/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190811.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, August 11, 2019, Vol. 23, No. 222 Headlines AMERICAN CREDIT 2019-3: S&P Assigns Prelim B (sf) Rating to F Notes ANCHORAGE CAPITAL 11: S&P Assigns Prelim BB- Rating to Cl. E Notes ANGEL OAK 2019-4: S&P Assigns B (sf) Rating on Class B-2 Certs AVID AUTOMOBILE 2018-1: S&P Affirms BB- (sf) Rating on Cl. C Notes BBCMS MORTGAGE 2019-C4: Fitch to Rate 2 Tranches 'B-sf' BEAR STEARNS 2004-TOP16: Fitch Upgrades Class K Certs to BBsf BENCHMARK 2019-B12: S&P Assigns BB (sf) Rating to Class WM-C Certs BENEFIT STREET X: S&P Rates $20MM Class D-R Notes 'BB (sf)' BRAVO RESIDENTIAL 2019-NQM1: Fitch to Rate Class B2 Debt 'B(EXP)' C-BASS MORTGAGE 2007-CB4: Moody's Cuts Cl. A-1A Certs Rating to B1 CD 2019-CD8: Fitch to Rate $8.832MM Class G-RR Debt 'B-sf' CF TRUST 2019-MF1: S&P Assigns Prelim B-(sf) Rating to Cl. F Certs CIFC FUNDING 2019-V: Moody's Gives Ba3 Rating on $25MM Cl. D Notes CONNECTICUT AVENUE 2019-R05: S&P Assigns B+ Rating to 1M-2 Notes CREDIT SUISSE 2007-C3: Moody's Affirms Class A-J Certs at Caa2 CSFB MORTGAGE 2004-4: Moody's Lowers Cl. I-A-7 Debt Rating to Caa1 DIAMOND RESORTS 2019-1: S&P Assigns Prelim BB+ Rating to D Notes FLAGSHIP CREDIT 2019-3: S&P Assigns Prelim BB- Rating to E Notes FREDDIE MAC 2019-FTR2: S&P Assigns Prelim B+ Rating to M-2 Notes GSAA HOME 2007-7: Moody's Confirms B1 Rating on 2 Tranches HALCYON LOAN 2012-1: S&P Lowers Class D Notes Rating to CCC (sf) HARBORVIEW MORTGAGE 2005-12: Moody's Cuts Cl. X-1 Debt Rating to C HPS LOAN 15-2019: S&P Assigns Prelim B- (sf) Rating to Cl. F Notes HULL STREET CLO: S&P Affirms BB- (sf) Rating on Class E Notes JAMESTOWN LTD IX: Moody's Rates $20.1MM Class D-R Notes 'Ba3' JP MORGAN 2012-CIBX: Moody's Affirms Caa1 on Class G Debt JPMDB COMMERCIAL 2016-C4: Fitch Affirms B-sf Rating on Cl. F Certs MERRILL LYNCH 1998-C1-CTL: Moody's Cuts IO Certs Rating to Caa3 MRU STUDENT 2008-A: S&P Affirms B- (sf) Rating on Class A-1A Notes NEW RESIDENTIAL 2019-4: Moody's Assigns (P)B1 Rating to B-7 Debt NEW RESIDENTIAL 2019-RPL2: Moody's Rates Class B-2 Debt 'B3' NRZ ADVANCE 2019-T2: S&P Assigns Prelim 'BB' Rating to E-T2 Notes OCWEN MASTER 2019-T1: S&P Assigns Prelim BB Rating to E-T1 Notes SHACKLETON LTD 2019-XIV: Moody's Rates $21.65MM Class D Notes 'Ba3' SLM STUDENT 2003-4: Fitch Lowers Ratings on 6 Tranches to Bsf SLM STUDENT 2003-7: Fitch Lowers Ratings on 3 Tranches to Bsf UBS-BARCLAYS 2012-C2: Moody's Lowers Class G Debt Rating to Caa2 UNITED AUTO 2018-2: S&P Raises Class F Notes Rating to B+ (sf) VENTURE LTD 38: Moody's Assigns Ba3 Rating on $31.2MM Class E Notes VERUS 2019-3: S&P Assigns Prelim B (sf) Rating to Class B-2 Certs WAMU COMMERCIAL 2007-SL2: Fitch Affirms Dsf Ratings on 6 Tranches ********* AMERICAN CREDIT 2019-3: S&P Assigns Prelim B (sf) Rating to F Notes ------------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to American Credit Acceptance Receivables Trust 2019-3's asset-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 7, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 66.21%, 59.67%, 49.76%, 41.75%, 37.08%, and 33.86% credit support for the class A, B, C, D, E, and F notes, respectively, based on stressed cash flow scenarios (including excess spread). These credit support levels provide more than 2.32x, 2.07x, 1.68x, 1.36x, 1.20x and 1.10x coverage of S&P's expected net loss range of 27.75%-28.75% for the class A, B, C, D, E, and F notes, respectively. -- The timely interest and principal payments made to the preliminary rated notes by the assumed legal final maturity dates under S&P's stressed cash flow modeling scenarios that it believes are appropriate for the assigned preliminary ratings. The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A, B, and C notes would not be lowered from its preliminary 'AAA (sf)', 'AA (sf)', and 'A (sf)' ratings, respectively, during the first year; the rating on the class D notes would remain within two rating categories of its preliminary 'BBB (sf)' rating during the first year; and the ratings on the class E and F notes would remain within two rating categories of the preliminary 'BB- (sf)' and 'B (sf)' ratings, respectively, in the first year, though the notes are expected to default by their legal final maturity date with approximately 82.0%-99.7% and 0% of principal repayment, respectively. These potential rating movements are within the limits specified in S&P's credit stability criteria. -- The collateral characteristics of the subprime automobile loans securitized in this transaction. -- The backup servicing arrangement with Wells Fargo Bank N.A. -- The transaction's payment and credit enhancement structures. -- The transaction's legal structure. PRELIMINARY RATINGS ASSIGNED American Credit Acceptance Receivables Trust 2019-3 Class Rating Amount (mil. $)(i) A AAA (sf) 117.99 B AA (sf) 33.83 C A (sf) 62.70 D BBB (sf) 44.89 E BB- (sf) 24.75 F B (sf) 18.65 (i)The actual size of these tranches will be determined on the pricing date. ANCHORAGE CAPITAL 11: S&P Assigns Prelim BB- Rating to Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to Anchorage Capital CLO 11 Ltd./Anchorage Capital CLO 11 LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Aug. 2, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- 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; and -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Anchorage Capital CLO 11 Ltd. /Anchorage Capital CLO 11 LLC Class Rating Amount (mil. $) A NR 248.00 B AA (sf) 46.00 C (deferrable) A (sf) 28.00 D (deferrable) BBB- (sf) 27.00 E (deferrable) BB- (sf) 16.00 Subordinated notes NR 36.69 NR--Not rated. ANGEL OAK 2019-4: S&P Assigns B (sf) Rating on Class B-2 Certs -------------------------------------------------------------- S&P Global Ratings assigned its ratings to Angel Oak Mortgage Trust 2019-4's mortgage pass-through certificates. The issuance is a residential mortgage-backed securities (RMBS) transaction backed by first-lien, second-lien, fixed- and adjustable-rate, fully amortizing, and interest-only residential mortgage loans secured by single-family residential properties, townhouses, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 1,551 loans, which are primarily nonqualified mortgage loans. The ratings reflect: -- The pool's collateral composition; -- The credit enhancement provided for this transaction; -- The transaction's associated structural mechanics; -- The transaction's representation and warranty framework; and -- The mortgage originators. RATINGS ASSIGNED Angel Oak Mortgage Trust 2019-4 Class Rating Amount ($) A-1 AAA (sf) 333,968,000 A-2 AA (sf) 38,256,000 A-3 A (sf) 73,998,000 M-1 BBB- (sf) 47,750,000 B-1 BB (sf) 24,014,000 B-2 B (sf) 24,573,000 B-3 NR 15,916,617 A-IO-S NR $356,626,078(i) XS NR $558,475,617(ii) R NR N/A (i)The notional amount equal to the aggregate scheduled principal balance on servicing released mortgage loans. (ii)The notional amount equal to the aggregate scheduled principal balance of mortgage loans. NR--Not rated. N/A--Not applicable. AVID AUTOMOBILE 2018-1: S&P Affirms BB- (sf) Rating on Cl. C Notes ------------------------------------------------------------------ S&P Global Ratings raised its rating on one class and affirmed its ratings on two classes from Avid Automobile Receivables Trust 2018-1's automobile receivables-backed notes series 2018-1. The note issuance is an asset-backed securities (ABS) transaction backed by subprime auto loan receivables. "The rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as the transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses. Considering all these factors, we believe the creditworthiness of the notes remains consistent with the raised and affirmed ratings. The maximum potential rating on these notes is capped at 'A (sf)'," S&P said. "In our view, series 2018-1's expected cumulative net loss (CNL) is trending lower than our original expectations, mainly as a result of repurchases of some defaulted and delinquent receivables that occurred during the first year of the transaction. This likely kept losses from breaching their monthly CNL performance triggers. However, there have been no repurchases since February 2019, and the transaction's current losses are expected to remain below their monthly CNL triggers," S&P said. With 18 months of performance, series 2018-1 has a pool factor of 49.88% and has experienced a CNL of 4.76% after accounting for repurchases. S&P's original expected CNL at issuance was 14.00%-15.00%. After reviewing the pool's performance and accounting for their repurchase activity, S&P lowered its expected lifetime CNL range to 12.75%-13.75%. Table 1 Collateral Performance (%) As of the July 2019 distribution date Pool Current 60+ day Series Mo. factor CNL delinq. 2018-1 18 49.88 4.76 3.91 Mo.--Month. CNL--Cumulative net loss. Delinq.--Delinquencies. Table 2 CNL Expectations (%) Original Revised lifetime lifetime Series CNL exp. CNL exp. 2018-1 14.00-15.00 12.75-13.75 CNL exp.--Cumulative net loss expectations. The transaction contains a sequential principal payment structure in which the notes are paid principal by seniority. It also has credit enhancement in the form of subordinated notes, a nonamortizing reserve account, overcollateralization, and excess spread. The reserve account and overcollateralization amount are at their specified targets, 2.00% and 9.00%, respectively, of initial receivables, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. The transaction has a CNL trigger that is tested monthly and, if breached, causes the transaction to direct all excess cash toward paying down the notes. The trigger is curable if CNL remains below the monthly CNL trigger for five consecutive months. However, any credit enhancement that is built prior to the trigger being cured remains in the transaction and would not be released. Table 3 Hard Credit Support (%) As of the July 2019 distribution date Total hard Current total hard credit support credit support Series Class at issuance(i) (% of current)(i) 2018-1 A 24.65 48.39 2018-1 B 14.30 27.64 2018-1 C 6.00 11.00 (i)Calculated as a percentage of the total gross receivables pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. "We incorporated an analysis of the current hard credit enhancement compared to the remaining expected CNL for the class A in which hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our opinion, to affirm the capped rating at 'A (sf)'," S&P said. For the other classes, S&P incorporated cash flow analyses to assess the loss coverage level, giving credit to excess spread. The rating agency's cash flow scenarios included forward-looking assumptions on recoveries, the timing of losses, and voluntary absolute prepayment speeds that it believes is appropriate given the transaction's performance to date. S&P also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on its ratings if losses began trending higher than its revised base case loss expectation. The results show consistency with the rating agency's credit stability criteria for each raised and affirmed rating. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at the raised and affirmed rating levels. S&P will continue to monitor the performance of these transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes," S&P said. RATING RAISED Avid Automobile Receivables Trust 2018-1 Rating Class To From B BBB+ (sf) BBB (sf) RATINGS AFFIRMED Avid Automobile Receivables Trust 2018-1 Class Rating A A (sf) C BB- (sf) BBCMS MORTGAGE 2019-C4: Fitch to Rate 2 Tranches 'B-sf' ------------------------------------------------------- Fitch Ratings has issued a presale report on BBCMS Mortgage Trust 2019-C4 commercial mortgage pass-through certificates, series 2019-C4. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $24,699,000d class A-1 'AAAsf'; Outlook Stable; -- $22,190,000d class A-2 'AAAsf'; Outlook Stable; -- $11,700,000d class A-3 'AAAsf'; Outlook Stable; -- $190,000,000de class A-4 'AAAsf'; Outlook Stable; -- $371,934,000de class A-5 'AAAsf'; Outlook Stable; -- $35,614,000d class A-SB 'AAAsf'; Outlook Stable; -- $656,137,000ad class X-A 'AAAsf'; Outlook Stable; -- $179,266,000ad class X-B 'A-sf'; Outlook Stable; -- $100,764,000d class A-S 'AAAsf'; Outlook Stable; -- $41,008,000d class B 'AA-sf'; Outlook Stable; -- $37,494,000d class C 'A-sf'; Outlook Stable; -- $41,009,000abd class X-D 'BBB-sf'; Outlook Stable; -- $17,575,000abd class X-F 'BB-sf'; Outlook Stable; -- $9,373,000abd class X-G 'B-sf'; Outlook Stable; -- $23,433,000bd class D 'BBBsf'; Outlook Stable; -- $17,576,000bd class E 'BBB-sf'; Outlook Stable; -- $17,575,000bd class F 'BB-sf'; Outlook Stable; -- $9,373,000bd class G 'B-sf'; Outlook Stable. The following class is not expected to be rated by Fitch: -- $33,979,142bcd class H-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal credit-risk retention interest. (d) Rialto Real Estate Fund III - Debt, LP will retain or cause majority owned affiliates to retain approximately 4.23% of each class of certificates as of the closing date as a vertical credit risk retention piece. (e) The initial certificate balances of classes A-4 and A-5 are unknown and expected to be $561,934,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-4 balance range is $100,000,000 to $280,000,000, and the expected class A-5 balance range is $281,934,000 to $461,934,000. Fitch's certificate balances for classes A-4 and A-5 are assumed at the midpoint of the range for each class. The expected ratings are based on information provided by the issuer as of Aug. 5, 2019. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 73 loans secured by 377 commercial properties having an aggregate principal balance of $937,339,143 as of the cut-off date. The loans were contributed to the trust by Barclays Capital Real Estate Inc., Societe Generale Financial Corporation, UBS AG, Starwood Mortgage Capital LLC, Rialto Real Estate Fund III - Debt, LP, CIBC Inc. and Natixis Real Estate Capital LLC. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 65.5% of the properties by balance, cash flow analysis of 78.2% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage Lower than Recent Transactions: The pool has lower leverage than other Fitch-rated multiborrower transactions. The pool's Fitch debt service coverage ratio (DSCR) of 1.25x is better than the 2018 average of 1.22x and YTD 2019 average of 1.21x. The pool's Fitch loan-to-value (LTV) of 101.5% is slightly better than the 2018 and YTD 2019 averages of 102.0%. Above-Average Pool Diversification: The pool is more diverse than other recent Fitch-rated multiborrower transactions. The largest 10 loans represent 38.9% of the pool, which is significantly below the 2018 average of 50.6% and YTD 2019 average of 52.5%. The pool's LCI score of 262 is lower than the respective 2018 and 2019 YTD averages of 373 and 395. Credit Opinion Loans: Four loans, representing 12.2% of the pool, received investment-grade credit opinions. Three loans, 2 North 6th Place (2.1% of the pool), ILPT Hawaii Portfolio (2.0% of the pool) and 10000 Santa Monica Boulevard (1.1% of the pool), received stand-alone credit opinions of 'BBBsf*'. The pool's largest loan, Moffett Towers II - Buildings 3 & 4 (6.9% of the pool), received a stand-alone credit opinion of 'BBB-sf*'. Excluding credit-opinion loans, the pool has a Fitch DSCR and LTV of 1.25x and 106.2%, respectively. BEAR STEARNS 2004-TOP16: Fitch Upgrades Class K Certs to BBsf ------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed four classes of Bear Stearns Commercial Mortgage Securities Trust, series 2004-TOP16, commercial mortgage pass-through certificates. Bear Stearns Commercial Mortgage Securities Trust 2004-TOP16 Current Rating Prior Rating Class K LT BBsf Upgrade previously at Bsf Class L LT Dsf Affirmed previously at Dsf Class M LT Dsf Affirmed previously at Dsf Class N LT Dsf Affirmed previously at Dsf Class O LT Dsf Affirmed previously at Dsf KEY RATING DRIVERS Increased Credit Enhancement: The upgrade of class K is due to increased credit enhancement since Fitch's last rating action from loan payoffs and continued scheduled amortization. Ten loans (75.8% of the last rating action pool balance) were repaid in full and one REO asset, Wal-Mart - Carlyle Plaza, was disposed with recoveries in-line with Fitch's expectations. As of the July 2019 remittance report, the pool's aggregate principal balance has been reduced by 99.8% to $2.0 million from $1.16 billion at issuance. Realized losses to date total $17.8 million (1.5% of original pool balance). Cumulative interest shortfalls totaling $1.7 million are affecting classes L through P. Stable Loss Expectations: The performance of the remaining pool, which consists of four low leveraged and fully amortizing loans, is stable. All loans are current and none are considered Fitch Loans of Concern (FLOCs). The two largest loans, Callaway Marketplace (67.0% of current pool) and 6100 Penn Avenue (20.5%), have significant tenant lease rollover during the loan term. The Callaway Marketplace loan is secured by a 44,907-sf grocer-anchored neighborhood retail property located in Callaway, MD; the property's grocer anchor, WEIS Markets (85% of NRA), has a lease rolling in 2021, with four, five-year renewal options remaining. The 6100 Penn Avenue loan is secured by a 9,761-sf single-tenant retail building in Pittsburgh, PA leased to CVS through June 2021. The major tenant or the single tenant at both of these properties roll prior to their scheduled 2024 loan maturities. The two smaller loans in the pool, 10400 Technology Drive (7.0%) and Belmont Park Apartments (5.5%), have scheduled maturities within the next two months; these two loans are expected to be repaid in full due to strong occupancy and low leverage. The 10400 Technology Drive loan, which is secured by a 228,000-sf single tenant industrial