/raid1/www/Hosts/bankrupt/TCR

/raid1/www/Hosts/bankrupt/TCR_Public/190908.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, September 8, 2019, Vol. 23, No. 250 Headlines AMERIQUEST MORTGAGE 2003-12: S&P Puts Two RMBS Ratings on Watch Dev AREIT TRUST 2019-CRE3: DBRS Finalizes B(low) Rating on Cl. F Certs BLUEMOUNTAIN CLO 2016-2: S&P Assigns BB- (sf) Rating to D-R Notes CASTLELAKE AIRCRAFT 2016-1: S&P Affirms BB (sf) Rating on C Loans CIM TRUST 2019-J1: DBRS Finalizes B Rating on Class B-5 Certs CIM TRUST 2019-J1: Moody's Assigns B2 Rating on Cl. B-5 Debt CITIGROUP MORTGAGE 2019-IMC1: DBRS Finalizes B Rating on B-2 Certs EXETER AUTOMOBILE: DBRS Takes Action on 39 Ratings From 11 Deals GCAT TRUST 2019-RPL1: DBRS Finalizes B Rating on Class B-2 Notes GCAT TRUST 2019-RPL1: Moody's Assigns Ba3 Rating on Class B-1 Notes GS MORTGAGE 2016-GS3: Fitch Affirms B-sf Rating on Class F Certs JEFFERIES MILITARY 2010-XLII:DBRS Confirms B Rating on 2010A Certs JP MORGAN 2014-C24: Fitch Affirms Bsf Rating on Class F Certs JP MORGAN 2019-6: DBRS Finalizes B Rating on Class B-5 Certs JP MORGAN 2019-6: Moody's Assigns B3 Rating on Cl. B-5 Debt JPMBB COMMERCIAL 2014-C23: Fitch Affirms Bsf Rating on 2 Tranches MORGAN STANLEY 2015-C25: Fitch Affirms B-sf Rating on Cl. F Certs MORGAN STANLEY 2018-BOP: DBRS Confirms BB Rating on Class F Certs REGATTA XII: S&P Assigns Prelim BB- (sf) Rating to Class E Notes SIERRA TIMESHARE 2018-3: S&P Affirms BB (sf) Rating on Cl. D Notes STEELE CREEK 2019-2: S&P Assigns BB- (sf) Rating to Class E Notes TICP CLO XIV: S&P Assigns Prelim BB- (sf) Rating to Class D Notes WELLS FARGO 2015-LC22: Fitch Affirms B-sf Rating on 2 Tranches WELLS FARGO 2017-C40: Fitch Affirms B-sf Rating on Class G Debt WELLS FARGO 2019-3: Moody's Gives (P)Ba2 Rating on Class B-4 Debt [*] S&P Affirms Ratings on 151 Classes From 27 Gas Prepay Deals [*] S&P Lowers Ratings on 10 Classes From Seven U.S. CMBS Deals [*] S&P Takes Various Actions on 38 Classes From 26 US RMBS Deals ********* AMERIQUEST MORTGAGE 2003-12: S&P Puts Two RMBS Ratings on Watch Dev ------------------------------------------------------------------- S&P Global Ratings placed its ratings on two classes from two U.S. residential mortgage-backed securities (RMBS) transactions, including one U.S. RMBS re-securitized real estate mortgage investment conduit (re-REMIC), on CreditWatch with developing implications: -- Ameriquest Mortgage Securities Inc.series 2003-12 class M-1 (CUSIP: 03072SMX0), rated B/Watch Dev; and -- Fannie Mae Grantor Trust 2004-T5 class AB-1 (CUSIP: 31394AXP6), rated A+/Watch Dev. The transactions were issued in 2003 and 2004 and are backed by subprime collateral. "The CreditWatch placements reflect a recently identified error in the interest rate path assumptions we applied during our surveillance reviews from Jan. 4, 2019 through June 27, 2019 on classes from pre-2009 U.S. RMBS transactions and re-REMIC transactions supported by pre-2009 U.S. RMBS transactions," S&P said. "In particular, due to an administrative error, we applied interest rate path assumptions that are higher than and inconsistent with those prescribed by our applicable criteria in connection with these surveillance reviews," the rating agency said. On Aug. 26, 2019, S&P completed its initial analysis on 2,338 rating actions from the 2,458 rating actions that took place from Jan. 4, 2019 through Jun. 27, 2019. The CreditWatch placements address S&P's initial analysis of the remaining 120 rating actions that took place during the Jan. 4, 2019 through Jun. 27, 2019 time period, and it has determined that the ratings listed below may have been affected by the incorrect interest rate path assumptions that it applied in the cash flows to determine the current ratings. S&P will continue to assess the impact of this error on its surveillance reviews, including the surveillance reviews that did not result in a rating action, and will offer further details and take rating actions as appropriate. "Over the next few weeks, we will review recent remittance and performance data on the transactions we placed on CreditWatch to determine the resulting rating action. We expect the majority of the rating changes to be within one rating category; however, some ratings may experience changes of greater than one category," S&P said. ANALYTICAL CONSIDERATIONS S&P will incorporate various considerations into its decisions to raise, lower, or affirm ratings when reviewing the indicative ratings suggested by its projected cash flows. These considerations are based on transaction-specific performance or structural characteristics (or both) and their potential effects on certain classes. Some of these considerations may include: -- Collateral performance/delinquency trends; -- Underlying bond performance; -- Historical interest shortfalls/missed interest payments; -- Available subordination and/or overcollateralization; -- Erosion of or increases in credit support; -- Loan modifications; and/or -- A small loan count. AREIT TRUST 2019-CRE3: DBRS Finalizes B(low) Rating on Cl. F Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following classes of Commercial Mortgage Pass-Through Certificates, Series 2019-CRE3 (the Certificates) issued by AREIT 2019-CRE3 Trust: -- Class A at AAA (sf) -- Class A-S at AAA (sf) -- Class B at AA (low) (sf) -- Class C at A (low) (sf) -- Class D at BBB (low) (sf) -- Class E at BB (low) (sf) -- Class F at B (low) (sf) All trends are Stable. Classes E and F have been privately placed. The initial collateral consists of 30 floating-rate mortgage loans secured by 31 mostly transitional real estate properties with a cut-off balance totaling $717.9 million, excluding approximately $93.9 million of future funding commitments. Most loans are in a period of transition with plans to stabilize and improve asset value. During the Permitted Funded Companion Participation Acquisition Period, the Issuer may acquire future funding commitments without being subject to rating agency confirmation. For all floating-rate loans, DBRS used the one-month LIBOR index, which is based on the lower of a DBRS stressed rate that corresponded with the remaining fully extended term of the loans or the strike price of the interest rate cap with the respective contractual loan spread added to determine a stressed interest rate over the loan term. The pool exhibited a relatively high weighted-average (WA) As-Is Issuance loan-to-value (LTV) ratio of 78.2%. When the cut-off date balances were measured against the DBRS As-Is net cash flow (NCF), 20 loans comprising 62.2% of the cut-off date pool balance had a DBRS As-Is debt service coverage ratio (DSCR) below 1.00 times (x), a threshold indicative of higher default risk. Additionally, the DBRS Stabilized DSCR for six loans comprising 18.3% of the initial pool balance was below 1.00x, a threshold indicative of elevated refinance risk. The properties are often transitioning with potential upside in cash flow; however, DBRS does not give full credit to the stabilization if there are no holdbacks or if other loan structural features are insufficient to support such treatment. Furthermore, even with the structure provided, DBRS generally does not assume the assets to stabilize above market levels. Twelve loans, comprising 51.0% of the cut-off date pool balance, are secured by properties located in areas with a DBRS Market Rank of 6, 7 or 8, which are characterized as urbanized locations. These markets benefit from increased liquidity that is driven by consistently strong investor demand; therefore, such markets tend to benefit from lower default frequencies than less-dense suburban, tertiary and rural markets. Areas with a DBRS Market Rank of 7 or 8 are especially densely urbanized and benefit from significantly elevated liquidity; three loans, representing 9.6% of the cut-off date pool balance, are secured by properties located in these areas. Seven loans, representing 46.5% of the cut-off date pool balance, exhibited Average (+) property quality, all of which were within the top ten loans by cut-off date pool balance. Only two loans, representing a combined 5.9% of the cut-off date pool balance, were assigned Average (-) property quality, while no loans were deemed Below Average or Poor quality. The pool is heavily concentrated by property type with ten loans, comprising 37.4% of the cut-off date pool balance, secured by office properties, and 11 loans, comprising 35.0% of the cut-off date pool balance, secured by multifamily properties. Additionally, six loans, representing a combined 21.6% of the cut-off date pool balance, are secured by hospitality properties, which typically have higher expense ratios. Hospitality properties additionally exhibit enhanced vulnerability to NCF volatility because of the relatively short-term nature of their respective leases, which can cause NCF to deteriorate quickly in a declining market. Hospitality properties account for the third-largest property concentration in the pool. Loans secured by multifamily properties generally exhibit lower average default frequencies relative to other commercial property types. Additionally, no loans are secured by student-housing multifamily properties, which often exhibit higher cash flow volatility than traditional multifamily properties. Traditional property types, such as office, retail, industrial and multifamily, also benefit from more readily available conventional take-out financing than non-traditional property types, such as hospitality, self-storage and manufactured housing. Furthermore, the WA As-Is DBRS LTV of the hospitality loans is 73.7%, which is substantially lower than the 82.4% WA As-Is DBRS LTV for loans not secured by hotels. Based on the weighted initial pool balances, the overall WA DBRS As-Is DSCR of 0.64x is generally reflective of high-leverage financing. The assets are generally well-positioned to stabilize, and any realized cash flow growth would help to offset a rise in interest rates and also improve the overall debt yield of the loans. DBRS associates its loss given default (LGD) based on the assets' As-Is LTV that does not assume that the stabilization plan and cash flow growth will ever materialize. DBRS has analyzed the loans to a stabilized cash flow that is, in some instances, above the current in-place cash flow. There is a possibility that the sponsor will not execute its business plans as expected and that the higher stabilized cash flow will not materialize during the loan term. Failure to execute the business plan could result in a term default or the inability to refinance the fully funded loan balance. DBRS made relatively conservative stabilization assumptions and in each instance considered the business plan to be rational and the future funding amounts to be sufficient to execute such plans. In addition, DBRS analyzes LGD based on the As-Is LTV, assuming the loan is fully funded. Notes: All figures are in U.S. dollars unless otherwise noted. BLUEMOUNTAIN CLO 2016-2: S&P Assigns BB- (sf) Rating to D-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the class X, A-1-R, A-2-R, B-R, C-1-R, C-2-R, and D-R replacement notes from BlueMountain CLO 2016-2 Ltd./BlueMountain CLO 2016-2 LLC, a collateralized loan obligation (CLO) originally issued in 2016 that is managed by BlueMountain Capital Management LLC. The replacement notes were issued via a supplemental indenture. The ratings reflect S&P's opinion that the credit support available is commensurate with the associated rating levels. The spreads on class A-1-R and A-2-R are lower than the original class A-1 and A-2 notes, while the class D-R notes have a higher spread than the original class D notes. The class C notes have been replaced with the sequentially paying C-1-R and C-2-R notes. Additionally, class X notes have been issued. On the Sept. 4, 2019, refinancing date, the proceeds from the issuance of the replacement notes redeemed the original notes. Subsequently, S&P has withdrawn its ratings on the original notes and assigned ratings to the replacement notes. REPLACEMENT AND ORIGINAL NOTE ISSUANCES Replacement Notes Class Amount Interest (mil. $) rate (%) X 2.50 Three-month LIBOR + 0.60 A-1-R 320.00 Three-month LIBOR + 1.31 A-2-R 60.00 Three-month LIBOR + 1.80 B-R 30.00 Three-month LIBOR + 2.70 C-1-R 17.50 Three-month LIBOR + 4.00 C-2-R 12.50 Three-month LIBOR + 4.38 D-R 20.00 Three-month LIBOR + 7.79 Original Notes Class Amount Interest (mil. $) rate (%) A-1 304.90 Three-month LIBOR + 1.55 A-2 75.50 Three-month LIBOR + 2.00 B 30.00 Three-month LIBOR + 2.70 C 28.40 Three-month LIBOR + 4.10 D 20.00 Three-month LIBOR + 7.00 S&P's 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 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, S&P's analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary," S&P said. RATINGS ASSIGNED BlueMountain CLO 2016-2 Ltd./BlueMountain CLO 2016-2 LLC Replacement class Rating Amount (mil $) X AAA (sf) 2.50 A-1-R AAA (sf) 320.00 A-2-R AA (sf) 60.00 B-R (deferrable) A (sf) 30.00 C-1-R (deferrable) BBB+ (sf) 17.50 C-2-R (deferrable) BBB- (sf) 12.50 D-R (deferrable) BB- (sf) 20.00 Subordinated notes NR 55.00 NR--Not rated. CASTLELAKE AIRCRAFT 2016-1: S&P Affirms BB (sf) Rating on C Loans ----------------------------------------------------------------- S&P Global Ratings affirmed its ratings on Castlelake Aircraft Securitization Trust 2016-1's class A, B, and C fixed-rate asset-backed loans. The issuance is an asset-backed securities (ABS) transaction backed by the two aircraft-owning entity (AOE) issuers' series A, B, and C loans, which are in turn backed by aircraft in the portfolio, aircraft-related leases, and shares or beneficial interests in entities that directly and indirectly receive aircraft portfolio leases and residual cash flows. The affirmations reflect the portfolio's stable performance despite a relatively older aircraft portfolio, which has resulted in a decline in the loan-to-value (LTV) ratio since closing. As of July 2019, the portfolio consisted of 42 aircraft, including 37 narrow-body planes (23 from the Airbus A320 family, five from the Boeing 737 family, eight from the CRJ family, and one B757-200) and five wide-body planes (four A330-200 and one B747-400F). The aircraft in the portfolio were manufactured between 1997 and 2013 and have a current weighted average age of 17 years and weighted average remaining lease term of 2.9 years. All the aircraft are currently on lease. The lower of the mean and median of the half-life base value and market value of the portfolio as of January 2019 was $768.896 million. The LTV ratios for the A, B, and C loans (based on S&P's calculation of depreciated aircraft values as of the August 2019 payment date), were 61.4%, 72.6%, and 76.4%, respectively. According to the August 2019 payment date report, which S&P used for this analysis, the class A, B, and C loans had an outstanding balance of $445.46 million, $80.96 million, and $27.58 million, respectively. Since the closing date, the transaction has received a combined principal repayment of $362 million. The debt service coverage ratio was 1.38x (compared to a cash trapping event trigger level of 1.20x). Although the portfolio has a relatively high concentration in leases to a lessee who is currently in bankruptcy proceedings, that lessee is current on their lease payments. In its analysis, S&P assumed a virtual certainty of default for this lessee when running its stress scenarios. The analysis indicated no default in the payment of principal or interest on the rated loans under the stress scenarios indicated by their current rating levels. 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 further rating actions as it deems necessary. RATINGS AFFIRMED Castlelake Aircraft Securitization Trust 2016-1 Class Rating A A (sf) B BBB (sf) C BB (sf) CIM TRUST 2019-J1: DBRS Finalizes B Rating on Class B-5 Certs ------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-J1 (the Certificates) issued by CIM Trust 2019-J1: -- $214.2 million Class 1-A-1 at AAA (sf) -- $214.2 million Class 1-A-2 at AAA (sf) -- $214.2 million Class 1-A-3 at AAA (sf) -- $160.6 million Class 1-A-4 at AAA (sf) -- $160.6 million Class 1-A-5 at AAA (sf) -- $160.6 million Class 1-A-6 at AAA (sf) -- $53.5 million Class 1-A-7 at AAA (sf) -- $53.5 million Class 1-A-8 at AAA (sf) -- $53.5 million Class 1-A-9 at AAA (sf) -- $171.3 million Class 1-A-10 at AAA (sf) -- $171.3 million Class 1-A-11 at AAA (sf) -- $171.3 million Class 1-A-12 at AAA (sf) -- $42.8 million Class 1-A-13 at AAA (sf) -- $42.8 million Class 1-A-14 at AAA (sf) -- $42.8 million Class 1-A-15 at AAA (sf) -- $10.7 million Class 1-A-16 at AAA (sf) -- $10.7 million Class 1-A-17 at AAA (sf) -- $10.7 million Class 1-A-18 at AAA (sf) -- $25.2 million Class 1-A-19 at AAA (sf) -- $25.2 million Class 1-A-20 at AAA (sf) -- $25.2 million Class 1-A-21 at AAA (sf) -- $239.4 million Class 1-A-22 at AAA (sf) -- $239.4 million Class 1-A-23 at AAA (sf) -- $239.4 million Class 1-A-24 at AAA (sf) -- $239.4 million Class 1-A-IO1 at AAA (sf) -- $214.2 million Class 1-A-IO2 at AAA (sf) -- $214.2 million Class 1-A-IO3 at AAA (sf) -- $214.2 million Class 1-A-IO4 at AAA (sf) -- $160.6 million Class 1-A-IO5 at AAA (sf) -- $160.6 million Class 1-A-IO6 at AAA (sf) -- $160.6 million Class 1-A-IO7 at AAA (sf) -- $53.5 million Class 1-A-IO8 at AAA (sf) -- $53.5 million Class 1-A-IO9 at AAA (sf) -- $53.5 million Class 1-A-IO10 at AAA (sf) -- $171.3 million Class 1-A-IO11 at AAA (sf) -- $171.3 million Class 1-A-IO12 at AAA (sf) -- $171.3 million Class 1-A-IO13 at AAA (sf) -- $42.8 million Class 1-A-IO14 at AAA (sf) -- $42.8 million Class 1-A-IO15 at AAA (sf) -- $42.8 million Class 1-A-IO16 at AAA (sf) -- $10.7 million Class 1-A-IO17 at AAA (sf) -- $10.7 million Class 1-A-IO18 at AAA (sf) -- $10.7 million Class 1-A-IO19 at AAA (sf) -- $25.2 million Class 1-A-IO20 at AAA (sf) -- $25.2 million Class 1-A-IO21 at AAA (sf) -- $25.2 million Class 1-A-IO22 at AAA (sf) -- $239.4 million Class 1-A-IO23 at AAA (sf) -- $239.4 million Class 1-A-IO24 at AAA (sf) -- $239.4 million Class 1-A-IO25 at AAA (sf) -- $46.4 million Class 2-A-1 at AAA (sf) -- $5.5 million Class 2-A-2 at AAA (sf) -- $51.9 million Class 2-A-3 at AAA (sf) -- $51.9 million Class 2-A-4 at AAA (sf) -- $46.4 million Class 2-A-5 at AAA (sf) -- $5.5 million Class 2-A-6 at AAA (sf) -- $51.9 million Class 2-A-IO1 at AAA (sf) -- $46.4 million Class 2-A-IO2 at AAA (sf) -- $5.5 million Class 2-A-IO3 at AAA (sf) -- $51.9 million Class 2-A-IO4 at AAA (sf) -- $30.7 million Class A-M at AAA (sf) -- $4.8 million Class B-1 at AA (sf) -- $2.9 million Class B-2 at A (sf) -- $3.8 million Class B-3 at BBB (sf) -- $2.0 million Class B-4 at BB (sf) -- $613.0 thousand Class B-5 at B (sf) Classes 1-A-IO1, 1-A-IO2, 1-A-IO3, 1-A-IO4, 1-A-IO5, 1-A-IO6, 1-A-IO7, 1-A-IO8, 1-A-IO9, 1-A-IO10, 1-A-IO11, 1-A-IO12, 1-A-IO13, 1-A-IO14, 1-A-IO15, 1-A-IO16, 1-A-IO17, 1-A-IO18, 1-A-IO19, 1-A-IO20, 1-A-IO21, 1-A-IO22, 1-A-IO23, 1-A-IO24, 1-A-IO25, 2-A-IO1, 2-A-IO2, 2-A-IO3 and 2-A-IO4 are interest-only certificates. The class balances represent notional amounts. Classes 1-A-1, 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-7, 1-A-8, 1-A-9, 1-A-10, 1-A-11, 1-A-12, 1-A-13, 1-A-14, 1-A-16, 1-A-17, 1-A-19, 1-A-20, 1-A-22, 1-A-23, 1-A-24, 1-A-IO2, 1-A-IO3, 1-A-IO4, 1-A-IO5, 1-A-IO8, 1-A-IO9, 1-A-IO10, 1-A-IO11, 1-A-IO12, 1-A-IO13, 1-A-IO14, 1-A-IO17, 1-A-IO20, 1-A-IO23, 1-A-IO24, 1-A-IO25, 2-A-3, 2-A-4, 2-A-5, 2-A-6, 2-A-IO4 and A-M are exchangeable certificates. These classes can be exchanged for a combination of exchange certificates as specified in the offering documents. Classes 1-A-1, 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-6, 1-A-7, 1-A-8, 1-A-9, 1-A-10, 1-A-11, 1-A-12, 1-A-13, 1-A-14, 1-A-15, 1-A-16, 1-A-17, 1-A-18, 2-A-1 and 2-A-5 are super-senior certificates. These classes benefit from additional protection from senior-support certificates (Classes 1-A-19, 1-A-20, 1-A-21, 2-A-2, 2-A-6 and A-M) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 5.