fewer loans are outstanding, a subordination floor of 1.75% of the original balance will be maintained for the notes. Additionally, there is no early stepdown test that might allow principal prepayments to subordinate bondholders earlier than the five-year lockout schedule. Extraordinary Expense Treatment (Neutral): The trust provides for expenses, including indemnification amounts and costs of arbitration, to be paid by the net WA coupon of the loans, which does not affect the contractual interest due on the notes. Furthermore, the expenses to be paid from the trust are capped at $275,000 per annum, which can be carried over each year, subject to the cap until paid in full. PARK PLACE 2005-WCW1: Moody's Lowers Cl. M-2 Certs Rating to B1 --------------------------------------------------------------- Moody's Investors Service downgraded the rating of Cl. M-2 from Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW1, backed by Subprime loans. The complete rating action is as follows: Issuer: Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW1 Cl. M-2, Downgraded to B1 (sf); previously on Sep 2, 2015 Upgraded to Ba1 (sf) RATINGS RATIONALE The rating downgrade is due to the outstanding interest shortfalls on the bond which is not expected to be recouped as the bond has weak reimbursement mechanism for interest shortfalls. The rating action also reflects the recent performance of the underlying pools and Moody's updated loss expectation. The principal methodology used in this rating was "US RMBS Surveillance Methodology" published in February 2019. Factors that would lead to an upgrade or downgrade of the rating: Ratings in the US RMBS sector remain exposed to the high level of macroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 3.7% in June 2019 from 4.0% in June 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, the performance of RMBS continues to remain highly dependent on servicer procedures. Any changes resulting from servicing transfers, or other policy or regulatory shifts can impact the performance of these transactions. PEPPER SPARKZ 1: Fitch Assigns Bsf Rating on Class F Notes ---------------------------------------------------------- Fitch Ratings has assigned final ratings to Pepper SPARKZ Trust No. 1's pass-through floating-rate notes. The issuance consists of AUD511.6 million of notes backed by a pool of first-ranking Australian automotive and equipment loan and lease receivables originated by Pepper Asset Finance Pty Limited, a subsidiary of Pepper Group Limited (Pepper). The notes are issued by BNY Trust Company of Australia Limited as trustee for Pepper SPARKZ Trust No. 1. Pepper SPARKZ Trust No. 1 Debt Current Rating Prior Rating Class A1-a LT AAAsf New Rating; previously AAA(EXP)sf Class A1-x LT AAAsf New Rating; previously AAA(EXP)sf Class B LT AAsf New Rating; previously AA(EXP)sf Class C LT Asf New Rating; previously A(EXP)sf Class D LT BBBsf New Rating; previously BBB(EXP)sf Class E LT BBsf New Rating; previously BB(EXP)sf Class F LT Bsf New Rating; previously B(EXP)sf Class G LT NRsf New Rating; previously NR(EXP)sf KEY RATING DRIVERS Obligor Default Risk: Fitch has derived credit-tier-specific default and recovery base-case expectations by applying a granular approach using historical loss data since 2015. Given the limited historic data, Fitch supported the analysis with comparable proxy data from similar Fitch-rated issuers. Its gross default and recovery base cases are 4.8% and 20%, respectively. The weighted-average (WA) 'AAAsf' loss multiple is 5.6x and a prepayment assumption of 9% was incorporated in its analysis. Its analysis was based on an asset pool of lease and loan receivables totalling AUD500 million backed by new and used vehicles and equipment with WA seasoning of 17.2 months and an average contract balance of AUD21,388. Fitch expects stable asset performance, supported by sustained economic growth in Australia. Fitch forecasts GDP growth to slow to 1.7% in 2019, from 2.8% in 2018, but for the labour market to remaining steady, supported by continuing low interest rates. Cash Flow Dynamics: Fitch completed full cash-flow modelling and determined that the rated notes pass all predetermined stresses implied at their respective rating levels. Structural Risk: Fitch evaluated structural risk by reviewing transaction documentation and structural features. A liquidity facility, sized at 1.25%, supports the class A, B and C notes. Counterparty Risk: Fitch evaluated counterparty risk by reviewing transaction documentation and structural features that reduce structural risk and counterparty exposure. Servicer and Operational Risks: All receivables were originated by Pepper Asset Finance, which demonstrated an adequate capability as originator, underwriter and servicer. Fitch undertook an onsite operational and file review and found that the operations of the originator and servicer were comparable with that of other auto and equipment lenders. RATING SENSITIVITIES Unanticipated increases in the frequency of defaults and loss severity on defaulted receivables could produce loss levels higher than Fitch's base case and is likely to result in a decline in credit enhancement and remaining loss-coverage levels available to the notes. Decreased credit enhancement may make certain note ratings susceptible to negative rating action, depending on the extent of the coverage decline. Hence, Fitch conducts sensitivity analysis by stressing a transaction's initial base-case assumptions. PRESTIGE AUTO 2019-1: DBRS Assigns Prov. BB Rating on Cl. E Notes ----------------------------------------------------------------- DBRS, Inc. assigned provisional ratings to the following classes of notes to be issued by Prestige Auto Receivables Trust 2019-1 (PART 2019-1 or the Issuer): -- $51,400,000 Class A-1 Notes rated R-1 (high) (sf) -- $117,000,000 Class A-2 Notes rated AAA (sf) -- $59,950,000 Class A-3 Notes rated AAA (sf) -- $40,940,000 Class B Notes rated AA (sf) -- $47,010,000 Class C Notes rated A (sf) -- $38,580,000 Class D Notes rated BBB (sf) -- $10,380,000 Class E Notes rated BB (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of overcollateralization, subordination, amounts held in the reserve account and excess spread. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms under which they have invested. For this transaction, the ratings address the payment of timely interest on a monthly basis and principal by the legal final maturity date. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- DBRS performed an operational risk review of Prestige Financial Services, Inc. (Prestige) and considers the entity an acceptable originator and servicer of subprime auto receivables. Additionally, the transaction has an acceptable backup servicer. -- Prestige's management team has extensive experience. They have been lending to the subprime auto sector since 1994 and have considerable experience lending to Chapter 7 and 13 obligors. -- The credit quality of the collateral and performance of Prestige's auto loan portfolio. -- DBRS base-case cumulative net loss (CNL) assumed for modeling purposes was 14.30%. Prestige shared vintage CNL data with DBRS that dates back to 2009. The data were broken down by credit tier, payment-to-income ratio, and other buckets. The analysis indicated a pattern of increasing losses that were consistent with expected trends. -- Prestige continues to evaluate and adjust its underwriting standards as necessary to target and maintain the credit quality of its loan portfolio. -- DBRS rating category loss multiples for each rating assigned are within the published criteria. -- 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 Prestige, that the trust has a valid first-priority security interest in the assets and consistency with the DBRS "Legal Criteria for U.S. Structured Finance." Notes: All figures are in U.S. dollars unless otherwise noted. SANTANDER SYNTHETIC 2019-A: DBRS Assigns B(low) Rating on F Notes ----------------------------------------------------------------- DBRS, Inc. assigned new ratings to the following classes of credit linked notes, Santander Synthetic Prime Auto Issuance Notes 2019-A (the Notes), issued by Banco Santander, S.A. (Banco Santander or the Issuer; rated A (high) with a Stable trend by DBRS): -- $96,700,500 Class C Notes rated A (sf) -- $60,783,000 Class D Notes rated BBB (sf) -- $34,536,000 Class E Notes rated BB (low) (sf) -- $23,484,000 Class F Notes rated B (low) (sf) The ratings are based on a review by DBRS of the following analytical considerations: -- Transaction capital structure as well as the form and sufficiency of available credit enhancement. -- Credit enhancement is in the form of subordination. Credit enhancement levels are sufficient to support DBRS-projected expected cumulative net loss assumptions under various stress scenarios. -- Upon the occurrence of a performance-related Subordination Event related to the Reference Portfolio, the Class A, B, C, D, E, F, and G Notes will be paid down sequentially. -- Net credit loss amounts on the Reference Portfolio will be applied on a reverse-sequential basis to the Notes beginning with the most subordinate tranche. -- 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 payment of principal by the legal final maturity date. -- The credit quality of the Issuer, Banco Santander. -- The credit quality of the Reference Portfolio, a pool of prime and near-prime retail installment contracts secured by new and used vehicles to borrowers in the United States originated by Santander Consumer USA Inc. (SC). -- As of the Cut-Off Date, the reference pool has a weighted-average (WA) non-zero FICO score of 753, a WA loan-to-value ratio of 96.52%, a WA payment-to-income ratio of 7.95% and a WA debt-to-income ratio of 30.45%. -- The reference pool comprises SC originations from Q4 2016 through Q2 2018 with a WA seasoning of 20 months and a WA remaining term of approximately 51 months. -- Approximately 3.44% of the balance of the reference pool is commercial loans with co-obligors or guarantors. -- Approximately 11.92% of the balance of the reference pool has original loan terms ranging from 76 months to 84 months. -- SC's history as an originator in the retail auto loan business, its capabilities with respect to underwriting and servicing and its ownership by Banco Santander. -- DBRS has performed an operational review of SC and considers the entity to be an acceptable originator and servicer of prime and near-prime automobile loan contracts. -- The SC senior management team has considerable experience and a successful track record within the auto finance industry. -- Santander Holdings USA, Inc. (SHUSA) owns approximately 69.8% of SC. SHUSA is 100% owned by Banco Santander. -- SSPAIN 2019-A provides for Class F Notes with an assigned rating of B (low) (sf). While the DBRS "Rating U.S. Retail Auto Loan Securitizations" methodology does not set forth a range of multiples for this asset class for the B (sf) level, the analytical approach for this rating level is consistent with that contemplated by the methodology. The typical range of multiples applied in the DBRS stress analysis in the B (sf) range is 1.10 times (x) to 1.25x. -- Payments of principal and interest are unsecured liabilities of the Issuer. -- Payment of principal on the Notes is subject to both the terms and conditions related to the Reference Portfolio as well as the ability and willingness of the Issuer, Banco Santander, to make payments. Consequently, the ratings on the Notes are limited to the rating of the Issuer and may be affected by migration in the ratings of Banco Santander. DBRS notes that the above press release was amended on July 8, 2019, to add notes about third-party assessments and an accompanying risk sensitivity appendix. The amendments were minor and would not impact the understanding of the reader. SIERRA TIMESHARE 2019-2: Fitch to Rate Class D Notes BB ------------------------------------------------------- Fitch Ratings expects to assign ratings and Rating Outlooks to notes issued by Sierra Timeshare 2019-2 Receivables Funding LLC. Sierra Timeshare 2019 2 Receivables Funding LLC Debt Rating Class A; LT AAA(EXP)sf; Expected Rating Class B; LT A(EXP)sf; Expected Rating Class C; LT BBB(EXP)sf; Expected Rating Class D; LT BB(EXP)sf; Expected Rating KEY RATING DRIVERS Borrower Risk - Stable Collateral Quality: Approximately 72.0% of Sierra 2019-2 consist 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 2019-2 pool shows a marginal decrease in WRDC loans and moderate shift upward in the FICO band concentrations for the WVRI platform relative to the 2019-1 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 2019-1). Furthermore, given the expected stable economic conditions, no adjustments were made to Fitch's CGD proxy. Structural Analysis - Lower CE Structure: Initial hard credit enhancement (CE) is expected to be 61.65%, 36.30%, 14.40% and 4.50% for class A, B, C and D notes, respectively, decreased for class A, B and C, and unchanged for class D from 2019-1. Hard CE comprises overcollateralization, a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 9.95% 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. SILVER AIRCRAFT: Fitch Assigns BBsf Rating on Class C Debt ---------------------------------------------------------- Fitch Ratings has assigned ratings and Outlooks to the notes concurrently co-issued by Silver Aircraft Lease Investment Limited and Silver Aircraft Leasing LLC. Silver Aircraft Lease Investment Limited Current Rating Prior Rating Class A; LT Asf New Rating; previously at A(EXP)sf Class B; LT BBBsf New Rating; previously at BBB(EXP)sf Class C; LT BBsf New Rating; previously at BB(EXP)sf KEY RATING DRIVERS Strong Collateral Quality - Mostly