warehouse/distribution center in Tuscaloosa, AL, was previously designated a FLOC due to the prior single tenant, Rite Aid, vacating upon its January 2017 lease expiration. Michelin North America has since executed a new lease, which began in March 2018 for 100% of the NRA, with an expiration in April 2030. The servicer-reported NOI debt service coverage ratio (DSCR) improved to 1.81x for the first three months in 2019 from 1.06x at YE 2018 and -0.19x at YE 2017. The Belmont Park Apartments loan, which is secured by a 125-unit multifamily complex in Atwater, CA, has exhibited stable occupancy and cash flow since issuance; the property was 97.6% occupied as of March 2019 and the YE 2018 servicer-reported NOI DSCR was 1.72x. Concentrated Pool; Alternative Loss Consideration: Due to the concentrated nature of the pool, Fitch performed a look-through analysis, which grouped the remaining loans based on structural features, collateral quality and performance, and ranked them by their perceived likelihood of repayment. The rating of class K was capped at 'BBsf' due to this class' reliance on the two largest loans, Callaway Marketplace (67.0% of current pool) and 6100 Penn Avenue (20.5%); both properties have significant tenant lease rollover during the loan term. BENCHMARK 2019-B12: S&P Assigns BB (sf) Rating to Class WM-C Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Benchmark 2019-B12 Mortgage Trust's commercial mortgage pass-through certificates. The certificate issuance is commercial mortgage-backed securities (CMBS) transaction backed by 47 commercial mortgage loans with an aggregate principal balance of $1,181.87 million ($1,429.3 million including Woodlands Mall and The Centre subordinate companion loans; $1,040.2 million of offered certificates), secured by the fee and leasehold interests in 117 properties across 29 states. The ratings assigned reflect the credit support provided by the transaction's structure, S&P's view of the underlying collateral's economics, the trustee-provided liquidity, the collateral pool's relative diversity, and S&P's overall qualitative assessment of the transaction. RATINGS ASSIGNED Benchmark 2019-B12 Mortgage Trust Class(i) Rating Amount ($) A-1 AAA (sf) 16,310,000 A-2 AAA (sf) 221,930,000 A-3 AAA (sf) 5,920,000 A-4 AAA (sf) 215,000,000 A-5 AAA (sf) 321,699,000 A-AB AAA (sf) 22,612,000 X-A(ii) AA (sf) 946,949,000(iii) A-S AA (sf) 143,478,000 B NR 50,217,000 C NR 43,043,000 X-B(ii)(iv) NR 93,260,000(iii) X-D(ii)(iv) NR 41,608,000(iii) D(iv) NR 24,391,000 E(iv) NR 17,217,000 F-RR(iv) NR 20,087,000 G-RR(iv) NR 11,478,000 J-RR(iv) NR 34,435,107 VRR interest(v) NR 34,054,400 WM-A(vi) A- (sf) 78,436,000 WM-B(vi) BBB- (sf) 48,094,000 WM-C(vi) BB (sf) 42,000,000 WMRR interest(vii) NR 8,870,000 TC-A(viii) A+ (sf) 9,600,000 TC-B(viii) BBB+ (sf) 8,900,000 TC-C(viii) BB+ (sf) 10,400,000 TC-D(viii) B+ (sf) 10,300,000 TC-E(viii) NR 25,800,000 TCRR(viii) NR 5,000,000 (i)The certificates will be issued to qualified institutional buyers according to Rule 144A of the Securities Act of 1933. (ii)Interest-only class. (iii)Notional balance. The notional amount of the class X-A certificates will be equal to the aggregate certificate balance of the class A-1, A-2, A-3, A-4, A-5, A-AB, and A-S certificates. The notional amount of the class X-B certificates will be equal to the aggregate certificate balance of the class B and C certificates. The notional amount of the class X-D certificates will be equal to the aggregate certificate balance of the class D and E certificates. (iv)Non-offered certificates. (v)Non-offered eligible vertical interest. (vi)Non-offered loan specific certificates tied to the Woodlands Mall trust companion loan. (vii)Non-offered vertical risk retention interest tied to Woodlands Mall trust companion loan. (viii)Non-offered loan specific certificates tied to The Centre trust companion loan. NR--Not rated. BENEFIT STREET X: S&P Rates $20MM Class D-R Notes 'BB (sf)' ----------------------------------------------------------- S&P Global Ratings assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Benefit Street Partners CLO X Ltd., a collateralized loan obligation (CLO) originally issued in December 2016 that is managed by Benefit Street Partners LLC. S&P withdrew its ratings on the original class A-1, A-2, B, C, and D notes following payment in full on the Aug. 2, 2019, refinancing date. On the Aug. 2, 2019, refinancing date, the proceeds from the class A-1-R, A-2-R, B-R, C-R, and D-R replacement note issuances were used to redeem the original class A-1, A-2, B, C, and D notes as outlined in the transaction document provisions. Therefore, S&P withdrew its ratings on the original notes in line with their full redemption, and it is assigning ratings to the replacement notes. The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also allow for a replacement base rate from LIBOR to the designated reference rate. The terms include: -- Modifying the reference rate to allow for amendments from LIBOR to an alternative designated reference rate, -- Re-establishing the non-call period to end in August 2020, -- Including the S&P Global Ratings factor, and -- Extending the weighted average life test by one year. "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," S&P said, adding that its 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," S&P said. S&P will continue to review whether, in its view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and it will take rating actions as it deems necessary. RATINGS ASSIGNED Benefit Street Partners CLO X Ltd./ Benefit Street Partners CLO X LLC Replacement class Rating Amount (mil $) A-1-R AAA (sf) 320.00 A-2-R AA (sf) 60.00 B-R A (sf) 30.00 C-R BBB (sf) 30.00 D-R BB (sf) 20.00 RATINGS WITHDRAWN Rating Original class To From A-1 NR AAA (sf) A-2 NR AA (Sf) B NR A (sf) C NR BBB (sf) D NR BB (Sf) NR--Not rated. BRAVO RESIDENTIAL 2019-NQM1: Fitch to Rate Class B2 Debt 'B(EXP)' ----------------------------------------------------------------- Fitch Ratings expects to rate the residential mortgage-backed transaction BRAVO Residential Funding Trust 2019-NQM1, issued by a private fund managed by Pacific Investment Management Company LLC. The notes are supported by 724 loans with a total balance of approximately $324.18 million as of the cutoff date. More than 80% of the pool was previously securitized in transactions from 2016 and 2017 that have since been collapsed. Approximately 69% of the pool is designated as non-Qualified Mortgage, 23% consists of higher priced QM and close to 3% comprises Safe Harbor QM while for the remainder the Ability to Repay does not apply. BRAVO Residential Funding Trust 2019-NQM1 Class A1 LT AAA(EXP)sf Expected Rating Class A2 LT AA(EXP)sf Expected Rating Class A3 LT A(EXP)sf Expected Rating Class B1 LT BB(EXP)sf Expected Rating Class B2 LT B(EXP)sf Expected Rating Class B3 LT NR(EXP)sf Expected Rating Class M1 LT BBB(EXP)sf Expected Rating KEY RATING DRIVERS Non-Prime Credit Quality (Concern): The pool has a weighted average (WA) model credit score of 717 and a Fitch derived WA mark-to-market combined loan-to-value ratio (CLTV) of 64%. Of the pool, 18% (by unpaid principal balance [UPB]) consists of borrowers with prior credit events within the past seven years and 32% had a debt to income (DTI) ratio of over 43%. Investor properties and those run as investor properties for loss modelling (i.e. nonpermanent residents) account for 8.8% of the pool. Fitch applied default penalties to account for these attributes, and loss severity (LS) was adjusted to reflect the increased risk of ATR challenges. Seasoned Performing Collateral (Positive): The pool has a WA loan age of just over 36 months and more than 90% of the pool is seasoned for at least two years. The pool has benefited from rising home prices since origination resulting in a drop of CLTV from 73.4 %at origination to 64.0%. Close to 83% of the pool has paid on time for the past two years, while less than 9% has experienced a delinquency within the last 12 months. Almost 4% of the pool was 30 days delinquent as of the cutoff date. One Month Bank Statement Loans (Negative): Approximately 26% of the pool was originated by Sterling Bank and Trust, FSB (Sterling) and was underwritten to a one-month bank statement program for income documentation. Fitch increased default expectations by 1.4x and doubled the ATR adjustment for these loans. In addition to higher credit enhancement, the risk is mitigated by Sterling's established track record with the product (dating back to 2011) as well as the considerably stronger credit profile and borrower equity on this portion of the pool compared to the pool in aggregate. Additionally, the three years seasoning and strong payment history to date of the loans in the pool provides a strong defense to ATR claims. Despite the limited documentation, the Sterling originated loans exhibit the strongest credit profile in the pool and benefit from close to three years of seasoning, which mitigates the risk of Ability-to-Repay claims. To better benchmark the expected performance for the product, Fitch looked at historical proxy performance for stated income loans with FICOs greater than or equal to 680 and CLTVs from 50%-65% and compared it to all prime full documentation performance.The Sterling proxy data had fewer defaults than prime full documentation loans in each vintage, which shows that historically borrowers with attributes similar to Sterling's program have shown an Ability-to-Repay comparable to prime full documentation loans. Excess Cash Flow (Positive): The transaction benefits from a material amount of excess cash flow that provides benefit to the rated notes before being paid out to the class XS. In Fitch's analysis, the excess is used to protect against realized losses (resulting in required subordination below Fitch's collateral loss expectations) as well as timely payment of interest for all classes in their respective rating stress. To the extent that the collateral weighted average coupon (WAC) and corresponding excess are reduced through a rate modification, Fitch would view the impact as credit neutral as the mod would reduce the borrower's probability of default, resulting in a lower loss expectation. Low Operational Risk (Positive): Certain investment vehicles managed by PIMCO have a long operating history of aggregating residential mortgage loans. PIMCO is assessed as 'Above Average' by Fitch. The servicers for this transaction are Rushmore Loan Management Servicer LLC (rated RPS2), Sterling Bank and Trust, FSB (not rated by Fitch) and Select Portfolio Servicing, Inc. (rated RPS1-). Nationstar Mortgage LLC will be master servicer and is rated 'RMS2+'. Strong loan quality was evidenced with third-party due diligence performed by two Acceptable - Tier 1 diligence firms on 100% of the pool. The issuer's retention of at least 5% of the transaction's fair market value helps ensure an alignment of interest between the issuer and investors. Alignment of Interests (Positive): The transaction benefits from an alignment of interests between the issuer and investors. Loan Funding Structure LLC (LFS), as sponsor and securitizer, or an affiliate will retain a horizontal interest in the transaction equal to not less than 5% of the aggregate fair market value of all notes in the transaction. Lastly, the representations and warranties are provided by the seller, which is an affiliate of the sponsor and, therefore, also aligns the interest of the investors with those of LFS to maintain high-quality standards and sound performance, as the seller will be obligated to repurchase loans due to rep breaches. Modified Sequential Payment Structure (Mixed): The structure distributes principal pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior notes have been reduced to zero. If either of the cumulative loss trigger event or the delinquency trigger event occurs over the measurement period , principal will be distributed sequentially to the class A-1, A-2 and A-3 notes until they are reduced to zero. R&W Framework (Concern): The seller will be providing loan-level representations and warranties to the trust. While the reps for this transaction are substantively consistent with those listed in Fitch's published criteria and provide a solid alignment of interest, Fitch added approximately 118bps to the expected loss at the 'AAAsf' rating category to reflect the non-investment-grade counterparty risk of the provider and the lack of an automatic review of defaulted loans, other than for loans with a realized loss that have a complaint or counterclaim of a violation of ATR. The lack of an automatic review is mitigated by the ability of holders of 25% of the total outstanding aggregate class balance to initiate a review. Updated Valuations (Mixed): Given the seasoning of the loans, updated property values were provided for all loans in the transaction. In Fitch's analysis, the following waterfall was used to determine the applicable value: if a BPO was provided, that value was incorporated; if the loan was previously securitized, the HDI value was used due to a property value review during the previous securitization; otherwise, the HDI value was haircut by 10%. Performance Triggers (Mixed): Delinquency and loan loss triggers convert principal distribution to a straight sequential payment priority in the event of poor asset performance. The delinquency trigger is based on a rolling six-month average and not soley on the current month The triggers for this transaction should help to protect the A-1 and A-2 classes from a high stress scenario by cutting off principal payments to more junior classes and ensuring a higher amount of protection as compared to when the triggers are passing. C-BASS MORTGAGE 2007-CB4: Moody's Cuts Cl. A-1A Certs Rating to B1 ------------------------------------------------------------------ Moody's Investors Service downgraded the rating of one tranche from one transaction, backed by Subprime loans, issued by C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB4. Complete rating actions are as follows: Issuer: C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-CB4 Cl. A-1A, Downgraded to B1 (sf); previously on Aug 10, 2015 Upgraded to Ba3 (sf) RATINGS RATIONALE The rating downgrade of Cl. A-1A is due to the outstanding interest shortfalls on this bond which are not expected to be reimbursed. The rating action also reflects the recent performance and Moody's updated loss expectations on the underlying pools. 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 July 2019 from 3.9% in July 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 changes resulting from servicing transfers, or other policy or regulatory shifts can impact the performance of this transaction. CD 2019-CD8: Fitch to Rate $8.832MM Class G-RR Debt 'B-sf' ---------------------------------------------------------- Fitch Ratings has issued a presale report on CD 2019-CD8 commercial mortgage pass-through certificates series 2019-CD8. Fitch expects to rate the transaction and assign Rating Outlooks as follows: -- $10,401,000 class A-1 'AAAsf'; Outlook Stable; -- $7,644,000 class A-2 'AAAsf'; Outlook Stable; -- $16,457,000 class A-SB 'AAAsf'; Outlook Stable; -- $257,000,000c class A-3 'AAAsf'; Outlook Stable; -- $258,081,000c class A-4 'AAAsf'; Outlook Stable; -- $49,070,000 class A-M 'AAAsf'; Outlook Stable; -- $40,237,000 class B 'AA-sf'; Outlook Stable; -- $38,275,000 class C 'A-sf'; Outlook Stable; -- $24,535,000b class D 'BBBsf'; Outlook Stable; -- $19,628,000b class E 'BBB-sf'; Outlook Stable; -- $21,591,000b class F 'BB-sf'; Outlook Stable; -- $8,832,000b class G-RR 'B-sf'; Outlook Stable; -- $598,653,000a class X-A 'AAAsf'; Outlook Stable; -- $78,512,000ab class X-B 'A-sf'; Outlook Stable; -- $44,163,000ab class X-D 'BBB-sf'; Outlook Stable; -- $21,591,000ab class X-F 'BB-sf'; Outlook Stable. The following classes are not expected to be rated by Fitch: -- $16,684,000 class H-RR; -- $16,684,305 class J-RR. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) The initial certificate balances of classes A-3 and A-4 are unknown and expected to be $515,081,000 in aggregate. The certificate balances will be determined based on the final pricing of those classes of certificates. The expected class A-3 balance range is $75,000,000 to $257,000,000, and the expected class A-4 balance range is $258,081,000 to $440,081,000. Fitch's certificate balances for classes A-3 and A-4 are assumed at the midpoint of the range for each class. The expected ratings are based on information provided by the issuer as of Aug. 2, 2019. The certificates represent the beneficial ownership interest in the trust, primary assets of which are 33 loans secured by 58 commercial properties having an aggregate principal balance of $811,119,305 as of the cut-off date. The loans were contributed to the trust by German American Capital Corporation, Citi Real Estate Funding Inc., Cantor Commercial Real Estate Lending, L.P. and MUFG Principal Commercial Capital. Fitch reviewed a comprehensive sample of the transaction's collateral, including site inspections on 82.2% of the properties by balance, cash flow analysis of 92.3% and asset summary reviews on 100% of the pool. KEY RATING DRIVERS Fitch Leverage: The pool's Fitch trust leverage is slightly worse than other recent Fitch-rated, fixed-rate, multiborrower transactions. The pool's Fitch LTV of 105.6% is worse than the YTD 2019 LTV average of 102.0% for other Fitch-rated multiborrower transactions. Additionally, the pool's Fitch DSCR of 1.21x is in-line with the YTD 2019 Fitch average DSCR of 1.21x for other Fitch-rated multiborrower transactions. Concentrated Pool: The pool is more concentrated than recent Fitch-rated multiborrower transactions. The top 10 loans represent 60.8% of the pool by balance, which is higher than the YTD 2019 multiborrower transaction average of 52.5%. The pool's LCI score of 494 is higher than the YTD 2019 average of 395. Investment Grade Credit Opinion Loans: Three loans, comprising 16.3% of the pool, have investment grade credit opinions. This is above the YTD 2019 average of 13.2% for other recent Fitch-rated multiborrower transactions. Woodlands Mall (8.6%) has an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. Moffett Towers II - Buildings 3 & 4 (4.2%) has an investment-grade credit opinion of 'BBB-sf*' on a standalone basis. Crescent Club (3.4%) has an investment-grade credit opinion of 'BBBsf*' on a standalone basis. Excluding investment-grade credit opinions, the pool has a Fitch LTV and DSCR of 113.6% and 1.17x, respectively. CF TRUST 2019-MF1: S&P Assigns Prelim B-(sf) Rating to Cl. F Certs ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to CF Trust 2019-MF1's commercial mortgage pass-through certificates. The certificate issuance is a commercial mortgage-backed securities (CMBS) transaction backed by a portion of a two-year, floating-rate, interest-only mortgage loan, with three one-year extension options, secured by the fee interests in 34 Class-C multifamily properties located in the Midwest and Southeast regions of the U.S. The preliminary ratings are based on information as of Aug. 8, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect the collateral's historic and projected performance, the sponsor's and the manager's experience, the trustee-provided liquidity, the loan terms, and the transaction's structure. S&P determined that the mortgage loan has a beginning and ending loan-to-value ratio of 107.1% based on the rating agency's value. PRELIMINARY RATINGS ASSIGNED CF Trust 2019-MF1 Class Rating Amount ($)(i) A AAA (sf) 67,961,000 X-CP BBB- (sf) 112,175,000(ii) X-NCP BBB- (sf) 112,175,000(ii) X-G NR 14,747,000(ii) B AA- (sf) 17,654,000 C A- (sf) 13,124,000 D BBB- (sf) 13,436,000 E BB- (sf) 15,623,000 F B- (sf) 16,405,000 G NR 14,747,000 HRR(iii) NR 8,400,000 (i)The issuer will issue the certificates to qualified institutional buyers in line with Rule 144A of the Securities Act of 1933. (ii)Notional balance. The notional amount of the class X-CP and X-NCP certificates will equal the certificate balances of the class A, B, C, and D certificates, and the notional amount of the class X-G certificates will equal the certificate balance of the class G certificates. (iii)Non-offered horizontal risk retention certificates, which will be retained by Cantor Commercial Real Estate Lending L.P. as the retaining sponsor. NR--Not rated. CIFC FUNDING 2019-V: Moody's Gives Ba3 Rating on $25MM Cl. D Notes ------------------------------------------------------------------ Moody's Investors Service assigned provisional ratings to five classes of notes to be issued by CIFC Funding 2019-V, Ltd. Moody's rating action is as follows: US$322,500,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$57,500,000 Class A-2 Senior Secured Floating Rate Notes due 2032 (the "Class A-2 Notes"), Assigned (P)Aa2 (sf) US$25,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class B Notes"), Assigned (P)A2 (sf) US$30,000,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned (P)Baa3 (sf) US$25,000,000 Class D Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned (P)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." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE The 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. CIFC 2019-V is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and eligible investments, and up to 10% of the portfolio may consist of second lien loans and unsecured loans. Moody's expects the portfolio to be approximately 90% ramped as of the closing date. CIFC Asset Management LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, 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 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): 2825 Weighted Average Spread (WAS): 3.45% Weighted Average Coupon (WAC): 6.50% Weighted Average Recovery Rate (WARR): 47.0% Weighted Average Life (WAL): 9 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. CONNECTICUT AVENUE 2019-R05: S&P Assigns B+ Rating to 1M-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Connecticut Avenue Securities Trust 2019-R05's notes. The note issuance is a residential mortgage-backed securities (RMBS) transaction in which the payments are determined by a reference pool of 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 prime borrowers. The ratings reflect: -- The credit enhancement provided by the subordinated reference tranches and the associated structural deal mechanics; -- The credit quality of the collateral included in the reference pool; -- A REMIC structure that reduces the counterparty exposure to Fannie Mae for periodic principal and interest payments but, at the same time, pledges the support of Fannie Mae (a highly rated counterparty) to cover shortfalls, if any, on interest payments and to make up for any investment losses; -- Fannie Mae's aggregation experience and the alignment of interests between the issuer and the noteholders in the deal's performance, which, in S&P's view, enhances the notes' strength; and -- The enhanced credit risk management and quality control processes Fannie Mae uses in conjunction with the underlying representations and warranties framework. RATINGS ASSIGNED Connecticut Avenue Securities Trust 2019-R05 Class Rating Amount (mil.$) 1A-H(i) NR 22,654.937 1M-1 BBB+ (sf) 225.717 1M-1H(i) NR 11.881 1M-2(ii) B+ (sf) 541.722 1M-2A(ii) BBB (sf) 180.574 1M-AH(i) NR 9.504 1M-2B(ii) BB+ (sf) 180.574 1M-BH(i) NR 9.504 1M-2C(ii) B+ (sf) 180.574 1M-CH(i) NR 9.504 1B-1 NR 225.717 1B-1H(i) NR 11.881 1B-2H(i) NR 59.399 1E-A1 BBB (sf) 180.574 1A-I1 BBB (sf) 180.574 1E-A2 BBB (sf) 180.574 1A-I2 BBB (sf) 180.574 1E-A3 BBB (sf) 180.574 1A-I3 BBB (sf) 180.574 1E-A4 BBB (sf) 180.574 1A-I4 BBB (sf) 180.574 1E-B1 BB+ (sf) 180.574 1B-I1 BB+ (sf) 180.574 1E-B2 BB+ (sf) 180.574 1B-I2 BB+ (sf) 180.574 1E-B3 BB+ (sf) 180.574 1B-I3 BB+ (sf) 180.574 1E-B4 BB+ (sf) 180.574 1B-I4 BB+ (sf) 180.574 1E-C1 B+ (sf) 180.574 1C-I1 B+ (sf) 180.574 1E-C2 B+ (sf) 180.574 1C-I2 B+ (sf) 180.574 1E-C3 B+ (sf) 180.574 1C-I3 B+ (sf) 180.574 1E-C4 B+ (sf) 180.574 1C-I4 B+ (sf) 180.574 1E-D1 BB+ (sf) 361.148 1E-D2 BB+ (sf) 361.148 1E-D3 BB+ (sf) 361.148 1E-D4 BB+ (sf) 361.148 1E-D5 BB+ (sf) 361.148 1E-F1 B+ (sf) 361.148 1E-F2 B+ (sf) 361.148 1E-F3 B+ (sf) 361.148 1E-F4 B+ (sf) 361.148 1E-F5 B+ (sf) 361.148 1-X1 BB+ (sf) 361.148 1-X2 BB+ (sf) 361.148 1-X3 BB+ (sf) 361.148 1-X4 BB+ (sf) 361.148 1-Y1 B+ (sf) 361.148 1-Y2 B+ (sf) 361.148 1-Y3 B+ (sf) 361.148 1-Y4 B+ (sf) 361.148 1-J1 B+ (sf) 180.574 1-J2 B+ (sf) 180.574 1-J3 B+ (sf) 180.574 1-J4 B+ (sf) 180.574 1-K1 B+ (sf) 361.148 1-K2 B+ (sf) 361.148 1-K3 B+ (sf) 361.148 1-K4 B+ (sf) 361.148 1M-2Y B+ (sf) 541.722 1M-2X B+ (sf) 541.722 1B-1Y NR 225.717 1B-1X NR 225.717 (i)Reference tranche only and will not have corresponding notes. Fannie Mae retains the risk of each of these tranches. (ii)Class 1M-2 is offered at closing and may be exchanged for classes 1M-2A, 1M-2B, and 1M-2C. NR--Not rated. N/A--Not applicable. CREDIT SUISSE 2007-C3: Moody's Affirms Class A-J Certs at Caa2 -------------------------------------------------------------- Moody's Investors Service affirmed the rating on one class of Credit Suisse Commercial Mortgage Trust 2007-C3, Commercial Mortgage Pass-Through Certificates, Series 2007-C3 as follows: Cl. A-J, Affirmed Caa2 (sf); previously on Apr 6, 2018 Affirmed Caa2 (sf) RATINGS RATIONALE The rating on Cl. A-J was affirmed because the ratings are consistent with Moody's expected loss plus realized losses. Class A-J has already experienced a 0.5% realized loss as a result of previously liquidated loans. Moody's rating action reflects a base expected loss of 66.2% of the current pooled balance, compared to 59.4% at Moody's last review. Moody's base expected loss plus realized losses is now 13.0% of the original pooled balance, compared to 12.9% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING: 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, 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, an increase in realized and expected losses from specially serviced loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in this rating was "Moody's Approach to Rating Large Loan and Single Asset/Single Borrower CMBS" published in July 2017. Moody's analysis incorporated a loss and recovery approach in rating the P&I classes in this deal since 100% of the pool is in special servicing. In this approach, Moody's determines a probability of default for each specially serviced loan that it expects will generate a loss and estimates a loss given default based on a review of broker's opinions of value (if available), other information from the special servicer, available market data and Moody's internal data. The loss given default for each loan also takes into consideration repayment of servicer advances to date, estimated future advances and closing costs. Translating the probability of default and loss given default into an expected loss estimate, Moody's then applies the aggregate loss from specially serviced to the most junior classes and the recovery as a pay down of principal to the most senior classes. DEAL PERFORMANCE As of the July 17, 2019 distribution date, the transaction's aggregate certificate balance has decreased by over 99% to $21.1 million from $2.7 billion at securitization. The certificates are now collateralized by three specially serviced mortgage loans all of which are already real estate owned (REO). The transaction is under-collateralized as the aggregate certificate balance is $1.4 million greater than the pooled loan balance of $19.7 million. Sixty-Nine loans have been liquidated from the pool, resulting in an aggregate realized loss of $336.6 million (for an average loss severity of 68%). The largest specially serviced loan is the Pinecrest Shopping Center Loan ($7.9 million -- 40.3% of the pool), which is secured by a 102,000 SF retail center located in Burlington, Wisconsin, approximately 80 miles northwest of Chicago and 35 miles southwest of Milwaukee. The property is anchored by a Sentry Foods, whose lease extends through April 2024 and was 91% leased as of May 2019. The property became REO in November 2015. Special servicer commentary indicates the property was most recently listed for sale in June 2019 and offers on the property are currently being reviewed. The second largest specially serviced loan is the Kenton Corners ($7.4 million -- 37.8% of the pool), which is secured by a 62,500 SF former grocery-anchored retail center located in Cornelius, North Carolina. The former grocery anchor (80% of NRA) is now vacant, however, servicer commentary indicates a lease has been signed with a multi-venue entertainment operator to backfill that space. The loan was transferred to the special servicer in April 2017 due to imminent maturity default. The special servicer indicated the property is expected to be marketed for sale in the third quarter of 2019. The third specially serviced loan is the Centre at Kings Lake ($4.3 million -- 21.9% of the pool), which is secured by a 20,948 SF retail center located in Humble, TX. The property was 52% occupied as of April 2019. The special servicer indicated two leases for approximately 7,200 SF are currently being negotiated. Moody's estimates an aggregate $11.0 million loss for the specially serviced loans (63% expected loss on average). Additionally, Moody's is currently treating the under-collateralization as a loss of principal to the trust. As of the July 17, 2019 remittance statement cumulative interest shortfalls were $35.1 million. Moody's anticipates interest shortfalls will continue because of the exposure to specially serviced loans and/or modified loans. Interest shortfalls are caused by special servicing fees, including workout and liquidation fees, appraisal entitlement reductions (ASERs), loan modifications and extraordinary trust expenses. CSFB MORTGAGE 2004-4: Moody's Lowers Cl. I-A-7 Debt Rating to Caa1 ------------------------------------------------------------------ Moody's Investors Service downgraded the ratings of five tranches from CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4 backed by Prime Jumbo RMBS loans. The complete rating actions are as follows: Issuer: CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-4 Cl. A-P, Downgraded to B3 (sf); previously on May 24, 2012 Downgraded to B1 (sf) Cl. I-A-4, Downgraded to B3 (sf); previously on May 24, 2012 Downgraded to B1 (sf) Cl. I-A-5, Downgraded to B3 (sf); previously on May 24, 2012 Downgraded to B2 (sf) Cl. I-A-6, Downgraded to B2 (sf); previously on May 24, 2012 Downgraded to B1 (sf) Cl. I-A-7, Downgraded to Caa1 (sf); previously on May 24, 2012 Downgraded to B3 (sf) RATINGS RATIONALE The rating actions are a result of the recent performance of the underlying pools and reflect Moody's updated loss expectation on the pools. The rating downgrades are due to the weaker performance of the underlying collateral. 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 changes resulting from servicing transfers, or other policy or regulatory shifts can impact the performances of these transactions. DIAMOND RESORTS 2019-1: S&P Assigns Prelim BB+ Rating to D Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Diamond Resorts Owner Trust 2019-1's timeshare loan-backed notes series 2019-1. The note issuance is an asset-backed securities (ABS) transaction backed by vacation ownership interest (timeshare) loans. The preliminary ratings are based on information as of Aug. 7, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P Global Ratings' opinion of the credit enhancement that is available in the form of subordination, overcollateralization, a reserve account, and available excess spread, among other factors. PRELIMINARY RATINGS ASSIGNED Diamond Resorts Owner Trust 2019-1 Class Rating Amount (mil. $) A AAA (sf) 199.29 B A (sf) 64.28 C BBB (sf) 38.57 D BB+ (sf) 12.86 FLAGSHIP CREDIT 2019-3: S&P Assigns Prelim BB- Rating to E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Flagship Credit Auto Trust 2019-3's automobile receivables-backed notes. The note issuance is an asset-backed securities transaction backed by subprime auto loan receivables. The preliminary ratings are based on information as of Aug. 7, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The availability of approximately 44.9%, 39.0%, 30.6%, 24.0%, and 19.4% credit support (including excess spread) for the class A, B, C, D, and E notes, respectively, based on stressed cash flow scenarios. These credit support levels provide coverage of approximately 3.50x, 3.00x, 2.30x, 1.75x, and 1.40x S&P's 12.25%-12.75% expected cumulative net loss (CNL) range for the class A, B, C, D, and E notes, respectively. These break-even scenarios cover total cumulative gross defaults (using a recovery assumption of 40%) of approximately 75%, 65%, 51%, 40%, and 32%, respectively. -- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate to the assigned ratings. -- The expectation that under a moderate ('BBB') stress scenario, all else being equal, S&P's ratings on the class A and B notes would not be lowered by more than one rating category from its preliminary 'AAA (sf)' and 'AA (sf)' ratings, respectively, throughout the transaction's life. Similarly, S&P expects that its ratings on the class C and D notes would not be lowered more than two rating categories from its preliminary 'A (sf)' and 'BBB (sf)' ratings, respectively. The rating on the class E notes would remain within two rating categories of S&P's preliminary 'BB- (sf)' rating within the first year, but the class would eventually default under the 'BBB' stress scenario after receiving 50%-60% of its principal. The above rating movements are within the one-category rating tolerance for 'AAA' and 'AA' rated securities during the first year and three-category tolerance over three years; a two-category rating tolerance for 'A', 'BBB', and 'BB' rated securities during the first year; and a three-category tolerance for 'A' and 'BBB' rated securities over three years. 