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 3.45%, 2.50%, 1.25%, 0.60% and 0.40% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 414 loans with a total principal balance of $306,611,427 as of the Cut-Off Date (August 1, 2019). The mortgage loans are divided into two collateral groups based on original terms to maturity. Group 1 (82.2% of the aggregate pool) consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years, while Group 2 (17.8% of the aggregate pool) consists of fully amortizing FRMs with original terms to maturity of 15 years. The originators for the aggregate mortgage pool are Quicken Loans Inc. (Quicken; 38.2%); Guaranteed Rate Inc. (12.1%); loanDepot.com, LLC (10.9%); Home Point Financial Corporation (8.2%); Sierra Pacific Mortgage Company, Inc. (5.6%); and various other originators, each comprising no more than 5.0% of the pool by principal balance. On the Closing Date, the Seller, Fifth Avenue Trust, will acquire the mortgage loans from Bank of America, N.A. (BANA; rated AA (low) with a Stable trend by DBRS). Through bulk purchases, BANA generally acquired the mortgage loans underwritten to (1) its jumbo whole-loan acquisition guidelines (40.4%) to (2) Fannie Mae or Freddie Mac's Automated Underwriting System (10.7%), (3) to the Quicken guidelines (38.2%) or (4) pursuant to the guidelines of the related originator (10.7%). DBRS conducted an operational risk assessment on BANA's aggregator platform, as well as certain originators, and deemed them acceptable. Shellpoint Mortgage Servicing will service 100% of the mortgage loans, directly or through sub-servicers. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as Master Servicer, Securities Administrator and Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. Chimera Funding TRS LLC will serve as the Representations and Warranties (R&W) Provider. The holder of a majority of the most subordinate class of certificates (the Controlling Holder) has the option to engage an asset manager to review the Servicer's actions regarding the mortgage loans, which include determining whether the Servicer is making modifications or servicing the loans in accordance with the pooling and servicing agreement. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The Group 1 and Group 2 senior certificates will be backed by collateral from each respective pool. The subordinate certificates will be cross-collateralized between the two pools. This is generally known as a Y-structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers, satisfactory third-party due diligence on all the loans and structural enhancements. This transaction employs an R&W framework that contains certain weaknesses, such as unrated entities providing R&W, unrated entities (the R&W Provider) providing a backstop and sunset provisions on the backstop. To capture the perceived weaknesses, DBRS reduced the originator scores for all loans in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. Notes: All figures are in U.S. dollars unless otherwise noted. CIM TRUST 2019-J1: Moody's Assigns B2 Rating on Cl. B-5 Debt ------------------------------------------------------------ Moody's Investors Service assigned definitive ratings to 36 classes of residential mortgage-backed securities (RMBS) issued by CIM Trust 2019-J1. The ratings range from Aaa (sf) to B2 (sf). CIM Trust 2019-J1 is a two-pool Y-structure securitization of 15 and 30-year prime residential mortgages. The first pool consists of 30-year fixed rate mortgages (Group 1) and the second pool consists of all 15-year fixed rate mortgages (Group 2). This transaction represents the first non-investor prime jumbo issuance by Chimera Investment Corporation (the sponsor) in 2019. The transaction includes 414 fixed rate, first lien-mortgages. There are 56 GSE-eligible high balance (10.7% by balance) and 358 prime jumbo (89.3% by loan balance) mortgage loans in the pool. The mortgage loans for this transaction have been acquired by the affiliate of the sponsor, Fifth Avenue Trust (the Seller) from Bank of America, National Association (BANA). Approximately 89.3% of the loans by balance, were acquired by BANA through its jumbo whole loan purchase program from various mortgage loan originators or sellers underwritten to various originators or Chimera acquisition criteria. All other mortgage loans (10.7% by loan balance), were high balance conforming loans acquired by BANA through its whole loan purchase program from United Shore Financial Services LLC and loanDepot.com, LLC, which were originated pursuant to Fannie Mae guidelines with no overlays. All of the loans are designated as qualified mortgages (QM) either under the QM safe harbor or the GSE temporary exemption under the Ability-to-Repay (ATR) rules. Shellpoint Mortgage Servicing (SMS) will service the loans and Wells Fargo Bank, N.A. (Aa2) will be the master servicer. SMS will be the servicer and responsible for advancing principal and interest and servicing advances, with the master servicer backing up SMS' advancing obligations if SMS cannot fulfill them. Two third-party review (TPR) firms verified the accuracy of the loan level information that Moody's received from the Sponsor. These firms conducted detailed credit, property valuation, data accuracy and compliance reviews on 100% of the mortgage loans in the collateral pool. In addition, all Stearns Lending loans (13 loans) were reviewed by two independent TPR firms. The TPR results indicate that there are no material compliance, credit, or data issues and no appraisal defects. Moody's analyzed the underlying mortgage loans using Moody's Individual Loan Analysis (MILAN) model. Moody's also compared the collateral pool to other prime jumbo securitizations. In addition, Moody's adjusted its expected losses based on qualitative attributes, including the financial strength of the representation and warranties (R&W) provider. Its expected losses in a base case scenario are 0.35% and 0.15% for Group 1 and Group 2, respectively, and reach 4.95% and 1.70% for Group 1 and Group 2, respectively, at a stress level consistent with its Aaa(sf) rating scenario for. CIM 2019-J1 has a shifting interest structure with a five-year lockout period that benefits from a senior subordination floor and a subordinate floor. Moody's coded the cash flow to each of the certificate classes using Moody's proprietary cash flow tool. In its analysis of tail risk, Moody's considered the increased risk from borrowers with more than one mortgage in the pool. The complete rating actions are as follows: Issuer: CIM Trust 2019-J1 Cl. 1-A-1, Definitive Rating Assigned Aaa (sf) Cl. 1-A-2, Definitive Rating Assigned Aaa (sf) Cl. 1-A-3, Definitive Rating Assigned Aaa (sf) Cl. 1-A-4, Definitive Rating Assigned Aaa (sf) Cl. 1-A-5, Definitive Rating Assigned Aaa (sf) Cl. 1-A-6, Definitive Rating Assigned Aaa (sf) Cl. 1-A-7, Definitive Rating Assigned Aaa (sf) Cl. 1-A-8, Definitive Rating Assigned Aaa (sf) Cl. 1-A-9, Definitive Rating Assigned Aaa (sf) Cl. 1-A-10, Definitive Rating Assigned Aaa (sf) Cl. 1-A-11, Definitive Rating Assigned Aaa (sf) Cl. 1-A-12, Definitive Rating Assigned Aaa (sf) Cl. 1-A-13, Definitive Rating Assigned Aaa (sf) Cl. 1-A-14, Definitive Rating Assigned Aaa (sf) Cl. 1-A-15, Definitive Rating Assigned Aaa (sf) Cl. 1-A-16, Definitive Rating Assigned Aaa (sf) Cl. 1-A-17, Definitive Rating Assigned Aaa (sf) Cl. 1-A-18, Definitive Rating Assigned Aaa (sf) Cl. 1-A-19, Definitive Rating Assigned Aa1 (sf) Cl. 1-A-20, Definitive Rating Assigned Aa1 (sf) Cl. 1-A-21, Definitive Rating Assigned Aa1 (sf) Cl. 1-A-22, Definitive Rating Assigned Aaa (sf) Cl. 1-A-23, Definitive Rating Assigned Aaa (sf) Cl. 1-A-24, Definitive Rating Assigned Aaa (sf) Cl. 2-A-1, Definitive Rating Assigned Aaa (sf) Cl. 2-A-2, Definitive Rating Assigned Aaa (sf) Cl. 2-A-3, Definitive Rating Assigned Aaa (sf) Cl. 2-A-4, Definitive Rating Assigned Aaa (sf) Cl. 2-A-5, Definitive Rating Assigned Aaa (sf) Cl. 2-A-6, Definitive Rating Assigned Aaa (sf) Cl. A-M, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned A1 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba2 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Its expected losses in a base case scenario are 0.35% and 0.15% for Group 1 and Group 2, respectively, and reach 4.95% and 1.70% for Group 1 and Group 2, respectively, at a stress level consistent with its Aaa(sf) rating scenario. Moody's arrived at these expected losses using its MILAN model. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool as of the cut-off date using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included adjustments to borrower probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for risks related to mortgaged properties in Homeownership associations (HOAs) in super lien states. Its loss levels and ratings on the certificates also took into consideration qualitative factors such as the results of the third-party due diligence review, origination quality, the servicing arrangement, alignment of interest of the sponsor with investors, the representations and warranties (R&W) framework, and the transaction's legal structure and documentation. Collateral Description Moody's assessed the collateral pool as of the cut-off date of August 1, 2019. CIM 2019-J1 is a securitization of 414 mortgage loans with an aggregate principal balance of $306,611,428. The transaction will have two-pool Y-structure securitization of 15 and 30-year prime residential mortgages. The first pool consists of 30-year fixed rate mortgages (Group 1) and the second pool consists of all 15-year fixed rate mortgages (Group 2). This transaction consists of fixed-rate fully amortizing loans, which will not expose the borrowers to any interest rate shock for the life of the loan or to refinance risk. All of the mortgage loans are secured by first liens on one- to four- family residential properties, condominiums, and planned unit developments. The loans have a weighted average seasoning of approximately 7 months (7 months and 5 months for Group 1 and Group 2, respectively). Overall, the credit quality of the mortgage loans backing this transaction is in line with recently issued prime jumbo transactions. The WA FICO of the aggregate pool is 770 with a WA LTV of 66.2% and WA CLTV of 66.4%. Approximately 32.5% (by loan balance) of the pool has a LTV ratio greater than 75% compared to 39.5% in CIM 2018-J1. High LTV loans generally have a higher probability of default and higher loss severity compared to lower LTV loans. There are 108 seasoned loans in the pool that were originated before August 2018. These 108 loans had a weighted average current primary borrower median FICO of 767 as compared to weighted average original primary borrower median FICO of 762. In addition, 23 out of 108 loans had 30 days or delinquent in the past. Most of these delinquencies were due to servicing transfer as reported by the issuer. All loans are current as of the cut-off date. Since origination, the loans in the pool have performed well with minimal historical delinquencies. 25 of the mortgage loans, representing 5.8% of the aggregate stated balance of the pool as of the Cut-off Date, have been 30 days or more delinquent since origination, but are now current under the methodology used by the Mortgage Bankers Association. For 21 of these mortgage loans that had been 30 days or more delinquent prior to the Cut-off Date, the delinquency occurred around the time of a servicing transfer and the sponsor believes that these delinquencies were related to the transfer of the servicing on such mortgage loans. For the remaining four loans, there were true delinquencies in the past but are all self-cured as of the cut-off date. Origination There are 18 originators in the transaction, some of which may have limited history of securitizing prime jumbo mortgages. The largest originators in the pool with more than 5% by balance are Quicken Loans Inc (38.1%), Guaranteed Rate, Inc. (12.1%), loanDepot.com, LLC (10.9%), Home Point Financial Corporation (8.2%), and Sierra Pacific Mortgage Company, Inc. (5.6%). Of note, Stearns Lending (Stearns) recently filed for bankruptcy. Two independent third party review firms reviewed all Stearns Lending loans and no material exceptions were noted by the TPR firms. R&Ws from Stearns will be assign through to the trust and Chimera will provide backstop R&Ws which expires after 5 years subject to performance. Underwriting guidelines: Approximately 89.3% of the loans by loan balance, are prime jumbo loans of which 40.4% were underwritten to Chimera's underwriting guidelines and 48.8% of the loans were underwritten to respective originator guidelines. 10.7% of the loans are conforming loans and were originated in conformance to GSE guidelines with no overlays. The GSE-eligible loans also do not include loans originated under the GSEs' affordability programs such as HomeReady and HomePossible. None of the GSE-eligible loans were originated under streamlined documentation programs such as DU Refi Plus. Moody's increased its base case and Aaa loss expectations for all loans underwritten to Chimera's underwriting guidelines, as Moody's considers the underwriting guidelines to be slightly weaker. For loans that were not acquired under Chimera's guidelines Moody's made adjustments based on the origination quality of such loans. Of note, Moody's increased its base case and Aaa loss expectations for Quicken loans(38.1% of the collateral balance), loans originated by Home Point (8.2% of the collateral balance) and Stearns lending loans (3.8% of the collateral balance). Third Party Review and Reps & Warranties (R&W) Two third party review (TPR) firms verified the accuracy of the loan-level information that Moody's received from the sponsor. These firms conducted detailed credit, property valuation, data integrity and regulatory compliance reviews on 100% of the mortgage pool. In addition a tax/title review was conducted on 16 aged loans (by AMC) and a FICO refresh was ordered on loans which were aged between 6 months from origination and July 2019. The TPR results indicated compliance with the originators' and aggregators' underwriting guidelines for the vast majority of the loans, no material compliance issues, and no material appraisal defects. Each originator will provide comprehensive loan level reps and warranties for their respective loans. BANA will assign each originator's R&W to the seller, who will in turn assign to the depositor, which will assign to the trust. To mitigate the potential concerns regarding the originators' ability to meet their respective R&W obligations, the seller will backstop the R&Ws for all originators loans. The seller's obligation to backstop third party R&Ws will terminate 5 years after the closing date, subject to certain performance conditions. The seller will also provide the gap reps. The R&W framework is adequate in part because the results of the independent TPRs revealed a high level of compliance with underwriting guidelines and regulations, as well as overall adequate appraisal quality. These results give confidence that the loans do not systemically breach the R&Ws the originators have made and that the originators are unlikely to face material repurchase requests in the future. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's identified for US RMBS. Among other considerations, the R&Ws address property valuation, underwriting, fraud, data accuracy, regulatory compliance, the presence of title and hazard insurance, the absence of material property damage, and the enforceability of mortgage. Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior subordination floor of 1.65% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Additionally there is a subordination lock-out amount which is 1.45% of the closing pool balance. Of note, as per its US RMBS surveillance methodology, Moody's will not maintain ratings on securities in the deal once any of the underlying pools has decreased to an effective number (The effective number is a measure of the pool diversity that looks beyond the nominal number of borrowers in a pool to take into account the actual size of their loans and express this number in terms of equally sized exposures) of borrowers of 15 or below. For instance, if the effective number of borrowers in group 2 becomes 15 or below, Moody's will not maintain ratings on any of the securities in the deal. Exposure to extraordinary expenses Extraordinary trust expenses in this transaction are deducted from net WAC. Moody's believes there is a very low likelihood that the rated certificates in CIM 2019-J1 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. Firstly, the loans are of prime quality and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Secondly, the transaction has reasonably well-defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer must review loans for breaches of representations and warranties when certain clearly defined triggers have been breached which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed results of the credit, compliance and valuation review of 100% of the mortgage loans by independent third parties. Other Considerations In CIM 2019-J1, the controlling holder has the option to hire at its own expense the independent reviewer upon the occurrence of a review event. If there is no controlling holder (no single entity holds a majority of the Class Principal Amount of the most subordinate class of certificates outstanding), the trustee shall, upon receipt of a direction of the certificateholders of more than 25% of the aggregate voting interest of all certificates and upon receipt of the deposit, appoint an independent reviewer at the cost of the trust. However, if the controlling holder does not hire the independent reviewer, the holders of more than 50% of the aggregate voting interests of all outstanding certificates may direct (at their expense) the trustee to appoint an independent reviewer. In this transaction, the controlling holder can be the depositor or a seller (or an affiliate of these parties). If the controlling holder is affiliated with the depositor, seller or Sponsor, then the controlling holder may not be motivated to discover and enforce R&W breaches for which its affiliate is responsible. The servicer will not commence foreclosure proceedings on a mortgage loan unless the servicer has notified the controlling holder at least five business days in advance of the foreclosure and the controlling holder has not objected to such action. If the controlling holder objects, the servicer has to obtain three appraisals from the appraisal firms as listed in the pooling and servicing agreement. The cost of the appraisals are borne by the controlling holder. The controlling holder will be required to purchase such mortgage loan at a price equal to the highest of the three appraisals plus accrued and unpaid interest on such mortgage loan as of the purchase date. If the servicer cannot obtain three appraisals there are alternate methods for determining the purchase price . If the controlling holder fails to purchase the mortgage loan within the time frame, the controlling holder forfeits any foreclosure rights thereafter. Moody's considers this credit neutral because a) the appraiser is chosen by the servicer from the approved list of appraisers, b) the fair value of the property is decided by the servicer, based on third party appraisals, and c) the controlling holder will pay the fair price and accrued interest. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. CITIGROUP MORTGAGE 2019-IMC1: DBRS Finalizes B Rating on B-2 Certs ------------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2019-IMC1 (the Certificates) issued by Citigroup Mortgage Loan Trust 2019-IMC1 (CMLTI 2019-IMC1 or the Trust): -- $253.3 million Class A-1 at AAA (sf) -- $13.4 million Class A-2 at AA (sf) -- $40.8 million Class A-3 at A (sf) -- $21.0 million Class M-1 at BBB (sf) -- $17.4 million Class B-1 at BB (sf) -- $11.4 million Class B-2 at B (sf) Other than the specified classes above, DBRS does not rate any other classes in this transaction. The AAA (sf) rating on the Class A-1 Certificates reflects the 30.15% of credit enhancement provided by the subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 26.45%, 15.20%, 9.40%, 4.60% and 1.45% of credit enhancement, respectively. This transaction is a securitization of a portfolio of fixed- and adjustable-rate, prime, expanded prime and non-prime first-lien residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 932 mortgage loans with a total principal balance of $362,580,636 as of the Cut-Off Date (August 1, 2019). Impac Mortgage Corp. is the Originator of the loans, and Fay Servicing LLC is the Servicer. The mortgages were originated under the following programs: (1) iQM Bank Statement — Generally made to self-employed borrowers using bank statements to support self-employed income for qualification purposes. (2) iQM Agency Plus — Generally made to prime borrowers with loan amounts exceeding the government-sponsored enterprise (GSE) loan limits who may fall outside the Qualified Mortgage (QM) requirements based on debt-to-income or loans that have special features that do not meet GSE guidelines. (3) iQM Investor Program — Generally made to borrowers seeking business-purpose loans for investment properties. (4) iQM Asset Qualification — Generally made to borrowers with significant assets equal to 60 months of all other monthly debts or more. Although the mortgage loans were originated to satisfy the Consumer Financial Protection Bureau's Ability-to-Repay (ATR) rules, they were made to borrowers who generally do not qualify for an agency, government or private-label non-agency prime jumbo products for various reasons. In accordance with the QM/ATR rules, 64.2% of the loans, including 1.9% made to investors that could not be verified as business purpose, are designated as non-QM. Approximately 35.8% of the loans are made to investors for business purposes and, hence, are not subject to the QM/ATR rules. Within the investor loan population, 26.7% of the aggregate pool comprises loans originated through a debt service coverage ratio (DSCR) program. Such DSCR borrowers were qualified using property cash flows rather than traditional income. This transaction has a larger concentration of DSCR loans than typical DBRS-rated non-QM deals, which have ranged from approximately 0.0% to 17.2%. Of the DSCR loans, 73.0% have a current lease in place, which contains a rental value used in the DSCR calculation. In its analysis, DBRS applies penalties to DSCR loans as described in the Key Probability of Default Drivers section of the related report. DBRS also considers whether a borrower has a lease in place and reduces the penalty for such loan. Citigroup Global Markets Realty Corp. (CGMRC) is the Mortgage Loan Seller and Sponsor of the transaction. DBRS rates the Long-Term Issuer Rating and Long-Term Senior Debt of CGMRC's parent company, Citigroup Inc., at A (high) with Stable trends and its Short-Term Instruments at R-1 (low) with a Stable trend. Citigroup Mortgage Loan Trust Inc. is the Depositor and an affiliate of the Sponsor. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as the Custodian. U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS) will serve as Trust Administrator. The Sponsor, directly or indirectly through a majority-owned affiliate, will retain an eligible vertical residual interest in at least 5% of the Certificates issued by the Issuer (other than the Class R Certificates) to satisfy the credit risk-retention requirements under Section 15G of the Securities Exchange Act of 1934 and the regulations promulgated thereunder. On or after the earlier of (1) the three-year anniversary of the Closing Date or (2) the date when the aggregate stated principal balance of the mortgage loans is reduced to 30% of the Cut-Off Date balance, the Cleanup Call Party has the option to purchase all the mortgage loans from the Trust at a price equal to the aggregate outstanding balance of the mortgage loans plus accrued and unpaid interest as well as unreimbursed advances and fees. The Controlling Holder (the majority holder of the most subordinate Certificates outstanding) will serve as the Cleanup Call Party unless the Controlling Holder is the Mortgage Loan Seller or an affiliate, in which case the Servicer will act as the Cleanup Call Party. The Servicer will fund advances of delinquent principal and interest on any mortgage until such loan becomes 180 days delinquent. The Servicer is also obligated to make advances in respect of taxes, insurance premiums and reasonable costs incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure with a pro-rata principal distribution among the senior tranches. Principal proceeds can be used to cover interest shortfalls on the Certificates as the outstanding senior Certificates are paid in full. Furthermore, the excess spread can be used to cover realized losses first before being allocated to unpaid cap carryover amounts up to Class B-2. The ratings reflect transactional strengths that include the following: -- Strong representations and warranties framework -- Robust loan attributes and pool composition -- Satisfactory third-party due diligence review -- Improved underwriting standards -- Compliance with the ATR rules The transaction also includes the following challenges and mitigating factors: -- Certain non-prime, non-QM and investor loans -- Servicer advances of delinquent principal and interest -- Servicer's financial capability Notwithstanding the above mitigating factors, DBRS adjusted the expected losses upward across all rating categories to account for the aforementioned challenges. Notes: All figures are in U.S. dollars unless otherwise noted. EXETER AUTOMOBILE: DBRS Takes Action on 39 Ratings From 11 Deals ---------------------------------------------------------------- DBRS, Inc. took rating actions on 39 ratings from 11 Exeter Automobile Receivables Trust transactions. Of the rated classes reviewed, 17 were upgraded, eight were discontinued due to repayment and 14 were confirmed. For the ratings that were upgraded, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their new respective rating levels. For the notes that were confirmed, performance trends are such that credit enhancement levels are sufficient to cover DBRS's expected losses at their current respective rating levels. The ratings are based on DBRS's review of the following analytical considerations: -- Transaction capital structure, proposed ratings and form and sufficiency of available credit enhancement. -- The transaction parties' capabilities with regard to origination, underwriting, and servicing. -- The credit quality of the collateral pool and historical performance. The Affected Rating is Available at https://bit.ly/2lADMJh GCAT TRUST 2019-RPL1: DBRS Finalizes B Rating on Class B-2 Notes ---------------------------------------------------------------- DBRS, Inc. finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2019-RPL1 (the Notes) issued by GCAT 2019-RPL1 Trust (the Trust): -- $158.8 million Class A-1 at AAA (sf) -- $13.4 million Class M-1 at AA (sf) -- $13.0 million Class M-2 at A (sf) -- $17.6 million Class M-3 at BBB (sf) -- $10.1 million Class B-1 at BB (sf) -- $11.5 million Class B-2 at B (sf) The AAA (sf) rating on the Class A-1 Notes reflects the 41.25% of credit enhancement provided by subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 36.30%, 31.50%, 25.00%, 21.25% and 17.00%, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 1,622 loans with a total principal balance of $270,702,303 (including the principal reduction alternative (PRA) deferred principal balances of $393,729) as of the Cut-Off Date (July 31, 2019). The portfolio is approximately 150 months seasoned and contains 88.4% modified loans. The modifications happened more than two years ago for 52.5% of the modified loans. Within the pool, 569 loans have non-interest-bearing deferred amounts of $23,186,073. Included in the deferred amounts are proprietary principal forgiveness and Home Affordable Modification Program PRA amounts of $393,729. The non-PRA amounts of $22,792,344 comprise approximately 8.4% of the total principal balance. Unless specified otherwise, all the statistics regarding the mortgage loans in this report are based on the current balance including the applicable non-interest-bearing deferred and PRA amounts. As of the Cut-off Date, 93.9% of the pool is current, 3.3% is 30 days delinquent under the Mortgage Bankers Association (MBA) delinquency method and 2.8% is in bankruptcy (all bankruptcy loans are performing or 30 days delinquent). Approximately 26.2% and 56.2% of the loans have been zero times 30 days delinquent for at least 24 months and 12 months, respectively, under the MBA delinquency method. All but 3.7% of the pool is exempt from the Ability-to-Repay/Qualified Mortgage (QM) rules. The applicable loans are designated as either Temporary QM Safe Harbor, QM Rebuttable Presumption or Non-QM. The Sellers, AG MITT RPL TRS LLC (AG) and AG MITT RPL LLC, acquired the mortgage loans from various sellers in 2018 and 2019 and will contribute the loans to the Trust through an affiliate, GCAT RPL Depositor, LLC (the Depositor). As the Sponsor, AG or one of its majority-owned affiliates will acquire and retain a 5% eligible horizontal interest by retaining the Class B-3, Class B-4, Class B-5, Class A-IO-S, Class C, Class SA, and Class PRA Notes to satisfy the credit risk-retention requirements. The loans were originated and previously serviced by various entities through purchases in the secondary market. As of the Closing Date, the loans will be serviced by Fay Servicing, LLC. There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees in super-lien states and, in certain cases, taxes and insurance as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties. The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Notes, but such shortfalls on Class M-2 and more subordinate principal and interest (P&I) bonds will not be paid from principal proceeds until the more senior classes are retired. The lack of P&I advances on delinquent mortgages may increase the possibility of periodic interest shortfalls to the Noteholders; however, principal proceeds can be used to pay interest to the Notes sequentially, and subordination levels are greater than expected losses for the rated Notes, which may provide for timely payment of interest to the rated Notes. The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. Notes: All figures are in U.S. dollars unless otherwise noted. GCAT TRUST 2019-RPL1: Moody's Assigns Ba3 Rating on Class B-1 Notes ------------------------------------------------------------------- Moody's Investors Service assigned definitive ratings to seven classes of notes issued by GCAT 2019-RPL1 Trust, which are backed by one pool of primarily re-performing residential mortgage loans. As of the cut-off date of July 31, 2019, the collateral pool is comprised of 1,622 first and junior lien mortgage loans, with a weighted average (WA) updated primary borrower FICO score of 643, a WA current loan-to-value Ratio (LTV) for the first liens of 84.9% and a total unpaid balance of $270,702,302. The deal balance is $271,667,750, which includes pre-existing servicing advances of $965,448. Approximately 8.6% of the pool balance is non-interest bearing, which consists of both principal reduction alternative (PRA) and non-PRA deferred principal balance. Of note, approximately 5.5% of the loans by balance are backed by manufactured housing. Moody's took these loans into account in its loss analysis based on historical performance data of loans backed by MH collateral. Fay Servicing, LLC will be the primary servicer and will not advance any principal or interest on the delinquent loans. However, it will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. The complete rating actions are as follows: Issuer: GCAT 2019-RPL1 Trust Cl. A-1, Assigned Aaa (sf) Cl. M-1, Assigned Aa2 (sf) Cl. M-2, Assigned A3 (sf) Cl. M-3, Assigned Baa3 (sf) Cl. B-1, Assigned Ba3 (sf) Cl. B-2, Assigned B3 (sf) Cl. B-3, Assigned C (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected losses on GCAT 2019-RPL1's collateral pool is 16.50% in its base case scenario. Its loss estimates take into account the historical performance of loans that have similar collateral characteristics as the loans in the pool. Its credit opinion is the result of its analysis of a wide array of quantitative and qualitative factors, a review of the third-party review of the pool, servicing framework and the representations and warranties framework. The methodologies used in these ratings were "Moody's Approach to Rating Securitizations Backed by Non-Performing and Re-Performing Loans" published in February 2019 and "US RMBS Surveillance Methodology" published in February 2019. Collateral Description GCAT 2019-RPL1's collateral pool is primarily comprised of re-performing mortgage loans. About 88.3% of mortgage loans in the pool have been previously modified. Moody's based its expected losses 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 two factors that most strongly influence a re-performing mortgage loan's likelihood of re-default are the length of time that the loan has performed since a loan modification, and the amount of the reduction in the monthly mortgage payment as a result of the modification. The longer a borrower has been current on a re-performing loan, the less likely the borrower is to re-default. Approximately 26.4% of the borrowers have been current on their payments for at least the past 24 months under the MBA method of calculating delinquencies. Moody's estimated expected losses for the pool using two approaches -- (1) pool-level approach, and (2) re-performing loan level analysis. In the pool-level approach, Moody's estimates losses on the pool using an approach similar to its surveillance approach whereby Moody's applies assumptions of future delinquencies, default rates, loss severities and prepayments based on observed performance of similar collateral. Moody's projects future annual delinquencies for eight years by applying an initial annual default rate and delinquency burnout factors. Based on the loan characteristics of the pool and the demonstrated pay histories, Moody's expects an annual delinquency rate of 14% on the collateral pool for year one, for non-manufactured homes portion. Moody's then calculated future delinquencies on the pool using its default burnout and voluntary conditional prepayment rate (CPR) assumptions. The delinquency burnout factors reflect its future expectations of the economy and the U.S. housing market. Moody's then aggregated the delinquencies and converted them to losses by applying pool-specific lifetime default frequency and loss severity assumptions. Its loss severity assumptions are based off observed severities on liquidated seasoned loans and reflect the lack of principal and interest advancing on the loans. Moody's also conducted a loan level analysis on GCAT 2019-RPL1's collateral pool. Moody's applied loan-level baseline lifetime propensity to default assumptions and considered the historical performance of seasoned loans with similar collateral characteristics and payment histories. Moody's then adjusted this base default propensity up for (1) adjustable-rate loans, (2) loans that have the risk of coupon step-ups and (3) loans with high updated loan to value ratios (LTVs). Moody's applied a higher baseline lifetime default propensity for interest-only loans, using the same adjustments. To calculate the expected loss for the pool, Moody's applied a loan-level loss severity assumption based on the loans' updated estimated LTVs. Moody's further adjusted the loss severity assumption upwards for loans in states that give super-priority status to homeowner association (HOA) liens, to account for potential risk of HOA liens trumping a mortgage. In addition, Moody's assumed higher losses for loans backed by manufactured houses (MH) based on the historical performance observed on the performance of MH loans. As of the statistical cut-off date, approximately 8.6% of the pool balance is non-interest bearing, which consists of both PRA and non-PRA deferred principal balance. However, the PRA deferred amount of $393,729 will be carved out as a separate Class PRA note. For non-PRA forborne amounts, the deferred balance is the full obligation of the borrower and must be paid in full upon (i) sale of property (ii) voluntary payoff or (iii) final scheduled payment date. Upon sale of the property, the servicer therefore could potentially recover some of the deferred amount. For loans that default in future or get modified after the closing date, the servicer may opt for partial or full principal forgiveness to the extent permitted under the servicing agreement. Based on performance and information from servicers, Moody's applied a slightly higher default rate than what Moody's assumed for the overall pool given that these borrowers have experienced past credit events that required loan modification, as opposed to borrowers who have been current and have never been modified. In addition, Moody's assumed approximately 95% severity as the servicer may recover a portion of the deferred balance. Its expected loss does not consider the PRA deferred amount. Transaction Structure The securitization has a simple sequential priority of payments structure without any cash flow triggers. The servicer will not advance any principal or interest on delinquent loans. However, the servicer will be required to advance costs and expenses incurred in connection with a default, delinquency or other event in the performance of its servicing obligations. Credit enhancement in this transaction is comprised of subordination provided by mezzanine and junior tranches. To the extent excess cashflow is available, it will be used to pay down additional principal of the bonds sequentially, building overcollateralization. Moody's ran 96 different loss and prepayment scenarios through its cash flow analysis. The scenarios encompass six loss levels, four loss timing curves, and four prepayment curves. Third Party Review The sponsor engaged third party diligence providers to conduct the following due diligence reviews: (i) a title/lien review to confirm the appropriate lien was recorded and the position of the lien and to review for other outstanding liens and the position of those liens; (ii) a state and federal regulatory compliance review on the loans; (iii) a payment history review for the three year period (to the extent available) to confirm that the payment strings matched the data supplied by or on behalf of the third-party sellers; and (iv) a data comparison review on certain characteristics of the loans. 