Liquid Narrowbody Aircraft: The pool has a weighted average (WA) age of six years and is largely comprised of liquid, young A320 and B737-family aircraft at 68.0%. A B787-8 and a B777-300ER, widebody aircraft prone to higher transition costs, are the two largest single aircraft and together comprise 32.0% of the pool. No leases terminate until 2021, and 37.0% of the pool comes off lease in 2027-2028. Asset Value and Lease Rate Volatility: Fitch derives assumed initial aircraft values from various appraisal sources and employs future aircraft value and disposition stresses in its analysis. These take into account aircraft age and marketability to simulate the decline in values and lease rates expected to occur over the course of multiple aviation market downturns. Operational and Servicing Risk - Strong Servicer: The transaction will be heavily reliant on BOCA to remarket and repossess aircraft, adequately manage and monitor their technical upkeep, and legally protect trust assets in multiple foreign jurisdictions. Fitch considers BOCA a strong servicer of aircraft, evidenced by performance of their managed portfolio and prior ABS transaction SAIL, which has performed within expectations. Lessee Credit Risk - Weak Credits: The pool includes 14 lessees, with three airlines rated by Fitch: Southwest (A-/Stable), Aeroflot (BB-/Stable), and Alaska (BBB-/Stable). The majority of airlines are either unrated or speculative-grade credits, typical of aircraft ABS. Fitch assumed a 'B' or 'CCC' Issuer Default Rating (IDR) for unrated lessees, based on Fitch's assessment, and stressed IDRs downward in recessions, consistent with prior analyses. Of note, Kenya Airways is assumed to carry a 'CCC' IDR. The airline represents 16.9% of the initial pool by value and 28.8% by initial contracted cash flow on account of them leasing the lone 787-8, which has a long remaining lease term. Transaction Structure - The structure is consistent with other recently issued aircraft ABS. The senior notes amortize over a 13-year schedule, while loan-to-value (LTV) ratios are 67.8%, 78.9% and 83.8% for the class A, B and C notes, respectively (utilizing the average of maintenance-adjusted base values (MABVs)). All series pay in full prior to their legal final maturity date when applying stressed cash flows commensurate with their ratings. Aviation Market Cyclicality: The commercial aviation industry has exhibited significant cyclicality tied to the health of the overall global economy. This cyclicality can produce increased lessee defaults, lower demand for off-lease aircraft and deterioration in lease rates and asset values. Fitch stresses asset values, utilization levels, lease rates and default probability during assumed market down cycles to account for this risk. Rating Cap of 'Asf': Fitch limits aircraft operating lease ratings to a maximum cap of 'Asf' due to the factors discussed above and the potential volatility they produce. RATING SENSITIVITIES The performance of aircraft operating lease securitizations can be affected by various factors, which, in turn, could have an impact on the assigned ratings. Fitch conducted multiple rating sensitivity analyses to evaluate the impact of changes to a number of the variables in the analysis. As previously stated, these sensitivity scenarios were also considered in determining Fitch's recommended ratings. One 787 on lease to Kenya Airways represents the largest aircraft concentration in the pool by value at 16.9%. In terms of contracted cash flow, the concentration is even higher at 28.8%. Given their inconsistent operating results in recent years and that the lease has previously been restructured, Fitch assumed them to be a 'CCC' credit in primary scenarios. Considering the very high concentration of contracted cash flow from this one asset, Fitch ran a sensitivity scenario to assess what the impact on the transaction would be following a Kenya Airways default. Under this scenario, the airline was assumed to default immediately, and an additional six months of repossession downtime was added. Cash flow generated under this scenario decreased from Fitch's primary runs due to the drop in monthly cash flows from future lease payments. Net cash flows under the four rating scenarios drop by approximately 2%-3%, which amounts to approximately $19.5 million at 'Asf'. Utilization also falls initially, reaching a low point of approximately 65%-70% in six months across the rating scenarios. However, such a stress has a limited impact on the classes as each is still able to pass scenarios commensurate with their recommended ratings. Given its subordinated position, class C is affected the most as it receives essentially no principal payments under the 'Asf' scenario. Airlines across the globe are generally viewed as speculative grade. While Fitch gives credit to available ratings of the initial lessees in the pool, assumptions must be made for the unrated lessees in the pool, as well as all future unknown lessees. While Fitch typically utilizes a 'B' assumption for most unrated lessees with some assumed to be 'CCC', Fitch evaluated a scenario in which all unrated airlines are assumed to carry a 'CCC' rating. This scenario mimics a prolonged recessionary environment in which airlines are susceptible to an increased likelihood of default. This would subject the aircraft pool to increased downtime and expenses, as repossession and remarketing events would increase. Under this scenario, total lifetime net cash flow declines approximately 7%-10% across rating scenarios from Fitch's primary scenarios, driven by both a decrease in gross lease collections and an increase in repossession and remarketing expenses. This scenario is particularly stressful for the Silver pool given its young WA age which results in more opportunities for airlines to default. As a result of this stress, the class A notes fail the 'Asf' scenario by a small margin but pass 'BBBsf'. Class B notes are able to pass the 'BBBsf' scenario, while the class C notes fail the 'BBBsf' scenario but pass at 'BBsf' scenario. Such a scenario could result in the downgrade of the class A notes by one to two notches but would likely not result in any negative rating actions for the subordinate notes. Aside from the 787, all aircraft in the pool face replacement programs over the next decade, particularly the A320ceo and B737 NG aircraft in the form of A320neo and B737 MAX aircraft. Deliveries of these models have begun and will be increasing in the coming years. Fitch believes current generation aircraft are well insulated due to large operator bases and the long lead time for full replacement, particularly when considering conservative retirement ages and aggressive production schedules for Airbus and Boeing new technology. Nevertheless, Fitch believes a sensitivity scenario is warranted to address these risks. Therefore, Fitch utilized