'BB' rated securities may default under a 'BBB' stress scenario. These parameters are in accordance with "Methodology: Credit Stability Criteria," May 3, 2010." -- The credit enhancement in the form of subordination, overcollateralization, a reserve account, and excess spread. -- The characteristics of the collateral pool being securitized. -- The transaction's payment and legal structures. PRELIMINARY RATINGS ASSIGNED Flagship Credit Auto Trust 2019-3 Class Rating Type Interest Amount rate(i) (mil. $) A AAA (sf) Senior Fixed 215.41 B AA (sf) Subordinate Fixed 29.45 C A (sf) Subordinate Fixed 38.71 D BBB (sf) Subordinate Fixed 31.30 E BB- (sf) Subordinate Fixed 19.19 (i)The actual coupons of these tranches will be determined on the pricing date. FREDDIE MAC 2019-FTR2: S&P Assigns Prelim B+ Rating to M-2 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Freddie Mac STACR Trust 2019-FTR2'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 Aug. 8, 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—roughly half of such collateral is covered by mortgage insurance backstopped by Freddie Mac; -- A credit-linked note structure that reduces the counterparty exposure to Freddie Mac for periodic principal payments but, at the same time, relies on credit premium payments from Freddie Mac (a highly rated counterparty) to make monthly interest payments and to make up for any investment losses; -- The issuer's aggregation experience and alignment of interests between the issuer and noteholders in the deal's performance, which, in S&P's view, enhances the notes' strength; and -- The enhanced credit risk management and quality control processes Freddie Mac uses in conjunction with the underlying representations and warranties framework. PRELIMINARY RATINGS ASSIGNED Freddie Mac STACR TRUST 2019-FTR2 Class Rating Amount ($) A-H(i) NR 11,108,249,748 M-1 BBB- (sf) 82,000,000 M-1H(i) NR 33,111,396 M-2 B+ (sf) 114,000,000 M-2R B+ (sf) 114,000,000 M-2S B+ (sf) 114,000,000 M-2T B+ (sf) 114,000,000 M-2U B+ (sf) 114,000,000 M-2I B+ (sf) 114,000,000 M-2A BB+ (sf) 57,000,000 M-2AR BB+ (sf) 57,000,000 M-2AS BB+ (sf) 57,000,000 M-2AT BB+ (sf) 57,000,000 M-2AU BB+ (sf) 57,000,000 M-2AI BB+ (sf) 57,000,000 M-2AH(i) NR 23,577,977 M-2B B+ (sf) 57,000,000 M-2BR B+ (sf) 57,000,000 M-2BS B+ (sf) 57,000,000 M-2BT B+ (sf) 57,000,000 M-2BU B+ (sf) 57,000,000 M-2BI B+ (sf) 57,000,000 M-2RB B+ (sf) 57,000,000 M-2SB B+ (sf) 57,000,000 M-2TB B+ (sf) 57,000,000 M-2UB B+ (sf) 57,000,000 M-2BH(i) NR 23,577,977 B-1 B- (sf) 42,000,000 B-1A B+ (sf) 21,000,000 B-1AR B+ (sf) 21,000,000 B-1AI B+ (sf) 21,000,000 B-1AH(i) NR 7,777,849 B-1B B- (sf) 21,000,000 B-1BH(i) NR 7,777,849 B-2 NR 46,000,000 B-2A NR 23,000,000 B-2AR NR 23,000,000 B-2AI NR 23,000,000 B-2AH(i) NR 5,777,849 B-2B NR 23,000,000 B-2BH(i) NR 5,777,849 B-3H(i) NR 11,511,143 (i)Reference tranche only and will not have corresponding notes. Freddie Mac retains the risk of each of these tranches. NR--Not rated. GSAA HOME 2007-7: Moody's Confirms B1 Rating on 2 Tranches ---------------------------------------------------------- Moody's Investors Service upgraded the rating of one tranche and confirmed the ratings of two tranches from one transaction, backed by Alt-A loans, issued by GSAA Home Equity Trust 2007-7. The complete rating actions are as follows: Issuer: GSAA Home Equity Trust 2007-7 Cl. 1A2, Confirmed at B1 (sf); previously on May 15, 2019 B1 (sf) Placed Under Review for Possible Upgrade Cl. 2A1, Upgraded to Baa3 (sf); previously on May 15, 2019 Ba3 (sf) Placed Under Review for Possible Upgrade Cl. A4, Confirmed at B1 (sf); previously on May 15, 2019 B1 (sf) Placed Under Review for Possible Upgrade RATINGS RATIONALE The action resolves the review of these bonds, which were placed on review for upgrade on May 15, 2019 in connection with the discovery of an error in the cash-flow model used in prior analyses. In previous rating actions, the cash-flow model set the Class 2A1 coupon to a fixed rate, higher than the actual coupon, which resulted in projected interest shortfalls on the bond and decreased cash flow to other bonds in the transaction due to the cross-collateralization of interest between the two collateral groups The cash-flow model used in the rating action has been corrected to reflect the correct coupon rate for Class 2A1. The rating of Class 2A1 has been upgraded as the bond is now showing less projected interest shortfalls based on its corrected coupon rate. The ratings of Class 1A2 and Class A4 have been confirmed, as the correction of the coupon rate of Class 2A1 had no material impact on their cash flow. The rating actions also reflect the recent performance and Moody's updated loss expectations on the underlying pools. The principal methodology used in these ratings was "US RMBS Surveillance Methodology" published in 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 changes resulting from servicing transfers, or other policy or regulatory shifts can impact the performances of this transaction. HALCYON LOAN 2012-1: S&P Lowers Class D Notes Rating to CCC (sf) ---------------------------------------------------------------- S&P Global Ratings revised its ratings on Halcyon Loan Advisors Funding 2012-1 Ltd. S&P lowered its ratings on the class C and D notes and removed the class D notes from CreditWatch, where S&P placed then with negative implications on May 6, 2019. At the same time, S&P affirmed its ratings on the class A-2 and B notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the June 06, 2019, trustee report. The lowered rating reflects increased concentration risk and deterioration in overall credit quality since S&P's last rating actions. The amount of 'CCC' assets held in the portfolio has increased to 20.9% of the collateral principal amount as of the June 2019 trustee report from 15.1% according to the September 2018 trustee report that S&P used in its last rating action. The trustee also reported an increase in defaulted assets to $8.18 million from $4.54 mil over the same period. The transaction witnessed $34.86 million in total paydowns to the class A-1 and A-2 notes since S&P's October 2018 rating actions. These paydowns resulted in an improved reported O/C ratio for the class A, B and C notes tests. However, par losses and increased haircuts due to the deteriorated credit quality largely contributed decline in the trustee-reported class D O/C ratio. The O/C ratios as of the June 2019 monthly trustee report, compared with the ratios in the September 2018 monthly report that S&P used in its last rating action, are as follows: -- The class A O/C ratio increased to 529.45% from 233.53%; -- The class B O/C ratio increased to 167.72% from 144.59%; -- The class C O/C ratio increased to 125.02% from 121.46%; and -- The class D O/C ratio currently failing, declined to 99.45% from 104.71%; S&P's rating on the class C notes considers the results of the largest-obligor default test from its corporate collateralized debt obligation criteria. The test is intended to address event and model risks that might be present in rated transactions. Despite cash flow runs that suggested higher ratings, the largest-obligor default test constrains S&P's rating on the class C notes at 'BB+ (sf)'. In line with S&P's largest-obligor default test, the underlying portfolio's deteriorated credit quality and par losses, and some additional sensitivity cash flow analysis for the large distressed exposures, the rating agency also lowered its ratings on class C notes to 'BB+ (sf)'. "The cash flow results, on a standalone basis, showed that the class D notes were not passing at a 'CCC' rating level. However, our do not feel that this class represents our definition of 'CC' risk at this time, and we lowered the ratings class of the class D ratings to 'CCC (sf)'," S&P said. This class is currently deferring interest and both its O/C and interest coverage tests are not in compliance, which in S&P's view indicate this class is currently vulnerable to non-payment and dependent on favorable market conditions. However, any further deterioration in the credit support could lead to potential negative rating actions, according to S&P. On a standalone basis, the results of the cash flow analysis indicated higher rating on the class B notes. However, given the transaction's increased exposure to 'CCC' and 'D' rated collateral obligations, specific distressed industries and assets trading at stressed prices, overall credit deterioration of the portfolio and loss of par, S&P considered additional sensitivity runs and affirmed the ratings on the class B notes to offset future potential credit migration in the underlying collateral. The affirmed ratings reflect S&P's view that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report, to estimate future performance. In line with its criteria, S&P's 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, the rating agency's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis -- and other qualitative factors as applicable -- demonstrated, in S&P's view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take rating actions as we deem necessary," S&P said. RATINGS LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Halcyon Loan Advisors Funding 2012-1 Ltd. Rating Class To From D CCC (sf) B (sf)/Watch Neg RATINGS LOWERED Halcyon Loan Advisors Funding 2012-1 Ltd. Rating Class To From C BB+ (sf) BBB+ (sf) RATINGS AFFIRMED Halcyon Loan Advisors Funding 2012-1 Ltd. Class Rating A-2 AAA (sf) B AA+ (sf) HARBORVIEW MORTGAGE 2005-12: Moody's Cuts Cl. X-1 Debt Rating to C ------------------------------------------------------------------ Moody's Investors Service downgraded the rating of Class X-1 from HarborView Mortgage Loan Trust 2005-12, backed by Option ARM loans. Complete rating action is as follows: Issuer: HarborView Mortgage Loan Trust 2005-12 Cl. X-1, Downgraded to C (sf); previously on Feb 13, 2019 Upgraded to Ca (sf) RATING RATIONALE The downgrade of the rating reflects the nonpayment of interest for an extended period of at least 12 months. For this bond, the coupon rate is subject to a calculation that has reduced the required interest distribution to zero. Because the coupon on this bond is subject to changes in interest rates and/or collateral composition, there is a remote possibility that they may receive interest in the future. The methodologies used in this rating was "US RMBS Surveillance Methodology" published in February 2019 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. Factors that would lead to an upgrade or downgrade of the 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. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the referenced bonds and/or pools. House prices are another key driver of US RMBS performance. Moody's expects house prices to continue to rise in 2019. Lower increases than Moody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. HPS LOAN 15-2019: S&P Assigns Prelim B- (sf) Rating to Cl. F Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to HPS Loan Management 15-2019 Ltd./HPS Loan Management 15-2019 LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) securitization backed primarily by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Aug. 5, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The diversification of the collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED HPS Loan Management 15-2019 Ltd./HPS Loan Management 15-2019 LLC Class Rating Amount (mil. $) A-1 AAA 307.50 A-2 NR 17.50 B AA (sf) 50.00 C (deferrable) A (sf) 35.00 D (deferrable) BBB (sf) 27.50 E (deferrable) BB- (sf) 22.50 F (deferrable) B- (sf) 5.00 Subordinated notes NR 42.35 NR--Not rated. HULL STREET CLO: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-R and C-R notes from Hull Street CLO Ltd, lowered the rating on the Class F notes and affirmed its ratings on the class A-R, D and E notes. At the same time, S&P removed the Class E and F notes from CreditWatch where it placed then with negative implications on May 6, 2019. At the same time, S&P affirmed its rating on the class A-R, and D notes from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the July 8, 2019, trustee report. The upgrades reflect the transaction's $103.77 million paydowns to the class A-R notes since S&P's October 11, 2018, rating actions. These paydowns resulted in improved reported overcollateralization (O/C) ratios since the September 7, 2018, trustee report, which S&P used for its previous rating actions: -- The class A/B O/C ratio improved to 138.44% from 128.47%; -- The class C O/C ratio improved to 121.48% from 116.68%; -- The class D O/C ratio improved to 112.34% from 109.97%; and -- The class E O/C ratio improved to 105.79% from 105.01%. The collateral portfolio's overall credit quality has slightly deteriorated since S&P's last rating actions. Collateral obligations with ratings in the 'CCC' category have increased in terms of percentage of the portfolio and decreased in absolute values, with $35.75 million (9.7%) reported as of the July 8, 2019, trustee report, compared with $42.13 million (8.6%) reported as of the September 7, 2018, trustee report. However, despite the slightly larger concentrations in the 'CCC' category, the transaction has benefited some from a drop in the weighted average life due to underlying collateral's seasoning, with 3.57 years reported as of the July 8, 2019, trustee report, compared with 4.27 years reported at the time of S&P's October 11, 2018, rating actions. On a standalone basis, the results of the cash flow analysis indicated higher ratings on the class C-R and D notes. However, because the transaction currently has high exposure to 'CCC' rated collateral obligations and loans from companies in specialty retail sector, S&P limited the upgrade on these classes to offset future potential credit migration and concentration risks in the underlying collateral. Although the cash flow results indicated lower ratings for the class E and F notes, S&P views the overall credit seasoning and deleveraging as improvements to the transaction. Additionally, the class E O/C ratio has been relatively stable since S&P's last rating actions and currently has cushion over its minimum requirement. The rating on the class F notes was lowered to 'CCC+ (sf)' as the increased exposure to 'CCC' rated and distressed collateral has reduced the credit support available to this class making it currently vulnerable to non-payment and dependent on favorable market conditions in order to be fully repaid in line with the rating agency's definition of 'CCC' credit risk. The affirmed ratings reflect S&P's view that the credit support available is commensurate with the current rating levels. S&P's review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned trustee report to estimate future performance. In line with its criteria, S&P's 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, the rating agency's analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis -- and other qualitative factors as applicable -- demonstrated, in its view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and will take rating actions as we deem necessary," S&P said. RATINGS RAISED Hull Street CLO Ltd. Rating Class To From B-R AAA (sf) AA (sf) C-R A+ (sf) A (sf) RATINGS AFFIRMED Hull Street CLO Ltd. Rating Class To From A-R AAA (sf) AAA (sf) D BBB (sf) BBB (sf) RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE Hull Street CLO Ltd. Rating Class To From E BB- (sf) BB- (sf)/Watch Neg RATING LOWERED AND REMOVED FROM CREDITWATCH NEGATIVE Hull Street CLO Ltd. Rating Class To From F CCC+ (sf) B- (sf)/Watch Neg JAMESTOWN LTD IX: Moody's Rates $20.1MM Class D-R Notes 'Ba3' ------------------------------------------------------------- Moody's Investors Service assigned ratings to seven classes of CLO refinancing notes issued by Jamestown CLO IX Ltd. Moody's rating action is as follows: US$150,000,000 Class A-1A-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1A-R Notes"), Assigned Aaa (sf) US$110,000,000 Class A-1B-R Senior Secured Floating Rate Notes due 2028 (the "Class A-1B-R Notes"), Assigned Aaa (sf) US$41,600,000 Class A-2-R Senior Secured Floating Rate Notes due 2028 (the "Class A-2-R Notes"), Assigned Aa2 (sf) US$19,200,000 Class B-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class B-R Notes"), Assigned A2 (sf) US$12,000,000 Class C-1-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-1-R Notes"), Assigned Baa3 (sf) US$15,100,000 Class C-2-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class C-2-R Notes"), Assigned Baa3 (sf) US$20,100,000 Class D-R Senior Secured Deferrable Floating Rate Notes due 2028 (the "Class D-R Notes"), Assigned Ba3 (sf) 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. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90.0% of the portfolio must consist of first lien senior secured loans, cash, and eligible investments, and up to 10.0% of the portfolio may consist of second liens loans and unsecured loans. Investcorp Credit Management US 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 remaining one year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. The Issuer has issued the Refinancing Notes on August 2, 2019 in connection with the refinancing of all classes of secured notes originally issued on September 15, 2016. On the Refinancing Date, the Issuer used the proceeds from the issuance of the Refinancing Notes to redeem in full the Refinanced Original Notes. On the Original Closing Date, the issuer also issued one class of subordinated notes that remains outstanding. In addition to the issuance of the Refinancing Notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the non-call period and changes to certain collateral quality tests. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Moody's Global Approach to Rating Collateralized Loan Obligations." The key model inputs Moody's used in its analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on its published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions Performing par and principal proceeds balance: $398,258,966 Defaulted par: $1,409,641 Diversity Score: 75 Weighted Average Rating Factor (WARF): 2862 (corresponding to a weighted average default probability of 24.05%) Weighted Average Spread (WAS): 3.30% Weighted Average Coupon (WAC): 0.00% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 6.13 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. JP MORGAN 2012-CIBX: Moody's Affirms Caa1 on Class G Debt --------------------------------------------------------- Moody's Investors Service affirmed the ratings on thirteen classes in J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX, Commercial Mortgage Pass-Through Certificates, Series 2012-CIBX, as follows: Cl. A-3, Affirmed Aaa (sf); previously on Mar 16, 2018 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on Mar 16, 2018 Affirmed Aaa (sf) Cl. A-4FL, Affirmed Aaa (sf); previously on Mar 16, 2018 Affirmed Aaa (sf) Cl. A-4FX, Affirmed Aaa (sf); previously on Mar 16, 2018 Affirmed Aaa (sf) Cl. A-S, Affirmed Aaa (sf); previously on Mar 16, 2018 Affirmed Aaa (sf) Cl. C, Affirmed A2 (sf); previously on Mar 16, 2018 Affirmed A2 (sf) Cl. B, Affirmed Aa2 (sf); previously on Mar 16, 2018 Affirmed Aa2 (sf) Cl. D, Affirmed Baa1 (sf); previously on Mar 16, 2018 Affirmed Baa1 (sf) Cl. E, Affirmed Ba1 (sf); previously on Mar 16, 2018 Downgraded to Ba1 (sf) Cl. F, Affirmed B1 (sf); previously on Mar 16, 2018 Downgraded to B1 (sf) Cl. G, Affirmed Caa1 (sf); previously on Mar 16, 2018 Downgraded to Caa1 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on Mar 16, 2018 Affirmed Aaa (sf) Cl. X-B*, Affirmed B1 (sf); previously on Mar 16, 2018 Affirmed B1 (sf) * Reflects Interest Only Classes RATINGS RATIONALE The ratings on eleven P&I classes were affirmed because the transaction's key metrics, including Moody's loan-to-value ratio, Moody's stressed debt service coverage ratio and the transaction's Herfindahl Index, are within acceptable ranges. The ratings on the interest only classes were affirmed based on the credit quality of their referenced classes. Moody's rating action reflects a base expected loss of 7.5% of the current pooled balance, compared to 8.0% at Moody's last review. Moody's base expected loss plus realized losses is now 4.8% of the original pooled balance, compared to 5.