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 can include up to $4,000 in statutory damages, borrowers' legal fees and other actual damages. Moody's increased its base case losses for these loans to account for such damages. The seller will create a custodian exception report on the closing date consisting of three major categories (i) mortgage notes released to a baliee, (ii) missing mortgage and (iii) missing and incomplete final assignments and note endorsements. The seller is obligated to cure these exception or repurchase the loan within 24 months from the closing date. The diligence provider noted 53 delinquent property tax exceptions, 16 property tax exceptions and two municipal lien sales exceptions. Loans with these findings are not removed from the final pool, however, the seller is obligated to cure the exception or repurchase the loan within 12 months of the closing date. The diligence provider also noted 90 prior mortgages, 8 prior liens and 25 deed vesting issues. If any of the mortgage loans with these exceptions result in a realized loss to the trust then the seller will be obligated to make a "make whole" payment to the trust or repurchase the mortgage loan. In addition, the diligence provider noted 28 HOA liens and 49 municipal liens. If any of the mortgage loans with these exceptions result in a realized loss to the trust then the seller will be obligated to make a "make whole" payment to the trust in an amount equal to the lesser of (i) the amount necessary to cure the exception and (ii) such realized loss. This is slightly weaker compared to other RPL transactions, in which the issuer will be obligated to cure the exception or repurchase the loan within 12 months from the closing date. Moody's considers this difference to be credit neutral as the total HOA and municipal lien amount ($455,631) is a small percentage of the total pool balance and if it is determined that a realized loss was caused by the HOA or the municipal lien exception in existence on the closing date and was not subsequently cured thereafter, the seller will be obligated to make a "make whole" payment to the trust in amount equal to the lesser of (i) the amount necessary to cure the exception and (ii) the amount of the related realized loss. The review also consisted of validating 41 data fields for each loan in the pool which resulted in 1,529 loans having one or more data variances. It was determined that such data variances were attributable to missing or defective source documentation, non-material variances within acceptable tolerances, allocation between documented and undocumented deferred principal balances, timing and data formatting differences. Moody's did not make any adjustments for these findings. Representations & Warranties (R&W) Moody's considers the overall R&W framework to be relatively weaker compared to CMLTI transactions, as the sponsor or its affiliate can also be the controlling holder, in GCAT 2019-RPL1, which could create potential conflict of interest. In addition, Moody's considers the seller's financial capacity and lack of a track record in rated transactions of observed repurchasing to be a weakness. Moody's increased its loss expectations to account for a portion of the defaults that may have unremedied breaches. The R&W providers are the sellers, AG MITT RPL TRS LLC and AG MITT RPL LLC, wholly-owned subsidiaries of AG Mortgage Investment Trust (MITT). Although the R&W provider is affiliated with MITT, a publicly traded REIT, MITT has no contractual obligation with respect to R&W breaches or duty to maintain the sound financial condition of the R&W provider and cause it to be well capitalized at all times in light of its obligations under the transaction documents. The creditworthiness of the R&W provider determines the probability that the R&W provider will be available and have the financial strength to repurchase defective loans upon identifying a breach. An investment-grade-rated R&W provider lends substantial strength to its R&Ws. For financially weaker entities, Moody's looks for other offsetting factors, such as a strong alignment of interest and enforcement mechanisms, to derive the same level of protection. Moody's analyzes the impact of less creditworthy R&W providers case by case, in conjunction with other aspects of the transaction. Mortgage loans will be reviewed for a breach of R&Ws only if one of the following occurs (1) a Trigger Event has occurred following a Threshold Event or (2) a Controlling Holder Review Event has occurred. Furthermore, no breach will be remedied unless (1) a Trigger Event has occurred and (2) the Remedial Conditions have been satisfied. There are a few weaknesses in the enforcement mechanisms. First, the independent reviewer is not identified at closing and, if the indenture trustee has difficulty engaging one on acceptable terms, the controlling holder can direct the trustee not to engage one. Furthermore, the review fees, which the trust pays, are not agreed upon at closing and will be determined in the future. Second, the remedies do not cover damages owing to TILA under-disclosures. Moody's made adjustments to account for such damages in its analysis. Finally, there will be no remedy for an insurance-related R&W (i.e. any reduction in the amount paid by a mortgage insurer or title insurer) . Trustee Indemnification Moody's believes there is a very low likelihood that the rated notes in GCAT 2019-RPL1 will incur any loss from extraordinary expenses or indemnification payments owing to potential future lawsuits against key deal parties. First, majority of the loans are seasoned with demonstrated payment history, reducing the likelihood of a lawsuit on the basis that the loans have underwriting defects. Second, the transaction has reasonably well-defined processes in place to identify loans with defects on an ongoing basis. In this transaction a well-defined breach discovery and enforcement mechanism reduces the likelihood that parties will be sued for inaction. Servicing arrangement Although operationally capable, Moody's views Fay's stability as weak due to its size and private ownership structure. Since the transaction lacks a master or a backup servicer, if Fay were to encounter financial or operational difficulties, there could be a disruption of cash flow to the bondholders due to higher delinquencies or failure by the servicer to remit payments to the trust. Mitigants to address this risk include the trust administrator's obligation (at the written direction of the controlling holder) to appoint another servicer upon a servicer event of default, and the fact that servicing transfers in RMBS are relatively common. In addition, the servicer does not advance principal and interest on delinquent loans in this transaction which would make servicing transfer easier as the replacement servicer will not be obligated to make P&I advances. In addition the program administrator, Red Creek Asset Management LLC, will oversee the servicer. Moody's considers the overall servicing arrangement to be credit neutral. Transaction Parties Fay will be the primary servicer for all loans in the pool. Wells Fargo Bank, N.A. will act as the custodian. Wells Fargo Bank, N.A., will be the trust administrator, and Wilmington Savings Fund Society, FSB will be the indenture trustee and owner trustee. Factors that would lead to an upgrade or downgrade of the ratings: Factors that would lead to an upgrade of the ratings 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. Factors that would lead to a downgrade of the ratings Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligors defaulting 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. GS MORTGAGE 2016-GS3: Fitch Affirms B-sf Rating on Class F Certs ---------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of GS Mortgage Securities Trust (GSMS) 2016-GS3 Commercial Mortgage Pass-Through Certificates series 2016-GS3. GSMS 2016-GS3 Current Rating Prior Rating Class A-1 LT AAAsf Affirmed previously at AAAsf Class A-2 LT AAAsf Affirmed previously at AAAsf Class A-3 LT AAAsf Affirmed previously at AAAsf Class A-4 LT AAAsf Affirmed previously at AAAsf Class A-AB LT AAAsf Affirmed previously at AAAsf Class A-S LT AAAsf Affirmed previously at AAAsf Class B LT AA-sf Affirmed previously at AA-sf Class C LT A-sf Affirmed previously at A-sf Class D LT BBB-sf Affirmed previously at BBB-sf Class E LT BB-sf Affirmed previously at BB-sf Class F LT B-sf Affirmed previously at B-sf Class PEZ LT A-sf Affirmed previously at A-sf Class X-A LT AAAsf Affirmed previously at AAAsf Class X-B LT AA-sf Affirmed previously at AA-sf Class X-D LT BBB-sf Affirmed previously at BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: The affirmations reflect the overall stable performance and loss expectations with no material changes to pool metrics since issuance. There have been no delinquent or specially serviced loans since issuance. Two loans (6.6% of pool) are designated as Fitch Loans of Concern, including one in the top 15 (5.8%). Loan of Concern: The largest Fitch Loan of Concern, Hamilton Place, is secured by a super-regional mall located in Chattanooga, TN with a total square footage of 1,163,079, of which 391,041 sf of in-line space serves as loan collateral. The mall is anchored by Dillard's, Belk, JCPenney, Barnes and Noble, and Forever 21. As of December 2018, overall mall occupancy was 99%; collateral occupancy was 97% compared to 91% at issuance. Sales have been trending downward for some of the larger tenants. Although a total sales report was not provided, individual stores did report sales in 2017 and 2018. Sales for Barnes and Noble dropped from $202 psf in 2015 to $189 psf in 2018; Belk Women's Store dropped from $233 psf in 2014 to $196 psf in 2017; Gap dropped from $264 psf in 2014 to $169 psf in 2018; Victoria's Secret dropped from $750 psf in 2014 to $487 psf in 2018. Sales for American Eagle Outfitters increased from $558 psf in 2013 to $638 psf in 2018. CBL, the sponsor, bought the Sears store in 2017 with plans to redevelop the space. The Cheesecake Factory opened on a new parcel in the Sears parking lot, and they have demolished the Sears building and are constructing a Dick's Sporting Goods on the ground level and a Dave and Buster's on the upper level. Minimal Credit Enhancement Improvement/Limited Amortization: As of the August 2018 distribution date, the pool's aggregate principal balance has been paid down by 1.4% to $1.053 billion from $1.068 billion at issuance. Nine loans (44.2% of pool) are full-term interest only. In addition, six loans comprising 8.8% of the pool have partial-term, interest only periods remaining. Overall, the pool is scheduled to pay down by 8.8%, through maturity. High Retail and Office Loan Concentration: Loans backed by retail properties represent 31.0% of the pool, including four (18%) in the top 15. Two of the retail loans are backed by regional malls, which have exposure to JCPenney, Macy's, Dillard's, Belk, and Bloomingdale's. Loans backed by office properties represent 29.9% of the pool, including four (24.4%) in the top 15. The largest retail loan, The Falls (6.6%), is secured by an 839,507 sf single story open-air lifestyle center located in Miami, FL. The property is anchored by Macy's and Bloomingdales with other large tenants including Regal Cinemas, Fresh Market, and American Girl. Occupancy has remained relatively stable at 96.5% at YE 2018 compared to 97.5% at issuance. RATING SENSITIVITIES The Stable Rating Outlooks for all classes reflect the stable performance of the majority of the underlying pool and expected continued amortization. Downgrades are possible should overall pool performance decline significantly. Rating upgrades, although unlikely in the near term, could occur with improved pool performance and increased credit enhancement from additional paydown or defeasance. JEFFERIES MILITARY 2010-XLII:DBRS Confirms B Rating on 2010A Certs ------------------------------------------------------------------ DBRS Limited confirmed the following class of Jefferies Military Housing Trust, Series 2010-XLII: -- Pass-Through Certificates, Series 2010-XLII, HUNTER Project Certificates Series 2010A at B (sf) The trend is Stable. This transaction consists of one loan collateralized by the residual cash flow interests from 12 U.S. military housing projects located on 11 bases in ten states (the Original Collateral). The sponsor, Hunt Companies, also pledged collateral in distribution rights and/or development fees for an additional 15 projects as collateral for the loan after DBRS's initial review of the transaction. The loan was originated in 2010, with scheduled maturity in October 2030 and final maturity in October 2045. Following an initial interest-only period of five years, the loan began amortizing in November 2015. As of the July 2019 remittance, the loan had an outstanding balance of $88.8 million. The rating confirmation reflects the stable performance of the transaction, which reported a trailing 12 months (T-12) ending July 2019 average debt service coverage ratio (DSCR) of 1.83 times (x) for the senior debt. Over the past year, the T-12 average DSCR has hovered between 1.17x and 2.41x, with cash flows holding relatively steady for the last year. These reported DSCR figures consider revenues from the additional pledged collateral, which DBRS did not give credit to at issuance. The DBRS Term DSCR of 1.29x is reflective of the Original Collateral, based on the cash flow assumptions in a base-case scenario that included a 1.0% annual growth rate for expenses and Basic Allowance for Housing (BAH) income over the life of the loan. DBRS received updated BAH figures for nine of the 12 projects in the Original Collateral set. For those nine projects, the weighted-average BAH per unit was $1,473, comparing well with the weighted-average of $1,241 for those nine projects at issuance and implying annual growth well above the 1.0% in the DBRS base-case scenario. As of the July 2019 rent rolls received for those nine properties, the weighted-average occupancy rate was healthy at 92.0%, ranging between 85.2% and 97.2%. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2014-C24: Fitch Affirms Bsf Rating on Class F Certs ------------------------------------------------------------- Fitch has affirmed 18 classes of J.P. Morgan Chase Commercial Mortgage Securities Trust (JPMBB) series 2014-C24 commercial mortgage pass-through certificates. JPMBB 2014-C24 Current Rating Prior Rating Class A-2 46643GAB6 LT AAAsf Affirmed previously at AAAsf Class A-3 46643GAC4 LT AAAsf Affirmed previously at AAAsf Class A-4A1 46643GAD2 LT AAAsf Affirmed previously at AAAsf Class A-4A2 46643GAQ3 LT AAAsf Affirmed previously at AAAsf Class A-5 46643GAE0 LT AAAsf Affirmed previously at AAAsf Class A-S 46643GAJ9 LT AAAsf Affirmed previously at AAAsf Class A-SB 46643GAF7 LT AAAsf Affirmed previously at AAAsf Class B 46643GAK6 LT AA-sf Affirmed previously at AA-sf Class C 46643GAL4 LT A-sf Affirmed previously at A-sf Class D 46643GAY6 LT BBB-sf Affirmed previously at BBB-sf Class E 46643GBA7 LT BBsf Affirmed previously at BBsf Class EC 46643GAM2 LT A-sf Affirmed previously at A-sf Class F 46643GBC3 LT Bsf Affirmed previously at Bsf Class X-A 46643GAG5 LT AAAsf Affirmed previously at AAAsf Class X-B1 46643GBJ8 LT AA-sf Affirmed previously at AA-sf Class X-B2 46643GAH3 LT BBB-sf Affirmed previously at BBB-sf Class X-C 46643GAS9 LT BBsf Affirmed previously at BBsf Class X-D 46643GAU4 LT Bsf Affirmed previously at Bsf KEY RATING DRIVERS Stable Loss Expectations: Since issuance, loss expectations have remained largely stable. While there has been some collateral underperformance, several of the loans that have exhibited previous performance declines have experienced subsequent recoveries, bringing performance in line with issuance expectations. Despite this, concentration factors related to several loans in the pool with the binary risks and potential for outsized losses. The North Riverside Park Mall loan has transferred to special servicing and has the potential to incur outsize losses. Increasing Credit Enhancement: Credit enhancement has improved since issuance given loan amortization and payoffs. The pool has paid down approximately 12.9% since issuance. In addition, seven loans, totaling approximately 5.5% of pool balance, are defeased. Alternative Loss Considerations: Fitch performed an additional sensitivity test on the North Riverside Park Mall loan (6.2%). The sensitivity test involved assumed a 50% loss on this loan given its transfer to special servicing after the borrower stated its inability to refinance at maturity. The mall has high vacancy including a dark anchor tenant, in line tenant departures and several non-collateral tenants not fully utilizing their spaces. The Negative Rating Outlooks on classes E, F, X-C and X-D reflect this analysis. Retail Concentration: Approximately 17 loans, totaling 46.8% of pool balance, are collateralized by retail properties. This includes three loans, totaling 26.9% of pool balance, secured by regional mall properties. Two of these malls (16.6%) reflect direct or indirect exposure to Sears, Macy's, JCPenney and Bon-Ton Stores. This includes the North Riverside Park loan (6.2%), which now reflects a dark non-collateral anchor following the closure of all Bon-Ton stores and several other bankruptcies from inline tenants. Furthermore, the remaining non-collateral anchor tenants at this mall, Sears and JCPenney, reflect reduced footprints within their current spaces. One additional loan, Glenbrook Commons (1.4%), also lost one of its major tenants, Toys R' Us, following its recent bankruptcy filing, although a prospective tenant has been found for a portion of the space. Highly Concentrated Pool: The top 10 loans in the pool comprise 67.2% of the outstanding balance, with the top 20 representing 86.4%. RATING SENSITIVITIES Negative Rating Outlooks on classes E, F, X-C and X-D reflect the underperformance of the North Riverside Park Mall loan (6.2%), which recently transferred to special servicing given imminent maturity default. Fitch's analysis included a stress scenario whereby an outsized loss of 50% was modeled on this loan given substantial vacancy related to the departure of the property's Bon-Ton anchor, inline tenant bankruptcies and given non-collateral anchors not utilizing their entire spaces and continuing to downsize. Downgrades are possible if additional information from the special servicer indicates a resolution strategy resulting in a higher than anticipated loss severity or given further declines in collateral performance of the North Riverside Park Mall. The outlooks on the senior classes remain stable given the modestly improved credit enhancement from paydown and defeasance and overall stable pool-level performance. Upgrades, while unlikely given the retail concentration, are possible given further paydown, defeasance or lower than anticipated losses related to the North Riverside Park Mall loan. JP MORGAN 2019-6: DBRS Finalizes B Rating on Class B-5 Certs ------------------------------------------------------------ DBRS, Inc. finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2019-6 (the Certificates) issued by J.P. Morgan Mortgage Trust 2019-6: -- $741.5 million Class A-1 at AAA (sf) -- $694.2 million Class A-2 at AAA (sf) -- $578.5 million Class A-3 at AAA (sf) -- $433.9 million Class A-4 at AAA (sf) -- $144.6 million Class A-5 at AAA (sf) -- $342.4 million Class A-6 at AAA (sf) -- $236.1 million Class A-7 at AAA (sf) -- $91.5 million Class A-8 at AAA (sf) -- $98.4 million Class A-9 at AAA (sf) -- $46.3 million Class A-10 at AAA (sf) -- $115.7 million Class A-11 at AAA (sf) -- $115.7 million Class A-11-X at AAA (sf) -- $115.7 million Class A-12 at AAA (sf) -- $115.7 million Class A-13 at AAA (sf) -- $47.3 million Class A-14 at AAA (sf) -- $47.3 million Class A-15 at AAA (sf) -- $617.9 million Class A-16 at AAA (sf) -- $123.6 million Class A-17 at AAA (sf) -- $741.5 million Class A-X-1 at AAA (sf) -- $741.5 million Class A-X-2 at AAA (sf) -- $115.7 million Class A-X-3 at AAA (sf) -- $47.3 million Class A-X-4 at AAA (sf) -- $11.8 million Class B-1 at AA (sf) -- $15.8 million Class B-2 at A (sf) -- $8.3 million Class B-3 at BBB (sf) -- $5.1 million Class B-4 at BB (sf) -- $2.8 million Class B-5 at B (sf) Classes A-X-1, A-X-2, A-X-3, A-X-4 and A-11-X are interest-only notes. The class balances represent notional amounts. Classes A-1, A-2, A-3, A-4, A-5, A-7, A-12, A-13, A-14, A-16, A-17, A-X-2 and A-X-3 are exchangeable certificates. These classes can be exchanged for a combination of depositable certificates as specified in the offering documents. Classes A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12 and A-13 are super-senior certificates. These classes benefit from additional protection from the senior support certificates (Classes A-14 and A-15) with respect to loss allocation. The AAA (sf) ratings on the Certificates reflect the 6.