a scenario in which demand, and thus values, of existing aircraft would fall significantly due to the replacement technology. The first recession was assumed to occur two years following close, and all recessionary value decline stresses were increased 10% at each rating category. Fitch additionally utilized a 25% residual assumption rather than the base level of 50% to stress end-of-life proceeds for each asset in the pool. Lease rates drop fairly significantly under this scenario, and aircraft are essentially sold for scrap at the end of their useful lives. This scenario is the most stressful of the three sets of sensitivities. Across the rating scenarios, total net cash flow declines approximately $55 million-$82 million, while sales proceeds decline approximately $44 million-$58 million from already conservative levels. Under such a stress, the class A notes fail to pay in full under the 'Asf' scenario, but are able the pass the 'BBBsf' scenario. The class B notes fail at 'BBBsf' but are able to pass the 'BBsf' scenario, while the class C notes are still able to pass the 'BBsf' scenario. As a result, such a scenario could result in the downgrade of the class A and B notes by up to one rating category. SLM STUDENT 2003-2: Fitch Affirms Bsf Rating on 5 Tranches ---------------------------------------------------------- Fitch takes various rating actions on two SLM Student Loan Trusts (SLM 2003-2 and 2003-5). For both transactions, the Class A-5 Notes pass 'AAAsf' credit and maturity stresses and are affirmed with a Stable Outlook, as performance has been in line with expectations. The Class A-6 to A-9 Notes of SLM 2003-5 are downgraded to 'Bsf" from 'BBsf' due to the increased margin by which these classes miss their legal final maturity date under Fitch's base case maturity scenario for cash flow modeling. The decline in the weighted average remaining term has slowed, decreasing by only half a month over the last 12 months. Classes A-6 through B for both transactions are rated 'Bsf' supported by qualitative factors such as Navient's ability to call the notes upon reaching 10% pool factor and the revolving credit agreement established by Navient. 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 does not 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. SLM Student Loan Trust 2003-2 Class A-5 LT AAAsf Affirmed; previously at AAAsf Class A-6 LT Bsf Affirmed; previously at Bsf Class A-7 LT Bsf Affirmed; previously at Bsf Class A-8 LT Bsf Affirmed; previously at Bsf Class A-9 LT Bsf Affirmed; previously at Bsf Class B LT Bsf Affirmed; previously at Bsf SLM Student Loan Trust 2003-5 Class A-5 LT AAAsf Affirmed; previously at AAAsf Class A-6 LT Bsf Downgrade; previously at BBsf Class A-7 LT Bsf Downgrade; previously at BBsf Class A-8 LT Bsf Downgrade; previously at BBsf Class A-9 LT Bsf Downgrade; previously at BBsf Class B LT Bsf Affirmed; previously at Bsf KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises 100% Federal Family Education Loan Program loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 22.25% and 16.75% for SLM 2003-2 and SLM 2003-5, respectively. It also assumes a 66.75% and 50.25% default rate under the 'AAA' credit stress scenario for SLM 2003-2 and SLM 2003-5, respectively. Fitch is maintaining a sustainable constant default rate of 3.3% and 2.7% for SLM 2003-2 and SLM 2003-5, respectively. Sustainable constant prepayment rates (voluntary and involuntary) of 10.0% are also maintained in cash flow modeling for both transactions. Fitch applies the standard default timing curve in its credit stress cash flow analysis. The claim reject rate is assumed to be 0.5% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) are 3.78%, 9.54% and 28.25%, respectively, for SLM 2003-2. The TTM levels of deferment, forbearance and income-based repayment (prior to adjustment) are 3.29%, 8.70% and 24.17%, respectively, for SLM 2003-5. These levels are used as the starting points in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.04% and 0.12% for SLM 2003-2 and SLM 2003-5, respectively, based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for the transactions arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. For SLM 2003-2, as of May 2019, approximately 87.30% of the student loans are indexed to LIBOR, and 12.70% are indexed to T-Bill. For SLM 2003-5, as of May 2019, approximately 86.91% of the student loans are indexed to LIBOR, and 13.09% are indexed to T-Bill. The majority of the tranches in SLM 2003-2 and SLM 2003-5 are indexed to three-month LIBOR. In both transactions, there is one tranche indexed to 3-month Euribor where there is a currency swap in place and the trusts pay a spread over 3-month LIBOR. Fitch applies its standard basis and interest rate stresses to both transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and for the Class A notes, subordination. As of May 2019, the total parity ratio is 100.44% (0.44% CE) for both transactions. The senior parity ratios (including the reserve) are 115.95% (13.76% CE) and 115.98% (13.78% CE), respectively, for SLM 2003-2 and SLM 2003-5. Liquidity support is provided by a reserve account sized at 0.25% of the outstanding pool balance, currently equal to the floor of $2,005,060 and $2,251,218 for SLM 2003-2 and SLM 2003-5, respectively. Excess cash will continue to be released as long as 100% parity is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC (formerly known as Sallie Mae, Inc.). Fitch believes Navient to be an acceptable servicer, due to its extensive track record as the largest servicer of FFELP loans. RATING SENSITIVITIES Fitch conducted CE sensitivity analyses by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted maturity sensitivity analyses by running different assumptions for the IBR usage and prepayment rate. The results below are for both SLM 2003-2 and SLM 2003-5 and should only be considered as one potential model implied outcome as the transactions are exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. It is important to note that the stresses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration in trust performance. Rating sensitivity should not be used as an indicator of future rating performance. TCP RAINIER: DBRS Confirms BB Rating on Class C Notes ----------------------------------------------------- DBRS, Inc. confirmed the ratings of A (low) (sf) on the Class A Notes, BBB (sf) on the Class B Notes and BB (sf) on the Class C Notes (collectively, the Notes) and confirmed the provisional rating of BBB (low) (sf) on the Combination Notes issued by TCP Rainier, LLC (TCP or the Issuer), pursuant to the Note Purchase and Security Agreement (NPSA) dated as of December 11, 2018 (and as further amended by the First Amendment (the Amendment) dated as of July 2, 2019, and effective as of July 25, 2019), among TCP as Issuer; U.S. Bank National Association (USB; rated