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except 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 Securities" published in February 2019. DEAL PERFORMANCE As of the July 17, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 36% to $827.4 million from $1.29 billion at securitization. The certificates are collateralized by 41 mortgage loans ranging in size from less than 1% to 10% of the pool, with the top ten loans (excluding defeasance) constituting 60% of the pool. Seven loans, constituting 13% 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 19 at Moody's last review. Eight 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. One loan has been liquidated from the pool, resulting in a minimal loss. There are no loans currently in special servicing. Moody's has assumed a high default probability for five poorly performing loans, constituting 22% of the pool, and has estimated an aggregate loss of $30 million (a 16% expected loss based on a 57% probability default) from these troubled loans. Moody's received full year 2018 operating results for 100% of the pool, and partial year 2019 operating results for 50% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 98%, compared to 97% 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 20% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.9%. Moody's actual and stressed conduit DSCRs are 1.41X and 1.15X, respectively, compared to 1.44X and 1.16X at the last review. Moody's actual DSCR is based on Moody's NCF and the loan's actual debt service. Moody's stressed DSCR is based on Moody's NCF and a 9.25% stress rate the agency applied to the loan balance. The top three conduit loans represent 26% of the pool balance. The largest loan is theWit Hotel Loan ($78.9 million -- 9.5% of the pool), which is secured by a 310-room full-service hotel located in Chicago, Illinois. The property is a boutique hotel product in the Hilton Doubletree brand. The December 2018 trailing twelve month occupancy and revenue per available room (RevPAR) figures were 84% and $193, respectively, compared to 82% and $186 at December 2017. Despite the increase in both occupancy and RevPAR and consistently stronger performance relative to its competitive set, expenses have increased since securitization and F&B revenues have declined. The loan has amortized by approximately 10% since securitization and Moody's LTV and stressed DSCR are 127% and 1.01X, respectively, compared to 131% and 0.98X at the last review. The second largest loan is the 100 West Putnam Loan ($70.6 million -- 8.5% of the pool), which is secured by a 156,000 SF class A suburban office building located in Greenwich, Connecticut. The property is also encumbered by a $16 million B Note. As of January 2019, the property was 68% leased, unchanged since the prior review and compared to 97% at securitization. The decrease in occupancy was driven partly by the departure of two tenants during the first half of 2016. Additionally, two other tenants downsized their spaces upon lease renewal. According to the borrower, there have been discussions with some prospective tenants for the vacant spaces that are in the early stages. The loan has amortized by approximately 12% since securitization and Moody's LTV and stressed DSCR are 130% and 0.79X, respectively, compared to 134% and 0.77X at the last review. The third largest loan is the Jefferson Mall Loan ($62.5 million -- 7.6% of the pool), which is secured by a 281,000 SF portion of a 957,000 SF regional mall located in Louisville, Kentucky. The mall's anchors, which are not part of the collateral, include a former Sears, former Macy's, Dillard's and J.C. Penney. Macy's closed their store at this location before the end of 2017. CBL & Associates Properties (CBL), the mall's sponsor, then purchased the Macy's parcel. A portion (46,000 SF) of the former Macy's space (152,000 SF) has been partially backfilled by Round One Entertainment which features bowling, billiards, arcade games, karaoke, darts, ping pong and a kids zone. The Jefferson Mall location will be the first in Kentucky, and one of the 26 locations in the country. Additionally, CBL has purchased the Sears parcel and leased it back to Sears on a 10-year lease with termination options with a 6-month advance notice. The collateral portion of the mall was 94% leased as of March 2019, compared to 96% in 2018 and 2017. The mall faces competition within the Louisville area from two superior GGP-owned malls, Oxmoor Center and Mall St. Matthews, both located approximately eight miles northeast of the subject property. Moody's has stressed this property's net cash flow to account for the potential for higher cash flow volatility and loss severity associated with Class B malls. The loan has amortized by approximately 12% since securitization and Moody's LTV and stressed DSCR are 129% and 0.88X, respectively, compared to 133% and 0.86X at the last review. The other loan that Moody's identified as a high-risk loan is the Southpark Mall Loan ($59.0 million -- 7.1% of the pool), which is secured by a 400,000 SF portion of a 690,000 SF regional mall located in Colonial Heights, Virginia. The mall is located approximately 22 miles south of Richmond, Virginia. Sears, one of the original anchors, closed their store at this location in 2018. As a result, total occupancy declined to 68% as of December 2018, compared to 99% in 2017 and 98% at securitization. The other anchors are Regal Cinema (collateral) and JC Penney and Macy's, which are both non-collateral. Accounting for Sears departure and temporary tenants as well as the mall's tertiary location, Moody's has stressed this property's net cash flow to account for the potential for high cash flow volatility and loss severity associated with Class B malls in tertiary locations. The loan has amortized by approximately 12% since securitization and Moody's LTV and stressed DSCR are 126% and 0.92X, respectively, compared to 130% and 0.89X at the last review. JPMDB COMMERCIAL 2016-C4: Fitch Affirms B-sf Rating on Cl. F Certs ------------------------------------------------------------------ Fitch Ratings affirmed 13 classes of JPMDB Commercial Mortgage Securities Trust 2016-C4 commercial mortgage pass-through certificates. JPMDB 2016-C4 Class A-1 LT AAAsf Affirmed previously AAAsf Class A-2 LT AAAsf Affirmed previously AAAsf Class A-3 LT AAAsf Affirmed previously AAAsf Class A-S LT AAAsf Affirmed previously AAAsf Class A-SB LT AAAsf Affirmed previously AAAsf Class B LT AA-sf Affirmed previously AA-sf Class C LT A-sf Affirmed previously A-sf Class D LT BBB-sf Affirmed previously BBB-sf Class E LT BB-sf Affirmed previously BB-sf Class F LT B-sf Affirmed previously B-sf Class X-A LT AAAsf Affirmed previously AAAsf Class X-B LT AA-sf Affirmed previously AA-sf Class X-C LT BBB-sf Affirmed previously BBB-sf KEY RATING DRIVERS Stable Performance: The affirmations follow the overall stable performance of the pool. All loans are performing in-line with Fitch's expectations. There have been no material changes to the pool since issuance; therefore, the original rating analysis was considered in affirming the transaction. One loan has been designated as a Fitch Loan of Concern (FLOC). 1 Kaiser Plaza (3.3%) is secured by a 531,928 sf office building located in Oakland, CA; the A-2 note is pari-passu with the controlling $60 million A-1 note that was contributed to JPMCC 2016-JP3. The largest tenant is Kaiser Permanente (Kaiser; rated AA-), which leases approximately 70% of the NRA through February 2027, per the most recent rent roll. While it was reported early last year that Kaiser contracted a portion of its space, the most recent rent roll does not reflect any reduction in its square footage. Kaiser has two options remaining to terminate or contract additional portions of its space in 2023 and 2025. Per recent news reporting, Kaiser announced that it would be consolidating all Oakland area office space into one location for which they are expected to break ground in 2020. No further update on the status of Kaiser has been provided by the servicer. The loan continues to perform with a servicer reported YE 2018 NOI debt service coverage ratio (DSCR) of 2.52x. Fitch will continue to monitor leasing developments at the property. Minimal Changes in Credit Enhancement: As of the July 2019 distribution date, the pool's aggregate principal balance has been reduced by 1.24% to $1.12 billion resulting in minimal increases in credit enhancement to the senior classes. Six of the largest 15 loans, representing 33% of the pool, are full-term interest-only loans. In total, there are eight full-term interest-only loans representing 37.9% of the pool. Additionally, there are nine loans representing 28.1% of the pool that remain in their partial interest-only period. Office Concentration: The pool has an above-average concentration of office properties accounting for 52.5% of loans. Fitch-rated transactions in 2016 had an average concentration of 28.7%. Credit Opinion Loans: Four loans in the pool, representing 20.4%, received investment-grade credit opinions at issuance. The two largest loans in the pool, 9 West 57th Street (7.2%) and 10 Hudson Yards (7.2%), received investment-grade credit opinions of 'AAAsf' and 'BBBsf', respectively, on a stand-alone basis. Moffett Gateway (3.9%), the ninth largest loan in the pool, received an investment-grade credit opinion of 'BBB-sf' on a stand-alone basis. Furthermore, Westfield San Francisco Centre (2.1%) received an investment-grade credit opinion of 'Asf' on a stand-alone basis. MERRILL LYNCH 1998-C1-CTL: Moody's Cuts IO Certs Rating to Caa3 --------------------------------------------------------------- Moody's Investors Service upgraded the rating on one class, affirmed the ratings on two classes, and downgraded the rating on one interest-only class in Merrill Lynch Mortgage Investors, Inc.,1998-C1-CTL, Mortgage Pass-Through Certificates, Series 1998-C1-CTL as follows: Cl. A-PO, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa (sf) Cl. D, Affirmed Aaa (sf); previously on Aug 9, 2018 Affirmed Aaa (sf) Cl. E, Upgraded to Aaa (sf); previously on Aug 9, 2018 Upgraded to Aa3 (sf) Cl. IO*, Downgraded to Caa3 (sf); previously on Aug 9, 2018 Affirmed Caa2 (sf) * Reflects Interest Only class RATINGS RATIONALE The rating on the Cl. E was upgraded due to an increase in credit support resulting from significant paydowns and loans amortization since the last review. The pool has paid down 35% since the prior review and defeasance now fully covers the class's outstanding balance. The ratings on Cl. A-PO and Cl. D were affirmed due to the sufficiency of the credit support levels and the transaction's key metric, the weighted average rating factor (WARF), being within an acceptable range. Furthermore, these classes are both fully covered by defeasance. The rating on the IO class, Cl. IO, was downgraded due to the decline in the credit quality of its reference classes resulting from principal paydowns of higher quality reference classes. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The ratings of Credit Tenant Lease (CTL) deals are primarily based on the senior unsecured debt rating (or the corporate family rating) of the tenants leasing the real estate collateral supporting the bonds. Other factors that are also considered are Moody's dark value of the collateral (value based on the property being vacant or dark), which is used to determine a recovery rate upon a loan's default and the rating of the residual insurance provider, if applicable. Factors that may cause an upgrade of the ratings include an upgrade in the rating of the corporate tenant or significant loan paydowns or amortization which results in a lower loan to dark value ratio. Factors that may cause a downgrade of the ratings include a downgrade in the rating of the corporate tenant or the residual insurance provider. METHODOLOGY UNDERLYING THE RATING ACTION The principal methodology used in ratings all classes except interest-only class was " Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings " published in November 2018. The methodologies used in rating interest-only class were " Moody's Approach to Rating Credit Tenant Lease and Comparable Lease Financings " published in November 2018 and "Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities" published in February 2019. DEAL PERFORMANCE As of the July 16, 2019 distribution date, the transaction's aggregate certificate balance has decreased by 91% to $54.2 million from $630 million at securitization. The Certificates are collateralized by 60 mortgage loans ranging in size from less than 1% to 19% of the pool. Forty five of the loans are CTL loans secured by properties leased to five corporate credits. Fifteen loans, representing 30% of the pool, have defeased and are collateralized with U.S. Government securities. Fourteen loans, constituting 11.7% of the pool, is on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. There are no loans currently in special servicing. Twenty-one loans have been liquidated from the pool, resulting in an aggregate realized loss of $35 million (for an average loss severity of 56%). The pool's largest non-defeased exposures are: Rite Aid Corporation ($23.1 million -- 42.7% of the pool; senior unsecured rating: Caa1/Caa2 -- negative outlook), Georgia Power Company ($10.4 million -- 19.2% of the pool; senior unsecured rating: Baa1 -- stable outlook), and Kroger Co. (The) ($4.1 million -- 7.5% of the pool; senior unsecured rating: Baa1 -- stable outlook). The bottom-dollar WARF for this pool is 2871. WARF is a measure of the overall quality of a pool of diverse credits. The bottom-dollar WARF is a measure of default probability. MRU STUDENT 2008-A: S&P Affirms B- (sf) Rating on Class A-1A Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on three classes from MRU Student Loan Trust 2008-A, an asset-backed securities (ABS) transaction backed by private student loans. "The affirmations primarily reflect our views of the transaction's collateral performance, the associated credit enhancement levels, and the challenges the trust faces due to negative excess spread," S&P said, adding that the affirmations also considered the trust's relevant structural features--in particular, the cost of funds, capital structure, payment waterfall, and subordinate interest reprioritization features. S&P's ratings on classes C and D, which were previously lowered to 'D (sf)' due to certain breached triggers resulting in the classes missing receipt of timely interest payments, remain unchanged. Classes C and D continue to experience interest shortfalls and declines in credit enhancement. RATIONALE S&P said it affirmed its 'B-' ratings on the class A notes because the notes' credit enhancement is sufficient to withstand a steady-state scenario where the current level of stress shows little to no increase and collateral performance remains steady. The rating agency said the pace of defaults on the loan pool have declined, leading to a decrease in its default assumptions. "Additionally, the hard credit enhancement for class A has increased, but not enough to impact the rating on the class due to the negative excess spread, partially due to the high cost of funds on the notes. The current overcollateralization is not sufficient to cover our remaining net loss expectations," the rating agency said. S&P affirmed its 'CC' rating on the class B notes because it expects a default to be a virtual certainty due to the current undercollateralization of this class, coupled with the negative excess spread. The class B notes continue to receive timely interest, though its hard credit enhancement continues to decline. S&P previously lowered its ratings on the class C and D notes to 'D (sf)' because they have stopped receiving interest payments after certain triggers were breached (which occurred when the class senior in the capital structure became undercollateralized). TRANSACTION STRUCTURE The transaction currently distributes principal payments sequentially to each class, and pro rata within the A subclass. The transaction has breached several interest subordination triggers, resulting in class A receiving principal distributions prior to classes C and D receiving interest. The transaction has also depleted the reserve fund. S&P does not expect the triggers, which caused classes C and D to miss interest payments, will be cured and they will continue to breach. This transaction has a high cost of funds. As a result, the excess spread in the transaction is under pressure. Table 1 CAPITAL STRUCTURE Current Note Coupon Maturity Class bal. ($)(i) factor (%) type (%) A-1 A 4,415,984 17.66 7.40 Jan. 25, 2041 A-1 B 13,304,829 17.66 3ML + 3.0 Jan. 25, 2041 B 6,058,371 81.03 3ML + 5.5 Jan. 25, 2041 C 7,321,578 81.03 3ML + 7.5 Jan. 25, 2041 D 6,311,175 81.03 3ML + 10.0 Jan. 25, 2041 E(ii) 23,879,636 146.77 3ML + 3.0 Jan. 25, 2041 (i)Current note balance as of the July 25, 2019, distribution date. (ii)S&P does not rate the class E notes. 