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 5.00%, 2.90%, 1.55%, 0.85% and 0.65% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction. The Certificates are backed by 1,131 loans with a total principal balance of $788,861,418 as of the Cut-Off Date (August 1, 2019). The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of up to 30 years. Approximately 28.2% of the loans in the pool are conforming mortgage loans predominantly originated by Quicken Loans Inc. (Quicken) and JPMorgan Chase Bank, N.A. (JPMCB; rated AA with a Stable trend by DBRS), which were eligible for purchase by Fannie Mae or Freddie Mac. JPMCB generally delegates conforming loan underwriting authority to correspondent lenders and does not subsequently review those loans. Details on the underwriting of conforming loans can be found in the Key Probability of Default Drivers section of the related rating report. The originators for the aggregate mortgage pool are United Shore Financial Services LLC (50.9%), Quicken (27.5%), JPMCB (8.5%) and various other originators, each comprising less than 5.0% of the mortgage loans. Approximately 2.5% of the loans sold to the mortgage loan seller were acquired by MAXEX Clearing LLC, which purchased such loans from the related originators or an unaffiliated third party that directly or indirectly purchased such loans from the related originators. The mortgage loans will be serviced or sub-serviced by NewRez LLC doing business as Shellpoint Mortgage Servicing (SMS; 73.1%), Quicken (17.9%), JPMCB (8.5%) and various other services, each comprising less than 5.0% of the mortgage loans. Servicing will be transferred to JPMCB from SMS on the servicing transfer date (October 1, 2019, or a later date) as determined by the Issuing Entity and JPMCB. For this transaction, the servicing fee payable for mortgage loans serviced by JPMCB and SMS (which will be subsequently serviced by JPMCB) is composed of three separate components: the aggregate base servicing fee, the aggregate delinquent servicing fee, and the aggregate additional servicing fee. These fees vary based on the delinquency status of the related loan and will be paid from interest collections before distribution to the securities. Nationstar Mortgage LLC will act as the Master Servicer. Citibank, N.A. (rated AA (low) with a Stable trend by DBRS) will act as Securities Administrator and Delaware Trustee. JPMCB and Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as Custodians. Pentalpha Surveillance LLC will serve as the Representations and Warranties (R&W) Reviewer. The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and a satisfactory third-party due diligence review. This transaction employs an R&W framework that contains certain weaknesses, such as materiality factors, some unrated R&W providers, knowledge qualifiers and sunset provisions that allow for certain R&W to expire within three to six years after the Closing Date. The framework is perceived by DBRS to be limiting compared with traditional lifetime R&W standards in certain DBRS-rated securitizations. To capture the perceived weaknesses in the R&W framework, DBRS reduced the originator scores in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities. Notes: All figures are in U.S. dollars unless otherwise noted. JP MORGAN 2019-6: Moody's Assigns B3 Rating on Cl. B-5 Debt ----------------------------------------------------------- Moody's Investors Service assigned definitive ratings to 22 classes of residential mortgage-backed securities (RMBS) issued by J.P. Morgan Mortgage Trust 2019-6. The ratings range from Aaa (sf) to B3 (sf). The certificates are backed by 1,131 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $788,861,418 as of the August 1, 2019 cut-off date. Similar to prior JPMMT transactions, JPMMT 2019-6 includes GSE-eligible mortgage loans (28% by loan balance) mostly originated by United Shore Financial Services, LLC d/b/a United Wholesale Mortgage and Shore Mortgage (United Shore), Quicken Loans Inc. (Quicken) and JPMorgan Chase Bank, National Association (JPMCB), underwritten to the government sponsored enterprises (GSE) guidelines in addition to prime jumbo non-GSE eligible (non-conforming) mortgages purchased by J.P. Morgan Mortgage Acquisition Corp. (JPMMAC), sponsor and mortgage loan seller, from various originators and aggregators. United Shore, Quicken and JPMCB originated approximately 51%, 28% and 9% of the mortgage pool, respectively. With respect to the mortgage loans, each originator or the aggregator, as applicable, made a representation and warranty that the mortgage loan constitutes a qualified mortgage (QM) under the qualified mortgage rule. New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (Shellpoint), JPMCB and Quicken will be the servicers for majority of the pool. Shellpoint will act as interim servicer for the JPMCB mortgage loans until the servicing transfer date, which is expected to occur on or about October 1, 2019, but may occur on a later date as determined by the issuing entity. After the servicing transfer date, these mortgage loans will be serviced by JPMCB. The servicing fee for loans serviced by Shellpoint and JPMCB will be based on a step-up incentive fee structure with a monthly base fee of $20 per loan and additional fees for delinquent or defaulted loans (variable fee framework). All other servicers will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans (fixed fee framework). Nationstar Mortgage LLC d/b/a Mr. Cooper (Nationstar) will be the master servicer and Citibank, N. A. (Citibank) will be the securities administrator and Delaware trustee. Pentalpha Surveillance LLC will be the representations and warranties breach reviewer. Distributions of principal and interest and loss allocations are based on a typical shifting interest structure that benefits from senior and subordination floors. The complete rating actions are as follows: Issuer: J.P. Morgan Mortgage Trust 2019-6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aa1 (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.45% in a base scenario and reaches 4.90% at a stress level consistent with the Aaa (sf) ratings. Moody's calculated losses on the pool using its US Moody's Individual Loan Analysis (MILAN) model based on the loan-level collateral information as of the cut-off date. Loan-level adjustments to the model results included adjustments to probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, and for the default risk of Homeownership association (HOA) properties in super lien states. Its final loss estimates also incorporate adjustments for origination quality and the financial strength of representation & warranty (R&W) providers. Moody's bases its definitive ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality, the servicing arrangement, the strength of the third party due diligence and the R&W framework of the transaction. Aggregation/Origination Quality Moody's considers JPMMAC's aggregation platform to be adequate and Moody's did not apply a separate loss-level adjustment for aggregation quality. In addition to reviewing JPMMAC as an aggregator, Moody's have also reviewed the originators contributing a significant percentage of the collateral pool (above 10%). For these originators, Moody's reviewed their underwriting guidelines and their policies and documentation (where available). Moody's increased its base case and Aaa (sf) loss expectations for certain originators of non-conforming loans where Moody's does not have clear insight into the underwriting practices, quality control and credit risk management. Moody's did not make an adjustment for GSE-eligible loans, regardless of the originator, since those loans were underwritten in accordance with GSE guidelines. Servicing arrangement Moody's considers the overall servicing arrangement for this pool to be adequate given the strong servicing arrangement of the servicers, as well as the presence of a strong master servicer to oversee the servicers. The servicers are contractually obligated to the issuing entity to service the related mortgage loans. However, the servicers may perform their servicing obligations through sub-servicers. In this transaction, Nationstar (rated B2) will act as the master servicer. The servicers are required to advance principal and interest on the mortgage loans. To the extent that the servicers are unable to do so, the master servicer will be obligated to make such advances. In the event that the master servicer, Nationstar, is unable to make such advances, the securities administrator, Citibank (rated Aa3) will be obligated to do so to the extent such advance is determined by the securities administrator to be recoverable. JPMCB (servicer): JPMCB, a wholly-owned bank subsidiary of JPMorgan Chase & Co., is a seasoned servicer with over 20 years of experience servicing residential mortgage loans and has demonstrated adequate servicing ability as a primary servicer of prime residential mortgage loans. JPMCB also is the originator with respect to the JPMCB serviced mortgage loans and is an affiliate of the mortgage loan seller, of the depositor and of J.P. Morgan Securities LLC, an initial purchaser. Third-party mortgage loans (including those serviced by JPMCB for certain unconsolidated affiliates of JPMCB) serviced by JPMCB (by aggregate unpaid principal balance) were $519.6 billion as of December 31, 2018. In addition to servicing mortgage loans securitized by the Depositor, JPMCB also services mortgage loans that are held in its portfolio and whole loans that are sold to a variety of investors. Shellpoint (servicer): Shellpoint has demonstrated adequate servicing ability as a primary servicer of prime residential mortgage loans. Shellpoint, an approved servicer in good standing with Ginnie Mae, Fannie Mae and Freddie Mac, has the necessary processes, staff, technology and overall infrastructure in place to effectively service the transaction. Nationstar (master servicer): Nationstar is the master servicer for the transaction and provides oversight of the servicers. Nationstar is a mortgage servicer and lender formed in 1994 originally under the name Nova Credit Corporation that engages in servicing activities for itself as well as various third parties, primarily as a "high touch" servicer and originating primarily GSE-eligible residential mortgage loans. On August 21, 2017 Nationstar Mortgage became known as Mr. Cooper for its mortgage servicing and originations operations. Moody's considers Nationstar's master servicing operation to be above average compared to its peers. Nationstar has strong reporting and remittance procedures and strong compliance and monitoring capabilities. The company's senior management team has on average more than 20 years of industry experience, which provides a solid base of knowledge and leadership. Nationstar's oversight encompasses loan administration, default administration, compliance, and cash management. Nationstar is an indirectly held, wholly owned subsidiary of Nationstar Mortgage Holdings Inc.. Moody's rates Nationstar at B2. Collateral Description JPMMT 2019-6 is a securitization of a pool of 1,131 30-year, fully-amortizing fixed-rate mortgage loans with a total balance of $788,861,418 as of the cut-off date, with a weighted average (WA) remaining term to maturity of 360 months, and a WA seasoning of 3.5 months. The borrowers in this transaction have high FICO scores and sizeable equity in their properties. The WA current FICO score is 772 and the WA original combined loan-to-value ratio (CLTV) is 70%. The characteristics of the loans underlying the pool are generally comparable to other JPMMT transactions backed by prime mortgage loans that Moody's has rated. In this transaction, about 28% of the pool by loan balance was underwritten to Fannie Mae's and Freddie Mac's guidelines (GSE-eligible loans). The GSE-eligible loans in this transaction have a high average current loan balance of $610,124. The high GSE-eligible loan balance in JPMMT 2019-6 is attributable to the large number of properties located in high-cost areas, such as the metro areas of Los Angeles-Long Beach-Anaheim, CA (14%), San Francisco-Oakland-Hayward (12%) and the greater San Diego- San Francisco-New York metropolitan areas (17% combined). The top 10-metropolitan statistical areas account for 60% of the pool. With respect to the mortgage loans, each originator or the aggregator, as applicable, made a representation and warranty that the mortgage loan constitutes a qualified mortgage (QM) under the qualified mortgage rule. To satisfy the requirements of the QM rule for a non-conforming mortgage loan, a borrower's debt-to-income ratio cannot exceed 43%. With respect to the GSE-eligible mortgage loans, each originator made a representation and warranty as to the loans originated by it, that such mortgage loans were qualified mortgages under the QM rule because those mortgage loans were eligible for purchase by Fannie Mae or Freddie Mac. Servicing Fee Framework The servicing fee for loans serviced by Shellpoint and JPMCB will be based on a step-up incentive fee structure with a monthly base fee of $20 per loan and additional fees for servicing delinquent and defaulted loans. PennyMac Corp., Quicken, TIAA, FSB and USAA Federal Savings Bank., will be paid a monthly flat servicing fee equal to one-twelfth of 0.25% of the remaining principal balance of the mortgage loans. Shellpoint will act as interim servicer for the JPMCB mortgage loans until the servicing transfer date, October 1, 2019 or such later date as determined by the issuing entity and JPMCB. While this fee structure is common in non-performing mortgage securitizations, it is relatively new to rated prime mortgage securitizations which typically incorporate a flat 25 basis point servicing fee rate structure. By establishing a base servicing fee for performing loans that increases with the delinquency of loans, the fee-for-service structure aligns monetary incentives to the servicer with the costs of the servicer. The servicer receives higher fees for labor-intensive activities that are associated with servicing delinquent loans, including loss mitigation, than they receive for servicing a performing loan, which is less labor-intensive. The fee-for-service compensation is reasonable and adequate for this transaction because it better aligns the servicer's costs with the deal's performance. Furthermore, higher fees for the more labor-intensive tasks make the transfer of these loans to another servicer easier, should that become necessary. By contrast, in typical RMBS transactions a servicer can take actions, such as modifications and prolonged workouts, that increase the value of its mortgage servicing rights. The incentive structure includes an initial monthly base servicing fee of $20 for all performing loans and increases according to a pre-determined delinquent and incentive servicing fee schedule. The delinquent and incentive servicing fees will be deducted from the available distribution amount and Class B-6 net WAC. The transaction does not have a servicing fee cap, so, in the event of a servicer replacement, any increase in the base servicing fee beyond the current fee will be paid out of the available distribution amount. Third-party Review and Reps & Warranties Three third party review firms, AMC Diligence, LLC (AMC), Clayton Services LLC (Clayton) and Opus Capital Markets Consultants, LLC (Opus) (collectively, TPR firms) verified the accuracy of the loan-level information that Moody's received from the sponsor. These firms conducted detailed credit, valuation, regulatory compliance and data integrity reviews on 100% of the mortgage pool. The TPR results indicated compliance with the originators' underwriting guidelines for majority of loans, no material compliance issues, and no appraisal defects. Of the loans in the securitization population reviewed by AMC, after all documents were presented, two (2) loans had an overall loan grade of "C" as these loans were missing a secondary valuation initially which was subsequently provided. Of the loans reviewed by Opus, two (2) loans had an overall loan grade of "C", due to valuation variances not being within acceptable tolerance (above 10%). Overall, the loans that had exceptions to the originators' underwriting guidelines had strong documented compensating factors such as low DTIs, low LTVs, high reserves, high FICOs, or clean payment histories. The TPR firms also identified minor compliance exceptions for reasons such as inadequate RESPA disclosures (which do not have assignee liability) and TILA/RESPA Integrated Disclosure (TRID) violations related to fees that were out of variance but then were cured and disclosed. Except for three of the four loans graded "C" by AMC and Opus and certain other loans with solely AVM valuations, Moody's did not make any adjustments to its expected or Aaa (sf) loss levels due to the TPR results. The property valuation review consisted of reviewing the valuation materials utilized at origination to ensure the appraisal report was complete and in conformity with the underwriting guidelines. The TPR firms also compared third-party valuation products to the original appraisals. The property valuation portion of the TPR was conducted using, among other things, a field review, a third-party collateral desk appraisal (CDA), broker price opinion (BPO), automated valuation model (AVM) or a Collateral Underwriter (CU) risk score. In some cases, a CDA, BPO or AVM was not provided because these loans were originated under United Shore's High Balance Nationwide program (i.e. non-conforming loans underwritten using Fannie Mae's Desktop Underwriter Program) and had a CU risk score less than or equal to 2.5. Moody's considers the use of CU risk score for non-conforming loans to be credit negative due to (1) the lack of human intervention which increases the likelihood of missing emerging risk trends, (2) the limited track record of the software and limited transparency into the model and (3) GSE focus on non-jumbo loans which may lower reliability on jumbo loan appraisals. However, Moody's did not apply an adjustment to the loss for such loans since the sample size and valuation result of the loans that were reviewed using a CDA (a more accurate third-party valuation product) were sufficient and the original appraisal balances for such loans were not significantly higher than that of appraisal values for GSE-eligible loans. In addition, there were loans for which the original appraisal was evaluated using only AVMs. Moody's believes that utilizing only AVMs as a comparison to verify the original appraisals is much weaker and less accurate than utilizing CDAs for the entire pool. Moody's took this framework into consideration and applied an adjustment to the loss for such loans. JPMMT 2019-6's R&W framework is in line with that of other JPMMT transactions where an independent reviewer is named at closing, and costs and manner of review are clearly outlined at issuance. Its review of the R&W framework considers the financial strength of the R&W providers, scope of R&Ws (including qualifiers and sunsets) and enforcement mechanisms. The R&W providers vary in financial strength. Moody's made no adjustments to the loans for which JPMCB (Aa2), TIAA, FSB (d/b/a TIAA Bank) and USAA Federal Savings Bank (a subsidiary of USAA Capital Corporation, rated Aa1) provided R&Ws since they are either highly rated or financially stable entities. In contrast, the rest of the R&W providers are unrated and/or financially weaker entities, including United Shore and Quicken. Moody's applied an adjustment to the loans for which these entities provided R&Ws. No party will backstop or be responsible for backstopping any R&W providers who may become financially incapable of repurchasing mortgage loans. With respect to the mortgage loan representations and warranties made by such originators or the aggregator, as applicable, as of a date prior to the closing date, JPMMAC will make a "gap" representation covering the period from the date as of which such representation and warranty is made by such originator or the aggregator, as applicable, to the cut-off date or closing date, as applicable. For loans that JPMMAC acquired via the MAXEX platform, MAXEX under the assignment, assumption and recognition agreement with JPMMAC, will make the R&Ws. The R&Ws provided by MAXEX to JPMMAC and assigned to the trust are in line with the R&Ws found in the JPMMT transactions. Trustee and Master Servicer The transaction Delaware trustee is Citibank. The custodian's functions will be performed by Wells Fargo Bank, N.A. and JPMCB. The paying agent and cash management functions will be performed by Citibank. Nationstar, as master servicer, is responsible for servicer oversight, and termination of servicer and for the appointment of successor servicer. In addition, Nationstar is committed to act as successor if no other successor servicer can be found. The master servicer is required to advance principal and interest if the servicer fails to do so. If the master servicer fails to make the required advance, the securities administrator is obligated to make such advance. Tail Risk & Subordination Floor This deal has a standard shifting-interest structure, with a subordination floor to protect against losses that occur late in the life of the pool when relatively few loans remain (tail risk). When the total senior subordination is less than 0.80% of the original pool balance, the subordinate bonds do not receive any principal and all principal is then paid to the senior bonds. In addition, if the subordinate percentage drops below 6.