AA (high) with a Stable trend by DBRS) as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent, and Note Agent; and the Purchasers referred to therein. The rating on the Class A Notes addresses the timely payment of interest (excluding the additional 1% of the interest payable at the Post-Default Rate as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of December 11, 2026. The ratings on the Class B Notes and Class C Notes address the ultimate payment of interest (excluding the additional 1% of the interest payable at the Post-Default Rate as defined in the NPSA) and the ultimate payment of principal on or before the Stated Maturity of December 11, 2026. The provisional rating on the Combination Notes addresses the ultimate repayment of the Combination Note Rated Principal Balance (as defined in the NPSA) on or before the Stated Maturity of December 11, 2026. The ratings on the aforementioned Notes are being confirmed pursuant to the execution of the Amendment dated as of July 2019 and effective as of July 25, 2019 (the First Amendment Date), among the Issuer; Series I of SVOF/MM, LLC as the Collateral Manager and Purchaser; Security Benefit Life Insurance Company as Purchaser; and USB as Collateral Agent, Custodian, Document Custodian, Collateral Administrator, Information Agent and Note Agent. The Notes will be collateralized primarily by a portfolio of U.S. middle-market corporate loans. The Issuer is managed by Series I of SVOF/MM, LLC, a consolidated subsidiary of Tennenbaum Capital Partners, LLC, which is itself a wholly owned subsidiary of BlackRock, Inc. The Combination Notes consist of a portion of the principal amount (the Components) of each of the Class A Notes, Class B Notes, Class C Notes and Subordinated Notes (the Underlying Classes). Each Component of the Combination Notes will be treated as notes of the respective Underlying Class. Payments on any Underlying Class shall be allocated to the relevant Combination Notes in the proportion that the outstanding principal amount of the applicable Component bears to the outstanding principal amount of such Underlying Class as a whole (including all related Components). Each Component of the Combination Notes shall bear interest and shall receive payments in the same manner as the related Underlying Class, and each Component shall mature and be payable on the Stated Maturity in the same manner as the related Underlying Class. All payments made on the Combination Notes (interest, principal or otherwise) shall reduce the Combination Note Rated Principal Balance of the Combination Notes, provided that the Combination Notes shall remain outstanding until the earlier of (1) the payment in full and redemption of each Component or (2) the Stated Maturity of each Component. The confirmation of the ratings reflects the following: (1) The NPSA dated as of December 11, 2018, and as further amended by the Amendment, which will become effective as of July 25, 2019. (2) The integrity of the transaction structure. (3) DBRS's assessment of portfolio quality. (4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios. (5) DBRS's assessment of the origination, servicing and collateralized loan obligation management capabilities of Series I of SVOF/MM, LLC. To assess portfolio credit quality, DBRS provides a credit estimate or internal assessment for each non-financial corporate obligor in the portfolio not rated by DBRS. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to the facility. Under the NPSA, following an Event of Default and the acceleration of the Obligations, the Controlling Parties (as defined in the NPSA) may direct the Collateral Agent to sell all or any portion of the Collateral to the Controlling Parties or any Affiliate of the Controlling Parties, without soliciting or accepting bids therefore from any Person, at the Market Value of such Collateral, which may be at the disadvantage of the other non–Controlling Parties. TIDEWATER AUTO 2018-A: S&P Affirms BB (sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings raised its ratings on two classes and affirmed its ratings on three classes of Tidewater Auto Receivables Trust (TMCAT) 2018-A notes. The transaction is an asset-backed securities (ABS) transaction backed by subprime retail auto loans originated and serviced by Tidewater Motor Credit. S&P said, "The rating actions reflect the transaction's collateral performance to date and our views regarding future collateral performance, the economic outlook, the transaction's structure, and the respective credit enhancement levels. In addition, our analysis incorporated secondary credit factors, such as credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the creditworthiness of the notes remains consistent with the raised and affirmed ratings. "TMCAT 2018-A is performing in line with our initial expectations; therefore, we maintained our expected lifetime credit loss on the transaction at its initial 12.50%-13.50% range." As of the June 2019 distribution date, the transaction had 14 months of performance, with 61.45% of the pool remaining, 3.55% in cumulative net credit losses, and 7.83% of 60-plus-day delinquencies." Since closing, the credit support for each class has increased as a percentage of the amortizing pool balance. The transaction has a sequential principal payment priority and credit enhancement comprising overcollateralization, a non-amortizing reserve account, and subordination for the more senior tranches. Both the reserve account and the overcollateralization are at their respective target levels of 1.50% of the initial collateral balance and 12.85% of the current collateral balance. TMCAT 2018-A features a cumulative net loss (CNL) trigger: the target overcollateralization amount will increase to 100% of the current pool balance if the CNL triggers are breached between months 15 through 60. The triggers are tested monthly and are sized for a CNL level gradually reaching 17.0% but, to date, have not been breached. They are not curable once breached, although the overcollateralization floor remains at 2.50%. Table 1 Hard Credit Support As of the June 2019 distribution date Total hard Current total hard credit support credit support Series Class at issuance (%)(i) (% of current)(i) 2018-A A-2 42.10 68.59 2018-A B 34.30 55.89 2018-A C 22.45 36.61 2018-A D 14.75 24.08 2018-A E 9.35 15.29 (i)Calculated as a percentage of the total receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P said, "The raised and affirmed ratings reflect our view that the total credit support as a percentage of the amortizing pool balance, compared with our expected remaining losses, is commensurate with each raised and affirmed rating. We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for those classes where hard credit enhancement alone without credit to the expected excess spread was sufficient in our opinion to upgrade the