3ML--Three-month LIBOR. COLLATERAL Table 2 shows the loan status as of June 2019 and June 2016. The loans in nonpaying status (deferment, forbearance, and 30-plus-day delinquencies) declined to 4.71% in June 2019 from 9.99% in June 2016. Thirty-plus-days delinquent loans are approximately 3.19%. Table 2 Loan Status (%) Status June 2019 June 2016 In School 0.00 0.00 Repayment 98.48 94.31 Deferment 0.34 3.00 Forbearance 1.18 2.69 Total 100.00 100.00 Reported cumulative defaults increased to 42.41% as of June 2019 from 38.20% as of March 2016. The pace of increase in defaults has slowed, increasing about 0.86% over the past year. Still, overall default levels are high. S&P lowered its expected lifetime cumulative gross defaults to 47%-50% of the original pool balance. Based on the defaults to date, S&P's expectation of remaining defaults as a percent of the remaining pool balance is approximately 25%. CALCULATED PARITY The historical impact of poor collateral performance, as measured by high percentages of realized cumulative net losses (CNLs), has led to high levels of undercollateralization for most of the notes (classes B through D). However, collateral performance has stabilized and, combined with the senior bond principal amortization, is improving hard credit enhancement (overcollateralization) to the senior classes. Additionally, the senior classes credit enhancement benefits from the reprioritization of subordinate class interest. Hard credit enhancement for classes B through D are expected to continue to decline due to the combination of undercollateralization and negative excess spread (table 3). Table 3 Calculated Parity (%)(i) Class June 2019 June 2016 Change A 118.34 108.23 10.11 B 88.19 93.64 (5.45) C 67.43 80.52 (13.09) D 56.06 71.85 (15.79) (i)Parity is calculated as the class balance post distribution divided by the sum of the student loan principal balance and accrued interest to be capitalized. S&P will continue to monitor the performance of the student loan receivables backing this trust relative to its cumulative default expectations and available credit enhancement. RATINGS AFFIRMED MRU Student Loan Trust 2008-A Class CUSIP Rating A-1A 55348EAA2 B- (sf) A-1B 55348EAB0 B- (sf) B 55348EAC8 CC (sf) RATINGS UNCHANGED MRU Student Loan Trust 2008-A Class CUSIP Rating C 55348EAD6 D (sf) D 55348EAE4 D (sf) NEW RESIDENTIAL 2019-4: Moody's Assigns (P)B1 Rating to B-7 Debt ---------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to 32 classes of notes issued by New Residential Mortgage Loan Trust 2019-4. The NRMLT 2019-4 transaction is a $559 million securitization of 3,965 first lien, seasoned performing and re-performing fixed-rate mortgage loans with weighted average seasoning of 176 months, a weighted average updated LTV ratio of 52.2% and a non-zero weighted average updated FICO score of 690. Based on the OTS methodology, 80.5% of the loans by scheduled balance have been continuously current for the past 24 months. Approximately 47.2% of the loans in the pool (by scheduled balance) have been previously modified. Nationstar Mortgage LLC, PHH Mortgage Corporation, Shellpoint Mortgage Servicing, Select Portfolio Servicing, Inc. and Wells Fargo Bank, N.A. will service approximately 61.0%, 36.1%, 1.2%, 0.9% and 0.8% of the loans (by scheduled balance), respectively. Nationstar will act as master servicer and successor servicer and Shellpoint will act as the special servicer. The complete rating action is as follows: Issuer: New Residential Mortgage Loan Trust 2019-4 Cl. A, Provisional Rating Assigned (P)Aaa (sf) Cl. A-1, Provisional Rating Assigned (P)Aaa (sf) Cl. A-1A, Provisional Rating Assigned (P)Aaa (sf) Cl. A-1B, Provisional Rating Assigned (P)Aaa (sf) Cl. A-1C, Provisional Rating Assigned (P)Aaa (sf) Cl. A-1D, Provisional Rating Assigned (P)Aaa (sf) Cl. A-2, Provisional Rating Assigned (P)Aa1 (sf) Cl. B-1, Provisional Rating Assigned (P)Aa2 (sf) Cl. B-1A, Provisional Rating Assigned (P)Aa2 (sf) Cl. B-1B, Provisional Rating Assigned (P)Aa2 (sf) Cl. B-1C, Provisional Rating Assigned (P)Aa2 (sf) Cl. B-1D, Provisional Rating Assigned (P)Aa2 (sf) Cl. B-2, Provisional Rating Assigned (P)A2 (sf) Cl. B-2A, Provisional Rating Assigned (P)A2 (sf) Cl. B-2B, Provisional Rating Assigned (P)A2 (sf) Cl. B-2C, Provisional Rating Assigned (P)A2 (sf) Cl. B-2D, Provisional Rating Assigned (P)A2 (sf) Cl. B-3, Provisional Rating Assigned (P)Baa2 (sf) Cl. B-3A, Provisional Rating Assigned (P)Baa2 (sf) Cl. B-3B, Provisional Rating Assigned (P)Baa2 (sf) Cl. B-3C, Provisional Rating Assigned (P)Baa2 (sf) Cl. B-3D, Provisional Rating Assigned (P)Baa2 (sf) Cl. B-4, Provisional Rating Assigned (P)Ba2 (sf) Cl. B-4A, Provisional Rating Assigned (P)Ba2 (sf) Cl. B-4B, Provisional Rating Assigned (P)Ba2 (sf) Cl. B-4C, Provisional Rating Assigned (P)Ba2 (sf) Cl. B-5, Provisional Rating Assigned (P)B2 (sf) Cl. B-5A, Provisional Rating Assigned (P)B2 (sf) Cl. B-5B, Provisional Rating Assigned (P)B2 (sf) Cl. B-5C, Provisional Rating Assigned (P)B2 (sf) Cl. B-5D, Provisional Rating Assigned (P)B2 (sf) Cl. B-7, Provisional Rating Assigned (P)B1 (sf) RATINGS RATIONALE Its losses on the collateral pool equal 4.30% in an expected scenario and reach 21.30% at a stress level consistent with the Aaa ratings on the senior classes. Moody's based its expected losses for the pool on its estimates of (1) the default rate on the remaining balance of the loans and (2) the principal recovery rate on the defaulted balances. The final expected losses for the pool reflect the third-party review (TPR) findings and its assessment of the representations and warranties (R&Ws) framework for this transaction. Also, the transaction contains a mortgage loan sale provision, the exercise of which is subject to potential conflicts of interest. As a result of this provision, Moody's increased its expected losses for the pool. To estimate the losses on the pool, Moody's used an approach similar to its surveillance approach. Under this approach, Moody's applies expected annual delinquency rates, conditional prepayment rates (CPRs), loss severity rates and other variables to estimate future losses on the pool. Its assumptions on these variables are based on the observed performance of seasoned modified and non-modified loans, the collateral attributes of the pool including the percentage of loans that were delinquent in the past 36 months. 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. Collateral Description NRMLT 2019-4 is a securitization of 3,965 seasoned performing and re-performing fixed-rate residential mortgage loans which the seller, NRZ Sponsor IX LLC, has purchased in connection with the termination of various securitization trusts. Similar to prior NRMLT transactions Moody's has rated, nearly all of the collateral was sourced from terminated securitizations. Approximately 47.2% of the loans had previously been modified. 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 52.2%, implying an average of 47.8% borrower equity in the properties. Third-Party Review ("TPR") and Representations & Warranties ("R&W") Two third-party due diligence providers, AMC and Recovco, conducted a regulatory compliance review on a sample of 1,008 and 622 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 170 out of 1,008 loans had compliance exceptions with rating agency grade C or D. Recovco reviewed 622 loans and found that 76 loans have a rating of C or D. 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 741 and 354 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 739 mortgages were in first lien position. For the two remaining loans reviewed by AMC, proof of first lien position could only be confirmed using the final title policy as of loan origination. Recovco reported that 354 of the mortgage loans it reviewed were in first-lien position. The seller, NRZ Sponsor IX 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, Custodians, 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 and U.S. Bank, National Association. The paying agent and cash management functions will be performed by Citibank, N.A. In addition, Nationstar, as master servicer, is responsible for servicer oversight, termination of servicers, and the appointment of successor servicers. Having Nationstar 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 will serve as the designated successor servicer. Nationstar, PHH Mortgage, Shellpoint, SPS and Wells Fargo will service approximately 61.0%, 36.1%, 1.2%, 0.9% and 0.8% of the loans by scheduled balance, respectively. 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 4.50% 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, 25.50%. 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 4.50% 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 servicers in the transaction may have 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 2019-4 is adequately protected against such risk primarily because the loans in this transaction are highly seasoned with a weighted average seasoning of approximately 176 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 last 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 $1,091,768 of unreimbursed servicing advances such as taxes and insurance. The mortgage borrower is responsible for reimbursing the related servicer for the pre-existing servicing advances. The related 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 related servicer will recoup the outstanding amount of pre-existing advances from the loan liquidation proceeds. The amount of pre-existing servicing advances only represents approximately 20 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. NEW RESIDENTIAL 2019-RPL2: Moody's Rates Class B-2 Debt 'B3' ------------------------------------------------------------ Moody's Investors Service assigned definitive ratings to eight classes of notes issued by New Residential Mortgage Loan Trust 2019-RPL2. The NRMLT 2019-RPL2 transaction is a $428.8 million securitization of 2,667 first lien, seasoned performing and re-performing mortgage loans with weighted average seasoning of 152 months, a weighted average updated LTV ratio of 77.5% and a weighted average non-zero updated FICO score of 623. Approximately 91% of the loans by scheduled balance have been previously modified and about 95% are fixed-rate mortgages. Based on MBA methodology, approximately 26% of the loans by scheduled balance have been continuously current for the last 24 months. Shellpoint Mortgage Servicing, Fay Servicing LLC (Fay) and Nationstar Mortgage LLC will act as the primary servicers on 60.3%, 36.0% and 3.7% of the loans by scheduled balance, respectively. Nationstar will act as master servicer and successor servicer. The complete rating action is as follows: Issuer: New Residential Mortgage Loan Trust 2019-RPL2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. M-1, Definitive Rating Assigned A3 (sf) Cl. M-2, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba2 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) Cl. A-3, Definitive Rating Assigned Aa1 (sf) Cl. A-4, Definitive Rating Assigned A1 (sf) RATINGS RATIONALE Its losses on the collateral pool equal 12.00% in an expected case and 36.00% at a stress level consistent with the Aaa (sf) ratings. 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 for the expected annual delinquency rate and CPR are based on the observed performance of agency-eligible seasoned modified and non-modified loans and the collateral attributes of the pool including the percentage of loans that were delinquent in the past 36 months. Its expected loss severity rate is based on the observed loss severity performance of seasoned modified and non-modified loans. 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. 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-RPL2 is a securitization of 2,667 seasoned performing and re-performing residential mortgage loans which the seller, NRZ Sponsor VII LLC, acquired mostly via whole loan purchase. Similar to prior NRMLT transactions Moody's has rated, a majority of the collateral was previously in securitizations that have been terminated. Approximately 91.0% of the loans had previously been modified, 95.0% are fixed-rate mortgage loans, 2.7% are step-rate mortgage loans and 2.3% are adjustable-rate mortgage loans. The updated value of properties in this pool were provided by a third-party firm using a home data index (HDI) or an updated broker price opinion (BPO). BPOs were provided for 1,790 loans accounting for approximately 67% of the aggregate pool balance and HDIs were provided for 877 loans comprising about 33% of the aggregate pool balance. In its analysis, Moody's calculated LTV ratios using the BPO in all cases where it is available and applied a haircut to HDIs in cases where a BPO is not available. The weighted average updated LTV ratio on the collateral is 77.5%. Third-Party Review (TPR) and Representations & Warranties (R&W) One third party due diligence provider, AMC, conducted a compliance review, data integrity review and payment history review on an initial population of 2,687 mortgage loans which included all the mortgage loans in the 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 1,244 mortgage loans had compliance or documentation exceptions with 285 having rating agency grade C or D level 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 the risk of such damages. AMC conducted a title review (2,612 loans) or a lien search review (75 loans) on all the mortgage loans in the pool in order to confirm the first lien position of the related mortgages. Overall, AMC's review confirmed that 2,434 mortgages were in first lien position. For the remaining loans reviewed by AMC, proof of first lien position could only be confirmed using the final title policy as of loan origination for 25 loans and 228 loans had critical findings. The sponsor makes a representation as to the validity and enforceability of the mortgage loan as first lien on the related property, except in the case of specified encumbrances as listed in the offering document. Moody's considers this representation to be a strong mitigating factor to the critical findings of the title and lien review. The seller, NRZ Sponsor VII 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. Unlike previous NRMLT transactions Moody's has rated, the seller's obligation to cure or repurchase any mortgage loan for which a material breach of the R&Ws (other than those with respect to the REMIC reps) has occurred is in effect for only twelve months after closing, after which the only recourse available to noteholders upon the occurrence of a material breach of the R&Ws will be funds in the breach reserve account. The breach reserve account will have a balance of $0 at closing and, for each payment date, will build to a target of the sum of (i) 0.375% of the Class A-1 note balance, (ii) 0.250% of the Class A-2 note balance, (iii) 0.125% of the Class M-1 note balance, and (iv) 0.050% and the Class M-2 note balance immediately prior to each payment date. The initial target amount on the closing date will be $1,128,333.25. Moody's took the R&W sunset provision into consideration in determining its expected loss on the pool. Trustee, Custodians, Paying Agent, Servicers, Master Servicer, and Successor Servicer The transaction indenture trustee is Wilmington Trust, National Association. The custodian functions will be performed by Wells Fargo Bank, N.A and U.S. Bank National Association. The paying agent and cash management functions will be performed by Citibank, N.A. In addition, Nationstar, as master servicer, is responsible for servicer oversight, termination of servicers, and the appointment of successor servicers. Having Nationstar as a master servicer mitigates servicing-related risk due to the performance oversight that it will provide. Nationstar will serve as the designated successor servicer for each of the servicers other than Nationstar. Shellpoint, Fay and Nationstar will act as the primary servicers on 60.3%, 36.0% and 3.7% of the loans by scheduled balance, respectively. Moody's considers the overall servicing arrangement to be adequate. Transaction Structure The transaction cash flows follow a sequential priority of payments, in which a given class of notes can only receive principal payments once all the classes of notes above it have been paid off. Losses will be applied in reverse order of priority. Monthly available excess spread can be used to pay principal on the notes sequentially. Moody's coded the transaction cash flows using its proprietary cashflow tool. To assess the final ratings on the notes, Moody's ran 96 different loss and prepayment scenarios. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. 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 servicer in the transaction, Nationstar, 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-RPL2 is adequately protected against such risk primarily because the loans in this transaction are highly seasoned. 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 all 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 $1,827,209 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 represents approximately 0.43% 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. NRZ ADVANCE 2019-T2: S&P Assigns Prelim 'BB' Rating to E-T2 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-T2. 