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal distribution amount will be zero. The subordinate bonds themselves benefit from a floor. When the total current balance of a given subordinate tranche plus the aggregate balance of the subordinate tranches that are junior to it amount to less than 0.65% of the original pool balance, those tranches do not receive principal distributions. The principal those tranches would have received is directed to pay more senior subordinate bonds pro-rata. Transaction Structure The transaction uses the shifting interest structure in which the senior bonds benefit from a number of protections. Funds collected, including principal, are first used to make interest payments to the senior bonds. Next, principal payments are made to the senior bonds. Next, available distribution amounts are used to reimburse realized losses and certificate write-down amounts for the senior bonds (after subordinate bond have been reduced to zero i.e. the credit support depletion date). Finally, interest and then principal payments are paid to the subordinate bonds in sequential order. Realized losses are allocated in a reverse sequential order, first to the lowest subordinate bond. After the balance of the subordinate bonds is written off, losses from the pool begin to write off the principal balance of the senior support bond, and finally losses are allocated to the super senior bonds. In addition, the pass-through rate on the bonds (other than the Class A-R Certificates) is based on the net WAC as reduced by the sum of (i) the reviewer annual fee rate and (ii) the capped trust expense rate. In the event that there is a small number of loans remaining, the last outstanding bonds' rate can be reduced to zero. The Class A-11 Certificates will have a pass-through rate that will vary directly with the rate of one-month LIBOR and the Class A-11-X Certificates will have a pass-through rate that will vary inversely with the rate of one-month LIBOR. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. JPMBB COMMERCIAL 2014-C23: Fitch Affirms Bsf Rating on 2 Tranches ----------------------------------------------------------------- Fitch Ratings affirmed 16 classes of JPMBB Commercial Mortgage Securities Trust 2014-C23 commercial mortgage pass-through certificates. JPMBB 2014-C23 Current Rating Prior Rating Class A-2 LT AAAsf Affirmed previously at AAAsf Class A-3 LT AAAsf Affirmed previously at AAAsf Class A-4 LT AAAsf Affirmed previously at AAAsf Class A-5 LT AAAsf Affirmed previously at AAAsf Class A-S LT AAAsf Affirmed previously at AAAsf Class A-SB LT AAAsf Affirmed previously at AAAsf Class B LT AAsf Affirmed previously at AAsf Class C LT Asf Affirmed previously at Asf Class D LT BBB-sf Affirmed previously at BBB-sf Class E LT BBsf Affirmed previously at BBsf Class EC LT Asf Affirmed previously at Asf Class F LT Bsf Affirmed previously at Bsf Class X-A LT AAAsf Affirmed previously at AAAsf Class X-B LT BBB-sf Affirmed previously at BBB-sf Class X-C LT BBsf Affirmed previously at BBsf Class X-D LT Bsf Affirmed previously at Bsf KEY RATING DRIVERS Stable Performance and Loss Expectations: Overall pool performance and loss expectations remain stable since issuance. There have been no realized losses to date, and there are currently no delinquent or specially serviced loans. Ten loans (13% of the pool) are currently on the master servicer's watchlist, and five (8.9%) are considered Fitch Loans of Concern (FLOCs) including the fourth largest loan, Las Catalinas Mall. Las Catalinas Mall (5.0%) is secured by a 355,385-sf collateral portion of a 494,071-sf regional mall in Caguas, Puerto Rico that lost its Kmart in 1Q19. Kmart previously occupied 34.5% of NRA and contributed 12% of GPR as of the March 2019 rent roll. Collateral occupancy decreased to 47% after Kmart's departure from 91.8% as of YE 2017. Inline occupancy also decreased slightly to 72% as of the June 2019 rent roll from 77% at March 2019. Sears remains as a non-collateral anchor. Fitch's request for a more detailed tenant sales report remains outstanding. Increased Credit Enhancement: Credit Enhancement has improved since issuance given loan amortization, payoffs, and defeasance. Seven loans (7.4%) are currently defeased including four (4.9%) that have defeased since Fitch's last rating action. The pool has paid down approximately 19.2% since issuance. Since the last rating action, five loans (10.9%) paid off, including the third largest, Wyverwood Apartments, which was defeased. Alternative Loss Considerations: Fitch ran an additional sensitivity which assumed paydown for the seven defeased loans and two loans with 2019 maturities in addition to a 50% stress on Las Catalinas Mall due to the loss of Kmart, possible co-tenancies, declining cash flow, lack of updata sales data and secondary market. Despite the stress on the Las Catalinas Mall, the positive outlook on class B is still warranted. Additional Considerations: Retail Exposure: Nine loans (20.8%) are secured by retail properties. Of these nine, four (18.8%) are top 10 loans and are collateralized by two regional malls and two shopping centers located in Grapevine, TX, Caguas, PR, Los Angeles, CA, and Northville, MI. Pool Concentrations: The top 10 loans represent 56% of the total pool balance, and the top three loans represent 26% of the total pool balance. Maturity Schedule: Two loans (5.1%) mature in August and September 2019, respectively, including one (3.8%) loan in the top 15. One loan matures (3.5 %) in 2021; 51 loans (86.1%) in 2024; and one loan (1.5%) in 2034. RATING SENSITIVITIES The Rating Outlook for class B is revised to Positive due to the expected refinancing and payoff of the two loans maturing in 2019, largely the Renaissance Inn Midtown East. Credit enhancement is expected to continue to increase. Rating Outlooks for all other classes remain Stable due to the overall stable performance of the pool. Upgrades may occur with improved pool performance, significant paydown or additional defeasance. Fitch's analysis included a stress scenario whereby an outsized loss of 50% was modeled on the Fitch Loan of Concern, Las Catalinas Mall. However, the sensitivity testing did not result in any negative rating actions to the classes, given improved credit enhancement from paydown and defeasance and overall stable pool-level performance. Downgrades are not expected unless the pool's performance deteriorates significantly. MORGAN STANLEY 2015-C25: Fitch Affirms B-sf Rating on Cl. F Certs ----------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Morgan Stanley Bank of America Merrill Lynch Trust, commercial mortgage pass-through certificates, series 2015-C25. MSBAM 2015-C25 Current Rating Prior Rating Class A-1 61765TAA1 LT AAAsf Affirmed; previously at AAAsf Class A-2 61765TAB9 LT AAAsf Affirmed; previously at AAAsf Class A-3 61765TAD5 LT AAAsf Affirmed; previously at AAAsf Class A-4 61765TAE3 LT AAAsf Affirmed; previously at AAAsf Class A-5 61765TAF0 LT AAAsf Affirmed; previously at AAAsf Class A-S 61765TAK9 LT AAAsf Affirmed; previously at AAAsf Class A-SB 61765TAC7 LT AAAsf Affirmed; previously at AAAsf Class B 61765TAL7 LT AA-sf Affirmed; previously at AA-sf Class C 61765TAM5 LT A-sf Affirmed; previously at A-sf Class D 61765TAN3 LT BBB-sf Affirmed; previously at BBB-sf Class E 61765TAP8 LT BB-sf Affirmed; previously at BB-sf Class F 61765TAR4 LT B-sf Affirmed; previously at B-sf Class X-A 61765TAG8 LT AAAsf Affirmed; previously at AAAsf Class X-B 61765TAH6 LT AAAsf Affirmed; previously at AAAsf Class X-D 61765TAJ2 LT BBB-sf Affirmed; previously at BBB-sf KEY RATING DRIVERS Stable Performance and Loss Expectations: Despite a slight increase in pool loss expectations since issuance, overall pool performance remains relatively stable and in-line with Fitch's expectations at issuance. No loans are specially serviced. Fitch designated seven loans (10.2% of pool), including two (6.6%) in the top 15, as Fitch Loans of Concern (FLOCs) because of performance declines/concerns. Fitch Loans of Concern: The largest FLOC, Villas at Dorsey Ridge (4.7%), secured by a 238 unit multifamily property in Hanover, MD (approximately 10 miles southwest of Baltimore and 20 miles northeast of Washington D.C.), was designated a FLOC due to performance declines since issuance. Occupancy has fluctuated since issuance. Unit rents and 'Other Income' have declined, while Operating Expenses have increased. At issuance, the property was 98% occupied before declining to a low of 88% at YE 2017. Occupancy has gradually rebounded and increased to 94% as of June 2019. Average in-place rents have declined to $1,901 per unit as of the June 2019 rent roll from $1,940 per unit at issuance. Revenue from 'Other Income' has also fluctuated with totals from YE 2018 down 75% from the issuers underwriting. The annualized March 2019 revenue from other income shows slight improvement, down 27% from issuance. Per the YE 2018 OSAR, servicer-reported NOI has declined 20% since issuance. The servicer-reported NOI debt service coverage ratio (DSCR) was 1.42x as of the YTD ended March 2019 and 1.31x at YE 2018, based on interest only payments. Based on fully amortizing principal and interest payments, which are scheduled to begin August 2020, servicer-reported NOI DSCR was 1.03x as of YTD ended March 2019 and 0.97x for YE 2018 compared with 1.21x at issuance. The second largest FLOC, Lycoming Crossing Shopping Center (1.9%), is secured by 135,999 sf shadow anchored (Target) shopping center in Muncy Township, PA, approximately 165 miles from Philadelphia, PA. While the loan returned to the master servicer from special servicing in December 2018 after a forbearance agreement and lien being discharged, the loan still faces performance concerns. Bed Bath & Beyond (15% NRA), which recently signed a one year renewal through January 2020 but is only paying for common area maintenance charges (CAM) during the renewal term, is expected to vacate in November 2019. Property occupancy, which has remained relatively stable since issuance at approximately 97%, will decline upon Bed Bath & Beyond's vacancy. Servicer-reported NOI DSCR has declined to 1.36x as of the YTD June 2019 from 1.69x at YE 2018 based on interest-only payments. Based on fully amortizing principal and interest payments, which are scheduled to begin in September 2020, servicer-reported NOI DSCR was 1.04x as of the YTD June 2019, down from 1.30x at YE 2018 and 1.36x at issuance. The property also has exposure to Mattress Firm and Dress Barn, which each lease approximately 5% NRA. Per servicer updates, Mattress Firm is open and operating with a lease through November 2024 and Dress Barn is open and operating with a lease through January 2021. Five additional loans (3.6%), all outside the Top 25, were designated FLOCs due to performance declines since issuance. Minimal Change to Credit Enhancement: There has been minimal change to credit enhancement since issuance. As of the July 2019 distribution date, the pool's aggregate balance has been reduced by 2% to $1.155 billion from $1.179 billion at issuance. All original 56 loans remain in the pool. 2.6% of the pool is defeased. Five loans (22.5% of pool) are full-term, interest-only and 33 loans (55.5%) have a partial-term, interest-only component, of which 21 have begun to amortize. ADDITIONAL CONSIDERATIONS Pool/Maturity Concentration: The top 10 loans comprise 53.7% of the pool. Based on the loans' scheduled maturity balances, the pool is expected to amortize 10.1% during the term. Loan maturities are concentrated in 2025 (85.9%); 2.3% matures in 2020, 1.2% in 2022, 10% in 2024 and 0.6% in 2030. RATING SENSITIVITIES Rating Outlooks for all classes remain Stable due to relatively stable performance with no material changes to pool metrics since issuance. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. MORGAN STANLEY 2018-BOP: DBRS Confirms BB Rating on Class F Certs ----------------------------------------------------------------- DBRS Limited confirmed all classes of the Commercial Mortgage Pass-Through Certificates, Series 2018-BOP (the Certificates) issued by Morgan Stanley Capital I Trust 2018-BOP as follows: -- Class A at AAA (sf) -- Class B at AA (high) (sf) -- Class C at A (high) (sf) -- Class X-EXT at A (sf) -- Class D at A (low) (sf) -- Class E at BBB (low) (sf) -- Class F at BB (sf) All trends are Stable. In addition, DBRS discontinued the rating on Class X-CP, as the notional class was structured to receive interest distributions and passed its final distribution date with the August 2019 remittance. The rating confirmations reflect the overall stable performance of the transaction since issuance. Whole loan proceeds of $278.4 million, consisting of the $222.3 million trust loan and $55.0 million of senior and junior mezzanine debt, were primarily used to refinance existing debt of $259.4 million and fund upfront reserves of $8.3 million, which included $4.7 million of tenant improvement/leasing commission obligations and $2.6 million of existing rent obligations. The collateral is secured by the fee simple interest in a portfolio of 12 suburban office properties, comprising nearly 1.8 million square feet (sf) of office space. Nine of the 12 properties (1.5 million sf) are concentrated within the Washington D.C. metro area, situated in Northern Virginia (two properties) and suburban Maryland (seven properties), while the remaining three properties (0.4 million sf) are located in Atlanta, Georgia (one property) and Orlando, Florida (two properties). The underlying loan is interest-only (IO) throughout the entire loan term and is structured with a 24-month original term and three one-year extension options. Per the March 2019 rent roll, the portfolio reported an occupancy and average rental rate of 79.4% and $26.90 psf, respectively, compared with the issuance figures of 78.9% and $28.39 psf, respectively. When factoring in the $2.6 million in rental abatements given to 23 tenants, the implied average rental rate equates to $28.76 psf. The portfolio's largest six tenants collectively represent 16.8% of the collateral net rentable area (NRA). The largest three tenants include Bank of America (3.4% of the collateral NRA, through March 2021), Siemens Real Estate Corp (Siemens; 3.4% of the collateral NRA, through October 2019 and December 2019) and Montgomery County, Maryland (3.0% of collateral NRA, through March 2021). There are 27 tenants, representing 12.7% of the portfolios collateral NRA, with scheduled lease expirations through to YE2019; the largest is Siemens, whom the servicer has indicated will vacate upon lease expiration. Otherwise, the remaining tenant leases expiring in 2019 are granular, with no tenants representing more than 1.0% of NRA. According to the YE2018 financials, the loan reported a debt service coverage ratio (DSCR) of 1.84 times (x) compared with the DBRS Term DSCR of 1.95x derived at issuance. When excluding rental abatements, the implied DSCR is 1.99x. The loan benefits from strong sponsorship under a subsidiary of Brookfield Asset Management Inc. (Brookfield; rated A (low) with a Stable trend by DBRS), which has considerable experience with both the property type and market, in addition to large amounts of capital as evidenced by its $50.7 billion market cap and $385.0 billion in assets under management. Brookfield acquired the assets through two separate transactions between 2016 and 2017 at a purchase price of $341.1 million. With the added investment of $8.6 million into select properties between the time of acquisition and issuance, Brookfield had approximately $126.3 million of cash equity behind the rated mortgage debt at issuance. Classes X-EXT is an IO certificate that references multiple rated tranches. The IO rating mirrors the lowest-rated applicable reference obligation tranche adjusted upward by one notch, as it is senior in the waterfall. Notes: All figures are in U.S. unless otherwise noted. REGATTA XII: S&P Assigns Prelim BB- (sf) Rating to Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to Regatta XII Funding Ltd./Regatta XII Funding LLC's floating-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by a diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. The preliminary ratings are based on information as of Sept. 4, 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, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED Regatta XII Funding Ltd./Regatta XII Funding LLC Class Rating Amount (mil. $) A-1 AAA (sf) 248.00 A-2 AAA (sf) 13.00 B AA (sf) 43.00 C (deferrable) A (sf) 24.00 D (deferrable) BBB- (sf) 22.60 E (deferrable) BB- (sf) 15.00 Subordinated notes NR 43.00 NR--Not rated. SIERRA TIMESHARE 2018-3: S&P Affirms BB (sf) Rating on Cl. D Notes ------------------------------------------------------------------ S&P Global Ratings affirmed its ratings on Sierra Timeshare 2018-1 Receivables Funding LLC and Sierra Timeshare 2018-3 Receivables Funding LLC. The note issuances are asset-backed securities (ABS) transactions backed by timeshare loans originated by Wyndham Vacation Resorts and Worldmark by Wyndham and its affiliates. Upon publication of its revised criteria for assessing counterparty risk in structured finance transactions, S&P placed its ratings for the Sierra Timeshare transactions under criteria observation. With the completion of S&P's review, these ratings are no longer under criteria observation. "Our ratings reflect that the documented counterparty downgrade remedies and replacement mechanisms adequately mitigate the transactions' exposure to counterparty risk in line with our criteria. All other aspects of our analysis remain unchanged from closing and continue to support the ratings on the notes," S&P said. "We will continue to review whether, in our view, the rating assigned to the loans remains consistent with the credit enhancement available to support them, and we will take further rating actions as it deems necessary. RATINGS AFFIRMED Sierra Timeshare 2018-1 Receivables Funding LLC Class Rating B BBB- (sf) Sierra Timeshare 2018-3 Receivables Funding LLC Class Rating A AAA (sf) B A (sf) C BBB (sf) D BB (sf) STEELE CREEK 2019-2: S&P Assigns BB- (sf) Rating to Class E Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to Steele Creek CLO 2019-2 Ltd.'s floating- and fixed-rate notes. The note issuance is a collateralized loan obligation (CLO) transaction backed by primarily broadly syndicated speculative-grade senior secured term loans that are governed by collateral quality tests. The ratings reflect: -- The diversified collateral pool. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. RATINGS ASSIGNED Steele Creek CLO 2019-2 Ltd. Class Rating Amount (mil. $) A-1 AAA (sf) 215.00 A-2 AAA (sf) 41.00 B AA (sf) 44.00 C (deferrable) A (sf) 26.00 D (deferrable) BBB- (sf) 24.00 E (deferrable) BB- (sf) 15.00 Subordinated notes NR 40.185 NR--Not rated. TICP CLO XIV: S&P Assigns Prelim BB- (sf) Rating to Class D Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to TICP CLO XIV Ltd./TICP CLO XIV LLC's floating-rate notes. The note issuance is a CLO transaction backed by primarily 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 Sept. 4, 2019. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests. -- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization. -- The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading. -- The transaction's legal structure, which is expected to be bankruptcy remote. PRELIMINARY RATINGS ASSIGNED TICP CLO XIV Ltd./TICP CLO XIV LLC Class Rating Amount (mil. $) A-1a AAA (sf) 248.00 A-1b NR 6.40 A-2 AA (sf) 49.60 B (deferrable) A (sf) 24.00 C (deferrable) BBB- (sf) 24.00 D (deferrable) BB- (sf) 14.00 Subordinated notes NR 36.35 NR--Not rated. WELLS FARGO 2015-LC22: Fitch Affirms B-sf Rating on 2 Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2015-LC22 commercial mortgage pass-through certificates. WFCM 2015-LC22 Class A-1 LT AAAsf Affirmed previously at AAAsf Class A-2 LT AAAsf Affirmed previously at AAAsf Class A-3 LT AAAsf Affirmed previously at AAAsf Class A-4 LT AAAsf Affirmed previously at AAAsf Class A-S LT AAAsf Affirmed previously at AAAsf Class A-SB LT AAAsf Affirmed previously at AAAsf Class B LT AA-sf Affirmed previously at AA-sf Class C LT A-sf Affirmed previously at A-sf Class D LT BBB-sf Affirmed previously at BBB-sf Class E LT BB-sf Affirmed previously at BB-sf Class F LT B-sf Affirmed previously at B-sf Class PEX LT A-sf Affirmed previously at A-sf Class X-A LT AAAsf Affirmed previously at AAAsf Class X-E LT BB-sf Affirmed previously at BB-sf Class X-F LT B-sf Affirmed previously at B-sf KEY RATING DRIVERS Relatively Stable Performance: The affirmations reflect the relatively stable performance and loss expectations for the pool since Fitch's last rating action. Fitch has designated seven loans (6.1% of pool) as Fitch Loans of Concern (FLOCs), including one loan in the top 15 (2.3%) and two specially serviced loans (1.9%). The largest FLOC is the eighth largest loan in the pool, San Diego Park N' Fly (2.3%), which is secured by an 860-space parking garage located in San Diego, CA, approximately two miles west of the San Diego International Airport. At issuance, the borrower entered into a 15-year absolute triple-net lease with an annual lease payment of $2.3 million. Fitch has determined that the property has suffered a decline in performance with a look-through to property operations, which indicates a significant drop in net operating income (NOI) since issuance. The servicer-reported year-end (YE) 2018 NOI is insufficient to support both the master lease payment of $2.3 million and the loan's interest-only debt service payment of $1.1 million (the partial interest-only loan will begin amortizing in September 2019). According to the servicer, the performance decline is attributed to a change in San Diego city legislation that released new parking, which has resulted in increased competition for the subject property, in addition to the operator's failure to control costs. The two specially serviced loans include Clearwater Collection (1.4%) and Comfort Suites - Firestone (0.5%). The Clearwater Collection loan is secured by a 134,361 sf anchored community shopping center in Clearwater, FL. The loan transferred to special servicing in July 2018 for payment default after the loan's sponsor was indicted on several charges of securities fraud in April 2018. The loan is now in receivership and per the special servicer, the receiver is marketing the property for sale to repay the loan. The servicer-reported YE 2018 NOI DSCR was 2.24x and the property was 97% occupied as of December 2018. The Comfort Suites - Firestone loan is secured by a 72-key limited service hotel located in Firestone, CO. The loan transferred to special servicing in May 2019 for payment default. The special servicer is dual-tracking foreclosure with the receivership process, while working with the borrower to cure the default. Per the most recent servicer reporting, the YE 2018 NOI DSCR was 2.66x and the RevPAR, ADR and occupancy were $74.12, $131.83 and 56.2%, respectively. The other non-specially serviced FLOCs outside of the top 15 include four hotel loans (1.8%) flagged for declining cash flow or occupancy and/or low NOI DSCR, two of which are secured by hotel properties located in located in Houston, TX; one in Memphis, TN; and one in Acworth, GA. Increased Credit Enhancement: As of the August 2019 distribution date, the pool's aggregate principal balance has paid down by 3.9% to $926.5 million from $963.7 million at issuance. Six loans (11.3% of pool) are defeased, up from four loans (2.6%) at the last rating action. There have been no realized losses since issuance. Cumulative interest shortfalls totaling $57,712 are currently affecting class G. Eleven loans representing 12.4% of the current pool are full-term, interest-only and 22 loans (36%) are still in their partial interest-only period. ADDITIONAL CONSIDERATIONS Investment-Grade Credit Opinion Loan: One loan, 40 Wall Street (9.2% of pool), received an investment-grade credit opinion of 'BBB-sf' on a stand-alone basis at issuance. Multifamily and Co-op Concentration: Multifamily properties, including co-operatives, comprise 29.6% of the pool. Nine loans (4.1%) are secured by multifamily co-operative properties within the New York City metro area, which typically have a lower default probability. RATING SENSITIVITIES The Stable Rating Outlooks for classes A-1 through E reflect the stable performance of the majority of the underlying pool. The Negative Rating Outlook for class F reflects the increased loss expectations for the pool, largely driven by the San Diego Park N' Fly loan. Downgrades are possible if the loan transfers to special servicing or with further deterioration of the Fitch Loans of Concern. Rating upgrades could occur with improved pool performance and increased credit enhancement from additional paydown, amortization or defeasance. WELLS FARGO 2017-C40: Fitch Affirms B-sf Rating on Class G Debt --------------------------------------------------------------- Fitch Ratings has affirmed 15 classes of Wells Fargo Commercial Mortgage Trust 2017-C40, Series 2017-C40. WFCM 2017-C40 Current Rating Prior Rating Class A-1 LT AAAsf Affirmed previously at AAAsf Class A-2 LT AAAsf Affirmed previously at AAAsf Class A-3 LT AAAsf Affirmed previously at AAAsf Class A-4 LT AAAsf Affirmed previously at AAAsf Class A-S LT AAAsf Affirmed previously at AAAsf Class A-SB LT AAAsf Affirmed previously at AAAsf Class B LT AA-sf Affirmed previously at AA-sf Class C LT A-sf Affirmed previously at A-sf Class D LT BBB-sf Affirmed previously at BBB-sf Class E LT BB+sf Affirmed previously at BB+sf Class F LT BB-sf Affirmed previously at BB-sf Class G LT B-sf Affirmed previously at B-sf Class X-A LT AAAsf Affirmed previously at AAAsf Class X-B LT AA-sf Affirmed previously at AA-sf Class X-D LT BBB-sf Affirmed previously at BBB-sf KEY RATING DRIVERS Stable Loss Expectations: The pool is performing in line with Fitch's expectations. There are no delinquent or specially serviced loans. Although one Top 15 loan has been designated as a Fitch Loan of Concern due to occupancy decline, it is not believed to be at immediate risk of default given its location and recent leasing activity. Minimal Changes to Credit Enhancement: The deal closed in October of 2017. Since then, the pool has amortized 1.1%. Thirteen loans representing 42.8% of the pool balance are interest only for the full term. An additional 17 loans were structured with partial interest-only periods. As of the August 2019 remittance, six partial interest-only loans representing 18.1% of the pool had not yet begun amortizing. Three loans representing 3.3% of the pool are scheduled to mature in 2022, and all remaining loans are scheduled to mature in 2027. Additional Considerations; Issuance Credit Opinions: As part of Fitch's analysis at issuance, two loans were assigned investment-grade credit opinions on a standalone basis. 225 & 233 Park Avenue South (8.6% of the pool) was assigned a credit opinion of 'BBB-sf' on a standalone basis and Del Amo Fashion Center (3.6% of the pool) was assigned a credit opinion of 'BBBsf' on a standalone basis. RATING SENSITIVITIES The Rating Outlooks on all classes remain Stable. Fitch does not foresee positive or negative ratings migration until a material economic or asset-level event changes the transaction's overall portfolio-level metrics. WELLS FARGO 2019-3: Moody's Gives (P)Ba2 Rating on Class B-4 Debt ----------------------------------------------------------------- Moody's Investors Service assigned provisional ratings to 24 classes of residential mortgage-backed securities issued by Wells Fargo Mortgage Backed Securities 2019-3 Trust. The ratings range from (P)Aaa (sf) to (P)Ba2 (sf). WFMBS 2019-3 is the third prime issuance by Wells Fargo Bank, N.A. in 2019. The mortgage loans for this transaction are originated by Wells Fargo Bank, through its Retail and Correspondent channels, generally in accordance with its non-conforming underwriting guidelines. All of the loans are designated as qualified mortgages (QM) under the QM safe harbor rules. Wells Fargo Bank will service all the loans and will also be the master servicer for this transaction. The servicer will be primarily responsible for funding certain servicing advances and delinquent scheduled interest and principal payments for the mortgage loans, unless the servicer determines that such amounts would not be recoverable. In the event a servicer event of default has occurred and the Trustee terminates the servicer as a result thereof, the master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated Servicer has failed to fund such advances until such time as a successor servicer is appointed and commences servicing the mortgage loans). The master servicer and servicer will be entitled to be reimbursed for any such monthly advances from future payments and collections (including insurance and liquidation proceeds) with respect to those mortgage loans. The WFMBS 2019-3 transaction is a securitization of 759 primarily 30-year, fixed rate, prime residential mortgage loans with an unpaid principal balance of $548,882,258. The pool has strong credit quality and consists of borrowers with high FICO scores, significant equity in their properties and liquid cash reserves. The pool has clean pay history and weighted average seasoning of approximately 6 months. The securitization has a shifting interest structure with a five-year lockout period that benefits from a senior floor and a subordinate floor. The complete rating actions are as follows: Issuer: Wells Fargo Mortgage Backed Securities 2019-3 Trust Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aaa (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aa1 (sf) Cl. A-18, Assigned (P)Aa1 (sf) Cl. A-19, Assigned (P)Aaa (sf) Cl. A-20, Assigned (P)Aaa (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba2 (sf) RATINGS RATIONALE Summary Credit Analysis and Rating Rationale Moody's expected cumulative net loss on the aggregate pool is 0.25% in a base scenario and reaches 3.50% at a stress level consistent with the Aaa (sf) ratings. Its loss estimates are based on a loan-by-loan assessment of the securitized collateral pool as of the cut-off date using Moody's Individual Loan Level Analysis (MILAN) model. Loan-level adjustments to the model included adjustments to borrower probability of default for higher and lower borrower debt-to-income ratios (DTIs), for borrowers with multiple mortgaged properties, self-employed borrowers, origination channels and for the default risk of Homeownership association (HOA) properties in super lien states. The model combines loan-level characteristics with economic drivers to determine the probability of default for each loan, and hence for the portfolio as a whole. Severity is also calculated on a loan-level basis. The pool loss level is then adjusted for borrower, zip code, and MSA level concentrations. Moody's bases its ratings on the certificates on the credit quality of the mortgage loans, the structural features of the transaction, its assessments of the origination quality and servicing arrangement, the strength of the third party due diligence and the R&W framework of the transaction. Collateral Description The WFMBS 2019-3 transaction is a securitization of 759 first lien residential mortgage loans with an unpaid principal balance of $548,882,258. The loans in this transaction have strong borrower characteristics with a weighted average original FICO score of 778 and a weighted-average original loan-to-value ratio (LTV) of 71.2%. In addition, 8.8% of the borrowers are self-employed and refinance loans comprise 36.4% of the aggregate pool. 10.1% (by loan balance) of the pool comprised of construction to permanent loans. The construction to permanent is a two part loan where the first part is for the construction and then it becomes a permanent mortgage once the property is complete. For all the loans in the pool, the construction was complete and because the borrower cannot receive cash from the permanent loan proceeds or anything above the construction cost, Moody's treated these loans as a rate term refinance rather than a cash out refinance loan. The pool has a high geographic concentration with 43.9% of the aggregate pool located in California and 15.1% located in the New York-Newark-Jersey City MSA. The characteristics of the loans underlying the pool are slightly stronger than recent prime RMBS transactions backed by 30-year mortgage loans that Moody's has rated. Origination Quality The mortgage loans for this transaction are originated by Wells Fargo Bank, through its Retail and Correspondent channels, generally in accordance with its non-conforming underwriting guidelines. After considering the non-conforming underwriting guidelines from Wells Fargo Bank, Moody's made no adjustments to its base case and Aaa loss expectations. Majority of the loans are originated through retail channel i.e. 67% of the pool and the remaining pool i.e. 33% is originated through correspondent channel. Third Party Review and Reps & Warranties (R&W) One independent third-party review firm, Clayton Services LLC , was engaged to conduct due diligence for the credit, regulatory compliance, property valuation, and data accuracy for all of the 793 loans in the initial population of this transaction (100% of the mortgage pool). The credit review consisted of a review of the documentation in each loan file relating to the creditworthiness of the borrowers, and an assessment of whether the characteristics of the mortgage loans and the borrowers reasonably conformed to Wells Fargo Bank's underwriting guidelines. Where there were exceptions to guidelines, the TPR firm noted compensating factors. Additionally, the TPR firm evaluated evidence of the borrower's willingness and ability to repay the obligation and examined Data Verify/Fraudguard/Interthinx or similar risk evaluation reports ordered by Wells Fargo Bank or Clayton. Clayton Services LLC 's regulatory compliance review consisted of a review of compliance with the Truth in Lending Act and the Real Estate Settlement Procedures Act among other federal, state and local regulations. Additionally, the TPR firm applied SFIG's enhanced RMBS 3.0 TRID Compliance Review Scope. There was one loan with a compliance grade C due to clerical error where homeowners insurance was overstated. Moody's believes that such condition is non-material and thus, Moody's made no adjustment to its losses for this loan. The TPR firm's property valuation review consisted of reviewing the valuation materials utilized at origination to ensure the appraisal report was complete and in conformity with the underwriting guidelines. The TPR firm also compared third party valuation products to the original appraisals. 