notes to 'AAA (sf)'. For the other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate given each transaction's performance to date. Aside from our break-even cash flow analysis, we also conducted sensitivity analyses for this transaction to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses begin trending higher than our revised base-case loss expectation." "We believe the results have demonstrated that all of the classes have adequate credit enhancement for the raised and affirmed ratings. We will continue to monitor the performance of all of the outstanding transactions to determine if the credit enhancement remains sufficient, in our view, to cover our CNL expectation under our stress scenarios for each of the rated classes." RATINGS RAISED Tidewater Auto Receivables Trust 2018-A Rating Class To From B AAA (sf) AA (sf) C AA- (sf) A (sf) RATINGS AFFIRMED Tidewater Auto Receivables Trust 2018-A Class Rating A-2 AAA (sf) D BBB+ (sf) E BB (sf) UBS COMMERCIAL 2012-C1: Moody's Affirms B3 Rating on Class F Certs ------------------------------------------------------------------ Moody's Investors Service affirmed the ratings on ten classes in UBS Commercial Mortgage Trust 2012-C1, Commercial Mortgage Pass-Through Certificates, Series 2012-C1 as follows: Cl. A-3, Affirmed Aaa (sf); previously on Jun 1, 2018 Affirmed Aaa (sf) Cl. A-AB, Affirmed Aaa (sf); previously on Jun 1, 2018 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Jun 1, 2018 Affirmed Aaa (sf) Cl. B, Affirmed Aa1 (sf); previously on Jun 1, 2018 Affirmed Aa1 (sf) Cl. C, Affirmed A1 (sf); previously on Jun 1, 2018 Affirmed A1 (sf) Cl. D, Affirmed Baa2 (sf); previously on Jun 1, 2018 Affirmed Baa2 (sf) Cl. E, Affirmed Ba3 (sf); previously on Jun 1, 2018 Affirmed Ba3 (sf) Cl. F, Affirmed B3 (sf); previously on Jun 1, 2018 Affirmed B3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Jun 1, 2018 Affirmed Aaa (sf) Cl. X-B*, Affirmed B1 (sf); previously on Jun 1, 2018 Affirmed B1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on the 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 the interest-only (IO) classes were affirmed based on the credit quality of the referenced classes. Moody's rating action reflects a base expected loss of 4.3% of the current pooled balance, compared to 4.8% at Moody's last review. Moody's base expected loss plus realized losses is now 3.5% of the original pooled balance, compared to 4.0% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except the interest-only classes 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 classes 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. Please see the list of ratings at the top of this announcement to identify which classes are interest-only (indicated by the *). Please see the Rating Methodologies page on www.moodys.com for a copy of these methodologies. DEAL PERFORMANCE As of the June 12, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 18% to $1.09 billion from $1.33 billion at securitization. The certificates are collateralized by 67 mortgage loans ranging in size from less than 1% to 11% of the pool, with the top ten loans (excluding defeasance) constituting 47% of the pool. Thirteen loans, constituting 26% of the pool, have defeased and are secured by US government securities. Moody's uses a variation of Herf to measure the diversity of loan sizes, where a higher number represents greater diversity. Loan concentration has an important bearing on potential rating volatility, including the risk of multiple notch downgrades under adverse circumstances. The credit neutral Herf score is 40. The pool has a Herf of 17, compared to a Herf of 19 at Moody's last review. Nine loans, constituting 19% 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 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. The one loan in special servicing is the Emerald Coast Hotel Portfolio ($16.6 million -- 1.5% of the pool). The loan is secured by a 112-unit Hilton Garden Inn and 81-unit Hampton Inn in Clarksburg and Elkins, West Virginia, respectively. The loan initially transferred to special servicing in April 2017 for imminent non-monetary default and subsequently became real estate owned (REO) in November 2017. Property performance has deteriorated since securitization due to declines in RevPAR. Moody's has also assumed a high default probability for one poorly performing loan constituting less than 1% of the pool, and has estimated an aggregate loss of $10.5 million (a 56% expected loss on average) from the specially serviced loan and the troubled loan. Moody's received full year 2018 operating results for 84% of the pool, and partial year 2019 operating results for 40% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 95%, compared to 94% 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 9% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.1%. Moody's actual and stressed conduit DSCRs are 1.38X and 1.11X, respectively, compared to 1.40X and 1.11X 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. As of the June 2019 remittance date, the top three conduit loans represented 24.5% of the pool balance. The largest loan is the Dream Hotel Downtown Net Lease Loan ($120.0 million -- 11.0% of the pool), which is secured by the borrower's fee simple interest in a parcel of land located at 17th Street and 9th Avenue in Chelsea, Manhattan. The collateral is encumbered by an additional $35 million of unsecured subordinate debt. The borrower's interest in the property is subject to the rights of the Net Lease tenants under two separate Net Leases, Northquay Properties, LLC (Hotel Tenant) and Northglen Properties LLC (Banquet/Conference Space Tenant). The Net Leases are structured with step ups in lease payments and have terms that expire in September 2112. The loan is interest-only for its entire term. Moody's LTV and stressed DSCR are 96% and 0.72X, respectively, the same as at the last review. The loan has defeased as of the July 2019 remittance date and Moody's had taken this into account in its analysis. The second largest loan is the Poughkeepsie Galleria Loan ($78.0 million -- 7.2% of the pool), which represents a pari-passu portion of $141.7 million senior mortgage. The loan is also encumbered by $21 million of mezzanine debt. The loan is secured by a 691,000 square foot (SF) portion of a 1.2 million SF regional mall located about 70 miles north of New York City in Poughkeepsie, New York. Mall anchors include J.C. Penney, Regal Cinemas, and Dick's Sporting Goods as part of the collateral. Non-collateral anchors include Macy's, Best Buy, Target and Sears. As of the December 2018 rent roll the collateral was 83% leased, compared to 87% in December 2017. The decline in occupancy is largely due to K1 Speed (39,087 SF; 6.8% of the collateral SF) vacating upon lease expiration. For the trailing twelve month period ending December 2018 average in-line