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 Aug. 6, 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 (VFN) 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. The preliminary ratings assigned to the series 2019-T2 notes do not address whether the cash flows generated by the receivables pool will be sufficient to pay certain supplemental fees, such as default supplemental fees and expected repayment date supplemental fees, which may become payable to noteholders if certain events occur. PRELIMINARY RATINGS ASSIGNED NRZ Advance Receivables Trust 2015-ON1 (Series 2019-T2) Class Rating Amount (mil. $) A-T2 AAA (sf) 327.128 B-T2 AA (sf) 12.652 C-T2 A (sf) 14.714 D-T2 BBB (sf) 40.824 E-T2 BB (sf) 4.682 OCWEN MASTER 2019-T1: S&P Assigns Prelim BB Rating to E-T1 Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Ocwen Master Advance Receivables Trust's advance receivables-backed notes for series 2019-T1 and 2019-T2. The note issuance is a residential mortgage-backed securities (RMBS) transaction backed by servicer advance reimbursements and accrued and unpaid servicing fee reimbursements. The preliminary ratings are based on information as of Aug. 7, 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 any outstanding variable-funding notes that are also in a revolving period 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 pre-determined, 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' rating scenarios, reflects S&P's assumption that the servicer would be replaced and 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 preliminary ratings; and -- The transaction's sequential turbo payment structure that applies during any full amortization period. PRELIMINARY RATINGS ASSIGNED Ocwen Master Advance Receivables Trust Series 2019-T1 Class Rating Amount (mil. $) A-T1 AAA (sf) 148.5 B-T1 AA (sf) 5.6 C-T1 A (sf) 6.8 D-T1 BBB (sf) 21.6 E-T1 BB (sf) 2.5 Series 2019-T2 Class Rating Amount (mil. $) A-T2 AAA (sf) 231.6 B-T2 AA (sf) 9.1 C-T2 A (sf) 10.3 D-T2 BBB (sf) 30.6 E-T2 BB (sf) 3.4 SHACKLETON LTD 2019-XIV: Moody's Rates $21.65MM Class D Notes 'Ba3' ------------------------------------------------------------------- Moody's Investors Service assigned ratings to five classes of notes issued by Shackleton 2019-XIV CLO, Ltd. Moody's rating action is as follows: US$287,100,000 Class A-1 Senior Secured Floating Rate Notes due 2030 (the "Class A-1 Notes"), Assigned Aaa (sf) US$43,700,000 Class A-2 Senior Secured Floating Rate Notes due 2030 (the "Class A-2 Notes"), Assigned Aa2 (sf) US$20,000,000 Class B Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class B Notes"), Assigned A2 (sf) US$27,750,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2030 (the "Class C Notes"), Assigned Baa3 (sf) US$21,650,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2030 (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. Shackleton 2019-XIV CLO is a managed cash flow CLO. The issued notes will be collateralized primarily by broadly syndicated senior secured corporate loans. At least 92.5% of the portfolio must consist of senior secured loans, and up to 7.5% of the portfolio may consist of senior unsecured loans, first-lien last-out loans and second lien loans. The portfolio is approximately 95% ramped as of the closing date. Alcentra NY, 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 three-year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the Rated Notes, the Issuer issued subordinated notes. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in March 2019. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $435,000,000 Diversity Score: 65 Weighted Average Rating Factor (WARF): 2940 Weighted Average Spread (WAS): 3.40% Weighted Average Recovery Rate (WARR): 48.0% Weighted Average Life (WAL): 7.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. SLM STUDENT 2003-4: Fitch Lowers Ratings on 6 Tranches to Bsf ------------------------------------------------------------- Fitch Ratings has downgraded the ratings on all outstanding classes of SLM Student Loan Trust 2003-4 and revised the Rating Outlooks to Stable from Negative. Fitch downgraded the class A-5A through A-5E notes to 'Bsf' from 'BBBsf' due to increased maturity risk in the transaction. The weighted average remaining term decreased by less than two months over the 12-months ending May 2019 and started to increase during the last collection period. The class B notes are also downgraded to 'Bsf' from 'BBBsf', as the rating on these notes are constrained by the ratings of all the class A-5 notes per Fitch's criteria, because they can be affected as a result of actions investors may take post an event of default on the class A-5 notes. All the notes 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 trust has entered into a revolving credit agreement with Navient by which it 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 trust, Fitch does not give 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 2003-4 Current Rating Prior Rating Class A-5A LT Bsf Downgrade previously at BBBsf Class A-5B LT Bsf Downgrade previously at BBBsf Class A-5C LT Bsf Downgrade previously at BBBsf Class A-5D LT Bsf Downgrade previously at BBBsf Class A-5E LT Bsf Downgrade previously at BBBsf Class B LT Bsf Downgrade previously at BBBsf KEY RATING DRIVERS U.S. Sovereign Risk: The trusts' collateral comprises 100% Federal Family Education Loan Program (FFELP) loans, with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AAA'/Outlook Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch assumes a base case cumulative default rate of 15.50% and a 46.50% default rate under the 'AAA' credit stress scenario. Fitch is maintaining a sustainable constant default rate of 2.5% and a sustainable constant prepayment rate (voluntary and involuntary) of 9.7% in cash flow modeling. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM average of deferment, forbearance, and income-based repayment (prior to adjustment) are 3.49%, 8.28%, and 21.43%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.14%, based on information provided by the sponsor. Fitch's student loan ABS cash flow model indicates that all the class A-5 notes fail to be paid in full by their maturity dates in Fitch's base cases. If the breach of the class A-5 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of May 2019, approximately 86.58% of the student loans are indexed to LIBOR, and 13.42% are indexed to T-Bill. All the notes are currently indexed to three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization (OC), excess spread and for the class A notes, subordination. As of May 2019, senior and total effective parity ratios (including the reserve but excluding the yield supplement account) are 105.65% (5.35% CE) and 100.69% (0.69% CE), respectively. Liquidity support is provided by a reserve account currently sized at its floor of $3,384,496. The transaction will continue to release cash as long as the current 100% total parity (excluding the reserve and the yield supplement account) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. 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 a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. 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. SLM STUDENT 2003-7: Fitch Lowers Ratings on 3 Tranches to Bsf ------------------------------------------------------------- Fitch Ratings has downgraded the ratings on all outstanding classes of SLM Student Loan Trust 2003-7 and maintained the Rating Outlooks at Stable. Fitch downgraded the class A-5A and class A-5B notes 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. The weighted average remaining term decreased by a little over a month over the 12-months ending May 2019 and started to increase during the last collection period. The class B notes are also downgraded to 'Bsf' from 'BBsf', as the rating on these notes are constrained by the ratings of the class A-5A and A-5B notes per Fitch's criteria, because they can be affected as a result of actions investors may take post an event of default on the class A-5A and A-5B notes. All the notes 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 trust has entered into a revolving credit agreement with Navient by which it 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 trust, Fitch does not give 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 2003-7 Current Rating Prior Rating Class A-5A 78442GHH2; LT Bsf Downgrade; previously at BBsf Class A-5B 78442GHJ8; LT Bsf Downgrade; previously at BBsf Class B 78442GHK5; LT Bsf Downgrade; previously at BBsf 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 16.75% and a 50.25% default rate under the 'AAA' credit stress scenario. Fitch is maintaining a sustainable constant default rate of 2.7% and a sustainable constant prepayment rate (voluntary and involuntary) of 9.7% in cash flow modeling. Fitch applies the standard default timing curve. The claim reject rate is assumed to be 0.50% in the base case and 3.0% in the 'AAA' case. The TTM levels of deferment, forbearance, and income-based repayment (prior to adjustment) are 3.76%, 8.51% and 21.30%, respectively, and are used as the starting point in cash flow modeling. Subsequent declines or increases are modeled as per criteria. The borrower benefit is assumed to be approximately 0.13%, based on information provided by the sponsor. Fitch's student loan ABS cash flow model indicates that all the class A-5 notes fail to be paid in full by their maturity dates in Fitch's base cases. If the breach of the class A-5 maturity date triggers an event of default, interest payments will be diverted away from the class B notes, causing them to fail the base cases as well. Basis and Interest Rate Risk: Basis risk for this transaction arises from any rate and reset frequency mismatch between interest rate indices for Special Allowance Payments (SAP) and the securities. As of May 2019, approximately 86.78% of the student loans are indexed to LIBOR, and 13.22% are indexed to T-Bill. Two tranches are indexed to three-month LIBOR. One other tranche is indexed to three-month Euribor where there is a currency swap in place and the trust pays a spread over three-month LIBOR. Fitch applies its standard basis and interest rate stresses to this transaction as per criteria. Payment Structure: Credit enhancement (CE) is provided by excess spread, overcollateralization, and for the class A notes, subordination. As of May 2019, senior and total effective parity ratios (including the reserve) are 105.51% (5.22% CE) and 100.64% (0.63% CE), respectively. Liquidity support is provided by a reserve account currently sized at its floor of $3,761,650. Cash is currently being released when the total parity of 100% (excluding the reserve) is maintained. Operational Capabilities: Day-to-day servicing is provided by Navient Solutions, LLC. 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 a CE sensitivity analysis by stressing both the related lifetime default rate and basis spread assumptions. In addition, Fitch conducted a maturity sensitivity analysis by running different assumptions for the IBR usage and prepayment rate. The results should only be considered as one potential model implied outcome as the transaction is exposed to multiple risk factors that are all dynamic variables. Credit Stress Rating Sensitivity -- Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; -- Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity -- CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; -- CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. -- Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; -- Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. 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. UBS-BARCLAYS 2012-C2: Moody's Lowers Class G Debt Rating to Caa2 ---------------------------------------------------------------- Moody's Investors Service affirmed the ratings on seven classes and downgraded the ratings on five classes in UBS-Barclays Commercial Mortgage Trust 2012-C2, Commercial Mortgage Pass-Through Certificates, Series 2012-C2 as follows: Cl. A-3, Affirmed Aaa (sf); previously on May 18, 2018 Affirmed Aaa (sf) Cl. A-4, Affirmed Aaa (sf); previously on May 18, 2018 Affirmed Aaa (sf) Cl. A-S-EC, Affirmed Aaa (sf); previously on May 18, 2018 Affirmed Aaa (sf) Cl. B-EC, Affirmed Aa2 (sf); previously on May 18, 2018 Affirmed Aa2 (sf) Cl. C-EC, Affirmed A2 (sf); previously on May 18, 2018 Affirmed A2 (sf) Cl. D, Downgraded to Baa3 (sf); previously on May 18, 2018 Affirmed Baa1 (sf) Cl. E, Downgraded to Ba3 (sf); previously on May 18, 2018 Affirmed Ba1 (sf) Cl. F, Downgraded to B2 (sf); previously on May 18, 2018 Affirmed Ba3 (sf) Cl. G, Downgraded to Caa2 (sf); previously on May 18, 2018 Affirmed B3 (sf) Cl. X-A*, Affirmed Aaa (sf); previously on May 18, 2018 Affirmed Aaa (sf) Cl. X-B*, Downgraded to B3 (sf); previously on May 18, 2018 Affirmed B1 (sf) Cl. EC, Affirmed to Aa3 (sf); previously on May 18, 2018 Affirmed Aa3 (sf) * Reflects Interest Only Classes ** Reflects Exchangeable Classes RATINGS RATIONALE The ratings on five principal and interest classes were affirmed because the transaction's key metrics, including Moody's loan-to-value ratio, Moody's stressed debt service coverage ratio and the transaction's Herfindahl Index, are within acceptable ranges. The ratings on four P&I classes, Cl. D, Cl. E, Cl. F and Cl. G, were downgraded due to a decline in pool performance, particularly in relation to two regional malls, Crystal Mall (9.6% of the pool) and Piere Bossier Mall (4.7% of the pool) as well as increased anticipated losses from the one specially serviced loan. Furthermore, the transaction has a significant exposure to Class B regional malls with a total of five loans representing 35% of the pooled loan balance. The rating on the interest only (IO) class Cl. X-A was affirmed based on the credit quality of their referenced classes. The rating on the interest only (IO) class Cl. X-B was downgraded due to a decline in the credit quality of its referenced classes. The rating on the exchangeable class, Cl. EC, was affirmed due to credit quality of its exchangeable classes. Moody's rating action reflects a base expected loss of 8.1% of the current pooled balance, compared to 4.6% at Moody's last review. Moody's base expected loss plus realized losses is now 6.0% of the original pooled balance, compared to 3.5% at the last review. FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATINGS: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range can indicate that the collateral's credit quality is stronger or weaker than Moody's had previously expected. Factors that could lead to an upgrade of the ratings include a significant amount of loan paydowns or amortization, an increase in the pool's share of defeasance or an improvement in pool performance. Factors that could lead to a downgrade of the ratings include a decline in the performance of the pool, loan concentration, an increase in realized and expected losses from specially serviced and troubled loans or interest shortfalls. METHODOLOGY UNDERLYING THE RATING ACTION The methodologies used in rating all classes except exchangeable classes and 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 principal methodology used in rating the exchangeable class was "Moody's Approach to Rating Repackaged Securities" published in March 2019. 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. DEAL PERFORMANCE As of the July 2019 distribution date, the transaction's aggregate certificate balance has decreased by 25% to $906 million from $1.22 billion at securitization. The certificates are collateralized by fifty-two mortgage loans ranging in size from less than 1% to just under 10% of the pool, with the top ten loans (excluding defeasance) constituting 62% of the pool. One loan, constituting 4% of the pool, has an investment-grade structured credit assessment. Twelve loans, constituting 14% 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 16, compared to 19 at Moody's last review. Seven loans, constituting 28% of the pool, are on the master servicer's watchlist. The watchlist includes loans that meet certain portfolio review guidelines established as part of the CRE Finance Council (CREFC) monthly reporting package. As part of Moody's ongoing monitoring of a transaction, the agency reviews the watchlist to assess which loans have material issues that could affect performance. No loans have been liquidated from the pool. One loan, Northpoint Central Loan ($7.2 million -- 0.8% of the pool), is currently in special servicing. The loan is secured by a 180,000 SF suburban office property thirteen miles north of the Houston, Texas central business district (CBD). The loan was originally secured by two office properties, but the Irving, Texas property was released in February 2016 prior to the loan's transfer to special servicing in March 2017. The loan transferred due to imminent maturity default and the asset became REO in July 2017. Occupancy has significantly declined since 2017 and as of May 2019 the property was only 45% occupied. The special servicer indicated they are working to lease up the property. Moody's has also assumed a high default probability for two poorly performing regional mall loans, constituting 14.3% of the pool. One of regional mall loans is the Crystal Mall Loan ($86.7 million -- 9.6% of the pool), which is secured by a 518,500 square foot (SF) portion of a 783,300 SF super-regional mall located in Waterford, Connecticut. At securitization the mall contained three anchors: Macy's, Sears, and JC Penney (Macy's and Sears are not included as loan collateral). Sears, owned by Seritage Growth Properties, closed its store at this location in 2018. The subject is the only regional mall within a 50 mile radius, but it faces significant competition from other retail centers including Waterford Commons and Tanger Outlets. Performance of the property has trended down since securitization, with the 2018 NOI declining approximately 32% since 2012 as a result of lower revenue. Mall stores less than 10,000 SF reported sales of approximately $290 per square foot (PSF) in 2018, compared to $300 PSF in 2017. As of September 2018, the total mall and the inline space were 87% and 72% leased, respectively. The loan was interest-only for the first 24 months and is now amortizing on a 30-year schedule. The loan is on the master servicer watchlist due to the declining DSCR and Moody's has recognized this as a troubled loan. The other regional mall loan