10% negative variances were reported and in some cases additional appraisals were performed. There were two loans that have property valuation grade C due to more than 10% negative variances after multiple valuations. Moody's ran a sensitivity to account for the variance but did not make adjustment to its losses for these loans as it was not material. The overall TPR results were in line with its expectations considering the clear underwriting guidelines and overall processes and procedures that Wells Fargo Bank has in place. Many of the grade B loans were underwritten using underwriter discretion where the compensating factors were not clearly documented in the loan file. Areas of discretion included length of mortgage/rental history, missing verbal verification of employment and explanation for multiple credit exceptions. The due diligence firm noted that these exceptions are minor and/or provided an explanation of compensating factors. Several of the compensating factors listed were sufficient to explain the underwriting exception. As a result, Moody's did not make any adjustment to its losses for this. Wells Fargo Bank, as the originator, makes the loan-level representation and warranties (R&Ws) for the mortgage loans. The loan-level R&Ws are strong and, in general, either meet or exceed the baseline set of credit-neutral R&Ws Moody's has identified for US RMBS. Further, R&W breaches are evaluated by an independent third party using a set of objective criteria. Similar to JPMMT transactions, the transaction contains a "prescriptive" R&W framework. The originator makes comprehensive loan-level R&Ws and an independent reviewer will perform detailed reviews to determine whether any R&Ws were breached when loans become 120 days delinquent, the property is liquidated at a loss above a certain threshold, or the loan is 30 to 119 days delinquent and is modified by the servicer. These reviews are prescriptive in that the transaction documents set forth detailed tests for each R&W that the independent reviewer will perform. Moody's believes that Wells Fargo Bank's robust processes for verifying and reviewing the reasonableness of the information used in loan origination along with effectively no knowledge qualifiers mitigates any risks involved. Wells Fargo Bank has an anti-fraud software tools that are integrated with the loan origination system (LOS) and utilized pre-closing for each loan. In addition, Wells Fargo Bank has a dedicated credit risk, compliance and legal teams oversee fraud risk in addition to compliance and operational risks. Moody's did not make any adjustment to its base case and Aaa loss expectations for R&Ws. Tail Risk and Subordination Floor The transaction cash flows follow a shifting interest structure that allows subordinated bonds to receive principal payments under certain defined scenarios. Because a shifting interest structure allows subordinated bonds to pay down over time as the loan pool shrinks, senior bonds are exposed to increased performance volatility, known as tail risk. The transaction provides for a senior and subordinate floor of 1.20% of the closing pool balance, which mitigates tail risk by protecting the senior bonds from eroding credit enhancement over time. Based on its tail risk analysis, the level of senior and subordinate floor in WFMBS 2019-3 provides adequate protection against potential tail risk. In addition, if the subordinate percentage drops below 5.00% of current pool balance, the senior distribution amount will include all principal collections and the subordinate principal. Additionally there is a subordination lock-out amount which is 1.20% of the closing pool balance. Transaction structure The securitization has a shifting interest structure that benefits from a senior floor and a subordinate floor. Funds collected, including principal, are first used to make interest payments and then principal payments to the senior bonds, and then interest and principal payments to each subordinate bond. As in all transactions with shifting interest structures, the senior bonds benefit from a cash flow waterfall that allocates all unscheduled principal collections to the senior bond for a specified period of time, and increasing amounts of unscheduled principal collections to the subordinate bonds thereafter, but only if loan performance satisfies delinquency and loss tests. All certificates in this transaction are subject to a net WAC cap. Realized losses are allocated reverse sequentially among the subordinate and senior support certificates and on a pro-rata basis among the super senior certificates. Exposure to Extraordinary expenses Extraordinary Trust Expenses that will reduce amounts available to make distributions on the Certificates and will be applied to reduce the Net WAC Rate. However, certain extraordinary trust expenses (such as servicing transfer costs) in the WFMBS 2019-3 transaction are deducted directly from the available distribution amount. The remaining trust expenses (which have an annual cap of $350,000 per year for i) Wells Fargo CTS Annual Expense Cap, ii) Trustee Annual Expense Cap and iii) Independent Reviewer Expense Cap) are deducted from the Net WAC Rate. Moody's believes there is a very low likelihood that the rated certificates in WFMBS 2019-3 will incur any losses from extraordinary expenses or indemnification payments from potential future lawsuits against key deal parties. First, the loans are prime quality, 100 percent qualified mortgages and were originated under a regulatory environment that requires tighter controls for originations than pre-crisis, which reduces the likelihood that the loans have defects that could form the basis of a lawsuit. Second, the transaction has reasonably well defined processes in place to identify loans with defects on an ongoing basis. In this transaction, an independent breach reviewer (Opus Capital Markets Consultants, LLC), named at closing must review loans for breaches of representations and warranties when certain clear defined triggers have been breached, which reduces the likelihood that parties will be sued for inaction. Furthermore, the issuer has disclosed the results of a compliance, credit, valuation and data integrity review covering 100% of the mortgage loans by an independent third party (Clayton Services LLC). Moody's did not make an adjustment for extraordinary expenses because most of the trust expenses will reduce the net WAC as opposed to the available funds. Other Considerations In WFMBS 2019-3, unlike other prime jumbo transactions, Well Fargo Bank is both the servicer and master servicer for the deal. However, in the case of the termination of the servicer, the master servicer must consent to the trustee's selection of a successor servicer, and the successor servicer must have a net worth of at least $15 million and be Fannie or Freddie approved. The master servicer shall fund any advances that would otherwise be required to be made by the terminated servicer (to the extent the terminated servicer has failed to fund such advances) until such time as a successor servicer is appointed. Additionally, in the case of the termination of the master servicer, the trustee will be required to select a successor master servicer in consultation with the Depositor. The termination of the master servicer will not become effective until either the Trustee or successor master servicer has assumed the responsibilities and obligations of the master servicer which also includes the advancing obligation. Factors that would lead to an upgrade or downgrade of the ratings: Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. [*] S&P Affirms Ratings on 151 Classes From 27 Gas Prepay Deals --------------------------------------------------------------- S&P Global Ratings affirmed its ratings and removed the under criteria observation (UCO) identifier on 151 classes from 27 gas prepay transactions. The ratings on these transactions are weak-linked to the lowest counterparty rating of the multiple counterparties in each individual transaction. Upon publication of its revised criteria for assessing counterparty risk in structured finance transactions, S&P added the UCO identifier to ratings that could be affected by the change in criteria. A list of Affected Ratings can be viewed at: https://bit.ly/2khYQUE [*] S&P Lowers Ratings on 10 Classes From Seven U.S. CMBS Deals --------------------------------------------------------------- S&P Global Ratings lowered its ratings on ten classes of commercial mortgage pass-through certificates from seven U.S. commercial mortgage-backed securities (CMBS) transactions. "We lowered our ratings on eight classes to 'D (sf)' due to accumulated interest shortfalls that we expect to remain outstanding for the foreseeable future. In addition, we lowered two ratings to 'CCC- (sf)' due to interest shortfalls we believe the classes will experience periodically until the liquidation of the specially serviced assets in the transactions," S&P said. The recurring interest shortfalls for the certificates are primarily due to one or more of the following factors: -- Appraisal subordinate entitlement reduction (ASER) amounts in effect for specially serviced assets; -- The lack of servicer advancing for loans or assets where the servicer has made nonrecoverable advance declarations; -- Interest rate modifications or deferrals, or both, related to corrected mortgage loans; -- The recovery of prior servicing advances; or -- Special servicing fees. "Our analysis primarily considered the ASER amounts based on appraisal reduction amounts (ARAs) calculated using recent Member of the Appraisal Institute (MAI) appraisals. We also considered servicer-nonrecoverable advance declarations and special servicing fees that are likely, in our view, to cause recurring interest shortfalls," S&P said. The servicer implements ARAs and resulting ASER amounts according to each transaction's terms. Typically, these terms call for an ARA equal to 25% of the loan's stated principal balance to be implemented when it is 60 days past due and an appraisal or other valuation is not available within a specified time frame. S&P primarily considered ASER amounts based on ARAs calculated from MAI appraisals when deciding which classes from the affected transactions to downgrade to 'D (sf)'. This is because ARAs based on a principal balance haircut are highly subject to change, or even reversal, once the special servicer obtains the MAI appraisals. Servicer-nonrecoverable advance declarations can prompt shortfalls due to a lack of debt-service advancing, the recovery of previously made advances after an asset was deemed nonrecoverable, or the failure to advance trust expenses when nonrecoverable declarations have been determined. Trust expenses may include, but are not limited to, property operating expenses, property taxes, insurance payments, and legal expenses. Discussions of the individual transactions follow: Bear Stearns Commercial Mortgage Securities Trust 2007-TOP28 "We lowered our rating to 'D (sf)' on the class C commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that we expect to be outstanding for the foreseeable future. The class C certificates currently have accumulated interest shortfalls outstanding for six consecutive months. We believe that the interest shortfalls will continue and accumulated interest shortfalls will remain outstanding until the resolution of the sole specially serviced asset, Charleston Town Center." According to the Aug. 13, 2019, trustee remittance report, the current monthly interest shortfalls from the collateral totaled $438,051 and resulted from interest not advanced due to nonrecoverable determination on the specially serviced asset. The current reported interest shortfalls have affected all classes subordinate to and including class C. GE Commercial Mortgage Corp. series 2005-C4 S&P lowered our ratings to 'D (sf)' on the class AJ and B commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future. The class AJ and B certificates currently have accumulated interest shortfalls outstanding for three consecutive months. S&P believes that both classes will continue to experience shortfalls and accumulated interest shortfalls will remain outstanding for a prolonged period until the resolution of the specially serviced assets. According to the Aug. 12, 2019, trustee remittance report, the current monthly interest shortfalls from the collateral totaled $518,535 and resulted primarily from: -- Interest not advanced due to a nonrecoverable determination of $243,533; -- Special servicing fees totaling $28,925; -- ASER amounts totaling $214,271; and -- An interest rate modification of $31,806. The current reported interest shortfalls have affected all classes subordinate to and including class AJ, with class AJ receiving partial interest payments. JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8 "We lowered our rating to 'CCC- (sf)' on the class E commercial mortgage pass-through certificates to reflect periodic interest shortfalls we expect this class to experience. Class E recovered all of its accumulated interest shortfalls in the month of August from the sale of a specially serviced asset. However, we believe the class is susceptible to periodic interest shortfalls until the resolution of the specially serviced assets in the transaction," S&P said. According to the Aug. 15, 2019, trustee remittance report, the trust reported a net interest recovery this period of $3,525,812, of which classes E, F, and X recovered prior interest shortfalls totalling $3,400,038. The net recoveries this month resulted primarily from the liquidation of the Bonneville Square asset from the trust. Ongoing interest shortfalls will result primarily from: Interest not advanced due to nonrecoverable determination of $94,263; and Special servicing fees of $3,788. JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 S&P lowered its rating to 'D (sf)' on the class E commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future. The class E certificates currently have accumulated interest shortfalls outstanding for five consecutive months. In addition, S&P expects this class to experience principal loss upon the ultimate liquidation of the specially serviced assets. According to the Aug. 12, 2019, trustee remittance report, the current monthly interest shortfalls from the collateral totaled $394,601 and resulted primarily from: -- Interest not advanced due to a nonrecoverable determination of $169,345; -- An interest rate modification of $136,348; -- Special servicing fees totaling $19,827; -- Workout fees of $647; and -- Reimbursement of prior advances to the servicer totaling $68,434. The current reported interest shortfalls have affected all classes subordinate to and including class E. Merrill Lynch Mortgage Trust 2005-MCP1 S&P lowered its rating to 'D (sf)' on the class F commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future. The class F certificates currently have accumulated interest shortfalls outstanding for seven consecutive months. S&P believes that the interest shortfalls will continue and accumulated interest shortfalls will remain outstanding until the resolution of the specially serviced asset. According to the Aug. 12, 2019, trustee remittance report, the current monthly interest shortfalls from the collateral totaled $165,564 and resulted primarily from: -- Interest not advanced due to a nonrecoverable determination of $129,993; -- Special servicing fees totaling $5,963; -- Interest paid to the servicer for prior advances amounting to $17,968; and -- Reimbursement of prior advances to the servicer totaling $11,640. The current reported interest shortfalls have affected all classes subordinate to and including class F. Merrill Lynch Mortgage Trust 2008-C1 S&P lowered its rating to 'D (sf)' on the class H commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future. At the same time, S&P also lowered its rating to 'CCC- (sf)' on the class G certificates to reflect periodic interest shortfalls the rating agency expects this class to experience. The class G and H certificates currently have accumulated interest shortfalls outstanding for eight consecutive months. However, class G may experience the near-term repayment of its outstanding interest shortfalls upon the liquidation of one specially serviced asset, while S&P believes that the interest shortfalls on class H will continue and the accumulated interest shortfalls will remain outstanding for a prolonged period." According to the Aug. 14, 2019, trustee remittance report, the current monthly interest shortfalls from the collateral totaled $178,452 and resulted primarily from: -- Interest not advanced due to a nonrecoverable determination of $171,972; and -- Special servicing fees totaling $6,480. The current reported interest shortfalls have affected all classes subordinate to and including class G. Wachovia Bank Commercial Mortgage Trust series 2007-C34 S&P lowered its ratings to 'D (sf)' on the class E and F commercial mortgage pass-through certificates to reflect accumulated interest shortfalls that it expects to be outstanding for the foreseeable future. The class E and F certificates currently have accumulated interest shortfalls outstanding for 10 consecutive months. S&P believes that the interest shortfalls on both the classes will continue and the accumulated interest shortfalls will remain outstanding for a prolonged period. According to the Aug. 16, 2019, trustee remittance report, the current monthly interest shortfalls from the collateral totaled $424,298 and resulted primarily from: -- Interest not advanced due to a nonrecoverable determination of $658,043; -- Special servicing fees totaling $31,456; -- Interest paid to the servicer for prior advances amounting to $9,384; and -- Net ASER recovery of $274,586 that offsets the shortfalls. The current reported interest shortfalls have affected all classes subordinate to and including class D. RATINGS LOWERED Bear Stearns Commercial Mortgage Securities Trust 2007-TOP28 Commercial mortgage pass-through certificates Rating Class To From C D (sf) CCC (sf) GE Commercial Mortgage Corp. (series 2005-C4) Commercial mortgage pass-through certificates Rating Class To From AJ D (sf) B+ (sf) B D (sf) CCC (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP8 Commercial mortgage pass-through certificates Rating Class To From E CCC- (sf) B- (sf) JPMorgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 Commercial mortgage pass-through certificates Rating Class To From E D (sf) B- (sf) Merrill Lynch Mortgage Trust 2005-MCP1 Commercial mortgage pass-through certificates Rating Class To From F D (sf) B (sf) Merrill Lynch Mortgage Trust 2008-C1 Commercial mortgage pass-through certificates Rating Class To From G CCC- (sf) B- (sf) H D (sf) CCC+ (sf) Wachovia Bank Commercial Mortgage Trust series 2007-C34 Commercial mortgage pass-through certificates Rating Class To From E D (sf) B- (sf) F D (sf) CCC- (sf) [*] S&P Takes Various Actions on 38 Classes From 26 US RMBS Deals ----------------------------------------------------------------- S&P Global Ratings completed its review of 38 classes from 26 U.S. RMBS transactions issued between 1999 and 2007. The review yielded 29 downgrades due to observed principal write-downs, nine downgrades due to the application of S&P's interest shortfall criteria, and three withdrawals. The downgrades due to outstanding principal write-downs reflect S&P's assessment of the principal write-downs' impact on the affected classes during recent remittance periods. The affected classes were rated either 'B+ (sf)', 'CCC (sf)', or 'CC (sf)' before the rating actions. The transactions in this review received credit enhancement from a combination of subordination, excess spread, and overcollateralization (where applicable). In reviewing the classes with observed interest shortfalls, S&P applied its interest shortfall criteria, as stated in "Structured Finance Temporary Interest Shortfall Methodology," published Dec. 15, 2015, which impose a maximum rating threshold on classes that have incurred interest shortfalls resulting from credit or liquidity erosion. In applying the criteria, S&P looked to see if the applicable class received additional compensation beyond the imputed interest due as direct economic compensation for the delay in interest payment, which these classes did not. Therefore, in those instances, the rating agency used the maximum length of time until full interest is reimbursed as part of its analysis to assign a rating each class. As a result, S&P lowered nine ratings. In addition, S&P subsequently withdrew three ratings from Residential Asset Securitization Trust 1999-A3 due to the small number of loans remaining in the respective pool. Once a pool has declined to a de minimis amount, S&P believes there is a high degree of credit instability that is incompatible with any rating level." A list of Affected Ratings can be viewed at: https://bit.ly/2ki3vWE ********* 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. Each Tuesday edition of the TCR contains a list of companies with insolvent balance sheets whose shares trade higher than $3 per share in public markets. At first glance, this list may look like the definitive compilation of stocks that are ideal to sell short. Don't be fooled. Assets, for example, reported at historical cost net of depreciation may understate the true value of a firm's assets. A company may establish reserves on its balance sheet for liabilities that may never materialize. The prices at which equity securities trade in public market are determined by more than a balance sheet solvency test. On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. Point your Web browser to http://TCRresources.bankrupt.com/and use the e-mail address to which your TCR is delivered to login. ********* S U B S C R I P T I O N I N F O R M A T I O N Troubled Company Reporter is a daily newsletter co-published by Bankruptcy Creditors Service, Inc., Fairless Hills, Pennsylvania, USA, and Beard Group, Inc., Washington, D.C., USA. Jhonas Dampog, Marites Claro, Joy Agravante, Rousel Elaine Tumanda, Valerie Udtuhan, Howard C. Tolentino, Carmel Paderog, Meriam Fernandez, Joel Anthony G. Lopez, Cecil R. 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 ***