tenant sales ( VERUS 2019-INV2: S&P Assigns Prelim B (sf) Rating to Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2019-INV2's mortgage pass-through certificates. The certificate issuance is a residential mortgage-backed securities (RMBS) transaction backed by U.S. residential mortgage loans. The preliminary ratings are based on information as of July 12, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The representation and warranty framework for this transaction; and -- The mortgage aggregator, Invictus Capital Partners. PRELIMINARY RATINGS ASSIGNED Verus Securitization Trust 2019-INV2 Class Rating(i) Amount ($) A-1 AAA (sf) 241,471,000 A-2 AA (sf) 28,408,000 A-3 A (sf) 39,477,000 M-1 BBB- (sf) 24,903,000 B-1 BB- (sf) 16,234,000 B-2 B (sf) 11,252,000 B-3 NR 7,195,214 A-IO-S NR 368,940,314(ii) XS NR 368,940,314(ii) P NR 100 R NR N/A (i)The collateral and structural information in this report reflect the term sheet dated July 8, 2019; the preliminary ratings assigned to the classes address the ultimate payment of interest and principal. (ii)Notional amount equals the loans' stated principal balance. N/A--Not applicable. NR--Not rated. WELLS FARGO 2016-LC24: Fitch Affirms BB-sf Rating on 2 Tranches --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2016-LC24 Commercial Mortgage Pass-Through Certificates. WFCM 2016-LC24 Class A-1 LT AAAsf Affirmed; previously at AAAsf Class A-2 LT AAAsf Affirmed; previously at AAAsf Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-4 LT AAAsf Affirmed; previously at AAAsf Class A-S LT AAAsf Affirmed; previously at AAAsf Class A-SB LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB-sf Affirmed; previously at BBB-sf Class E LT BB+sf Affirmed; previously at BB+sf Class F LT BB-sf Affirmed; previously at BB-sf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT AA-sf Affirmed; previously at AA-sf Class X-D LT BBB-sf Affirmed; previously at BBB-sf Class X-EF LT BB-sf Affirmed; previously at BB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the pool's generally stable performance that remains in line with Fitch's expectations at issuance. No loans have transferred to special servicing since issuance and there are five Fitch Loans of Concern (FLOCs; 3.6%). As property-level performance is generally in line with issuance expectations, the original rating analysis was considered in affirming the transaction. Minimal Change to Credit Enhancement: As of the June 2019 distribution date, the pool's aggregate balance has been paid down by 3.4% to $1.01 billion from $1.05 billion at issuance. Based on the scheduled balance at maturity, the pool will pay down by 12.9%, which is above historical averages for similar vintages. Fifteen loans (16.7%) are full term interest-only (IO), while 26 loans (28.9%) remain in their partial IO periods. There are seven ARD loans, which comprise 7.5% of the pool balance. Fitch Loans of Concern: Fitch has designated five loans (3.6%) as FLOCs due to performance declines. The largest FLOC is One and Two Corporate Plaza loan (1.9%), which is secured by a 276,000 sf suburban office property located in Houston, T The loan has suffered from a cash flow decline driven by a decrease in rental income and expense reimbursements as occupancy has fallen. Per Reis (1Q 2019), the submarket had a vacancy rate of 22.6%. As of year-end 2018, the property was 78% occupied with a servicer reported 1.03x NOI DSCR. The second largest FLOC is the Clear Creek Landing Apartments loan (1%), which is secured by a 200 unit multi-family property located in Houston, T The property was damaged during Hurricane Harvey, subsequently resulting in an occupancy decline to 53% as of year-end 2018. According to servicer updates, repairs have been completed and occupancy is expected to rebound. No other FLOC comprises more than 0.35% of the pool. Fitch will continue to monitor all FLOCS going forward. Additional Considerations Co-Op Collateral: The pool contains 14 loans (6.2%) secured by multifamily co-ops. Thirteen of the co-ops in this transaction are located within the greater New York City metro area, with the remaining one in Washington, D.C. WELLS FARGO 2017-C39: Fitch Affirms B-sf Rating on Cl. G-RR Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2017-C39 commercial mortgage pass-through certificates. WFCM 2017-C39 Class A-1 LT AAAsf Affirmed; previously at AAAsf Class A-2 LT AAAsf Affirmed; previously at AAAsf Class A-3 LT AAAsf Affirmed; previously at AAAsf Class A-4 LT AAAsf Affirmed; previously at AAAsf Class A-5 LT AAAsf Affirmed; previously at AAAsf Class A-S LT AAAsf Affirmed; previously at AAAsf Class A-SB LT AAAsf Affirmed; previously at AAAsf Class B LT AA-sf Affirmed; previously at AA-sf Class C LT A-sf Affirmed; previously at A-sf Class D LT BBB+sf Affirmed; previously at BBB+sf Class E-RR LT BBB-sf Affirmed; previously at BBB-sf Class F-RR LT BB-sf Affirmed; previously at BB-sf Class G-RR LT B-sf Affirmed; previously at B-sf Class X-A LT AAAsf Affirmed; previously at AAAsf Class X-B LT A-sf Affirmed; previously at A-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The overall pool performance remains stable from issuance. There are no delinquent or specially serviced loans. While four loans (4.1%) are on the servicer's watchlist due to deferred maintenance or declining occupancy, none were considered Fitch Loans of Concern. Minimal Change to Credit Enhancement: As of the June 2019 distribution date, the pool's aggregate balance has been reduced by 0.6% to $1.126 billion, from $1.132 billion at issuance. At issuance, based on the scheduled balance at maturity, the pool was expected to pay down 7.1% prior to maturity. Fourteen loans (49.7%) are full-term interest only, including 10 loans (43.3%) within the top 15. 26 loans (33.5%) are partial interest only, of which nine (9.9%) have exited their respective interest only period. The remaining loans are amortizing. Pool Concentrations: Loans backed by office properties represent 36.4% of the pool, including seven loans (31.1%) in the top 15. Three loans (14.4%) are secured by office properties located in New York City. Loans backed by retail properties represent 30.1% of the pool, including four loans (15.8%) in the top 15. Regional mall exposure consists of the Lakeside Shopping Center (5.2%) in Metairie, LA which is anchored by Dillard's, Macy's and JC Penney and Del Amo Fashion Center (2.7%) in Torrance, CA, which has exposure to Macy's and Sears as non-collateral anchors and JC Penney, Nordstrom and Dick's Sporting Goods as collateral anchors. Loans backed by hotel properties represent 16.2% of the pool, including two loans (6%) in the top 15. Investment-Grade Credit Opinion Loans: Four of the top 15 loans (16.9%) at issuance were assigned standalone investment grade credit opinions; 225 & 233 Park Avenue South (6.2%), 245 Park Avenue (4%), Two Independence Square (4%) and Del