Moody's identified as a troubled loan is the Pierre Bossier Mall Loan ($42.7 million -- 4.7% of the pool), which is secured by a 265,400 SF portion of a 612,300 SF regional mall located in Bossier City, Louisiana. The mall was built in 1982 and underwent renovations in 1992 and 2005. At securitization the mall contained four non-collateral anchors: Dillard's, Sears, JC Penney, and Virginia College. Both Sears and Virginia College closed at their locations in 2018. Performance of the property has trended down since securitization, with the 2018 NOI declining approximately 39% since 2012 as a result of lower revenue. Comparable inline stores less than 10,000 SF reported sales of approximately $343 PSF in 2018, compared to $332 PSF in 2017. As of September 2018, the total mall and the inline space were 79% and 86% leased, respectively. The mall also faces competition from several other retail centers within a 10-mile trade area, including a regional mall (Mall St. Vincent), an outdoor mall (Louisiana Boardwalk), a lifestyle center (Stirling Bossier Shopping Center), and two power centers (Regal Court and Shoppes at Bellemead). The loan has amortized approximately 12% since securitization, however, the loan is on the master servicer watchlist due to declining DSCR (which was below 1.10X as of year-end 2018). Moody's has assumed an aggregate loss of $51 million (a 37% expected loss on average) from the specially serviced loans and troubled loans. Moody's received full year 2018 operating results for 100% of the pool, and partial year 2019 operating results for 52% of the pool (excluding specially serviced and defeased loans). Moody's weighted average conduit LTV is 91%, compared to 86% 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 18% to the most recently available net operating income (NOI). Moody's value reflects a weighted average capitalization rate of 9.8%. Moody's actual and stressed conduit DSCRs are 1.57X and 1.21X, respectively, compared to 1.67X and 1.27X 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 loan with a structured credit assessment is the 909 Third Avenue Net Lease Loan ($38.6 million -- 4.3% of the pool), which is secured by the fee interest in a parcel of land located beneath a 1.3 million SF office property located in Manhattan, New York. The collateral is leased to an affiliate of Vornado Realty Trust and the annual ground lease payments are $1.6 million. The loan is interest-only throughout the term prior to the anticipated repayment date (ARD) in May 2022. Moody's structured credit assessment and stressed DSCR is a1 (sca.pd). The top three conduit loans represent 25% of the pool balance. The largest loan is the Louis Joliet Mall Loan ($85.0 million -- 9.4% of the pool), which is secured by a 359,000 SF portion of a 975,000 SF regional mall located in Joliet, Illinois. The mall was built in 1978 and renovated in 2009 to expand its food court and add a 14-screen movie theater. At securitization the mall was anchored by Macy's, Sears, JC Penney and Carson Pirie Scott & Co (all non-collateral). However, both Sears and Carson Pirie Scott & Co. closed their stores at this location in 2018. Two major collateral tenants, MC Sport and Toys R Us, also closed their stores in 2017 and 2018, respectively. As of March 2019, the total mall and the inline space was 58% and 88% leased, respectively. Property performance has declined in recent years due to lower rental revenue and the 2018 NOI was 9% below the level in 2012. Comparable sales for tenants less than 10,000SF was $470 PSF in 2018. The loan is interest-only for the entire term and Moody's LTV and stressed DSCR are 114% and 1.02X, respectively, compared to 99% and 1.11X at the last review. The second largest loan is the Southland Center Mall Loan ($69.8 million -- 7.7% of the pool), which is secured by a 611,000 SF portion of a 903,500 SF super-regional mall located in Taylor, Michigan. The mall is currently anchored by Macy's and JC Penney. Other major tenants include Best Buy and a 12-screen, all-digital, Cinemark multiplex theater opened at the mall in April 2016. The Macy's box is not owned by the borrower and is not included as collateral for the loan. As of March 2019, the total mall and the inline space was 97% and 93% leased, respectively. Due to increasing revenue, the property's 2018 NOI was 29% higher than in 2012. The loan has also amortized 11% since securitization and Moody's LTV and stressed DSCR are 89% and 1.19X, respectively, compared to 91% and 1.16X at the last review. The third largest loan is the Two MetroTech Loan ($67.4 million -- 7.4% of the pool), which is secured by a 10-story, Class-A office building containing 511,920 SF of net rentable area located in Brooklyn, NY. The property is well located approximately five minutes from downtown Manhattan, and is accessible via 12 subway lines and the Long Island Rail Road. The improvements are situated on New York City owned land. The ground lease expires in 2087, and beginning in 2025, the ground rent will be adjusted to be 10% of the fair market value of the land, considered as unimproved and unencumbered by the ground lease. As of March 2019, the building was approximately 100% leased. Moody's LTV and stressed DSCR are 79% and 1.24X. UNITED AUTO 2018-2: S&P Raises Class F Notes Rating to B+ (sf) -------------------------------------------------------------- S&P Global Ratings raised its ratings on seven classes and affirmed its rating on one class from United Auto Credit Securitization Trust (UACST) 2017-1 and 2018-2. The transactions are backed by subprime retail auto loans originated and serviced by United Auto Credit Corp. (UACC). "The rating actions reflect collateral performance to date and our expectations regarding future collateral performance, as well as each transaction's structure and credit enhancement. Additionally, we incorporated secondary credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses," S&P said. Considering these factors, the rating agency believes the notes' creditworthiness is consistent with the affirmed and raised ratings. "For UACST 2017-1, we lowered our loss expectation to up to 19.50%. Our initial loss expectation for this transaction was 21.00%-22.00%. We revised our loss expectation for UACST 2018-2 to 19.50%-20.50% from the initial loss expectation of 19.50%-21.50%," S&P said. Table 1 Collateral Performance(i) Pool Current 60+ day Series Mo. factor (%) CNL (%) delinq. (%) 2017-1 25 22.91 17.58 3.29 2018-2 11 60.55 7.92 2.70 (i)As of the July 2019 distribution date. CNL--Cumulative net loss. Mo.--Month. Delinq.--Delinquencies. Table 2 CNL Expectations(i) Initial/former Revised lifetime lifetime Series CNL exp. (%) CNL exp. (%) 2017-1 21.00-22.00 up to 19.50 2018-2 19.50-21.50 19.50-20.50 (i)As of August 2019. CNL exp.--Cumulative net loss expectations. Each transaction has a sequential principal payment structure, with credit enhancement consisting of overcollateralization and a nonamortizing reserve account. The more senior tranches also benefit from subordination. The credit enhancement for each of the transactions is at the specified target or floor, and each class' credit support continues to increase as a percentage of the amortizing collateral balance. Table 3 Hard Credit Support(i) Total hard Current total hard credit support credit support Series Class at issuance (%)(ii) (% of current)(ii) 2017-1 D 23.22 67.15 2017-1 E 13.50 24.73 2018-2 A 55.50 90.59 2018-2 B 45.00 73.25 2018-2 C 34.00 55.09 2018-2 D 21.00 33.62 2018-2 E 12.50 19.58 2018-2 F 9.00 13.80 (i) As of the July 2019 distribution date. (ii)Calculated as a percentage of the total receivable pool balance, consisting of a reserve account, overcollateralization, and, if applicable, subordination. S&P incorporated a cash flow analysis to assess the loss coverage level, giving credit to excess spread. The rating agency's various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that it believes are appropriate given each transaction's performance to date. Aside from its break-even cash flow analysis, the rating agency also conducted sensitivity analyses for these series to determine the impact that a moderate ('BBB') stress scenario would have on its ratings if losses begin trending higher than its revised base-case loss expectations. "In our view, the results demonstrated that all of the classes have adequate credit enhancement for the affirmed and raised rating levels. We will continue to monitor the performance of the transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our cumulative net loss expectations under our stress scenarios for each of the rated classes," S&P said. RATINGS RAISED United Auto Credit Securitization Trust Rating Series Class To From 2017-1 D AAA (sf) A+ (sf) 2017-1 E AA+ (sf) BBB- (sf) 2018-2 B AAA (sf) AA (sf) 2018-2 C AA+ (sf) A (sf) 2018-2 D A- (sf) BBB (sf) 2018-2 E BB+ (sf) BB- (sf) 2018-2 F B+ (sf) B (sf) RATINGS AFFIRMED United Auto Credit Securitization Trust Series Class Rating 2018-2 A AAA (sf) VENTURE LTD 38: Moody's Assigns Ba3 Rating on $31.2MM Class E Notes ------------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to seven classes of notes to be issued by Venture 38 CLO, Limited. Moody's rating action is as follows: US$3,000,000 Class X Senior Secured Floating Rate Notes due 2032 (the "Class X Notes"), Assigned (P)Aaa (sf) US$372,000,000 Class A-1 Senior Secured Floating Rate Notes due 2032 (the "Class A-1 Notes"), Assigned (P)Aaa (sf) US$24,000,000 Class A-2 Senior Secured Floating Rate Notes due 2032 (the "Class A-2 Notes"), Assigned (P)Aaa (sf) US$60,000,000 Class B Senior Secured Floating Rate Notes due 2032 (the "Class B Notes"), Assigned (P)Aa2 (sf) US$28,800,000 Class C Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class C Notes"), Assigned (P)A2 (sf) US$36,000,000 Class D Mezzanine Secured Deferrable Floating Rate Notes due 2032 (the "Class D Notes"), Assigned (P)Baa3 (sf) US$31,200,000 Class E Junior Secured Deferrable Floating Rate Notes due 2032 (the "Class E Notes"), Assigned (P)Ba3 (sf) The Class X Notes, the Class A-1 Notes, the Class A-2 Notes, the Class B Notes, the Class C Notes, the Class D Notes and the Class E Notes are referred to herein, collectively, as the "Rated Notes." Moody's issues provisional ratings in advance of the final sale of financial instruments, but these ratings only represent Moody's preliminary credit opinions. Upon a conclusive review of a transaction and associated documentation, Moody's will endeavor to assign definitive ratings. A definitive rating, if any, may differ from a provisional rating. RATINGS RATIONALE The 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. Venture 38 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 90% ramped as of the closing date. MJX Venture Management III LLC will direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's five year reinvestment period. Thereafter, 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 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: $600,000,000 Diversity Score: 80 Weighted Average Rating Factor (WARF): 2830 Weighted Average Spread (WAS): 3.60% Weighted Average Coupon (WAC): 7.0% Weighted Average Recovery Rate (WARR): 46.50% Weighted Average Life (WAL): 9.0 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in 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. VERUS 2019-3: S&P Assigns Prelim B (sf) Rating to Class B-2 Certs ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Verus Securitization Trust 2019-3's mortgage pass-through certificates. The issuance is a U.S. residential mortgage-backed securities (RMBS) transaction backed by first-lien fixed- and adjustable-rate fully amortizing and interest-only residential mortgage loans, primarily secured by single-family residential properties, townhouses, planned-unit developments, condominiums, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 1,158 loans, which are primarily nonqualified mortgage loans. The preliminary ratings are based on information as of Aug. 6, 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 2019-3 Class Rating(i) Amount ($) A-1 AAA (sf) 381,586,000 A-2 AA (sf) 34,146,000 A-3 A (sf) 67,155,000 M-1 BBB- (sf) 40,975,000 B-1 BB (sf) 16,789,000 B-2 B (sf) 18,211,000 B-3 NR 10,244,670 A-IO-S NR Notional(ii) XS NR Notional(ii) P NR 100 R NR N/A (i)The preliminary ratings assigned to the classes address the expectation for ultimate payment of interest and principal. (ii)The notional amount equals the loans' stated principal balance. N/A--Not applicable. NR--Not rated. WAMU COMMERCIAL 2007-SL2: Fitch Affirms Dsf Ratings on 6 Tranches ----------------------------------------------------------------- Fitch Ratings has upgraded one and affirmed nine classes of WaMu Commercial Mortgage Securities Trust commercial mortgage pass-through certificates, series 2007-SL2. WaMu Commercial Mortgage Securities Trust 2007-SL2 Class C LT AAAsf Affirmed previously at AAAsf Class D LT Asf Upgrade previously at BBBsf Class E LT Bsf Affirmed previously at Bsf Class F LT CCCsf Affirmed previously at CCCsf Class G LT Dsf Affirmed previously at Dsf Class H LT Dsf Affirmed previously at Dsf Class J LT Dsf Affirmed previously at Dsf Class K LT Dsf Affirmed previously at Dsf Class L LT Dsf Affirmed previously at Dsf Class M LT Dsf Affirmed previously at Dsf KEY RATING DRIVERS Increased Credit Enhancement: The upgrade to class D reflects the increased credit enhancement from loans repaying during their open prepayment period. Given that 100% of the pool is currently past the lockout period and can prepay without penalty, additional paydown and increased credit enhancement is possible. Since Fitch's prior rating action, 10 loans (accounting for 10.6% of the pool with an aggregate balance at the last rating action of $6.8 million) have been repaid. As of the July 2019 distribution date, the pool's aggregate principal balance has been paid down by 93.6% to $54.1 million from $842.1 million at issuance. No loans are defeased. One loan (1.1% of the current pool balance) is in special servicing and 12 loans (18.6%) have been designated as Fitch Loans of Concern due to performance declines. Interest shortfalls are currently affecting classes G through N. Stable Loss Expectations: Loss expectations for the pool remain stable in comparison to Fitch's prior rating action. The weighted average Fitch LTV for the pool increased to 111.9% compared to 104.1% at the prior rating action; however, the total number of loans modeling losses declined due to improvements in cash flow and occupancy. Additionally, 68 loans (75.6%) are 100% recourse to the borrower. Alternative Loss Considerations: Fitch applied a sensitivity scenario where a 100% loss was modeled on the current balances of the five largest remaining loans in the pool. The upgrade to class D reflects this sensitivity scenario. Pool Concentration: The pool consists entirely of small balance loans which traditionally have high loss severities. Fitch utilized conservative cap rate, constant and cash flow scenarios for performing loans to mitigate concerns regarding the pool's concentration and collateral quality. Loans secured by multifamily properties account for 85% of the pool and mixed use properties with a multifamily component account for the remaining 15%. 48.8% of the remaining pool is collateralized by loans in major metropolitan areas including New York City (15.2%), Los Angeles (21.1%), and Chicago (12.5%). Extended Maturity Profile: 96.3% of the pool does not mature until 2036, which could result in performance issues due to future economic volatility. However, none of the loans have prepayment restrictions. All remaining loans in the pool are adjustable rate mortgages with floating interest rates leaving borrowers exposed to interest rate volatility in the future. Given the collateral concentration in primary markets where property values have risen and continued amortization of the remaining loans, it is likely that most borrowers have enough equity to be able to refinance. While the majority of these loans are fully amortizing (73.6%), scheduled monthly principal is limited due to the loans amortizing over a 30-year schedule. ********* Monday's edition of the TCR delivers a list of indicative prices for bond issues that reportedly trade well below par. Prices are obtained by TCR editors from a variety of outside sources during the prior week we think are reliable. Those sources may not, however, be complete or accurate. The Monday Bond Pricing table is compiled on the Friday prior to publication. Prices reported are not intended to reflect actual trades. Prices for actual trades are probably different. Our objective is to share information, not make markets in publicly traded securities. Nothing in the TCR constitutes an offer or solicitation to buy or sell any security of any kind. It is likely that some entity affiliated with a TCR editor holds some position in the issuers public debt and equity securities about which we report. 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Villacampa, Sheryl Joy P. Olano, Psyche A. Castillon, Ivy B. Magdadaro, Carlo Fernandez, Christopher G. Patalinghug, and Peter A. Chapman, Editors. Copyright 2019. All rights reserved. ISSN: 1520-9474. This material is copyrighted and any commercial use, resale or publication in any form (including e-mail forwarding, electronic re-mailing and photocopying) is strictly prohibited without prior written permission of the publishers. Information contained herein is obtained from sources believed to be reliable, but is not guaranteed. The TCR subscription rate is $975 for 6 months delivered via e-mail. Additional e-mail subscriptions for members of the same firm for the term of the initial subscription or balance thereof are $25 each. For subscription information, contact Peter A. Chapman at 215-945-7000. *** End of Transmission ***