Amo Fashion Center (2.7%) received investment grade standalone credit opinions of 'BBB-sf', 'BBB-sf', 'A-sf' and 'BBBsf', respectively. WELLS FARGO 2019-C51: Fitch Rates $7.295MM Class G-RR Certs B-sf ---------------------------------------------------------------- Fitch Ratings has assigned the following ratings and Rating Outlooks to Wells Fargo Commercial Mortgage Trust 2019-C51 commercial mortgage pass-through certificates, Series 2019-C51: -- $22,389,000 class A-1 'AAAsf'; Outlook Stable; -- $45,489,000 class A-2 'AAAsf'; Outlook Stable; -- $29,432,000 class A-SB 'AAAsf'; Outlook Stable; -- $200,000,000 class A-3 'AAAsf'; Outlook Stable; -- $213,326,000 class A-4 'AAAsf'; Outlook Stable; -- $510,636,000a class X-A 'AAAsf'; Outlook Stable; -- $130,394,000a class X-B 'A-sf'; Outlook Stable; -- $62,005,000 class A-S 'AAAsf'; Outlook Stable; -- $36,474,000 class B 'AA-sf'; Outlook Stable; -- $31,915,000 class C 'A-sf'; Outlook Stable; -- $11,489,000ab class X-D 'BBB+sf'; Outlook Stable; -- $11,489,000b class D 'BBB+sf'; Outlook Stable; -- $25,897,000bc class E-RR 'BBB-sf'; Outlook Stable; -- $18,237,000bc class F-RR 'BB-sf'; Outlook Stable; -- $7,295,000bc class G-RR 'B-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $25,532,090bc class H-RR. (a)Notional amount and interest only. (b)Privately placed and pursuant to Rule 144A. (c)Horizontal credit risk retention interest representing no less than 5% of the estimated fair value of all classes of regular certificates issued by the issuing entity as of the closing date. The ratings are based on information provided by the issuer as of July 11, 2019. Since Fitch published its presale on June 17, 2019, the class balances for class A-3 and A-4 have been finalized. At the time the classes were assigned expected ratings, the class A-3 balance range was $50,000,000-$200,000,000 and the class A-4 balance range was $213,326,000-$363,326,000. The final class sizes for class A-3 and A-4 are $200,000,000 and $213,326,000, respectively. Additionally, the initial certificate balances for classes X-D, D and E-RR changed. Previously the balances of classes X-D, D and E-RR were $11,854,000, $11,854,000 and $25,532,000, respectively, and now the final balances are $11,489,000, $11,489,000 and $25,897,000. The classes above reflect the final ratings and deal structure. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 54 loans secured by 105 commercial properties with an aggregate principal balance of $729,480,091 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, UBS AG, Rialto Mortgage Finance, LLC, Barclays Capital Real Estate Inc. and C-III Commercial Mortgage LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 67.9% of the properties by balance, cash flow analysis of 84.7% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage In-Line with Recent Transactions: The pool's Fitch DSCR of 1.21x is consistent with the 2018 and 2019 YTD averages of 1.22x and 1.22x, respectively, for other Fitch-rated multi-borrower transactions. The pool's Fitch LTV of 105.6% is slightly above the 2018 and 2019 YTD averages of 102.0% and 101.8%, respectively, Above-Average Pool Concentration: The pool is more concentrated than recent Fitch-rated multi-borrower transactions. The largest 10 loans comprise 54.7% of the pool, greater than the average top 10 concentrations for 2018 and 2019 YTD of 50.6% and 51.1%, respectively. The concentration results in an LCI of 406, which is higher than the respective 2018 and 2019 YTD averages of 373 and 380. For this transaction, the losses estimated by Fitch's deterministic test at 'AAAsf' exceeded the base model loss estimate. High Office Concentration: The largest property-type concentration is office at 44.7% of the pool, followed by retail at 29.9%. The pool's office concentration is substantially above the 2018 and 2019 YTD averages for office of 31.9% and 32.9%, respectively, for other Fitch-rated multiborrower transactions. Loans secured by office properties have an average probability of default in Fitch's multiborrower model. RATING SENSITIVITIES For this transaction, Fitch's net cash flow (NCF) was 16.9% below the most recent year's net operating income (NOI) for properties for which a full-year NOI was provided, excluding properties that were stabilizing during this period. Unanticipated further declines in property-level NCF could result in higher defaults and loss severities on defaulted loans and in potential rating actions on the certificates. Fitch evaluated the sensitivity of the ratings assigned to the WFCM 2019-C51 certificates and found that the transaction displays average sensitivities to further declines in NCF. In a scenario in which NCF declined a further 20% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB+sf' could result. In a more severe scenario, in which NCF declined a further 30% from Fitch's NCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf' could result. [*] DBRS Reviews 144 Classes From 33 US RMBS Transactions --------------------------------------------------------- DBRS, Inc. reviewed 144 classes from 33 U.S. residential mortgage-backed security (RMBS) transactions. Of the 144 classes reviewed, DBRS upgraded 38 ratings, confirmed 93 ratings and discontinued 13 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 a result of DBRS's application of the "RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology" published in June 2019. The pools backing these RMBS transactions consist of prime, subprime, scratch and dent, option adjustable-rate mortgage, Alt-A, ReREMIC, non-qualified mortgage, and reperforming collateral. The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect certain structural features that are not fully reflected in the quantitative model output or additional seasoning is required to substantiate further upgrade. The issuers are: -- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 4A1 -- CSMC Series 2014-4R, CSMC Series 2014-4R, 21-A-1 -- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-2 -- Ajax Mortgage Loan Trust 2017-B, Mortgage-Backed Notes, Series 2017-B, Class M-1 -- Ajax Mortgage Loan Trust 2017-B, Mortgage-Backed Notes, Series 2017-B, Class M-2 -- COLT 2018-1 Mortgage Loan Trust, COLT 2018-1 Mortgage Pass-Through Certificates, Series 2018-1, Class M-1 -- COLT 2018-1 Mortgage Loan Trust, COLT 2018-1 Mortgage Pass-Through Certificates, Series 2018-1, Class B-1 -- COLT 2018-3 Mortgage Loan Trust, COLT 2018-3 Mortgage Pass-Through Certificates, Series 2018-3, Class A-3 -- COLT 2018-3 Mortgage Loan Trust, COLT 2018-3 Mortgage Pass-Through Certificates, Series 2018-3, Class B-2 -- MetLife Securitization Trust, 2017-1, Residential Mortgage-Backed Securities, Series 2017-1, Class M2 The Affected Ratings are available at: https://bit.ly/2JPkbxv ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. 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